This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …

The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …

Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …

This article investigates empirically the comovements of the conditional mean and volatility
of stock returns. It extends the results in the literature by demonstrating the role of the …

We investigate empirically the well-known put–call parity no-arbitrage relation in the presence
of short sales restrictions. Violations of put–call parity are asymmetric in the direction of …

The anecdotal evidence is growing that postings in Internet financial forums affect stock
prices, either because the postings contain new information or because they represent …

There is ongoing debate about the apparent weak or negative relation between risk (conditional
variance) and expected returns in the aggregate stock market. We develop and estimate …

The prevailing view in finance is that the evidence for long-horizon stock return predictability
is significantly stronger than that for short horizons. We show that for persistent regressors, a …

Empirical evidence that expected stock returns are weakly related to volatility at the market
level appears to contradict the intuition that risk and return are positively related. We …

What capital allocation role can China’s stock market play? Counter to perception, stock prices
in China have become as informative about future profits as they are in the US. This rise …