This paper attempts to assemble evidence for the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns. We show that long-run profit persistence together with...

We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data. Cross-sectional dependencies between units are captured via one or multiple observed networks and a low-dimensional vector of latent stochastic network effects. The...

Merely seventeen years old in the U.S. market, electronic commerce (e-commerce) sales continue to grow rapidly on an annual basis. At the macro level, U.S. e-commerce sales for 2010 totaled $166.5 billion. Although this total is impressive, it represents only 4.28 percent of the total of U.S....

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...