or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean …

We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain … after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete … consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or …

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …