This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

The international business cycle is very important for Latin America's economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of...

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

This paper examines the changing nature of views towards and reports of sexual harassment using unique data drawn from the U.S. Merit Systems Protection Board (USMSPB) of the U.S. Federal Government over the period from 1978-1994. Our results indicate that while federal government employees...

This paper examines the relationship between sexual harassment and the job satisfaction and intended turnover of active-duty women in the U.S. military using unique data from a survey of the incidence of unwanted gender-related behavior conducted by the U.S. Department of Defense. Overall, 70.9...

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...