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Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program
16 references·8 citing·36 second hop
Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program (2018)Demand Shock, Speculative Beta, and Asset…Political uncertainty and risk premia (2013)Political uncertainty and ris…Betting against beta (2013)Betting against betaUncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …Law, finance, and economic growth in China (2005)Law, finance, and economic gr…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…The Limits of Arbitrage (1995)The Limits of ArbitrageA Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The value of information in China’s connected market (2024)The value of information in C…Stock market openness and ESG performance: Evidence from Shanghai-Hong Kong connect program (2023)Stock market openness and ESG…Stock market liberalization and corporate investment revisited: Evidence from China (2023)Stock market liberalization a…Capital market liberalization and opportunistic insider sales: Evidence from China (2022)Capital market liberalization…Stock market liberalization and institutional herding: Evidence from the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects (2021)Stock market liberalization a…Stock market liberalisation and corporate cash holdings: evidence from China (2021)Stock market liberalisation a…Capital market liberalization and auditors' accounting adjustments: Evidence from a quasi‐experiment (2021)Capital market liberalization…The Effect of the China Connect (2019)The Effect of the China Conne…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)The Framing of Decisions and the Psychology of Choice (1981)The Cross‐Section of Volatility and Expected Returns (2006)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital markets research in accounting (2001)In Search of Attention (2011)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Policy Uncertainty and Corporate Investment (2015)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)Legal Determinants of External Finance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)Capitalism with Chinese Characteristics (2008)Growing Like China (2011)The Fundamental Institutions of China's Reforms and Development (2011)An Economic Theory of Democracy. (1958)The Impact of Uncertainty Shocks (2009)The arbitrage theory of capital asset pricing (1976)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2005Law, finance, and economic growth in China4,481 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 2013Betting against beta2,027 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1986Do Demand Curves for Stocks Slope Down?

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Cited by

  • 2023Stock market openness and ESG performance: Evidence from Shanghai-Hong Kong connect program44 cited
  • 2023Stock market liberalization and corporate investment revisited: Evidence from China39 cited
  • 2021Stock market liberalization and institutional herding: Evidence from the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects39 cited
  • 2021Capital market liberalization and auditors' accounting adjustments: Evidence from a quasi‐experiment33 cited
  • 2022Capital market liberalization and opportunistic insider sales: Evidence from China29 cited
  • 2019The Effect of the China Connect28 cited
  • 2024The value of information in China’s connected market25 cited
  • 2021Stock market liberalisation and corporate cash holdings: evidence from China20 cited