We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is...

Many data mining algorithms can only deal with discrete data or have a better performance on discrete data; however, for some technological reasons often we can only obtain the continuous value in the real world. Therefore, discretization has played an important role in data mining....

High-temperature superconducting magnetic energy storage systems (HTS SMES) are an emerging technology with fast response and large power capacities which can address the challenges of growing power systems and ensure a reliable power supply. China Electric Power Research Institute (CEPRI) has...

Since high temperature superconducting magnetic energy storage system (HT SMES) has attracted significant attention for their fast response in milliseconds, high efficiency (cyclic efficiency over 95%) and unlimited times of charging and discharging cycles, it can be used for system stabilizing...

A variable rate demand obligation (VRDO) is a tax-emept municipal bond whose interest rate resets on a periodic basis. In addition, its bondholders have a "tender" option to liquidate their positions at par, exposing the issuer to possible runs. The VRDO market experienced large-scale runs in...

This paper empirically analyzes how exchange rate policy affects the issuance and pricing of international bonds for developing countries. We find that countries with less flexible exchange rate regimes pay higher sovereign bond spreads and are less likely to issue bonds. Quantitatively,...

Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth, negatively predicts future stock market returns. with an adjusted in-sample R2 of 18.5% and an out-of-sample R2 of 16.3% at the...

My dissertation aims at understanding the economic force behind the success of long-run consumption-based asset pricing models, it consists of three chapters. It also provides us a new approach to test consumption-based asset pricing models. Chapter one provides a brief summary of the...