The estimates of the high-dimensional volatility matrix based on high-frequency data play a pivotal role in many financial applications.However,most existing studies have been built on the sub-Gaussian and cross-secti...The estimates of the high-dimensional volatility matrix based on high-frequency data play a pivotal role in many financial applications.However,most existing studies have been built on the sub-Gaussian and cross-sectional independence assumptions of microstructure noise,which are typically violated in the financial markets.In this paper,the authors proposed a new robust volatility matrix estimator,with very mild assumptions on the cross-sectional dependence and tail behaviors of the noises,and demonstrated that it can achieve the optimal convergence rate n-1/4.Furthermore,the proposed model offered better explanatory and predictive powers by decomposing the estimator into low-rank and sparse components,using an appropriate regularization procedure.Simulation studies demonstrated that the proposed estimator outperforms its competitors under various dependence structures of microstructure noise.Additionally,an extensive analysis of the high-frequency data for stocks in the Shenzhen Stock Exchange of China demonstrated the practical effectiveness of the estimator.展开更多
Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothe...Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.展开更多
The aim of this study was to estimate the seroprevalence of immunoglobulin M(IgM)and G(IgG)antibodies against SARS-CoV-2 in asymptomatic people in Wuhan.This was a cross-sectional study,which enrolled 18,712 asymptoma...The aim of this study was to estimate the seroprevalence of immunoglobulin M(IgM)and G(IgG)antibodies against SARS-CoV-2 in asymptomatic people in Wuhan.This was a cross-sectional study,which enrolled 18,712 asymptomatic participants from 154 work units in Wuhan.Pearson Chi-square test,t-test,and Mann-Whitney test were used to compare the standardized seroprevalence of IgG and IgM for age and gender between different groups.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.72271232,71873137the MOE Project of Key Research Institute of Humanities and Social Sciences under Grant No.22JJD110001+1 种基金the support of Public Computing CloudRenmin University of China。
文摘The estimates of the high-dimensional volatility matrix based on high-frequency data play a pivotal role in many financial applications.However,most existing studies have been built on the sub-Gaussian and cross-sectional independence assumptions of microstructure noise,which are typically violated in the financial markets.In this paper,the authors proposed a new robust volatility matrix estimator,with very mild assumptions on the cross-sectional dependence and tail behaviors of the noises,and demonstrated that it can achieve the optimal convergence rate n-1/4.Furthermore,the proposed model offered better explanatory and predictive powers by decomposing the estimator into low-rank and sparse components,using an appropriate regularization procedure.Simulation studies demonstrated that the proposed estimator outperforms its competitors under various dependence structures of microstructure noise.Additionally,an extensive analysis of the high-frequency data for stocks in the Shenzhen Stock Exchange of China demonstrated the practical effectiveness of the estimator.
文摘Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.
基金supported by Advisory Research Project of the Chinese Academy of Engineering in 2019[2019-XZ-70]。
文摘The aim of this study was to estimate the seroprevalence of immunoglobulin M(IgM)and G(IgG)antibodies against SARS-CoV-2 in asymptomatic people in Wuhan.This was a cross-sectional study,which enrolled 18,712 asymptomatic participants from 154 work units in Wuhan.Pearson Chi-square test,t-test,and Mann-Whitney test were used to compare the standardized seroprevalence of IgG and IgM for age and gender between different groups.
