39 South College Road
Haidian District
Beijing, Beijing 100081
China
Central University of Finance and Economics (CUFE)
frequent batch auction, continuous trading, market quality, market efficiency, abnormal return, investor performance
Skewness risk premia, Cross section, Variance risk premium, Linear factor models, Consumption-based models
Risk-Neutral Cumulants, Expected Risk Premium, Cross-Section Return Predictability, Partial Least Squares Estimation, Short-Selling Constraints, Informed Trading
Asset pricing, Climate change, Media coverage, CO2 emissions, Return predictability
Business cycles; Fear propagation; Precious metals; Return predictability; State-switching model; Tail risk.
Equity options, Implied volatility surface, Predictability, optimal portfolios
