Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump...

This note makes two contributions by extending the analysis in Bali and Peng (2006) which investigates the risk-return tradeoff at the daily horizon using high-frequency data. Our first contribution is to show that the empirical relation between returns and risk is not validated for recent...

Patton and Sheppard (2011) develop the concept of signed jumps as the difference between positive and negative realized positive semivariances. This quantity is well-suited for gauging the risk-return trade-off at high-frequency as it is well-defined each day and, contrary to the squared jump...

The impact of flexibility upon hedging decision is examined for a competitive firm under demand uncertainty. We show that if the firm can adapt its production subsequently to its hedging decision, the standard minimum variance hedge ratio from Ederington (Journal of Finance 34, 1979) is...

Considering self-protection, it is a well-known result that an increase in risk aversion does not unambiguously lead to a higher level of effort. In this paper, we consider a particular case of self-protection, the choice of a lawyer, assuming a positive relation between legal expenses and...

The impact of flexibility upon hedging decision is examined for a competitive firm under demand uncertainty. We show that if the firm can adapt its production subsequently to its hedging decision, the standard minimum variance hedge ratio from Ederington (Journal of Finance 34, 1979) is...

Considering self-protection, it is a well-known result that an increase in risk aversion does not unambiguously lead to a higher level of effort. In this paper, we consider a particular case of self-protection, the choice of a lawyer, assuming a positive relation between legal expenses and...