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On the Chinese B-share price discount puzzle: Some new evidence
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On the Chinese B-share price discount puzzle: Some new evidence (2010)On the Chinese B-share price discount puz…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount (2008)Information Asymmetry and Ass…What Determines Chinese Stock Returns? (2004)What Determines Chinese Stock…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and Stock…International Portfolio Investment Flows (1997)International Portfolio Inves…Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions (1997)Impulse Response Functions Ba…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Cross-Section of Expected Stock Returns (1992)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Short sales, institutional investors and the cross-section of stock returns (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Continuous Auctions and Insider Trading (1985)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Commonality in liquidity (2000)Investor Diversification and International Equity Markets (1991)Time‐Varying World Market Integration (1995)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Trying to Explain Home Bias in Equities and Consumption (1999)The portfolio flows of international investors (2001)A Rational Expectations Model of Financial Contagion (2002)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)
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References

  • 2021Econometric Analysis of Panel Data15,089 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 1997Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions454 cited
  • 2004What Determines Chinese Stock Returns?446 cited
  • 2008

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Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount
385 cited
  • 1997Market Segmentation and Stock Prices: Evidence from an Emerging Market322 cited
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