Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...

Existing research has documented cross-sectional seasonality of stock returns--the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model in which stocks differ in their sensitivities to investor mood explains these...

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm...

In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...

The United States differed dramatically from Britain in the way manufacturing was organized during early industrialization. Even before widespread mechanization, American production was almost exclusively from centralized plants, whereas the British and other European economies were...

In nineteenth century America, most employment, particularly that in agriculture, was highly seasonal. Thus the movement of labor from outdoor to indoor must have increased labor hours and days per year, thereby resulting in higher national income and greater economic growth. We provide the...

This paper examines the seasonal cycle in the manufacturing sector of the U.S. economy. we present estimates of the seasonal patterns in monthly data for 2-digit industries, and we demonstrate the similarity of the seasonal cycle and the business cycle in manufacturing with respect to several...

Traffic fatalities are the leading cause of mortality in the United States despite being preventable. While several policies have been introduced to improve traffic safety and their effects have been well documented, the role of transitory health shocks or situational factors at explaining...

This paper explores how unfunded pension obligations affect the market values of firms. Finns appear to choose the interest rate they use in discounting future benefit obligations so as to balance the tax advantages of a low rate against the more healthy looking annual reports a high rate...

We use the founding of the Federal Reserve as a historical experiment to provide some insight into whether a lender of last resort can stabilize financial markets. Following the Panic of 1907, Congress passed two measures that established a lender of last resort in the United States: (1) the...