30 Good Shepherd Street, Ho Man Tin
Hong Kong
Hong Kong Metropolitan University
Portfolio Choice, Return Predictability, Capital Gains Tax
portfolio choice, transaction cost, bid-ask spread, liquidity premium
Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect
Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns
Halloween Effect; Sell in May and Go Away, Stochastic Dominance