This paper investigates whether systematic liquidity risk is priced by implementing an empirical test on the recently proposed float-adjusted return model. For testing purposes, we obtain an appropriate (and arguably unique) empirical measure of so-called liquidity beta based on Chinese...

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

We show that even when a covariance matrix is poorly estimated, it is still possible to obtain a robust maximum Sharpe ratio portfolio by exploiting the uneven distribution of estimation errors across principal components. This is accomplished by approximating an investor's view on future asset...

We identify a few sample eigenvalues adjustment patterns that lead to an improvement in the out-of-sample portfolio Sharpe ratio when the population covariance matrix admits a high-dimensional factor model. These patterns unveil the key to portfolio performance improvement and shed light on the...

We study the determinants of capital structure for 650 Chinese publicly listed companies over the period from1999 to 2004.We posit that a firm's decision on capital structure is inherently dynamic, and estimate the resulting dynamic capital structure model. The main findings of the paper are as...

There is a substantial empirical literature which examines the relationship between private and public consumption. The conclusions from this literature, however, are generally mixed. In this paper, we attempt to provide some additional evidence on this relationship. We consider a two-good...

In this paper, we examine whether adjustment costs are a significant source of the observed sluggish adjustment of Canadian and US import demand. We use a simple model of a utility maximizing domestic consumer under the assumption of integrated forcing variables to examine the importance of...