In this dissertation I explore, analyze and present new techniques in three areas of financial econometrics. In the first Chapter, I look at the risk premium in foreign exchange markets. The time varying risk premium is explored in a monetary economy in which the representative consumer is faced...

Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomicexpectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and...

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Mostprocedures for modeling and forecasting financial asset return volatilities, correlations,...

This dissertation examines whether simultaneously conditioning on themultidimensional characteristics of information signals can help predict returnsthat are of economic significance. We use large price changes, publicannouncements, and large volume increases to proxy for the...

Previous research has shown that expected market returns vary over time and that this variationcan be predicted by variables such as dividend yields and book-to-market ratios (Fama andFrench (1989); Campbell and Thompson (2008)). Further, macroeconomic variables affect assetreturns (Flannery and...

This dissertation consists of two essays. In the first essay, I examine the source of momentum in stock returns. The reversal of momentum returns has been interpreted as evidence that momentum results from delayed overreaction to information. I examine momentum and reversals conditional on...

This dissertation consists of two essays. The first essay develops a new methodology for estimating the probability of informed trading from the observed quotes and depths, by extending the Copeland and Galai (1983) model. This measure (PROBINF) can be computed for each quote and it represents...

This dissertation consists of two essays. The first provides evidence that the recent revival of shelf equity offers is related to changes in how firms use shelf registration. During 1990-2003 firms that make shelf filings have no immediate intent and low probability of issuance, lower...

Theoretical models suggest that ownership structure may be an important determinant of securities' market characteristics. For example, the presence of informed traders leads to greater bid-ask spreads (Copeland and Galai (1983), and Glosten and Milgrom (1985)), and strategic trading of informed...

Despite countless efforts to elucidate market participantsâ understanding of the implications of earnings quality, empirical accounting research has rendered two distinct perspectives. The first perspective considers market participants naïve users of accounting information who fail to grasp...