This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of...

Purpose: This study aims to show that the best-performing realized measures vary across markets when it comes to forecast real estate investment trust (REIT) volatility. This finding provides little guidance for practitioners on which one to use when facing a new market. The authors attempt to...

We investigate the relationship between auditor brand name, industry specialisation, and earnings management as measured by discretionary accruals for a sample of listed companies in Taiwan, where the litigation risk against auditors is much less than the risk in the USA. We find that the use of...

We investigate the relationship between auditor brand name, industry specialisation, and earnings management as measured by discretionary accruals for a sample of listed companies in Taiwan, where the litigation risk against auditors is much less than the risk in the USA. We find that the use of...

Stock markets are efficient in the weak form in the sense that no significant autocorrelations can be identified in the returns. However, the microscopic mechanisms are unclear. We aim at understanding the impacts of order flows on the weak-form efficiency through computational experiments based...