stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

momentum and idiosyncratic volatility are smaller and statistically less significant than previously documented after screening …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The … informed conjectures as to improved volatility estimation methods …