This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...

Expanding the panel model of Pesaran (2006) and Bai (2009), we propose a dynamic panel specification with Bayesian approach to capture the impact of unobservable industry-wide shocks to stock price movements. We employ fundamental accounting information to control company specific shocks and...

This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of accounting variables in explaining cross-sectional stock returns. We apply both OLS and state-space modelling to a sample of firms included in the Russell 3000 index over the...