This paper solves the optimal portfolio choice problem in a multi-asset incomplete market model with ambiguous jump risks.We derive the optimal portfolio ru
This paper studies the Shanghai-Hong Kong stock market connect program,which “creates” the second largest stock exchange in the world.Compared to unconnec
With a micro-level data,this paper constructs the first sentiment index for the Shanghai housing market.This is done by creatively applying the sentiment in
We examine whether financial analysts are influenced more by information element or more by sentiment element in media news tones when form their earnings f
We investigate the cross-sectional predictive relations between stock returns of two public firms with one firm,the parent,owning partial equity of the othe