We study optimal investment decisions for long-horizon investors with industry-specific labor income risks. We find that in addition to the volatility of labor income growth, the correlation between labor income and risky asset returns is another important factor that affects the optimal...

We use comprehensive transaction data from Trade Reporting and Compliance Engine to study the response in corporate bond market to dividend announcements and compare that with the response in stock market. We find that the information content/free cash flow effect dominates the wealth transfer...

Complex diseases such as type 2 diabetes, hypertension and psychiatric disorders have been major public health problems in US. In order to increase the power in the linkage analysis of complex traits, genetic heterogeneity has to be taken into account. During the past few years, several methods...

We compare the informational efficiency of bond and stock markets. For speculative-grade firms, we find a higher degree of response to earnings surprises from institutional bond trades than from retail bond trades, but we don't see evidence that institutional bond trades react more quickly than...

If transitory profitable trading opportunities exist, filter rules are used to mitigate transaction costs. We use a dynamic programming framework to design an optimal filter which maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading...

Can rational stochastic asset bubbles help explain the excess volatility of stock prices? The bubble considered here is treated as an unobserved state vector in the state-space model and is easily estimated using the Kalman filter. I find that the bubble components estimated account for a...

Using a GARCH approach, we estimate a time-varying two-factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time-variation in the exposure (beta) of country equity index returns to the world market index and in the risk-adjusted...

This paper examines the predictability of equity index returns for 18 developed countries. Based on the variance ratio test, the random walk hypothesis can be rejected at conventional significance levels for 11 countries with daily data and for 15 countries with weekly data. Monthly indices may...

Using a GARCH approach, we estimate a time-varying two-factor international asset pricing model for weekly equity index returns of 16 OECD countries. A trade-weighted basket of exchange rates and the MSCI world market index are used as risk factors. We find significant currency risk exposures in...

We propose a new methodology to provide fair prices of international mutual funds by adjusting prices at the individual securities level using a comprehensive and economically relevant information set. Stepwise regressions are used to endogenously determine the stock-specific optimal set of...