This paper explores the use of Google trending data as an indicator for market sentiment.The Google query records on keywords including stock, market, correction, and crash areincorporated into an event based trading model for S&P 500 index in an attempt to significantlyenhance the risk-profile...

This is the first paper about the high dimensional beta tests with high frequency financial data, which allowing that the number of regressors can be larger than the number of observations within each estimation block and can also grow to infinity in asymptotics. In this paper, the sum-type test...

This research provides a theoretical foundation for our previous empirical finding that leverage effect has a role in estimating and forecasting volatility. This empirics is also related to earlier econometric studies of news impact curves (Engle and Ng, Chen and Ghysels). Our new theoretical...

We examine an important yet understudied form of reputational sanction in China, namely public criticisms imposed on culpable firms by the Chinese stock exchanges from 2013 to 2018. We find significantly negative cumulative abnormal returns around the announcement date, and they were affected by...

Reputational sanctions are widely used as a regulatory tool to curb corporate misconduct. However, existing literature on its workings and effectiveness is largely limited to developed economies. We thus examine the case of China, focusing on an important yet understudied form of reputational...