No. 43, Chengfu Road
Haidian District
Beijing 100083
China
Tsinghua University - PBC School of Finance
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Investor Sentiment, Anomaly, Short-sale Constraint
arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment
investor sentiment, mean-variance relation, volatility
profitability, anomaly, limit of arbitrage, information uncertainty, underreaction
Under-reaction, Over-reaction, Anchor, Behavioral Finance
limited attention, overconfidence, attention spillover, price impact, return predictability
Similarity, Style Investing, Mispricing
prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang
Factor, Beta, Characteristics, Performance Evaluation, Anomalies
Salience, Short-term reversal, Momentum, Overreaction, Underreaction
speculation, lottery, earnings announcements, skewness
q-theory, public sector capital, return predictability
macro risk, factor, investor sentiment, beta, factor-mimicking portfolio
Anomalies, Financial constraints, Overreaction, Subjective expectations
Extrapolation, Momentum, Participation, Sentiment
investor sentiment, anomalies, spurious regressors
value premium, mispricing, limits to arbitrage, financial distress, default risk, profitability, duration, cash flow risk, operating leverage
investment plan, investment lags, time-varying risk premium, investor sentiment, stock market prediction
Prospect theory, Risk-return trade-off, Risk, Uncertainty, Capital gains overhang
executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off
Executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off
Factors, Underreaction, Inattention, Mispricing, Risk
Extrapolation, Overreaction, Underreaction, Mispricing, Factor
JEL Classification: G11, G12, G40 Behavioral finance, Extrapolation, Risk-return trade-off, Sentiment
Factor beta, Investor sentiment, Mispricing, Risk
Extrapolation, long-run risk, production-based model, recursive preferences
investor sentiment, forward premium puzzle, long-run risk, Backus-Smith puzzle
Production-based asset pricing, continuous-time methods, macro-finance, growth options, irreversible investment, technology adoption, vintage models
Executive Compensation, Moral Hazard, Bayesian Learning, Hidden Information, Belief Manipulation, Private Savings, Continuous Time, Stock Options
executive compensation, moral hazard, Bayesian learning, hidden information, belief manipulation, private savings, continuous time, stock options
priming, preferences, lottery, IPO
Financial frictions, Market fragmentation, Leverage, Crashes, Contagion
business condition, expected stock return, business cycle, long-run, short-run
Long-run risk, habit-formation, forward-looking, long-run correlation
Financial frictions, Asset Pricing, Inefficient Markets, Performance Evaluation, Crossborder