Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Keith S. K. Lam"'
Publikováno v:
Economies, Vol 7, Iss 3, p 92 (2019)
We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining th
Externí odkaz:
https://doaj.org/article/d430965144a648d5ba4a7aa3fc3ae607
Publikováno v:
Asia-Pacific Journal of Accounting & Economics. 29:1333-1353
We investigate the role of co-skewness in pricing stock returns in the Chinese and U.S. markets. In both markets, co-skewness is priced with a negative premium. The annualized factor-adjust...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b02595448e1b1bb9856d92642cd3aaaa
https://doi.org/10.1080/16081625.2020.1726189
https://doi.org/10.1080/16081625.2020.1726189
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 76:101479
We investigate the pricing role of co-skewness using stock level data from 21 financial markets globally. We find that co-skewness with the local, regional, and world market returns all have significant negative effects on the expected return. Region
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8f17ca4d77f4a059e1cee7c9e0a9990
https://doi.org/10.1016/j.intfin.2021.101479
https://doi.org/10.1016/j.intfin.2021.101479
Publikováno v:
Economies
Volume 7
Issue 3
Economies, Vol 7, Iss 3, p 92 (2019)
Volume 7
Issue 3
Economies, Vol 7, Iss 3, p 92 (2019)
We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9b77a9377b88ef6153d9b43bc0ca22cf
Publikováno v:
International Review of Financial Analysis. 73:101585
This study investigates how business strategy moderates the effect of Corporate Social Responsibility (CSR) on over-investment. We provide new evidence on the moderating effect of business strategy between CSR and over-investment. Using a sample of o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a68bf287072791797e7d295bc092cf2
https://doi.org/10.1016/j.irfa.2020.101585
https://doi.org/10.1016/j.irfa.2020.101585
Autor:
Zhuo Qiao, Keith S. K. Lam
Publikováno v:
Pacific-Basin Finance Journal. 32:160-188
We examine both market herding and industrial herding in the Hong Kong stock market. Our results find evidence that herding occurs in both the first and second sub-periods. We also find herding in the up-market, high trading volume, and high and low
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::36a17297701038be21cccd5db4607670
https://doi.org/10.1016/j.pacfin.2014.11.002
https://doi.org/10.1016/j.pacfin.2014.11.002
Publikováno v:
SSRN Electronic Journal.
This study investigates the role of higher co-moments in explaining stock returns in the China and UK stock markets. In China, investors price only coskewness risk, while UK investors price both coskewness and cokurtosis risks. China investors use a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b8322390da1eb25325d1c1c0ef5344ea
https://doi.org/10.2139/ssrn.3067767
https://doi.org/10.2139/ssrn.3067767
Publikováno v:
Applied Economics. 46:1267-1278
The objective of this article is to examine how default and investment triggers change under different levels of tax asymmetry when firms face nonlinear tax schedules. Under a convex tax schedule, profits are taxed at a higher rate, while losses are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1190c0158e005d9e4d5fbc847885b8f9
https://doi.org/10.1080/00036846.2013.870653
https://doi.org/10.1080/00036846.2013.870653
Publikováno v:
Review of Quantitative Finance and Accounting. 41:131-147
The purpose of this study is to explore the effect of tax convexity on firms’ market risk, where tax convexity measures the progressivity of firms’ tax function. We examine the relation between equity beta and tax convexity based on a standard co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2cb80f8e5e05a5970434852bc621f9d6
https://doi.org/10.1007/s11156-012-0303-2
https://doi.org/10.1007/s11156-012-0303-2
Publikováno v:
Pacific-Basin Finance Journal. 20:459-482
We examine the impact of blockholding on shareholders' wealth in equity offerings in China. We find that investors generally react negatively to equity-offering announcements by firms with high blockholding. A one-standard-deviation (12%) increase in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f8903b464cd4a5a647370104157bfe24
https://doi.org/10.1016/j.pacfin.2011.12.002
https://doi.org/10.1016/j.pacfin.2011.12.002