This paper develops a dynamic model of asset price behavior based upon the arrival and diffusion of rumors in a securities market. The model is based upon a time-homogeneous pure birth process in which the number of informed and uninformed traders varies probabilistically over time as learning...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

Using bond transaction data from TRACE from 2005 to 2015, we investigate the impact of pre-trade transparency on over-the-counter bond markets, and find that NYSE pre-trade transparency reduces US corporate bond transaction costs by $846 million per year. NYSE pre-trade transparent bonds also...

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

Evidence is scarce and inconclusive on the announcement effect of dividend changes on bondholders due to poor quality and availability of bond price data. This paper fills this gap using daily bond transaction data from the over-the-counter market. Most of my results are more consistent with the...

The ambient factors significantly influence the maximum ampacity of the overhead transmission lines (OTL), therefore the load shedding model allowing for the constraint of line maximum ampacity calculated in the typical ambient condition may be inaccurate. Here we propose an improved load...

Article historyImproved pixel value order (IPVO) and pairwise prediction error extension (PEE) strategies can effectively improve the hidden capacity and invisibility of reversible data hiding (RDH) scheme since they can increase the effective prediction error rate (EPER). To further improve...

Haze level evaluation is highly desired in outdoor scene monitoring applications. However, there are relatively few approaches available in this area. In this paper, a novel haze level evaluation strategy for real-world outdoor scenes is presented. The idea is inspired by the utilization of dark...

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...