We estimate the daily integrated variance and covariance of stock returns using high-frequency data in the presence of jumps, market microstructure noise and non-synchronous trading. For this we propose jump robust two time scale (co)variance estimators and verify their reduced bias and mean...

The trait and social cognitive perspectives are considered disparate approaches to understanding personality. We suggest an integrative view in which three elements derived from the social cognitive perspective (i.e., situations, behaviors, and explanations [SBEs]) form the basis of personality...

Gagnon and Goyal (2017) develop an elegant model to understand the interaction between community and markets. One key argument is that, among others, whether markets and social ties are substitutes or complements plays a decisive role: markets undermine social ties in the case of substitutes and...

We identify a positive causal effect of healthy working environments on corporate innovation, using the staggered passage of U.S. state-level smoke-free laws that ban smoking in workplaces. We find a significant increase in patents and patent citations for firms headquartered in states that have...

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...

We present evidence that managers consider employee turnover likelihood in their accounting choices. Our tests exploit U.S. state courts' staggered recognition of the Inevitable Disclosure Doctrine (IDD), which reduces employees' ability to switch employers. We find a significant decrease in...

Reasonable layout of logistics centers in the ASEAN countries has important practical significance for improving logistics network efficiency and reducing logistics transportation costs. This paper based on the current status of the ASEAN logistics network and the characteristics of the...