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We perform specification tests of unbalanced panel data models for stock return prediction using an estimate of the coefficient covariance matrix robust to spatial heteroskedasticity. We apply estimators of individual effects and time effects in unbalanced panel models. For a panel of 1243 US firms for the period 1985–2002 we find that industry effects are significant and interact with firm cha...

In this paper we assess the role of capital-embodied technology shocks in explaining properties of the cross section of stock returns. Existing theories seem to disagree on the sign and magnitude of the price the market demands for bearing the risk of such shocks: while a negative price is necessary to justify the value premium or the cross-sectional predictability of returns by firm characteri...

This article sorts the returns of listed companies in A-share market from May 1991 to April 2022 over past J months, selects winners and losers, constructs a zero investment portfolio, holds it for K months. The results showed that there is reversal effect short term momentum medium long term. Only when holding period one month, no obvious pattern can be observed. interested combination losers ...

This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance the momentum anoma...

The campaign to curb cigarette smoking in Britain is gaining momentum. So far the main emphasis has been on alerting the public to the health hazards. There has also been pressure for restrictions on smoking in public places and for greater control over tobacco sales promotion. Despite the fact that the expense of smoking is a major disincentive, especially for the teenager (McKennell and Thoma...

Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms, that determine optimal trade schedules by balancing the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal strategies are static: they do not modify the execution speed in response to price motions observed during...