This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and...

Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on...

This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and...