Licheng Sun

Old Dominion University

Professor of Finance

Strome College of Business

Department of Finance

Norfolk, VA 23529-0222

United States

  • Old Dominion University

SCHOLARLY PAPERS

20

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13

CROSSREF CITATIONS

2

Scholarly Papers (20)

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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 Regent University - Finance
Downloads 770 (50,996)
Citation 11

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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 373 (124,774)
Citation 1

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Fundamental Analysis; Technical Analysis; Arbitrage Risk; Informed Trading

3.

Short-Run Momentum, Turnover, and a Stock's 52-week Price High

Number of pages: 53 Posted: 08 Jun 2022 Last Revised: 17 Mar 2023
Chen Chen, Chris T. Stivers and Licheng Sun
Old Dominion University - Strome College of Business, University of Louisville and Old Dominion University
Downloads 370 (125,887)

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Short-Term stock momentum and reversals, price to 52-week-high ratio, share turnover, price anchors

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 361 (129,350)

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

5.

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 329 (143,039)
Citation 1

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contrarian strategies, monthly stock returns, January seasonality

6.

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
Chris T. Stivers, Licheng Sun and Robert A. Connolly
University of Louisville, Old Dominion University and University of Florida
Downloads 160 (284,305)
Citation 3

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

7.

Retail Trading around Earnings Announcements: Evidence from Robinhood Traders

Number of pages: 56 Posted: 11 Dec 2022 Last Revised: 13 Dec 2022
Qiqi Liang, Mohammad Najand, David D. Selover and Licheng Sun
Old Dominion University - Finance, Old Dominion University - Finance, Old Dominion University - Economics Department and Old Dominion University
Downloads 158 (288,720)

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

8.

When Do Investors Know? Securities Class Action Lawsuits and Pre-filing News Releases

Number of pages: 47 Posted: 29 Jun 2021 Last Revised: 28 Mar 2023
Chris T. Stivers, Licheng Sun and Sounak Saha
University of Louisville, Old Dominion University and Old Dominion University
Downloads 86 (444,770)

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

9.

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 45 (613,881)

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

10.

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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11.

Stock Returns and Inflation Shocks in Weaker Economic Times

Financial Management, Forthcoming.
Posted: 15 Jun 2019 Last Revised: 28 Dec 2021
Chris T. Stivers, Licheng Sun and Robert A. Connolly
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

12.

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

13.

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

14.

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

15.

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

16.

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

17.

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

18.

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
Chris T. Stivers, Robert A. Connolly and Licheng Sun
University of Louisville, University of Florida and Old Dominion University

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Return comovements, implied volatility

19.

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
Robert A. Connolly, Chris T. Stivers and Licheng Sun
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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