Shanghai
China
Tongji University
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Profitability premium, Macroeconomic Risks, Expectation errors, Investor sentiment
Profitability premium, Macroeconomic risks, Expectation errors, Investor sentiment
Q-Theory, Investment, Profitability, Momentum, BMCMC Estimation
Dividend announcements; Credit default swaps; Industrial firms; Financial firms; Troubled Asset Relief Program
DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock
Demand shock; Speculative beta; Heterogeneous beliefs; Short-sale constraints; Market liberalization
Bank Loan Announcement; Big Data; 8-K Filings; SEC Form 8-K Disclosure Rules; Dodd-Frank Act
Alternative Data; Satellite Imagery Data; Dividend Policy, Outcome Model, Substitute Model, Signaling Model, Corporate Governance
Margin; Short selling; Informativeness; Quasi-natural experiment; China.
Q-theory of investment, Investment-related asset pricing anomalies, Heterogeneous beliefs, Investor holding horizon
Enterprise bonds; Yield-chasing; Demand and supply effects; Limits to arbitrage; The law of one price
Investment; Idiosyncratic Risk; Growth Options; Agency Problem; Managerial Risk Aversion
Cash holdings; Accruals; Profitability; Net operating assets; Limits to arbitrage