This paper examines the determinants of future U.S. monetary policy by studying the relationship between a predictor of the future direction of monetary policy and a pertinent information set. Specifically, we investigate the impact of the surprise component of an array of macro-economic...

"This paper introduces a new econometric model of the mispricing associated with (contemporaneous) differences between spot and futures prices. Like existing models, this model assumes that the level of arbitrage activity is positively related to the magnitude of absolute mispricing. However,...

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...

The purpose of this paper is to provide a method by which the economic value of loan advice can be measured. This is achieved by defining advice in terms of the forecasts of future repayments in order to produce a disutility-minimising loan strategy. The economic value of this strategy is then...

A new method of assessing the comparative quality of forecasting models is introduced. This method focuses on the quality of forecasting models over a set of series (cf. the traditionally adopted series-by-series approach)–with a forecasting model that produces good forecasts over a series set...

This paper introduces a methodology for estimating the likelihood of private information usage amongst earnings analysts. This is achieved by assuming that one group of analysts generate forecasts based on the underlying dynamics of earnings, while all other analysts are assumed to issue...

This paper investigates the relationship between forecast accuracy and effort, where effort is defined as the number of times the model used to generate forecasts is recursively estimated over the full sample period. More specifically, within a framework of costly effort, optimal effort...