This paper evaluates the ability of the empirical model of asset pricing of Campbell(1993a,b) to explain the time-series and cross-sectional variation of expected returns ofportfolios of stocks. In Campbell's model, an alternative risk-return relationship is derivedby substituting consumption...

In this paper we show that standard tests for long-run Purchasing Power Parity (PPP) are misspecified if aggregate prices are sticky. Using Monte Carlo simulations, we show that in small samples the ADF test has low power to reject the null of no cointegration when long-run PPP is tested using...

The launch of the single currency in Europe in January 1999 was preceded by a period of regulatory harmonization, convergence in bond yields and inflation rates, and strict fiscal policy across the Eurozone countries. We examine whether the 1990s also were characterized by increased stock market...