A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. We show how this information can be exploited to produce accurate forecasts of bond excess returns and...

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare's Bank, a fledgling West End London banker, knew that a bubble was in progress and nonetheless invested in the stock; it was profitable to "ride the bubble." Using a unique dataset on daily...

This paper studies the corporate policy distortions caused by realization-based capital gains taxation at the personal level in a dynamic trade-off theory model. The Lock-in effect of embedded capital gains creates severe conflicts of interest between incumbent and new investors. The firm's...

This paper conducts a transatlantic comparison of market timing effects on corporate capital structures, using some 45,000 observations on US, UK, and continental European firms. We confirm the empirical regularity that leverage and historical market-to-book ratios connect negatively in the US,...

Did ICT firms behave very differently from non-ICT firms during the global ICT boom-bust cycle on the stock markets? To answer this question we analyze the financial behavior of a sample of North-American and Western European firms during 1991-2002. We document that ICT firms are indeed what...