We derive the equilibrium asset expected returns when there is ambiguity in asset expected returns, as well as ambiguity in asset return variances. In our model, ambiguity risk is systematic in nature and is non-diversifiable. Under regularity conditions, expected asset returns are linearly...

For a Lévy process corrupted with microstructure noise, I derive the sampling distributions for the information-related and information-unrelated pricing error parameters and for the variance of latent true price returns (a noise-robust and consistent estimator of realized variance). The test...

Jumps and cojumps are examined in the covariance matrices of high-frequency financial markets. We propose a new method for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model misspecification errors, is able to identify multiple...

Jumps and cojumps are examined in the covariance matrices of high-frequency financial markets. We propose a new method for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model misspecification errors, is able to identify multiple...

We translate print media coverage into a gauge of human sentiment and the equivalent advertisement value, and find that the tone of media coverage substantially impacts stock markets. The tone has a positive effect on overnight stock returns and a negative effect on intraday returns, while...