Trading is not continuous, leading to asynchronous trading times for different assets. This paper analyses the effect of asynchronous trading on an asset’s beta and evaluates its implication for the asset pricing literature. It shows that estimates are heavily downward-biased, with estimated...

The three pillars of econometric modeling are: (1) the reduced form, (2) the recursive form, and (3) the structural form. Each of these techniques exists for the purpose of revealing the joint conditional probability distributions of current and lagged endogenous variables conditional on the...

The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. We show, first, that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama- MacBeth estimates of the volatility risk...

We develop a theory and a text-analytic method to model managers’ translation of economic activity into the preparation of Management’s Discussion and Analysis (MD&A). Our approach considers both quantitative and qualitative accounting information by linking numerical changes in the...

This paper (i) derives a number of properties of a newly specified multi-input-single-output (MISO) production function with a derived error term, and (ii) using iteratively rescaled generalized least squares, presents estimates of the cross-sectionally varying coefficients of a...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

In a novel model mining experiment, we data mine hundreds of randomly constructed three-factor models and find that many outperform well-known models from the literature, including those with four and five factors. The results provide compelling evidence that the threshold of factor model...

The paper aims to evaluate the presence and condition of vegetation by SAGA GIS. The study area covers northern coasts of Iceland including two fjords, the Eyjafjörður and the Skagafjörður, prosperous agricultural regions. The vegetation coverage in Iceland experience the impact of harsh...

We provide simple tests for selection on unobserved variables in the Vytlacil-Imbens-Angrist framework for Local Average Treatment Effects. The tests allow researchers not only to test for selection on either or both of the treated and untreated outcomes, but also to assess the magnitude of the...

The identification of causal effects in linear models relies, explicitly and implicitly, on the imposition of researcher beliefs along several dimensions. Assumptions about measurement error, regressor endogeneity, and instrument validity are three key components of any such empirical exercise....