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I propose a bias-corrected non-parametric estimator of the covariation matrix of log security prices, designed as a convex combination of two realized kernels. The estimator is simple but possesses desirable statistical properties including consistency, asymptotic normality and the parametric rate of convergence in the presence of persistent, diurnally heteroskedastic and endogenous microstructure...
Using a dynamic panel regression, we find that investors’ fresh disagreement negatively correlates with post earnings announcement returns of stocks under the short sale ban in Hong Kong Stock Exchange, while it becomes weaker or null when the ban is lifted. Moreover, we find a stronger impact of this policy change for good earnings news than for bad news. Our results are free of endogeneity due to...
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