Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...

Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...

This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...

A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that its estimation method does not require a...

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed shape of the hazard function, i.e. its two most...