We examine the asymmetry in the predictive power of investor sentiment in the cross-section
of stock returns across economic expansion and recession states. We test the implication of …

An estimation method is developed for extracting the latent stochastic volatility from VIX, a
volatility index for the S&P 500 index return produced by the Chicago Board Options …

Contrary to the international investment theory, there exists a curious pattern that Chinese
OFDI is heavily located in countries with poor institutional quality, which was referred to as the …

Traditional tradeoff theories puzzlingly predict that firms use high leverage, issue debt carrying
a high duration and low yield spread, and have optimal debt policies highly affected by …

We propose an approximate solution for the asset allocation model in which the dynamics
of the investment opportunity set are subject to regime shifts and the regime updating/…

… rests on a methodological generalization of Duan and Yeh (2010) to allow for measurement
… Our results are also consistent with Duan and Yeh (2010) which also employed VIX to study …

This paper explores turnover premia in China's stock markets. There is a negative cross-sectional
relation between turnover and average realized returns. Turnover premia, which is the …

Using a dynamic selection model, we obtain consistent and unbiased estimates of risk and
returns for infrequently traded bonds and conduct the first comprehensive asset pricing test of …

The antibacterial activity of water-soluble chitosan derivatives prepared by Maillard reactions
against Staphylococcus aureus, Listeria monocytogenes, Bacillus cereus, Escherichia coli, …

We combine the best features of two highly successful quadrature option pricing streams,
improving the linked issues of numerical precision and abscissa positioning. Coupling the …