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Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market

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  1. Yin, Libo & Liao, Huiyi, 2020. "Firm’s quality increases and the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 228-243.
  2. Haoyue Zhang & Dayong Lv & Wenfeng Wu, 2022. "Why do bank‐affiliated mutual funds perform better in China?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4755-4782, December.
  3. Paraskevi Katsiampa & Paul B. McGuinness & Jean-Philippe Serbera & Kun Zhao, 2022. "The financial and prudential performance of Chinese banks and Fintech lenders in the era of digitalization," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1451-1503, May.
  4. An, Jiyoun & Ho, Kin-Yip & Zhang, Zhaoyong, 2020. "What drives the liquidity premium in the Chinese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  5. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  6. Binh Do & Robert Faff, 2021. "Pairs trading and idiosyncratic cash flow risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3171-3206, June.
  7. Zhen, Fang & Ruan, Xinfeng & Zhang, Jin E., 2020. "Left-tail risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  8. Cao, Jiahui & Wen, Fenghua & Zhang, Yue & Yin, Zhujia & Zhang, Yun, 2022. "Idiosyncratic volatility and stock price crash risk: Evidence from china," Finance Research Letters, Elsevier, vol. 44(C).
  9. Yao, Shouyu & Qin, Yuanyuan & Cheng, Feiyang & Wu, Ji(George) & Goodell, John.W., 2022. "Missing momentum in China: Considering individual investor preference," Finance Research Letters, Elsevier, vol. 49(C).
  10. Lin, Hung-Wen & Huang, Jing-Bo & Lin, Kun-Ben & Zhang, Joyce & Chen, Shu-Heng, 2020. "Which is the better fourth factor in China? Reversal or turnover?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  11. Wang, Jianqiu & Wu, Ke & Tong, Guoshi & Chen, Dongxu, 2023. "Nonlinearity in the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 174-205.
  12. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  13. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
  14. Zhang, Wei & Li, Yi, 2020. "Is idiosyncratic volatility priced in cryptocurrency markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
  15. Yin, Libo & Wei, Ya & Han, Liyan, 2020. "Firms' profit instability and the cross-section of stock returns: Evidence from China," Research in International Business and Finance, Elsevier, vol. 53(C).
  16. Zhang, Qun & Zhang, Peihui & Liu, Hao, 2023. "Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
  17. Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
  18. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2021. "Stock return predictability: Evidence from moving averages of trading volume," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  19. Weiqian Zhang & Songsong Li & Zhichang Guo & Yizhe Yang, 2023. "A hybrid forecasting model based on deep learning feature extraction and statistical arbitrage methods for stock trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1729-1749, November.
  20. Zhu, Hong-bing & Zhang, Bing & Yang, Li-hua, 2021. "The gambling preference and stock price: Evidence from China's stock market," Emerging Markets Review, Elsevier, vol. 49(C).
  21. Wu, Yanran & Zhang, Chao, 2022. "Hard to arbitrage, hard for analysts to forecast," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  22. Fenghua Wen & Yujie Yuan & Wei‐Xing Zhou, 2021. "Cross‐shareholding networks and stock price synchronicity: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 914-948, January.
  23. Chen, Shu & Han, Xiaoyan & Zhang, Zili & Zhao, Xuejun, 2023. "ESG investment in China: Doing well by doing good," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  24. Gao, Ya & Han, Xing & Xiong, Xiong, 2021. "Loss from the chasing of MAX stocks: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  25. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
  26. Shi, Yongdong & Wang, Haomiao & Xia, Yu & Zhen, Hongxian, 2023. "Mispricing and anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  27. Hu, Conghui & Liu, Yu-Jane & Xu, Xin, 2021. "The valuation effect of stock dividends or splits: Evidence from a catering perspective," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 163-179.
  28. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
  29. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
  30. Chen, Haozhi & Zhang, Yue, 2023. "Research on the effect of firm-specific investor sentiment on the idiosyncratic volatility anomaly: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
  31. Zhang, Bing, 2020. "T+1 trading mechanism causes negative overnight return," Economic Modelling, Elsevier, vol. 89(C), pages 55-71.
  32. Yin, Libo & Yang, Zhichen, 2022. "The profitability effect: Insight from a dynamic perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
  33. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  34. Gui, Pingshu & Zhu, Yifeng, 2021. "Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 484-496.
  35. Ho, Kin-Yip & An, Jiyoun, 2020. "Decomposing the value premium: The role of intangible information in the Chinese stock market," Emerging Markets Review, Elsevier, vol. 44(C).
  36. Yang, Baochen & Ma, Yao, 2021. "Value at risk, mispricing and expected returns," International Review of Financial Analysis, Elsevier, vol. 78(C).
  37. Ang, Tze Chuan 'Chewie' & Azad, A.S.M. Sohel & Pham, Thu A.T. & Zhong, Angel, 2021. "Firm efficiency and stock returns: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 78(C).
  38. Li, Shaoyu & Zhang, Teng & Li, Yingxiang, 2019. "Flight-to-liquidity: Evidence from China's stock market," Emerging Markets Review, Elsevier, vol. 38(C), pages 159-181.
  39. Han, Chunmao & Shi, Yongdong, 2022. "Chinese stock anomalies and investor sentiment," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  40. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
  41. Liu, Xin & Qiu, Zhigang & Shen, Luyao & Zheng, Weinan, 2023. "Coreversal: The booms and busts of arbitrage activities in China," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 51-65.
  42. Hui Ding & Xiaoran Ni & Hongmei Xu, 2021. "Short selling and labor investment efficiency: evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2451-2476, April.
  43. Su, Zhi & Shu, Tengjia & Yin, Libo, 2018. "The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 218-235.
  44. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
  45. Ma, Junjun & Xiong, Xiong & Feng, Xu, 2021. "News release and the role of different types of investors," International Review of Financial Analysis, Elsevier, vol. 73(C).
  46. Huang, Kuo-Cheng & Wang, Yu-Chun, 2022. "Do reputation concerns motivate voluntary initiation of corporate social responsibility reporting? Evidence from China," Finance Research Letters, Elsevier, vol. 47(PA).
  47. Wang, Zhuo & Wang, Ziyue & Wu, Ke, 2023. "The role of anchoring on investors’ gambling preference: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  48. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
  49. Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
  50. Rong, Yuen & Tian, Cunzhi & Li, Lifang & Zheng, Xinwei, 2020. "Does asset redeployability affect corporate investment and equity value?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 479-492.
  51. Fenghua Wen & Yujie Yuan & Wei-Xing Zhou, 2019. "Cross-shareholding networks and stock price synchronicity: Evidence from China," Papers 1903.01655, arXiv.org.
  52. Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  53. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  54. Liu, Chang & Sun, Peng & Zhu, Dongming, 2023. "Lottery preference, short-sale constraint, and the salience effect: Evidence from China," Economic Modelling, Elsevier, vol. 125(C).
  55. Yi-Shu Wang & Ting-Chen & Zhen-Jia-Liu, 2020. "The Relationship between Accounting Information Quality and Idiosyncratic Volatility: An Empirical Study on Chinese A-Share Listed Companies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 8(2), pages 150-166.
  56. LIN, Fengjiao & QIU, Zhigang & ZHENG, Weinan, 2023. "Cranes among chickens: The general-attention‐grabbing effect of daily price limits in China's stock market," Journal of Banking & Finance, Elsevier, vol. 150(C).
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