We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...

A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns....

This paper analyzes the effect of agglomeration economies on firms’ total factor productivity. We propose the use of a control function approach to overcome the econometric issue inherent to the two-stage approach commonly used in the literature. Estimations are conducted separately for four...

This paper identifies technical conditions that are common in contract-theory models or that matter for dynamic structural models but not necessarily static structural models. When possible, tests for the conditions are provided as well. Conditions include the Spence-Mirrlees condition,...

This paper constructs and estimates a dynamic discrete choice structural model of female employment and fertility decisions that incorporates job protection and cash benefits of parental leave legislation. The structural model is used for ex ante evaluation of policies that change the duration...