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Investor heterogeneity and momentum-based trading strategies in China (2020)
Journal Article
Gao, Y., Han, X., Li, Y., & Xiong, X. (2021). Investor heterogeneity and momentum-based trading strategies in China. International review of financial analysis, 74, Article 101654. https://doi.org/10.1016/j.irfa.2020.101654

The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently outperform... Read More about Investor heterogeneity and momentum-based trading strategies in China.

Should a retailer sell its own extended warranties or resell those from the manufacturer when confronting supplier encroachment? (2020)
Journal Article
Chai, J., Li, H., Yan, W., & Li, Y. (2021). Should a retailer sell its own extended warranties or resell those from the manufacturer when confronting supplier encroachment?. Journal of the Operational Research Society, 72(9), 2046-2058. https://doi.org/10.1080/01605682.2020.1759383

Due to fierce competition in the product market under conditions of supplier encroachment, many brand name retailers, including Sears, Best Buy, and Circuit City, depend on the extended warranty contracts that they sell along with the products. The d... Read More about Should a retailer sell its own extended warranties or resell those from the manufacturer when confronting supplier encroachment?.

Investor Overconfidence and the Security Market Line: New Evidence from China (2020)
Journal Article
Han, X., Li, K., & Li, Y. (2020). Investor Overconfidence and the Security Market Line: New Evidence from China. Journal of Economic Dynamics and Control, 117, Article 103961. https://doi.org/10.1016/j.jedc.2020.103961

This paper documents a highly downward-sloping security market line (SML) in China, which is more puzzling than the typical “flattened” SML in the US, and does not reconcile with existing theories of the low-beta anomaly. We show that investor overco... Read More about Investor Overconfidence and the Security Market Line: New Evidence from China.

Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China (2020)
Journal Article
Wang, Z., Li, Y., & He, F. (2020). Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China. Research in international business and finance, 53, Article 101233. https://doi.org/10.1016/j.ribaf.2020.101233

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net r... Read More about Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China.