We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...

Commuting imposes financial, time and emotional cost on the labor force, which increases the cost of supplying labor. Theory suggests a negative or no relation between travel and working time for two reasons: travel time is a cost to supplying labor and commuting frustrates the traveler...

This paper provides a comprehensive economic evaluation of the short-horizon predictive ability of liquidity on monthly stock returns, using dynamic asset allocation strategies. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and...