This paper provides a robust structural identification of the effects of U.S. interest rates on an emerging economy's asset values. Using newly available intraday data, we investigate how surprises associated with U.S. macro data and FOMC announcements move the yield spread on a benchmark...

In August 1991 the Korean government announced that the stock exchange would undergo a significant liberalization in January 1992, by allowing foreigners to directly own shares in Korean stocks. This paper examines the repercussions on the relationship between the stock markets of Korea, Japan,...

Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and...

The two sector model presented in this note suggests a simple structural decomposition of movements in the price of investment goods into exogenous and endogenous sources. The endogenous fluctuations arise in the presence of countercyclical markups which vary differently across the consumption...

This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where...

The average change in shares of equity is negatively correlated with estimates of the equity premium calculated using the dividend-ratio model of Campbell and Shiller, as well as with a variant of the model written in terms of the earnings-price ratio. This correlation is consistent with...

Stock option grants to top executives and to employees below the top executive ranks have risen rapidly with stock prices in recent years. This paper examines the growth in stock option grants at S&P 1500 companies between 1996 and 1999, and estimates the pay-for-performance sensitivities of the...

Several empirical studies report violations of the asset-pricing model of Sharpe (1964), Lintner (1965), and Black (1972). But, there is no consensus on specification in this literature, as such studies typically consider only a limited number of explanatory variables and do not satisfactorily...

This paper uses a competitive equilibrium model to study how institutional investors influence the volatility and the informativeness of asset prices. Institutional investors are assumed to be "rational" informed traders, while individual investors are supposed to be "naive" informed traders,...