We conduct a comprehensive simulation study to evaluate testing procedures for long horizon event studies. The simulation results raise the following concerns about some popular practices: (1) using the four-factor model that includes the Fama-French three factors and a momentum-related factor...

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies - the British pound, the euro, the Japanese yen, and the Swiss franc - we...

We propose a method to overcome a bias in the estimate of the probability of informed trading (PIN). This bias arises when the numerical maximization procedure generates corner solutions. We analyze the PIN estimates for about 80,000 stock-quarter pairs between 1993 and 2004, and observe a...

China is facing serious issues involving energy sufficiency, greenhouse gas (GHG) emissions and air pollution caused partly by the rapid growth of vehicles. In order to relieve those problems, new energy vehicles are introduced into the bus and car market. We adopt life cycle analysis to...