30 Good Shepherd Street, Ho Man Tin
The Open University of Hong Kong
Portfolio Choice, Return Predictability, Capital Gains Tax
Halloween Effect, Sell in May and Go Away, Stochastic Dominance
Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect
Book-to-market equity ratio; Cross sectional stock returns; Gross profitability; Halloween effect, Market value of equity; Sell in May and go away, Summer vacation, Total asset growth
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investment, investment frictions, limits‐to‐arbitrage, q‐theory, stock returns
Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns
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