In this paper, we study the estimation and inference of the quantile treatment effect under covariate‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we...

In this paper, we study the estimation and inference of the quantile treatment effect under covariate‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we...

In the context of a continually changing and reforming financial market, stock market volatility plays a vital role in indicating macroeconomic environment changes, market participants' expectation and interaction mechanism. Market volatility research has been conducted by worldwide academics...

To understand the effect of increasingly popular, multi-dimensional online reviews on product sales, we extend the overall-rating-based analysis by incorporating multi-dimensional ratings to examine how multi-dimensional review evaluations affect product sales for niche vs. mainstream products....

We propose and find that enhanced regulatory transparency facilitates alignment between private and public enforcement. Utilizing the SEC's 2004 decision to publicly disclose its comment letters, we explore the actions of a public enforcer (the SEC) and a private enforcer (shareholder...

The Dodd-Frank Act allows the SEC to choose either an internal administrative proceeding or a federal district court as an enforcement venue for resolving violations of federal securities laws. I first document that the SEC increased the use of administrative proceedings after Dodd-Frank. I next...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...