We study the impact of algorithmic trading (AT) in the foreign exchange market using a long
time series of high‐frequency data that identify computer‐generated trading activity. We find …

I test for stock return predictability in the largest and most comprehensive data set analyzed
so far, using four common forecasting variables: the dividend-price (DP) and earnings-price (…

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace
tests for cointegration under the empirically relevant situation of near-integrated variables. …

At long horizons, multiplicative compounding induces strong-to-extreme positive skewness
into stock returns; the magnitude of the effect is primarily determined by single-period volatility…

We investigate the properties of Johansen’s (J Econ Dyn Control 12:231–254, 1988;
Econometrica 59:1551–1580, 1991) maximum eigenvalue and trace tests for cointegration under …

We propose a new empirical specification of volatility that links volatility to the information
flow, measured as the order flow in the market, and to the price sensitivity to that information. …

I develop new results for long-horizon predictive regressions with overlapping observations.
I show that rather than using autocorrelation robust standard errors, the standard t-statistic …

We study empirical mean-variance optimization when the portfolio weights are restricted to
be direct functions of underlying stock characteristics such as value and momentum. The …

We test for efficiency in the Swedish co-op market by examining the negative relationship
between the sales price and the present value of future monthly payments or ‘rents’. If the co-…

Nominal interest rates are unlikely to be generated by unit-root processes. Using data on
short and long interest rates from eight developed and six emerging economies, we test the …