This dissertation contains two essays in empirical finance. The first essay studies the mutual fund industry, and the second essay looks into the stock market. Both studies provide insights in the underlying mechanism of some asset return patterns identified from the data currently available.The...

This paper proposes a new method for approximating vector autoregressions by a finite-state Markov chain. The method is more robust to the number of discrete values and tends to outperform the existing methods over a wide range of the parameter space, especially for highly persistent vector...