By allowing for imperfectly informed markets and the role of private information, we offer newinsights about observed deviations of portfolio concentrations in domestic relative to foreignrisky assets, or “home bias”, from what standard finance models predict. Our model ascribesthe...

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

This paper considers the statistical analysis of large panel data sets where even afterconditioning on common observed effects the cross section units might remain dependentlydistributed. This could arise when the cross section units are subject to unobserved commoneffects and/or if there are...

We present a structural framework for the evaluation of public policies intended to increasejob search intensity. Most of the literature defines search intensity as a scalar that influencesthe arrival rate of job offers; here we treat it as the number of job applications that workerssend out....

We use a new and exceptionally rich administrative data set for Germany to evaluate theemployment effects of a variety of public sponsored training programs in the early 2000s.Building on the work of Sianesi (2003, 2004), we employ propensity score matching methodsin a dynamic, multiple...

Based on a sequence of reforms in the Norwegian unemployment insurance (UI) system, weshow that activity-oriented UI regimes – i.e., regimes with a high likelihood of requiredparticipation in active labor market programs, duration limitations on unconditional UIentitlements, and high sanction...

Turning unemployment into self-employment has become a major focus of German activelabour market policy (ALMP) in recent years. If effective, this would not only reduceGermany’s persistently high unemployment rate, but also increase its notoriously low selfemploymentrate. Empirical evidence on...

In light of nonstationary search theory (van den Berg, 1990), this paper estimates the effectsof benefit entitlement periods and the size of unemployment benefits on unemploymentdurations and post-unemployment earnings in West Germany...