This paper analyzes purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behavior of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology...

Researchers in the field of foreign exchange markets have worked hard to understand the behavior of nominal and real exchange rates and the mechanics of the markets in which nominal exchange rates are determined. JIMF has played a continual role in this process, via both the research that it has...

We ask how pension fund trustees deal with the booms and busts that funds encounter, and to what extent the decisions of pension fund trustees are affected by behavioral biases. We examine these issues by using a vignette-method field experiment among Dutch pension fund trustees. We find that...

There exists a widespread consensus among mainstream academics and investors that socially responsible investing (SRI) leads to inferior, rather than superior, portfolio performance. Using Innovest's well-established corporate ecoefficiency scores, we provide evidence to the contrary. We compose...

In this paper we present the results of an international survey among 313 CFOs on capitalstructure choice. We document several interesting insights on how theoretical concepts arebeing applied by professionals in the U.K., the Netherlands, Germany, and France and wedirectly compare our results...

Does socially responsible investing (SRI) lead to inferior or superior portfolio performance? This study focused on the concept of eco-efficiency, which can be thought of as the economic value a company creates relative to the waste it generates, and found that SRI produced superior performance....

Using an international database containing 103 German, UK and US ethical mutual funds we review and extend previous research on ethical mutual fund performance. By applying a multi-factor Carhart (1997) model we solve the benchmark problem most prior ethical studies suffered from. After...

We use a controlled economic experiment to examine the implications of asymmetric information for informational linkages between a stock market and a traded call option on that stock. The setting is based on the Kyle model and Back (1993). We find that an insider trades aggressively in both the...

We examine the extent to which the consequences of insider trading for a financial market depend on the trading mechanism in an experimental multiple dealer asset market. In this market, five professional securities traders make a market in a single asset. In each trading round, one of the...

This paper examines trading costs in markets where dealers search for price quotes (such as multiple-dealer equity markets and foreign exchange). Using an experimental market, we compare four popular models for estimating effective spreads. The theoretical implications of 'bid-ask bounce' are...