Aggarwal, R., Klapper, L., & Wysocki, P. (2005). Portfolio preferences of foreign institutional investors. Journal of Banking & Finance, 29(12), 2919–2946.
Agudelo, D. A., Byder, J., & Yepes‐Henao, P. (2019). Performance and informed trading. Comparing foreigners, institutions, and individuals in an emerging stock market. Journal of International Money and Finance, 90, 187–203.
Akbas, F., Armstrong, W. J., Sorescu, S., & Subrahmanyam, A. (2015). Smart money, dumb money, and capital market anomalies. Journal of Financial Economics, 118(2), 355–382.
- Akbas, F., Jiang, C., & Koch, P. D. (2017). The trend in firm profitability and the cross‐section of stock returns. The Accounting Review, 92(5), 1–32.
Paper not yet in RePEc: Add citation now
An, L., Lou, D., & Shi, D. (2022). Wealth redistribution in bubbles and crashes. Journal of Monetary Economics, 126, 134–153.
Andrade, S. C., Bian, J., & Burch, T. R. (2013). Analyst coverage, information, and bubbles. Journal of Financial and Quantitative Analysis, 48(5), 1573–1605. https://doi.org/10.1017/s0022109013000562.
- Asness, C. S., Frazzini, A., & Pedersen, L. H. (2019). Quality minus junk. Review of Accounting Studies, 24(1), 34–112.
Paper not yet in RePEc: Add citation now
Bae, K. H., Ozoguz, A., Tan, H., & Wirjanto, T. S. (2012). Do foreigners facilitate information transmission in emerging markets? Journal of Financial Economics, 105(1), 209–227.
Bae, K.‐H., & Goyal, V. K. (2010). Equity market liberalization and corporate governance. Journal of Corporate Finance, 16(5), 609–621.
Bae, K.‐H., Bailey, W., & Mao, C. X. (2006). Stock market liberalization and the information environment. Journal of International Money & Finance, 25(3), 404–428.
Baker, M., Litov, L., Wachter, J., & Wurgler, J. (2010). Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements. Journal of Financial and Quantitative Analysis, 45(5), 1111–1131.
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18.
Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55, 773–806.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785–818.
- Barber, B. M., Lee, Y.‐T., Liu, Y.‐J., & Odean, T. (2006). Just how much do individual investors lose by trading? Review of Financial Studies, 22, 609–632.
Paper not yet in RePEc: Add citation now
Bekaert, G., & Harvey, C. R. (2000). Foreign speculators and emerging equity markets. The Journal of Finance, 55(2), 565–613.
Bekaert, G., Harvey, C. R., & Lundblad, C. (2005). Does financial liberalization spur growth? Journal of Financial Economics, 77(1), 3–55.
Belo, F., Gala, V. D., Salomao, J., & Vitorino, M. A. (2022). Decomposing firm value. Journal of Financial Economics, 143(2), 619–639.
Bena, J., Ferreira, M. A., Matos, P., & Pires, P. (2017). Are foreign investors locusts? The long‐term effects of foreign institutional ownership. Journal of Financial Economics, 126(1), 122–146.
Beyer, A., Cohen, D. A., Lys, T. Z., & Walther, B. R. (2010). The financial reporting environment: Review of the recent literature. Journal of Accounting and Economics, 50(2–3), 296–343.
- Bian, J., Chan, K., Han, B., & Shi, D. (2022). Cross‐border equity flows and information transmission: Evidence from Chinese stock markets. SSRN Working Paper 3562001.
Paper not yet in RePEc: Add citation now
Boehmer, E., Jones, C. M., Zhang, X., et al. (2021). Tracking retail investor activity. The Journal of Finance, 76(5), 2249–2305.
- Bradshaw, M. T. (2011). Analysts's forecasts: What do we know after decades of work? SSRN Working Paper 1880339.
Paper not yet in RePEc: Add citation now
Cao, C., Liang, B., Lo, A. W., & Petrasek, L. (2018). Hedge fund holdings and stock market efficiency. The Review of Asset Pricing Studies, 8(1), 77–116.
- Carpenter, J. N., & Whitelaw, R. F. (2017). The development of China's stock market and stakes for the global economy. Annual Review of Financial Economics, 9(1), 233–257. https://doi.org/10.1146/annurev-financial-110716-032333.
Paper not yet in RePEc: Add citation now
Carpenter, J. N., Lu, F., & Whitelaw, R. F. (2021). The real value of China's stock market. Journal of Financial Economics, 139(3), 679–696.
- Chan, M. K., & Kwok, S. (2017). Risk‐sharing, market imperfections, asset prices: Evidence from China's stock market liberalization. Journal of Banking & Finance, 84, 166–187.
Paper not yet in RePEc: Add citation now
- Chang, E. C., Luo, Y., & Ren, J. (2014). Short‐selling, margin‐trading, and price efficiency: Evidence from the Chinese market. Journal of Banking & Finance, 48, 411–424.
Paper not yet in RePEc: Add citation now
- Chen, K., Wang, Y., & Zhu, X. (2022). The value of information in the China's connected market. SSRN Working Paper 3395141.
Paper not yet in RePEc: Add citation now
Chen, Y., Da, Z., & Huang, D. (2019). Arbitrage trading: The long and the short of it. The Review of Financial Studies, 32(4), 1608–1646.
Choi, N., & Skiba, H. (2015). Institutional herding in international markets. Journal of Banking & Finance, 55, 246–259.
Chuang, Y., Lin, Y., & Weng, P. (2019). Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan. Journal of Futures Markets, 39(3), 279–301.
- Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross‐section of stock returns. The Journal of Finance, 63(4), 1609–1651.
Paper not yet in RePEc: Add citation now
Czech, R., Huang, S., Lou, D., & Wang, T. (2021). Informed trading in government bond markets. Journal of Financial Economics, 142(3), 1253–1274.
Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461–1499.
- Dai, L., Kang, H., Morris, R. D., & Pownall, G. (2022). Which firms benefit from the Shanghai‐Hong Kong connect program? SSRN Working Paper 4049320.
Paper not yet in RePEc: Add citation now
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.
Fama, E. F., & French, K. R. (2008). Dissecting anomalies. The Journal of Finance, 63(4), 1653–1678.
- Fama, E. F., & French, K. R. (2015). A five‐factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.
Paper not yet in RePEc: Add citation now
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636.
Ferreira, M. A., Matos, P., Pereira, J. P., & Pires, P. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking & Finance, 82, 151–164.
Fong, W. M., & Toh, B. (2014). Investor sentiment and the MAX effect. Journal of Banking & Finance, 46, 190–201.
- Frazzini, A., Kabiller, D., & Pedersen, L. H. (2018). Buffett's alpha. Financial Analysts Journal, 74(4), 35–55.
Paper not yet in RePEc: Add citation now
FRENCH, K. R. (2008). Presidential Address: The Cost of Active Investing. The Journal of Finance, 63(4), 1537–1573. Portico. https://doi.org/10.1111/j.1540-6261.2008.01368.x.
Froot, K., & Ramadorai, T. (2008). Institutional portfolio flows and international investments. The Review of Financial Studies, 21, 937–971.
Glaser, M., & Weber, M. (2007). Overconfidence and trading volume. The Geneva Risk and Insurance Review, 32(1), 1–36.
Green, T. C., Huang, R., Wen, Q., & Zhou, D. (2019). Crowdsourced employer reviews and stock returns. Journal of Financial Economics, 134(1), 236–251.
- Greenblatt, J. (2006). The little book that beats the market. John Wiley & Sons.
Paper not yet in RePEc: Add citation now
- Greenblatt, J. (2010). The little book that still beats the market (Vol. 29). John Wiley & Sons.
Paper not yet in RePEc: Add citation now
Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland's unique data set. Journal of Financial Economics, 55(1), 43–67.
Grinblatt, M., & Keloharju, M. (2009). Sensation seeking, overconfidence, and trading activity. The Journal of Finance, 64(2), 549–578.
Gu, M., Kang, W., & Xu, B. (2018). Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market. Journal of Banking & Finance, 86, 240–258.
Guadalupe, M., Olga, K., & Catherine, T. (2012). Innovation and foreign ownership. American Economic Review, 102(7), 3594–3627.
Gul, F. A., Kim, J.‐B., & Qiu, A. A. (2010). Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China. Journal of Financial Economics, 95, 425–442.
Han, L., Zheng, Q., Li, L., & Yin, L. (2015). Do foreign institutional investors stabilize the capital market? Economics Letters, 136, 73–75.
He, W., Li, D., Shen, J., & Zhang, B. (2013). Large foreign ownership and stock price informativeness around the world. Journal of International Money and Finance, 36, 211–230.
Henry, P. B. (2000). Do stock market liberalizations cause investment booms? Journal of Financial Economics, 58(1–2), 301–334.
- Holmes, P., & Wong, M. W. (2001). Foreign investment, regulation and price volatility in South‐east Asian stock markets. Emerging Markets Review, 2(4), 371–386. https://doi.org/10.1016/s1566-0141(01)00025-5.
Paper not yet in RePEc: Add citation now
Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. Review of Financial Studies, 28, 650–705.
Hou, K., Xue, C., & Zhang, L. (2020). Replicating anomalies. The Review of Financial Studies, 33(5), 2019–2133.
- Hsu, J. C., Viswanathan, V., Wang, C., & Wool, P. (2018). Anomalies in Chinese A‐shares. Journal of Portfolio Management, 44(7), 108–123.
Paper not yet in RePEc: Add citation now
Huang, A. G., Tan, H., & Wermers, R. (2020). Institutional trading around corporate news: Evidence from textual analysis. The Review of Financial Studies, 33(10), 4627–4675.
Huo, R., & Ahmed, A. D. (2017). Return and volatility spillovers effects: Evaluating the impact of Shanghai‐Hong Kong Stock Connect. Economic Modelling, 61, 260–272.
Jagannathan, R., & Zhang, Y. (2020). A return based measure of firm quality. National Bureau of Economic Research No. w27859.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91.
Jia, C., Wang, Y., & Xiong, W. (2017). Market segmentation and differential reactions of local and foreign investors to analyst recommendations. The Review of Financial Studies, 30(9), 2972–3008.
- Jiang, F., Qi, X., & Tang, G. (2017). Q‐theory, mispricing, and profitability premium: Evidence from China. Journal of Banking & Finance, 87, 135–114.
Paper not yet in RePEc: Add citation now
Kacperczyk, M. T., Sundaresan, S., & Wang, T. (2018). Do foreign investors improve market efficiency? Review of Financial Studies, 34(3), 1317–1367.
Kim, E. H., & Singal, V. (2000). Stock market openings: Experience of emerging economies. The Journal of Business, 73(1), 25–66.
Kim, I., Miller, S., Wan, H., & Wang, B. (2016). Drivers behind the monitoring effectiveness of global institutional investors: Evidence from earnings management. Journal of Corporate Finance, 40, 24–46.
Kokkonen, J., & Suominen, M. (2015). Hedge funds and stock market efficiency. Management Science, 61(12), 2890–2904.
Kothari, S. P., So, E., & Verdi, R. (2016). Analysts' forecasts and asset pricing. Annual Review of Financial Economics, 8, 197–219.
- Lee, C. M. C. (2014). Value investing: Bridging theory and practice. China Accounting and Finance Review, 16(2), 1–29.
Paper not yet in RePEc: Add citation now
Lemperiere, Y., Deremble, C., Nguyen, T. T., Seager, P., Potters, M., & Bouchaud, J. P. (2017). Risk premia: Asymmetric tail risks and excess returns. Quantitative Finance, 17(1), 1–14.
- Li, S., Brockman, P., & Zurbruegg, R. (2015). Cross‐listing, firm‐specific information, and corporate governance: Evidence from Chinese A‐shares and H‐shares. Journal of Corporate Finance, 32, 347–362.
Paper not yet in RePEc: Add citation now
- Liao, C., Jiang, F., Jin, F., & Tang, G. (2021). Intangibles to tangible: In search of firm value creation. SSRN Working Paper 3692106.
Paper not yet in RePEc: Add citation now
- Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13–37.
Paper not yet in RePEc: Add citation now
- Liu, J., Stambaugh, R. F., & Yuan, Y. (2019). Size and value in China. Journal of Financial Economics, 134(1), 48–69.
Paper not yet in RePEc: Add citation now
Liu, N., Bredin, D., & Cao, H. (2020). The investment behavior of qualified foreign institutional investors in China. Journal of Multinational Financial Management, 54, 100614.
- Lu, Y. C., Fang, H., & Nieh, C. C. (2012). The price impact of foreign institutional herding on large‐size stocks in the Taiwan stock market. Review of Quantitative Finance and Accounting, 39(2), 189–208.
Paper not yet in RePEc: Add citation now
- Ma, C., Rogers, J. H., & Zhou, S. (2021). The effect of the China connect. SSRN Working Paper 3432134.
Paper not yet in RePEc: Add citation now
- Mei, J., Scheinkman, J., & Xiong, W. (2004). Speculative trading and stock prices: An analysis of Chinese AB share premia. NYU Working Paper No. FIN‐03‐017.
Paper not yet in RePEc: Add citation now
Ng, L., & Wu, F. (2007). The trading behavior of institutions and individuals in Chinese equity markets. Journal of Banking & Finance, 31, 2695–2710.
- Novy‐Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1–28.
Paper not yet in RePEc: Add citation now
Schuppli, M., & Bohl, M. T. (2010). Do foreign institutional investors destabilize China's A‐share markets? Journal of International Financial Markets, Institutions & Money, 20(1), 36–50.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
- Sohn, S., & Jiang, N. (2016). Stock market liberalization and price discovery: Evidence from the Shanghai‐Hong Kong Stock Connect. SSRN Working Paper 2850967.
Paper not yet in RePEc: Add citation now
- Song, Z. M., & Xiong, W. (2018). Risks in China's financial system.National Bureau of Economic Research Working Paper No. w24230.
Paper not yet in RePEc: Add citation now
- Standard Chartered. (2016). RMB investors forum white paper: Rise of next generation China access.
Paper not yet in RePEc: Add citation now
Statman, M., Thorley, S., & Vorkink, K. (2006). Investor overconfidence and trading volume. The Review of Financial Studies, 19(4), 1531–1565.
Stein, J. C. (2009). Presidential address: Sophisticated investors and market efficiency. The Journal of Finance, 64(4), 1517–1548.
Stiglitz, J. E. (2000). Capital market liberalization, economic growth, and instability. World Development, 28(6), 1075–1086. https://doi.org/10.1016/s0305-750x(00)00006-1.
Ülkü, N., & Petrov, P. (2015). How reliable are the findings of ‘foreign’ investor studies that use TIC data? A look from the host market. International Review of Finance, 15(4), 521–553.
- Venkatesh, H., Kumari, J., & Hiremath, G. S. (2021). Foreign institutional investors: Fair‐weather friends or smart traders? Journal of Quantitative Economics, 19, 291–316.
Paper not yet in RePEc: Add citation now
Wang, Q., & Chong, T. T.‐L. (2018). Co‐integrated or not? After the Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connection schemes. Economics Letters, 163, 167–171.