This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models, closer together. Our novel factors use order flow data to...

The paper provides an introductory guide for active managers that illustrates econometric techniques for alpha generation in active asset management. For modelling stock market returns three different model types are discussed: (i) fair value models that identify over- and undervaluations, (ii)...

This paper analyzes the effects of maternal time allocation between work, child care, and leisure and non-parental child care on a child's cognitive development. By using data for the US from the Panel Study of Income Dynamics, we estimate a model that takes into account the heterogeneity in a...

Among the many troublesome econometric relationships, the demand for money has proved especially recalcitrant, as evidenced by a long history of tinkering with basic specifications, always in response to some recent perceived forecast failure. The shortcomings of this approach and an alternative...

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as...