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Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-Share Discounts in the Chinese Stock Market
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Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-Share Discounts in the Chinese Stock Market (2007)Market Segmentation and Stock Prices Disc…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Investor Overconfidence and Trading Volume (2006)Investor Overconfidence and T…Learning to Be Overconfident (2001)Learning to Be OverconfidentVolume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Why is there a home bias? An …Managerial Entrenchment and Capital Structure Decisions (1997)Managerial Entrenchment and C…Managerial Entrenchment and Capital Structure Decisions (1997)Managerial Entrenchment and C…International Portfolio Investment Flows (1997)International Portfolio Inves…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…The investment opportunity set and corporate financing, dividend, and compensation policies (1992)The investment opportunity se…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Estimating the components of the bid/ask spread (1988)Estimating the components of …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Higher market valuation of companies with a small board of directors (1996)Corporate governance, chief executive officer compensation, and firm performance (1999)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Do Investors Trade Too Much? (1999)Investor Psychology and Asset Pricing (2001)Gender Differences in Preferences (2009)Noise Trader Risk in Financial Markets (1990)Chapter 18 A survey of behavioral finance (2003)The Adaptive Markets Hypothesis (2004)Investor attention, overconfidence and category learning (2006)Oil and the Macroeconomy since World War II (1983)
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References

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  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
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  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1992The investment opportunity set and corporate financing, dividend, and compensation policies3,591 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
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  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2006Investor Overconfidence and Trading Volume

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