WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Frontmatter -- Contents -- Introduction to the Second Edition: The Basic Problem with Numbers -- Chapter 1: The Theory of Trends: Dow, EMH, and RMH in Context -- Chapter 2: Statistically Speaking: Trends by the Numbers -- Chapter 3: Resistance and Support: A Trend’s Moment of Truth -- Chapter...

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