This paper develops the necessary methodology for high frequency ANOVA, which includes the estimations of idiosyncratic volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of idiosyncratic volatility is notoriously difficult...

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...