"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...

"Most intervention studies have been silent on the assumed structure of the economic system--implicitly imposing implausible assumptions--despite the fact that inference depends crucially on such issues. This paper proposes to identify the cross-effects of intervention with the level and...

"This paper examines the technical efficiency of U.S. Federal reserve check processing offices over 1980-2003. We use new unconditional quantile estimator of efficiency that avoids some drawbacks of other recently proposed estimators. The new estimator is fully non-parametric, robust with...