We show how economic agents' limited attention can account for the time-varying link between exchange rates and economic fundamentals. We demonstrate that the higher is the attention for a certain fundamental, the higher is its predictive power in forecasting future currency movements. We proxy...

In this paper we develop and estimate a heterogeneous agents model with three different types of agents, switching beliefs, and two equity markets, Hong Kong and Thailand, in the period surrounding the Asian crisis. We find that investors are heterogeneous in their expectation formation...

We develop and estimate a dynamic heterogeneous agent model for the EMS period. Our empirical results suggest that the existence of heterogeneous interacting agents is indeed a possible explanation for the dynamics of exchange rates during the EMS; we find strong evidence in favor of our model...

We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US...

We examine the impact of CEO-related sexual misconduct on U.S. firms’ stock market value in the #MeToo era. Our findings suggest that investors react negatively to corporate sexual misconduct, meaning that misbehaving CEOs cause significant damage to their shareholders’ wealth. On average,...

This paper presents a framework based on correlation analysis to test for contagion during the episode of financial turmoil surrounding the Asian crisis. In particular, we calculate conditional and unconditional correlation coefficients for 15 countries. We advocate the use of synchronous...

This paper examines the dispersion of beliefs of market participants in the foreign exchange market and their relative role in forming exchange rate expectations. We find distinct variations in the level of dispersion and document that dispersion arises because of a combined effect of market...

In this article we reconsider the Froot and Frankel (1989) results on the sources of forward discount bias. We question the economic validity of some estimation restrictions which they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that...

In this article we reconsider the Foot and Frankel results on the sources of forward discount bias. We question the economic validity of some estimation restrictions that they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that includes...