We show that factor forecasting models deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one...

This study focuses on the wealth-protective effects of socially responsible firm behaviour by examining the association between corporate social performance (CSP) and financial risk for an extensive panel data sample of S&P 500 companies between the years 1992 and 2009. In addition, the link...

With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...

Application of the Bernhardt, Campello and Kutsoati (2006) test of herding to the calendar-year annual output growth and inflation forecasts suggests forecasters tend to exaggerate their differences, except at the shortest horizon when they tend to herd. We consider whether these types of...

We study the relationship between business cycles and gender employment rate gaps in the UK over the last four decades, on which there is surprisingly limited evidence. An analysis of employment rates as opposed to unemployment accounts for the greater tendency of women to move in and out of...

Policies to encourage pro-environmental behaviors must be based on an understanding of the factors that affect it: the literature has identified a role for information, attitudes, moral norms and several socio-demographic characteristics. Pro-environmental behaviors are however not homogeneous...

We examine the impact of the Americanization of names on the labor market outcomes of migrants. We construct a novel longitudinal data set of naturalization records in which we track a complete sample of migrants who naturalize by 1930. We find that migrants who Americanized their names...

In an almost unreferenced article Carmichael (1928), writing of the period around the First World War, noted that “During the past twelve years many economic series have undergone what appears to be a permanent change in level.” These are prescient words that are widely applicable today....

In this paper we provide an alternative explanation for why illegal immigration can exhibit substantial fl?uctuation. We develop a model economy in which migrants make decisions in the face of uncertain border enforcement and lump-sum transfers from the host country. The uncertainty is extrinsic...

The problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root is studied. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns) and finding an...