This paper provides an extensive empirical investigation into the sources of index return autocorrelation, focusing on the relation between autocorrelation in individual stock returns and autocorrelation in index returns. The study uses daily data from the Stockholm Stock Exchange over the...

This paper examines the relationship between the valuation of the stock market and an effective exchange rate. We use monthly data on 10 industrialized countries for the period 1973-1996. We find that the more open the economy, the stronger is the (positive) relationship between return on the...

Why do some vacancies offer a posted wage whereas others offer a negotiable wage? The paper endogenizes the choice of wage policy in a search model with heterogeneous workers. In particular, we characterize the circumstances under which there exist an equilibrium where all firms negotiate wages....

We argue that many firms become publicly traded on a stock exchange as the first stage of a longer term divestment plan. Making a direct sale of unlisted stock may be associated with great adverse selection costs. The publicly listed stock price reduces adverse selection by aggregating the...

This paper introduces and analyses a model of cross-security information aggregation in a rational expectations equilibrium (REE). The model predicts a well-defined lead-lag structure between securities returns as a result of Bayesian information extraction from realised securities prices. Both...

Asymptotic tests for fractional integration, such as the Geweke-Porter-Hudak test, the modified rescaled range test and Lagrange multiplier type tests, exhibit size-distortions in small-samples. This paper investigates a parametric bootstrap testing procedure, for size-correction, by means of a...

This paper develops and tests implications of cross-security information aggregation on index return autocorrelation. In the model, prices are realised individually and simultaneously in REE auction markets, then realigned to take information revealed in other prices into account. This...

This study addresses the question of willingness to pay (WTP) for hormone replacement therapy (HRT) in order to alleviate menopayusal symptoms. A utility model is specified where the individual obtains utility from consumption of goods and health. The purchase of a treatment is represented as a...

The devaluation of the Mexican peso of 1995 along with the more recent financial crises in emerging economies are viewed as systematic outcomes of the operation of free currency markets. The hypothesis is that there exists a distortion in free currency markets that makes developing countries...

A separation of provider and purchaser roles - together with performance-based reimbursement - were recently introduced in several county councils, which are the local governments that provide and fund almost all health care in Sweden. These changes have been motivated by efficiency and consumer...