In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results...

In this paper, we test the efficient market hypothesis for 100 US firms listed on the New York Stock Exchange. To test the unit root null hypothesis, we develop a generalized autoregressive heteroskedasticity (GARCH) model that not only caters for the GARCH errors but also allows for two...

In this paper we examine whether tourism predicts macroeconomic variables in Pacific Island countries (PICs), namely, Fiji, the Solomon Islands, PNG, Vanuatu, Samoa, and Tonga. We form seven panels of PICs—one full panel of six countries and six panels where, one-by-one, each country is...

In this paper we study whether the commodity futures market predicts the commodity spot market. Using historical daily data on four commodities—oil, gold, platinum, and silver—we find that they do. We then show how investors can use this information on the futures market to devise trading...

How does the inflation tax impact on buyers’ and sellers’ behaviour? How strong is its effect on aggregate economic activity? To answer, we develop a model of directed search and monetary exchange with inflation. In the model, sellers post prices, which buyers observe before deciding on cash...

This paper presents a theoretical framework that incorporates both preventive actions and treatment opportunities to study health outcomes. In particular, we allow for an agent's eating decision to alter the distribution of future health shocks. Once a shock is realized medical care can be used...

Despite ample empirical evidence on the prevalence of high discount rates among people, applied, quantitative-theoretical macro studies with exponential discounting often assume low positive, or even negative discount rate values. Relying on recent advances from the numerical optimal control...

This paper reports the findings of a choice modelling study designed to estimate the willingness-to-pay (WTP) for improvement of the ecosystem services of Bung Khong Long wetland in Thailand. The findings indicate that the cultural values associated with the wetland are significant suggesting...

In this paper, we are interested in the impact a Major League Baseball (MLB) manager has on a team’s outcome. Using data on manager’s contracts, team performance, and team and manager characteristics, first, we determine the variables that determine a manager's salary. Then, we use a...

We investigate the incremental information conveyed by management forecast errors over and above the consensus analyst forecast error at the time of earnings announcement. To the extent that analysts rationally revise their forecasts to subsume information contained in management releases, it is...