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Advanced Search Results For "Li, Sophia Zhengzi"

1 - 10 of 7 results for
 "Li, Sophia Zhengzi"
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When Shareholders Disagree: Trading after Shareholder Meetings.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Apr2022, Vol. 35 Issue 4, p1813-1867, 55p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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Good Volatility, Bad Volatility, and the Cross Section of Stock Returns.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; May2020, Vol. 55 Issue 3, p751-781, 31p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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Pervasive underreaction: Evidence from high-frequency data.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Aug2021, Vol. 141 Issue 2, p573-599. 27p.

Abstract:We propose a novel high-frequency decomposition of daily stock returns into news- and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial marke...

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Jump Tail Dependence in the Chinese Stock Market.

Publication Type:Academic Journal

Source(s):Emerging Markets Finance & Trade; 2016, Vol. 52 Issue 10, p2379-2396, 18p, 4 Charts, 2 Graphs

Abstract:Copyright of Emerging Markets Finance & Trade is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may p...

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Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Jun2016, Vol. 120 Issue 3, p464-490. 27p.

Abstract:We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of ...

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Jump tails, extreme dependencies, and the distribution of stock returns

Publication Type:Periodical

Source(s):Journal of Econometrics. Feb2013, Vol. 172 Issue 2, p307-324. 18p.

Abstract:Abstract: We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT) ...

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Market intraday momentum.

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Aug2018, Vol. 129 Issue 2, p394-414. 21p.

Abstract:Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This p...

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