The correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration. We decompose diversification benefits into two parts: one component due to variation in the average correlation across markets, and a another...

In this paper we examine the correlation structure of the major world equity markets over 150 years. We find that correlations vary considerably through time and are highest during periods of economic and financial integration such as the late 19th and 20th centuries. Our analysis suggests that...

We test a Wall Street investment strategy, "pairs trading," with daily data over 1962--2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11% for self-financing portfolios of...

The Mississippi Bubble, South Sea Bubble and the Dutch Windhandel of 1720 together represent the world's first global financial bubble. We hand-collect cross-sectional price data and investor account data from 1720 to test theories about market bubbles. Our tests suggest that innovation was a...

This paper studies sheltering network planning and operations for natural disaster preparedness and responses with a two-stage stochastic program. The preparedness phase decides the locations, capacities and resources of new Permanent Shelters. Under each disaster scenario, both evacuees and...

"In the nineteenth century, when the principal cultural, political, and financial institutions of the Netherlands were established, slavery was still very much part of the nation's global imperial structures. Dutch families, institutions, and governments are increasingly interested in the role...

Written in celebration of its 350th anniversary in 2018, this book details the history of the central bank of Sweden, Sveriges Riksbank, as presented by Klas Fregert. It relates the bank's history to the development of other major central banks around the world. Chapters are written by some of...

The book analyses the establishment of De Nederlandsche Bank and its early development as a case study to test competing theories on the historical development of central banking. It is shown that the establishment of DNB can be explained by both the fiscal theory and the financial stability...