Techniques for determining the number of stochastic trends generating a set of non-stationary panel data are applied to budget shares for a number of commodity groups from the Family Expenditure Survey (FES) for the UK for the years 1973-2001. It is argued that some stochastic trends in macro...

Standard macroeconomic models suggest that the ‘great ratios’ of consumption to output and investment to output should be stationary. The joint behaviour of consumption, investment and output can then be used to measure trend output. We adopt this approach for the USA and UK, and find...

Do parties matter? Yes, but not in the usual way we tend to think of them: big government Democrats and small government Republicans. Our first regression discontinuity design shows that whether the majority in the House of Representatives is Republican or Democratic does not affect the tax...

In this paper we explore how the composition of a market maker's portfolio and allocation of attention across securities in the portfolio affect pricing. We analyze whether more attention devoted to similar securities enables a market maker to extract information relevant to a stock from order...

We argue that insiders' decisions to trade in short windows before news announcements are likely to result from a trade-off between the incentives to capitalize on the foreknowledge of the disclosure and the risk of regulatory scrutiny and lost reputation. We provide evidence that insider buying...

We add to the concerns raised in Ljungqvist, Malloy and Marston, 2009, Rewriting History, Journal of Finance, 64, 1935-1960, about the reliability of the I/B/E/S data provided by Thomson Reuters (TR). Many of the dates reported as earnings announcement dates are not earnings announcement dates;...

Using data on historical returns on international financial assets, the paper simulates pension fund and pension replacement ratios, building up frequency distributions of these ratios for individuals saving in a defined contribution pension plan in different countries. These frequency...

Golosov and Lucas (2007) have challenged the view that infrequent price adjustments by firms explains why money has aggregate real output effects. The basis of their challenge is the 'selection effect' - re-setting firms are not selected at random, they are those firms whose prices are furthest...

Bils, Klenow and Malin (2009) recently constructed an empirical measure of reset price in.ation (i.e. the rate of change of all ‘desired’ prices) for the US economy, by using the micro-data underpinning the CPI and evaluated whether the existing pricing models can explain both the observed...

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully...