Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

The authors are grateful to two anonymous referees, an associate editor, and the editor (Gustavo Manso) for insightful and constructive comments. The authors also thank Yakov Amihud, Chen Yao, Buly Cardak, Mohammad Al Mamun, Jan Libich, Si Cheng, Sudha Krishnaswami, Feifei Li, Matthew Lutey, Tarun Mukherjee, Gans Narayanamoorthy, Luca Pezzo, Guofu Zhou, Jing Zhao, and Xue Wang, as well as seminar participants at Chinese University of Hong Kong (Shenzhen), Korean Advanced Institute of Science and Technology, Korean University, La Trobe University, National University of Singapore, National University of Taiwan, University of New Orleans, Nanyang Technological University, Tsinghua University (SEM), Xiamen University, and the 2018 China International Conference in Finance, for valuable comments and suggestions.