Licheng Sun

Old Dominion University

Professor of Finance

Strome College of Business

Department of Finance

Norfolk, VA 23529-0222

United States

SCHOLARLY PAPERS

25

DOWNLOADS
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SSRN RANKINGS

Top 22,094

in Total Papers Downloads

4,625

TOTAL CITATIONS
Rank 37,647

SSRN RANKINGS

Top 37,647

in Total Papers Citations

30

Scholarly Papers (25)

1.

Stock Return Predictability and Investor Sentiment: A High-Frequency Perspective

Number of pages: 58 Posted: 20 Nov 2015 Last Revised: 13 Apr 2016
Licheng Sun, Mohammad Najand and Jiancheng Shen
Old Dominion University, Old Dominion University - Finance and Soochow University, Research Centre for Smarter Supply Chain and Dongwu Business School
Downloads 876 (55,464)
Citation 24

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Intraday, Investor Sentiment, High Frequency, Stock Return Predictability

2.

When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis

Number of pages: 50 Posted: 24 Feb 2019 Last Revised: 30 Jul 2021
Zhaobo Zhu and Licheng Sun
Shenzhen University and Old Dominion University
Downloads 621 (86,714)
Citation 1

Abstract:

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Fundamental Analysis; Technical Analysis; Arbitrage Risk; Informed Trading

3.

Short-term Momentum and Reversals, Turnover, and a Stock's Price-to-52-week-High Ratio

Number of pages: 63 Posted: 08 Jun 2022 Last Revised: 10 Sep 2024
Chen Chen, Chris T. Stivers and Licheng Sun
Old Dominion University - Strome College of Business, University of Louisville and Old Dominion University
Downloads 560 (98,965)

Abstract:

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Share Turnover, Price Anchors, Short-term Stock Momentum and Reversals, Price-to-52-week-High Ratio

4.

Fundamental Strength and Short-Term Return Reversal

Journal of Empirical Finance, Forthcoming
Number of pages: 55 Posted: 10 Jan 2018 Last Revised: 03 Dec 2019
Zhaobo Zhu, Licheng Sun and Min Chen
Shenzhen University, Old Dominion University and San Francisco State University - Department of Accounting
Downloads 539 (103,698)
Citation 1

Abstract:

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Short-term return reversal; Fundamental strength; Analyst forecast revision; Slow incorporation of information

5.

Maxing Out Short-term Reversals in Weekly Stock Returns

Number of pages: 55 Posted: 29 Nov 2023 Last Revised: 02 Oct 2024
Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun
Old Dominion University - Strome College of Business, Old Dominion University, Drew University and Old Dominion University
Downloads 444 (130,937)

Abstract:

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lottery-like stocks, short-term reversals, the MAX effect, investor overreaction

6.

Re-examining Reversals in Monthly Stock Returns: Post-Discovery, Size-based, and Time-Variation Evidence

Number of pages: 43 Posted: 18 Aug 2011 Last Revised: 03 Jun 2013
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 355 (168,782)
Citation 1

Abstract:

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contrarian strategies, monthly stock returns, January seasonality

7.

Retail Trading around Earnings Announcements: Evidence from Robinhood Traders

Number of pages: 56 Posted: 11 Dec 2022 Last Revised: 13 Apr 2024
Drew University, Old Dominion University - Finance, Old Dominion University - Economics Department and Old Dominion University
Downloads 305 (198,637)

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Retail Investors, Earnings Announcements, Investor Attention, Lottery Preference, Informed Trading, Liquidity Provision

8.

Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation

FRB Atlanta Working Paper Series No. 2002-3a
Number of pages: 54 Posted: 26 Jan 2015
University of Louisville, Old Dominion University and University of Florida
Downloads 233 (260,664)
Citation 2

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stock and bond market return linkages, stock implied volatility, stock turnover

9.

Predicting Cross-Sectional Return Variation in Past-Winner Stocks and Past-Loser Bonds with a Stock's 52-week Price Anchor

Number of pages: 75 Posted: 24 Aug 2023 Last Revised: 04 Jun 2024
Old Dominion University - Strome College of Business, Old Dominion University, Old Dominion University, University of Louisville and Old Dominion University
Downloads 215 (281,305)

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Past Stock Winners and Losers, 52-Week Stock Price Anchors, Short-term Stock and Corporate Bond Returns

10.

Short Selling and the Pricing of PIN Information Risk

Number of pages: 57 Posted: 05 May 2023 Last Revised: 10 Jun 2024
Old Dominion University - Strome College of Business, Drew University, University of Louisville and Old Dominion University
Downloads 214 (282,557)
Citation 1

Abstract:

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11.

Understanding Stock Returns and Shorting around Securities Class Action Lawsuits: The Role of Pre-filing News Releases

Number of pages: 48 Posted: 29 Jun 2021 Last Revised: 12 May 2023
Chris T. Stivers, Licheng Sun and Sounak Saha
University of Louisville, Old Dominion University and Old Dominion University
Downloads 120 (460,508)

Abstract:

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Securities class-action lawsuits, short selling, informed trading,

12.

The Role of U.S. Market on International Risk-Return Tradeoff Relations

Number of pages: 37 Posted: 28 Sep 2016 Last Revised: 10 Feb 2017
Licheng Sun, Liang Meng and Mohammad Najand
Old Dominion University, Old Dominion University and Old Dominion University - Finance
Downloads 61 (695,516)

Abstract:

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Risk-Return Tradeoff, International Markets, Intertemporal CAPM, Lead-Lag Effect, Multivariate GARCH-in-Mean

13.

Extreme Return Extrapolation

Singapore Management University School of Business Research Paper Forthcoming
Number of pages: 50 Posted: 29 May 2024
Tse-Chun Lin, Licheng Sun, Jun Tu and Zhaobo Zhu
The University of Hong Kong - Faculty of Business and Economics, Old Dominion University, Singapore Management University - Lee Kong Chian School of Business and Shenzhen University
Downloads 53 (741,430)

Abstract:

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Extrapolative Beliefs; Extreme Returns; Maximum Daily Return; Preferences; Attention

14.

A Closer Look at the Substitution Effects between Retail Trading and National Lotteries

Finance Research Letters, Forthcoming
Number of pages: 18 Posted: 16 Apr 2024 Last Revised: 22 May 2024
Qiqi Liang and Licheng Sun
Drew University and Old Dominion University
Downloads 29 (923,914)

Abstract:

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Retail Trading, Lotteries, Substitution Effect, Narrow Framing

15.

Oil Price Shocks and Stock Market Anomalies

Financial Management, Forthcoming
Posted: 03 Oct 2021
Zhaobo Zhu, Licheng Sun, Jun Tu and Qiang Ji
Shenzhen University, Old Dominion University, Singapore Management University - Lee Kong Chian School of Business and Chinese Academy of Sciences (CAS) - Institute of Policy and Management

Abstract:

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16.

Stock Returns and Inflation Shocks in Weaker Economic Times

Financial Management, Forthcoming.
Posted: 15 Jun 2019 Last Revised: 28 Dec 2021
University of Louisville, Old Dominion University and University of Florida

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Stock Returns, Inflation Shocks, Inflation Expectations, Uncertain Economic States, Economic Growth, the Equity Premium, Forward Equity Yields

17.

Price Anchors and Short-Term Reversals

Financial Management, Volume 50, Summer 2021, pp. 425-454.
Posted: 28 Dec 2017 Last Revised: 14 Jun 2021
Zhaobo Zhu, Licheng Sun and Chris T. Stivers
Shenzhen University, Old Dominion University and University of Louisville

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Short-run Stock Reversals, 52-Week Price-to-High, Capital Gains Overhang, Disposition Effect, Liquidity Provision

18.

Stock Strategies with the January Barometer and the Yield Curve

Journal of Investment Management (JOIM), First Quarter 2013
Posted: 20 May 2013
Licheng Sun, Chris T. Stivers and Ajay Kongera
Old Dominion University, University of Louisville and Independent

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January Barometer, yield curve, trading strategies

19.

Market Cycles and the Performance of Relative-Strength Strategies

Financial Management 2013, V42, Pages 263-290
Posted: 08 Oct 2011 Last Revised: 02 Jul 2013
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Medium-Run Momentum, Long-Run Reversals, Mean Stock Returns

20.

Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks

Journal of Banking and Finance, Vol. 37, pp. 4226-4240, November 2013.
Posted: 24 Mar 2010 Last Revised: 11 Oct 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Option Expiration, Stock Returns, Option Delta Hedging

21.

The Other January Effect: International, Style, and Subperiod Evidence

Journal of Financial Markets, Vol. 12, pp. 521-546, August 2009
Posted: 21 May 2008 Last Revised: 02 Jul 2012
Chris T. Stivers, Licheng Sun and Yong Sun
University of Louisville, Old Dominion University and affiliation not provided to SSRN

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Return Predictability

22.

Cross-sectional Return Dispersion and Time-Variation in Value and Momentum Premiums

Journal of Financial and Quantitative Analysis, Vol. 45, pp. 987-1014, August 2010.
Posted: 20 Mar 2008 Last Revised: 28 Jun 2012
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Value Premium, Book-to-Market Equity Ratio, Momentum, Return Dispersion

23.

Commonality in the Time-Variation of Stock-Stock and Stock-Bond Return Comovements

Journal of Financial Markets, Vol. 10, pp. 192-218, May 2007
Posted: 13 Mar 2007 Last Revised: 02 Sep 2012
University of Louisville, University of Florida and Old Dominion University

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Return comovements, implied volatility

24.

Stock Market Uncertainty and the Stock-Bond Return Relation

Journal of Financial and Quantitative Analysis, Vol. 40, pp. 161-194, March 2005
Posted: 06 Sep 2005
University of Florida, University of Louisville and Old Dominion University

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Stock-bond return correlations, stock market uncertainty, turnover

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