Existing research examines the impact of volatility shocks on the relative pricing of long-term vs. short-term options and documents patterns of "short-horizon underreaction" and "long-horizon overreaction" in the options market. These studies, however, rely on implied volatilities derived from...

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S....

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

The Chinese stock market has witnessed a dramatic increase of analyst coverage over the past years. While analyst revisions clearly exhibit optimistic biases, we find significant market reactions to both upgrades and downgrades. However, in contrast to findings in existing literature for other...

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power compared to the Black-Scholes model, the empirical implications of the SV models on option pricing have not been adequately tested. The purpose of this paper is to first estimate a multivariate SV...

In this paper, we consider the estimation of Markov models where the transition density is unknown. The approach we propose is based on the empirical characteristic function estimation procedure with an approximate optimal weight function. The approximate optimal weight function is obtained...

Ang, Hodrick, Xing, and Zhang (2006a) show that stocks with high idiosyncratic return volatility tend to have low future returns. This paper further documents that idiosyncratic volatility is inversely related to future earning shocks, and more importantly, that the return-predictive power of...