Licheng Sun

Old Dominion University

Associate Professor of Finance

Strome College of Business

Department of Finance

Norfolk, VA 23529-0222

United States

SCHOLARLY PAPERS

18

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Top 25,259

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1,871

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (18)

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 614 (42,982)
Citation 3

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Intraday, Investor Sentiment, High Frequency, Stock Return Predictability

2.

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 292 (104,812)
Citation 1

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contrarian strategies, monthly stock returns, January seasonality

3.

Fundamental Strength and Short-Term Return Reversal

Journal of Empirical Finance, Forthcoming
Number of pages: 1 Posted: 10 Jan 2018 Last Revised: 17 Mar 2019
Zhaobo Zhu, Licheng Sun and Min Chen
Shenzhen University, Old Dominion University and San Francisco State University - Department of Accounting
Downloads 221 (140,071)

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

Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification

Number of pages: 46 Posted: 12 Nov 2015
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 203 (150,928)

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Portfolio Optimization, Naive Diversification, Idiosyncratic Volatility, Covariance Matrix

Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification

Financial Review, Vol. 51, Issue 3, pp. 403-433, 2016
Number of pages: 31 Posted: 15 Jul 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 1 (690,384)
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portfolio optimization, naïve diversification, idiosyncratic volatility

5.

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

Number of pages: 57 Posted: 24 Feb 2019 Last Revised: 18 Sep 2019
Zhaobo Zhu and Licheng Sun
Shenzhen University and Old Dominion University
Downloads 165 (182,105)

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Fundamental Analysis; Technical Analysis; Arbitrage Risk; Informed Trading

6.

52-Week High Momentum and Short-Term Reversals

Number of pages: 40 Posted: 28 Dec 2017 Last Revised: 16 Mar 2019
Shenzhen University, Old Dominion University, University of Louisville and Shenzhen University
Downloads 146 (201,713)

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52-Week High Momentum, Short-term Reversal, Anchoring Bias

7.

Fundamental Strength and the 52-Week High Anomaly

Number of pages: 39 Posted: 18 Jul 2019
Zhaobo Zhu, Licheng Sun and Min Chen
Shenzhen University, Old Dominion University and San Francisco State University - Department of Accounting
Downloads 83 (305,794)

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Anchoring Bias; 52-week High; Fundamental Strength; Investment CAPM

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 North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 81 (305,794)
Citation 2

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

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 36 (455,282)

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

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

Financial Review, Vol. 52, Issue 3, pp. 499-526, 2017
Number of pages: 28 Posted: 18 Jul 2017
Licheng Sun, Liang Meng and Mohammad Najand
Old Dominion University, Old Dominion University and Old Dominion University - Finance
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risk‐return tradeoff, international markets, intertemporal CAPM, lead‐lag effect, multivariate GARCH‐in‐Mean

10.

Changes in Inflation Expectations, Stock Returns, and the Economic State: A Signaling Role for Inflation?

Number of pages: 70 Posted: 15 Jun 2019 Last Revised: 07 Aug 2019
University of North Carolina (UNC) at Chapel Hill - Finance Area, Old Dominion University and University of Louisville
Downloads 29 (476,737)

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Stock Returns, Inflation Expectations, Uncertain Economic States, Economic Growth

11.

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

12.

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

13.

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

14.

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

15.

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

16.

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 North Carolina (UNC) at Chapel Hill - Finance Area and Old Dominion University

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Return comovements, implied volatility

17.

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 North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville and Old Dominion University

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Stock-bond return correlations, stock market uncertainty, turnover

18.

Nonlinear Drift and Stochastic Volatility: An Empirical Investigation of Short-Term Interest Rate Models

Journal of Financial Research, Forthcoming
Posted: 12 Oct 2002
Licheng Sun
Old Dominion University

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