This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection...

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...

Previous studies have found large gender and racial differences in commercialization of invention. Using novel data that permit enhanced identification of women and African American inventors, we find that gender and racial differences in commercial activity related to invention are lower than...

Previous studies have found large gender and racial differences in commercialization of invention. Using novel data that permit enhanced identification of women and African American inventors, we find that gender and racial differences in commercial activity related to invention are lower than...

This study examines spot and forward exchange rates at a weekly level for four different currencies. It is shown that the vector of forward market forecast errors can be parameterized as a vector moving average (MA) process where the MAcoefficients can be theoretically determined from knowledge...

The forward premium anomaly refers to the situation where the slope coefficient in a regression of spot returns on the lagged interest rate differential is negative and significantly different to unity. This paper explores some of the asymmetries and non linearities present in the anomaly and...