... 06 2022 01 07 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only Dispersion in economic forecasts Mispricing Disagreement risk Cross-section of stock returns Return predictability G11 G12 C13 E20 E30 In addition...

...-normal distribution, and show that the market-wide systematic jump will reduces the gains from the international diversification. Asymmetric jump distribution Dynamic asset allocation Double-exponential jump diffusion model G11 C13 We assume that the risk-averse investor aims...

... Portfolio diversification Alternative investment Chinese oil paintings Hedonic regression C13 G11 In recent years, art investment (mostly in paintings) has gained increasing interest in academia and industry. The research in this area has focused on financial return characteristics of art...

.... Asset pricing α Cost of capital Normality t-Distribution C12 C13 G12 Ever since Fama (1965) , Affleck-Graves and McDonald (1989) , Richardson and Smith (1993) and Dufour et al. (2003) , among others, there is strong evidence that stock returns do...