In this paper we construct a parsimonious vector autoregression model with durations, trades and quote revisions to compare price impact and information impounding time in four Asian stock exchanges. We conduct simultaneous model selection and estimation using the adaptive lasso approach. We...

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

We show that a strong linear relationship exists between income and house price quantiles in Sydney (Australia), Houston, and the state of Texas. This suggests that the house price distribution is closely approximated by the income distribution after a location-scale transformation. The slope of...

This paper examines the relationship between sovereign credit ratings and FDI flows from 31 OECD donor countries to 72 recipient (OECD and non-OECD) countries over the period of 1985-2012. There are three main findings in the paper. First, sovereign credit ratings of donor and recipient are...

Change in 10-K file size robustly and negatively predicts future stock returns. The documented return predictability reflects mainly information content of 10-K file size change on future cash flow news. We examine whether this return predictability derives from managers' risk disclosures or...

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...

We find that firms’ left-tail risk is a strong positive predictor of future bear spread returns, suggesting that the options market underreacts to firms’ left-tail risk and the downside protection provided by bear spreads is not adequately priced. The underreaction to firms' left-tail risk...

Common ownership by institutional investors disincentivizes patent-related innovation by significantly reducing the quantity, private value, originality, and generality of patents. Firms lower their patent weapons as competition is relaxed by common ownership. The disincentive impact is...

The probability of informed trading (PIN) is used widely as a measure of information asymmetry. Relatively little work has appeared on how well PIN models fit empirical trade data. We reveal structural limitations in PIN models by examining their marginal distributions and dependence structures...

The probability of informed trading (PIN) is a commonly used market microstructure measure for detecting the level of information asymmetry. Estimating PIN can be problematic due to corner solutions, local maxima and floating point exceptions (FPE). Yan and Zhang (2012) show that whilst...