The Experts below are selected from a list of 9165 Experts worldwide ranked by ideXlab platform

Yajun Wang - One of the best experts on this subject based on the ideXlab platform.

  • portfolio choice with Market closure and implications for liquidity premia
    Management Science, 2016
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore the prevalent Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We find that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we demonstrate numerically that transaction costs can have a first-order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by our empirical analysis.

  • portfolio choice with Market closure and implications for liquidity premia
    Social Science Research Network, 2013
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We show that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies and produce a U-shape trading volume pattern that matches empirical evidence. Furthermore, our model implies that transaction costs can have a first order effect on liquidity premia that is largely comparable to empirical findings. Extensive empirical analysis supports the model's unique prediction that stocks with greater return variance variations across trading and nontrading periods require higher liquidity premia.

Hong Liu - One of the best experts on this subject based on the ideXlab platform.

  • portfolio choice with Market closure and implications for liquidity premia
    Management Science, 2016
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore the prevalent Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We find that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we demonstrate numerically that transaction costs can have a first-order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by our empirical analysis.

  • portfolio choice with Market closure and implications for liquidity premia
    Social Science Research Network, 2013
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We show that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies and produce a U-shape trading volume pattern that matches empirical evidence. Furthermore, our model implies that transaction costs can have a first order effect on liquidity premia that is largely comparable to empirical findings. Extensive empirical analysis supports the model's unique prediction that stocks with greater return variance variations across trading and nontrading periods require higher liquidity premia.

Min Dai - One of the best experts on this subject based on the ideXlab platform.

  • portfolio choice with Market closure and implications for liquidity premia
    Management Science, 2016
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore the prevalent Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We find that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we demonstrate numerically that transaction costs can have a first-order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by our empirical analysis.

  • portfolio choice with Market closure and implications for liquidity premia
    Social Science Research Network, 2013
    Co-Authors: Min Dai, Hong Liu, Yajun Wang
    Abstract:

    Most existing portfolio choice models ignore Periodic Market closure and the fact that Market volatility is significantly higher during trading periods. We show that Market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies and produce a U-shape trading volume pattern that matches empirical evidence. Furthermore, our model implies that transaction costs can have a first order effect on liquidity premia that is largely comparable to empirical findings. Extensive empirical analysis supports the model's unique prediction that stocks with greater return variance variations across trading and nontrading periods require higher liquidity premia.

Ezeocha V. C. - One of the best experts on this subject based on the ideXlab platform.

  • Effects of different packaging materials on the chemical and sensory properties of moi-moi
    Agricultural Society of Nigeria, 2021
    Co-Authors: Ezeocha V. C.
    Abstract:

    The preparation of moi-moi usually involves wrapping of cowpea slurry with packaging materials such as broad leaves, aluminium foils, aluminium cans, nylon, plastic plate or stainless steel plate before cooking to form a gel. There are concerns that these packaging materials are pathways for the migration of hazardous substances into the food. The packaging materials and ingredients for moi-moi preparation were obtained from Ndoro Oboro Periodic Market, Ikwuano Local Government Area, Abia State, Nigeria. The moi-moi mix was prepared using standard method and wrapped in the packaging materials listed before cooking. The proximate composition, heavy metals and volatile components of moi-moi samples were characterized using standard methods. The moisture, crude protein, fat and ash content of the samples were significantly affected by packaging material. The nickel content of the moi-moi samples ranged from 0.017 (in moi-moi cooked with plastic plate) to 0.335 mg/l (in moi-moi cooked with Aluminium foil). The cadmium content ranged from 0.031mg/l (in moi-moi cooked with leaves) to 0.092mg/l (in moi-moi cooked in aluminium foil). The aluminium content of the samples packaged in aluminium can and aluminium foil was significantly higher than that of the other samples. The lead content ranged from 0.009mg/l (in moi-moi packaged in stainless steel) to 0.036mg/l (in moi-moi packaged in plastic plate, aluminium can and nylon). A total of seventy seven (77) volatile compounds were identified in the moi-moi samples, some of which were suspected to have migrated from the packaging materials. Among which were Morphinan-4, 5-epoxy-3, 6-di-ol, 6,-[7-nitronenzofuran-4-yl] amino which was identified in moi-moi cooked in leaves and is a by-product of polychlorinated dibenzo-furans (PCDFs) used as pesticide. The compound;10-Acetoxy-2-hydroxy-1,2,6a,6b,9,9,12a-heptamethyl-1,3,4,5,6,6a,7,8,8a,9,10,11,12,12a,12b,13,14b octadecahydro present in the moi-moi packaged in nylon is likely to be a product of triacetin used for manufacturing food contact plastics. The results from this study indicate that packaging materials have significant effects on the proximate, heavy metals, sensory and volatile compounds composition of moi-moi produced from the same bean slurry

Allan W Kleidon - One of the best experts on this subject based on the ideXlab platform.

  • Periodic Market closure and trading volume a model of intraday bids and asks
    Journal of Economic Dynamics and Control, 1992
    Co-Authors: William A Brock, Allan W Kleidon
    Abstract:

    Abstract This paper examines the effect of Periodic stock Market closure on transactions demand and volume of trade, and consequently bid and ask prices. We extend Merton (1971) to show that transactions demand at open and close is greater and less elastic than at other times of the trading day. In response, a Market maker such as an NYSE specialist may effectively price discriminate by charging a higher price to transact at these periods of peak demand. Our predictions of Periodic demand with high volume and concurrent wide spreads are consistent with empirical evidence, while the predictions of current information based models are not.