The real exchange rate is said to be the single most important price in an economy. While we used to think that we knew what explained its movements (e.g., the Balassa-Samuelson effect), the recent much-cited result by Engel (1999) proposes a serious reinterpretation - i.e., nearly 100% of the...

Purpose: The goal of this work was to investigate the managerial practices of today to understand if Toyota is sheltering themselves from these newer practices or embracing them like most believe. Design/methodology/approach: This work utilizes a new form of data mining named Latent Semantic...

In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both...

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that households cannot substitute energy consumption by...

In der vorliegenden Arbeit wird der "Intervalling-Effekt" auf dem deutschen Aktienmarkt untersucht. Hierunter versteht man eine systematische Beziehung zwischen der verwendeten Renditefristigkeit und dem geschätztem ß-Koeffizienten im Rahmen des Marktmodells. Wie Frantzmann (8) und Zimmermann...

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on option hedging errors. We derive a closed-form solution...

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with...