In this paper, we present a unified theory of linear smoothing, which looks at the problem from a time-series perspective. We use the term ‘conversion’ to refer to generic operations that create a difference between true returns and reported returns. ‘Smoothing’ occurs when that...

"We propose newly developed unsmoothing techniques which are based on a regime-switching Threshold Autoregressive (TAR) model. We first examine analytically conventional unsmoothing techniques which model the true returns by a linear Autoregressive (AR) process ñ and show that when true returns...

The subject of this paper is the estimation of the Phillips relation ¡V the inflation-output gap tradeoff ¡V for ASEAN countries. Unobserved component (UC) models are employed in order to extract the output gap from GDP data. We also obtain stylised facts on macroeconomic cycles namely, (i)...

Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate...

Sufficiently fast and large disruptions to the continuous price process are referred to as jumps. Cojumping arises when jumps occur contemporaneously across assets. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset...

The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater...

Flight-to-quality during times of financial crisis is a feature of financial markets. Here, a simple strategic model demonstrates that some preference asymmetry is sufficient to generate endogenous flight-to-quality from an emerging stock market to US Treasury bonds. The empirical evidence from...

This paper considers the relationship between traded volume and volatility allowing for the impact of short sales. The evidence supports a nonlinear, bidirectional relationship between volume and volatility. Short selling is found to have a significant impact on this relationship, and our...

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the...