Intraday and high frequency time series are mostly defined by a non-continuous prices process. This paper introduces an integer based ARMA model found to be a better predictor for absolute intraday price changes than continuous time estimators (such as GARCH or multiplicative error models)....

We consider a setting where owning stock confers direct utility due to an affect heuristic. Specifically, holding equity in companies with visible brands or environmentally conscious products yields positive consumption benefits, whereas investing in sin stocks yields the reverse. We find that...