This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

This paper tests the conjecture that the value premium constructed from the cross-section of stocks proxies for investment opportunities by investigating whether it helps explain the puzzling empirical risk-return tradeoff in the stock market across time. In contrast with many early authors, we...

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the U.S. asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and...

This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

This paper studies the role of dataset choices for trade policy estimates in structural gravity models. Using twelve publicly available data sources and applying alternative and commonly used dataset restrictions, we obtain 586 estimates for the EU membership trade effects from a standard...