Data Published
Factors in China
Salience Theory in Price and Trading Volume: Evidence from China
with Kaisi Sun & Hui Wang, Journal of Empirical Finance, 70:38-61, 2023
Salience Theory Based Factors in China
with Kaisi Sun, Working paper, 2023
Our4_R model including MKT, SMBR, VMGR, and PMOR (Salience price factor); Our4_V model including MKT, SMBV, VMGV, and PMOV (Salience trading volume factor)
Four factors in Our4_R including the salience price factor
Four factors in Our4_V including the salience trading volume factor
Stock Return Asymmetry in China
with Dongxu Chen, & Ke Wu, Pacific-Basin Finance Journal, 73:101757, 2022
Asymmetry factor data (%)
Fama and French six-factor model (FF-6): Fama and French, 2018
Fama French six factors
Hou, Mo, Xue, and Zhang five-factor model (Q-5): Hou, Mo, Xue, and Zhang, 2019
Hou, Mo, Xue, and Zhang five factors
Stambaugh and Yuan mispricing four-factor model (M-4): Stambaugh and Yuan, 2017
Stambaugh and Yuan four factors
Daniel, Hirshleifer, and Sun behavioral three-factor model (BF-3): Daniel, Hirshleifer, and Sun, 2020
Daniel, Hirshleifer, and Sun three factors
How Is the Change in Left-tail Risk Priced in China?
with Kaisi Sun & Hui Wang, Pacific-Basin Finance Journal, 71:101703, 2022
Left-tail risk and the Change in Left-tail factor data
Data for the following papers
Ridge Latent Factors and Bayesian Stochastic Discount Factors
with Esfandiar Maasoumi & Yuanqi Yang, Working paper, 2024
Data, code: 3yeb
Factors in China
Salience Theory in Price and Trading Volume: Evidence from China
with Kaisi Sun & Hui Wang, Journal of Empirical Finance, 70:38-61, 2023
Salience Theory Based Factors in China
with Kaisi Sun, Working paper, 2023
Our4_R model including MKT, SMBR, VMGR, and PMOR (Salience price factor); Our4_V model including MKT, SMBV, VMGV, and PMOV (Salience trading volume factor)
Four factors in Our4_R including the salience price factor
Four factors in Our4_V including the salience trading volume factor
Stock Return Asymmetry in China
with Dongxu Chen, & Ke Wu, Pacific-Basin Finance Journal, 73:101757, 2022
Asymmetry factor data (%)
Fama and French six-factor model (FF-6): Fama and French, 2018
Fama French six factors
Hou, Mo, Xue, and Zhang five-factor model (Q-5): Hou, Mo, Xue, and Zhang, 2019
Hou, Mo, Xue, and Zhang five factors
Stambaugh and Yuan mispricing four-factor model (M-4): Stambaugh and Yuan, 2017
Stambaugh and Yuan four factors
Daniel, Hirshleifer, and Sun behavioral three-factor model (BF-3): Daniel, Hirshleifer, and Sun, 2020
Daniel, Hirshleifer, and Sun three factors
How Is the Change in Left-tail Risk Priced in China?
with Kaisi Sun & Hui Wang, Pacific-Basin Finance Journal, 71:101703, 2022
Left-tail risk and the Change in Left-tail factor data
Data for the following papers
Ridge Latent Factors and Bayesian Stochastic Discount Factors
with Esfandiar Maasoumi & Yuanqi Yang, Working paper, 2024
Data, code: 3yeb