30 Good Shepherd Street, Ho Man Tin
Hong Kong
Hong Kong Metropolitan University
Portfolio Choice, Return Predictability, Capital Gains Tax
investment, investment frictions, limits‐to‐arbitrage, q‐theory, stock returns
Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns
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
Halloween Effect; Sell in May and Go Away, Stochastic Dominance
Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect