A new financial asset (Allotment Trading Unit or ATU) that allows a firm to pollute was issued to a number of Chicago firms in 2000 as part of a cap‐and‐trade model to reduce emissions in the Chicago area. A model of this market was developed to enable us to: 1.) Estimate equilibrium...

This study develops the economic rationale for the inclusion of new environmental financial assets, tradable pollution rights, in a well‐diversified portfolio. These new assets are generated and their valuation determined in the market‐incentive environmental regulatory approach called...

Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

While various economic models predict that openness to international trade accelerates productivity and promotes economic growth and convergence, the empirical evidence (mostly based on cross‐sectional data) has been mixed and inconclusive. This paper investigates the issue using annual data...