Hong Kong
The Hong Kong Polytechnic University
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ETFs, factor investing, smart beta, data mining
noise trader risk, factor premia, anomaly
Cross-firm return predictability, Psychological barrier, 52-week high, Customer momentum
Momentum spillovers, return prediction, investor inattention, belief updating.
Economic linkage, cross-firm return predictability, credit-rating comovement, market segmentation, market inefficiency
put-call parity, options return predictability