This research examines the efficiency of nonparametric factor analytic approaches in measuring risk in common stocks of Korean financial firms from the risk-management perspective. This paper shows that using only one risk factor extracted from principal component analysis, the parallel shift or...

We use a novel instrument--the local lineup position of business channels--to show that media exposure from cable television increases equity participation by increasing awareness of the stock market for first-time investors. Economically, a one-standard deviation reduction in the lineup...

High frequency trading dominates trading in financial markets. How it affects the low frequency trading, however, is still unclear. Using NASDAQ order book data, we investigate this question by categorizing orders as either high or low frequency, and examining several measures. We find that high...