This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some...

Agents usually use a discrete set of prices to alleviate transaction costs for it reduces the bargaining time by reducing the amount of information that parties must exchange. On the other hand, if the discrete price set does not include an acceptable price for both parties, then some...

This paper examines tail risk in the Brazilian hedge fund industry. We rely on a unique data set of daily returns for every hedge fund in Brazil, dead or alive. By employing the universe of hedge funds, we ensure the absence of selection, survivorship, and instant history biases. We estimate...

We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...

We present a simple framework for dual-class stock shares, in which common shareholders receive public and private cash flows (i.e. dividends and any private benefit of holding voting rights) and preferred shareholders only receive public cash flows. We isolate those two cash flows in order to...

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market microstructure noise dynamics. We address this errors-in-variable issue using instrumental variables. We devise valid instruments for two...

This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the Satilde;o Paulo...