The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their performance in Monte Carlo simulations. It is a well known fact that the natural choice, the least squares dummy variable estimator is biased in the context of dynamic estimation. The...

We examine the effect of commuting on labour supply patterns. A labour supply model is introduced which shows that commuting distance increases daily workhours, whereas the effect on total labour supply is ambiguous. This paper addresses these issues empirically using the socio-economic panel...

This study is the first to estimate mothers' marginal willingness to pay (MWP) for job amenities directly. Its identification strategy relies on German maternity leave length. The key aspect of the maternal leave framework is that mothers can decide whether and when to return to their guaranteed...

This paper extends standard models of work-related training by explicitly incorporating workers' locus of control into the investment decision. Our model both differentiates between general and specific training and accounts for the role of workers and firms in training decisions. Workers with...

Empirical studies use the assumption of stability in individual risk attitudes when searching for a relationship between attitude to risk and the decision to become and survive as an entrepreneur. We show that risk attitudes do not remain stable but face endogenous adaption when starting a new...

This article examines heterogeneity in the effect of unemployment on social participation. Whereas existing studies on this relationship essentially estimate mean effects, we use quantile regression methods to provide a broader and more complete picture. To account for the potential endogeneity...