This paper analyses monthly returns of 10 share portfolios negotiated at Bovespa between 1987 and 1997 in order to test the APT model. Macroeconomic factors were created as sources of common variance of these assets. The factors were statistically significant in explaining the relationship...

We propose a model that reconciles microeconomic evidence of frequent and large price changes with sizable monetary non-neutrality. Firms incur separate lump-sum costs to change prices and to gather and process some information about marginal costs. Additional relevant information is...