Data analysis is an ever-evolving subject and is of utmost importance and priority for research as well as researcher. It encompasses inspection, coding, transformation, and modelling to draw scientific conclusions. In the recent past, data mining and use of quantitative techniques has been...

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...

This research study analyses, from a fund manager’s perspective, the performance of liquidity adjusted risk modeling in obtaining optimal and coherent economic capital structures, subject to meaningful operational and financial constraints as specified by the fund manager. Specifically, the...

In this supplementary appendix to the paper Lu et al.(2021) ``Estimation of factors using higher-order multi-cumulants in weak factor models", we first present an overview of several alternative factor estimation and selection approaches. Second, we interpret the alternating least squares...

This paper investigates the effects of regulatory interventions on contracting relationships within firms by examining the impacts of the Sarbanes-Oxley Act (SOX) on CEO compensation. Using panel data of the S&P 1500 firms, it quantifies welfare gains from a dynamic principal-agent model of...

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

The Stein paradox has played an influential role in the field of high dimensional statistics. This result warns that the sample mean, classically regarded as the “usual estimator”, may be suboptimal in high dimensions. The development of the James-Stein estimator, that addresses this...

This paper proves that the mean independence of the error term from the covariates in a linear regression model is equivalent to, rather than just a sufficient condition for, the error term being uncorrelated with any function of the covariates. Therefore, correct functional form specification...

In 1959, Ragnar Frisch prompted Georg Rasch to formalise a separability theorem that continues today to serve as the basis of a wide range of theoretical and applied developments in psychological and social measurement. Previously unnoted are the influences on Rasch exerted by Frisch’s...

We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high-low ratio reflects both the stock's variance and its bid-ask spread. While the variance component of the high-low ratio is proportional to the return...