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How Fast is Too Fast? Optimizing Traffic Flow on Highways.
A mathematical approach.Continue reading on Cantorâs Paradise »
View ArticleNews sentiment and states of stock return volatility: Evidence from long...
Publication date: Available online 24 January 2020Source: Finance Research LettersAuthor(s): Yanlin Shi, Kin-Yip HoAbstractThis paper examines the impact of public news sentiment on volatility states...
View ArticleInformation Efficiency Research of China's Carbon Markets
Publication date: Available online 24 January 2020Source: Finance Research LettersAuthor(s): Jian Liu, Ting Jiang, Ze YeAbstractThis paper studies the information efficiency of China's carbon markets...
View ArticleReliance on Major Customers and Product Market Competition
Publication date: Available online 25 January 2020Source: Finance Research LettersAuthor(s): Yelena LarkinAbstractAlthough reliance on major customers has been growing over time, the literature has...
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The Fourier Series
A Basic Overview & Visual Introduction To The Magic Of WavesContinue reading on Cantorâs Paradise »
View ArticleCorrigendum for Brokers and Order Flow Leakage: Evidence from Fire Sales
The Journal of Finance, Volume 75, Issue 1, Page E1-E1, February 2020.
View ArticleISSUE INFORMATION BM
The Journal of Finance, Volume 75, Issue 1, Page 583-584, February 2020.
View ArticleISSUE INFORMATION FM
The Journal of Finance, Volume 75, Issue 1, Page 1-3, February 2020.
View ArticleAMERICAN FINANCE ASSOCIATION
The Journal of Finance, Volume 75, Issue 1, Page 582-582, February 2020.
View ArticleWhat Drives Anomaly Returns?
ABSTRACT We decompose the returns of five wellâknown anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their meanâvariance efficient...
View ArticleShorting in Speculative Markets
ABSTRACT In models of trading with heterogeneous beliefs following HarrisonâKreps, shortâselling is prohibited and agents face constant marginal costsâofâcarry. The resale option guarantees...
View ArticleCan Unemployment Insurance Spur Entrepreneurial Activity? Evidence From France
ABSTRACT We evaluate the effect of downside insurance on selfâemployment. We exploit a large scale reform of French unemployment benefits which insured unemployed workers starting businesses. The...
View ArticleHigh�Frequency Trading and Market Performance
ABSTRACT We study the consequences of, and potential policy responses to, highâfrequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT,...
View ArticleInsider Investment Horizon
ABSTRACT We examine the relation between insidersâ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment...
View ArticleAffine term structure models : a time-changed approach with perfect fit to...
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous...
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