The mortgage banking environment in Hong Kong is quite different from that in the U.S. For example, the secondary mortgage market and mortgage insurance only started after 1997. Using a large data set on mortgages, we examine empirically how mortgage rates in this market vary with various...

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang (2004). This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits still exist conditional on past...

We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity....

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a non-parametric estimate of the...

This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

We rank institutions and researchers based on a standardized page count of their econometric theory publications over the last eleven years (1986-1996) in nine economics and statistics journals. Our ranking criteria differ from those employed by Hall (1987, 1990) and Baltagi (1998). We weight...

This paper attempts to establish a link between aggregation and index theory, which exists under perfect certainty, but is not known to exist under risk aversion. The paper develops a consumer based demand for money problem where the consumer is risk averse and has a known theoretical monetary...