Learn More
Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this " realized " volatility approach in the context of investment decisions. Our results indicate that the value of switching from daily to intradaily(More)
DeMiguel et al. (2009) report that na¨ıve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on mean-variance efficient portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance(More)
The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market maker's spread that accounts for the effects of price discreteness induced by minimum tick size,(More)
We have previously shown that lipophilic components (LPC) of the brown seaweed Ascophyllum nodosum (ANE) improved freezing tolerance in Arabidopsis thaliana. However, the mechanism(s) of this induced freezing stress tolerance is largely unknown. Here, we investigated LPC induced changes in the transcriptome and metabolome of A. thaliana undergoing freezing(More)
Lignans are a class of diphenolic nonsteroidal phytoestrogens often found glycosylated in planta. Flax seeds are a rich source of secoisolariciresinol diglucoside (SDG) lignans. Glycosylation is a process by which a glycosyl group is covalently attached to an aglycone substrate and is catalyzed by uridine diphosphate glycosyltransferases (UGTs). Until now,(More)
circulated under the title " ARCH Effects and Trading Volume. " The authors thank Scott Baggett for his help in constructing the price and volume data sets from Trade and Quote (TAQ) data and Joel Hasbrouck and James Weston for providing useful insights and advice regarding TAQ data. A number of studies investigate whether various stochastic variables(More)