This dissertation employs high-frequency data and techniques to examine various topics in financial markets. Chapter 1 compares forward regression model with eight statistical/practical trading exchange rate models in terms of forecasting foreign exchange rates. Superior forecast power of the...

Motivated by a consumption-based asset pricing model, this paper checks the time horizon sensitivity of the forward premium puzzle from 1994 to 2004. The in-sample estimation shows that the longer the time horizon (up to 1 year), the more the future spot exchange return deviates from its...

This paper examines the gains of using high-frequency data in detecting volatility spillovers, risk hedging, and asset allocation. In particular, a realized covariation method based on intra-day US and Japan index funds data is compared with a bi-variate GARCH method based on the same data...

Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style Managed Futures strategies. While largely capturing the returns of the Managed Futures industry, those simple strategies may periodically suffer significant losses due to...

This paper discusses the firm-level determinants of international hotels' foreign markets entry choices, contrasting acquisition with management and franchise contracts, based on a resource-dependency perspective and appropriability theory. It points out that brand equity, relatedness of...

We analyze the agricultural industrial competitiveness in China's 30 provinces (municipalities and autonomous regions), to provide a reference for the relevant state departments to develop the agricultural industry policy. Using factor analysis and expert consulting method, we determine the...

Developing efective strategies to earn excess returns in the stock market is a cuttingedge topic in the feld of economics. At the same time, stock price forecasting that supports trading strategies is considered one of the most challenging tasks. Therefore, this study analyzes and extracts news...

The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons