This article reports the results of experimental asset markets in which participants trade two assets with distinct dividend claims. Some traders are able to transact in the markets for both assets, whereas others can trade in only one market. When some are restricted from transacting in one...

We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed U.S. firms clustered into eleven industries. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine...

I use 1.38 million TV news transcripts to investigate the relationship between U.S. home prices and immigration narrative sentiment. One standard deviation orthogonalized shock to the sentiment Granger-causes a statistically significant and economically meaningful increase in home prices. The...

Policy makers and market participants often consider the forward-looking information in currency option valuations when making assessments about future developments in foreign exchange rates. Option implied volatilities can be used as forecasts of realized volatility and interval and density...

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...