We estimate a dynamic heterogeneous agents model for the British pound during the European monetary system crisis. We illustrate the chain of events leading to the suspension of the pound from the exchange rate mechanism in terms of switching beliefs, from fundamentalist to chartist.

This paper extends the analyses of Frankel and Froot (1987b), Cavaglia et al. (1993a), and others, to a new data set of exchange rate expectations on Scandinavian exchange rates. It corroborates the earlier finding that exchange rate forecasts are not rational, and that agents do not use all...

This paper examines the relationship between expected stock returns and size, and market-to-book ratio in four transition emerging markets, namely the Czech Republic, Hungary, Poland, and Russia. Overall, we find a premium for large firms and growth stocks; factors that drive cross-sectional...