WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...

Our study is the first to examine the pricing effect of U.S. trade policy uncertainty (TPU) on Chinese stocks. We estimate the U.S. TPU beta, which measures Chinese stock exposure to the U.S. TPU index. Both portfolio analyses and cross-sectional regressions suggest a significantly negative...

This study analyzes the impact of a newly emerging type of anti-money laundering regulation that obligates cryptocurrency exchanges to report suspicious transactions to financial authorities. We build a theoretical model for the reporting decision structure of a private bank or cryptocurrency...

More democratic countries are often expected to fail at providing a fast, strong, and effective response when facing a crisis such as COVID-19. This could result in higher infections and more negative health effects, but hard evidence to prove this claim is missing for the new disease. Studying...

Originating in China, the Coronavirus has reached the world at different speeds and levels of strength. This paper provides some initial understanding of some driving factors and their consequences. Since transmission requires people, the human factor behind globalization is essential....

In this paper, we conduct an empirical study of the effect of uncertainty on fertility. The precautionary motive for saving predicts that an increase in uncertainty increases saving by reducing both consumption and fertility. We use a new measure of uncertainty, the World Uncertainty Index, and...