The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals.(...)

This paper demonstrates that an an institutional feature inherent in a multitude of mutual funds managing billions in assets generates fund NAVs that reflect stale prices. Since, in many cases, investors can trade at these NAVs with little or no transactions costs, there is an obvious trading...

It is well-documented that government bonds with almost identical cash flows can trade at different prices. This paper analyzes the cross-section of bond spreads across developed European countries and documents a novel result. In periods of widening credit spreads, bond spreads between new and...

Verdelhan (2018) argues that the dollar HML factor (long high dollar beta currencies and short low dollar beta currencies) is a priced global risk factor beyond carry. In contrast, we document that the dollar HML factor does not explain the cross section of currency risk premia, is conditionally...

A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relation between stock prices and news, however, the finance literature has had limited success reversing...

The forward premium anomaly, i.e., the empirical evidence that exchange rate changes are negatively related to interest rate differentials, is one of the most robust puzzles in financial economics. We add to this literature by recasting the underlying parity relation in terms of cross-country...