We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which possibly depends on the time and the latent diffusion processes, while the sampling times also possibly depend on the...

This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant...

We estimate the myopic (single-period) and intertemporal hedging (long-run) demand for stocks in 20 growth-leading emerging market economies during the 1999–2012 period. We consider two types of investors: a domestic investor who invests in emerging-market assets only (with returns in local...

This paper analyzes the impact of the output gap on market excess returns. The output gap is usually defined as the deviation of output from potential output that is indicated by the trend output. However, this study departs from the common approach of calculating the output gap based on a...

This paper provides evidence that aggregate returns on commodity futures (without the returns on collateral) are predictable, both in-sample and out-of-sample, by various lagged variables from the stock market, bond market, macroeconomics, and the commodity market. Out of the 32 candidate...

This study examines the relationship between the high-yield bonds market and the stock market and indicates that stock returns lead high-yield bond returns. Specifically, this study further shows that this lead–lag relationship is more solid during bear market periods since a downward trend in...