This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

The extant literature regarding the effects of housing on stock investment shows inconsistent findings, either positive or negative effects have been reported. This paper investigates the mechanisms by which housing affects household stock investment through a structure equation model (SEM)....

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

This dissertation studies the following issues: the presence of non-normal distribution features and the significance of higher order moments, the tradeoff between risk and return, and the dynamic conditional correlation between stock returns and bond returns. These issues are structured into...

The extant literature regarding the effects of housing on stock investment shows inconsistent findings, either positive or negative effects have been reported. This paper investigates the mechanisms by which housing affects household stock investment through a structure equation model (SEM)....

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock dividend proposal date and 0.35% on the stock...

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock dividend proposal date and 0.35% on the stock...

This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding...

This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding...

This paper investigates the correlation of returns between the U.S. stock and bond markets using two prominent index funds. By employing both rolling correlation and dynamic correlation coefficient models for the sample period from 1996 through 2008, we find that the correlation coefficients...