Content
2009
- 09-12 Efficiency in Large Dynamic Panel Models with Common Factor
by Patrick GAGLIARDINI & Christian GOURIEROUX - 09-11 The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
by Ramazan GENCA & Rajna GIBSON & Yi XUE - 09-10 Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation
by Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF - 09-09 Dynamic Investment and Financing under Asymmetric Information
by Erwan MORELLEC & Norman SCHURHOFF - 09-08 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
by Camilo SERRANO & Martin HOESLI - 09-07 On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market
by Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL - 09-06 An Empirical Analysis of Alternative Portfolio Selection Criteria
by Manfred GILLI & Enrico SCHUMANN - 09-05 Non-parametric counterfactual analysis in dynamic general equilibrium
by Felix KUBLER & Karl SCHMEDDERS - 09-04 Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
by Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE - 09-03 Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
by Jaksa CVITANIC & Semyon MALAMUD - 09-02 Information Percolation with Equilibrium Search Dynamics
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 09-01 Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP
by Christian EWERHART
2008
- 08-49 Incomplete-Market Equilibria Solved Recursively on an Event Tree
by Bernard DUMAS & Andrew LYASOFF - 08-48 Sacred values in financial economic decision-making: Experimental evidence
by Rajna GIBSON & Carmen TANNER & Alexander F. WAGNER - 08-47 What do frictions mean for Q-theory testing?
by Maria Cecilia BUSTAMANTE - 08-46 The Dynamics of Going Public
by Maria Cecilia BUSTAMANTE - 08-45 Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER - 08-44 Frailty Correlated Default
by Darrell DUFFIE & Andreas ECKNER & Guillaume HOREL & Leandro SAITA - 08-43 The Price of Protection: Derivatives, Default Risk, and Margining
by Rajna GIBSON & Carsten MURAWSKI - 08-42 Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
by Amine LAHIANI & Olivier SCAILLET - 08-41 Strategies of Survival in Dynamic Asset Market Games
by Rabah AMIR & Igor V. EVSTIGNEEV & Le XU - 08-40 Asymmetric Information and Adverse Selection in Mauritian Slave Auctions
by Georges DIONNE & Pascal ST-AMOUR & Desire VENCATACHELLUM - 08-39 Global Securitized Real Estate Benchmarks and Performance
by Camilo SERRANO & Martin HOESLI - 08-38 Auctioned IPOs: The U.S. Evidence
by François DEGEORGE & François DERRIEN & Kent L. WOMACK - 08-37 Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?
by Rajna GIBSON & Songtao WANG - 08-36 Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM
by Francesco FRANZONI & Tobias ADRIAN - 08-35 The Changing Nature Of Market Risk
by Francesco FRANZONI - 08-34 Constructing Long/Short Portfolios with the Omega ratio
by Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ - 08-33 Look-Ahead Benchmark Biasin Portfolio Performance Evaluation
by Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN - 08-32 Bond Ladders and Optimal Portfolios
by Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS - 08-31 Asset Market Games of Survival
by Rabah AMIR & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE - 08-30 From Discrete to Continuous Time Evolutionary Finance Models
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE - 08-29 Market Selection of Constant Proportions Investment Strategies in Continuous Time
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE - 08-28 Bubbles and multiplicity of equilibria under portfolio constraints
by Julien Hugonnier - 08-27 Are Securitized Real Estate Returns more Predictable than Stock Returns?
by Camilo Serrano & Martin Hoesli - 08-26 Mutual Fund Competition in the Presence of Dynamic Flows
by Michèle Breton & Julien Hugonnier & Tarek Masmoudi - 08-25 Mathematical Basis of Quantum Decision Theory
by Vyacheslav I. Yukalov & Didier Sornette - 08-24 Counterparty risk
by Christian Ewerhart & Jens Tapking - 08-23 Incomplete information, idiosyncratic volatility and stock returns
by Tony BERRADA & Julien HUGONNIER - 08-22 Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions
by Francesco A. Franzoni - 08-21 The Determinants of the Block Premium and of Private Benefits of Control
by Rui Albuquerque & Enrique Schroth - 08-20 Valuing modularity as a real option
by Andrea GAMBA & Nicola FUSARI - 08-19 Ambiguity Aversion and the Term Structure of Interest Rates
by Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani - 08-18 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - 08-17 Distributed Optimisation of a Portfolio's Omega
by Manfred Gilli & Enrico Schumann - 08-16 Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
by Georges Harras & Didier Sornette - 08-15 Anomalous Returns in a Neural Network Equity-Ranking Predictor
by J.B. Satinover & D. Sornette - 08-14 Evolutionary Finance
by Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé - 08-13 Executive Compensation and Stock Options: An Inconvenient Truth
by Jean-Pierre Danthine & John B. Donaldson - 08-12 A review of heuristic optimization methods in econometrics
by Manfred GILLI & Peter WINKER - 08-11 The executive turnover risk premium
by Florian S. PETERS & Alexander F. WAGNER - 08-10 Constant-Quality House Price Indexes for Switzerland
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Philippe SORMANI - 08-09 Cash Sub-additive Risk Measures and Interest Rate Ambiguity
by Nicole EL KAROUI & Claudia RAVANELLI - 08-08 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. BRODA & Marc S. PAOLELLA - 08-07 Capital growth under transaction costs: An analysis based on the von Neumann-Gale model
by Wael BAHSOUN & Igor V. EVSTIGNEEV & Michael I. TAKSAR - 08-06 Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
by Eric Jondeau - 08-05 Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
by Pierre Bajgrowicz & Olivier Scaillet - 08-04 Implied Volatility at Expiration
by Alexey Medvedev - 08-03 Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
by Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet - 08-02 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
by Marc Chesney & Luca Taschini - 08-01 Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli
2007
- 07-37 Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
by Bernard Dumas & Alexander Kurshev & Raman Uppal - 07-36 Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
by Eric Jondeau & Jean-Guillaume SAHUC - 07-35 Forecasting EREIT Returns
by Camilo Serrano & Martin Hoesli - 07-34 Dynamic Option-Based Strategies under Downside Loss Averse Preferences
by Amine Jalal - 07-33 Executive Compensation: The View from General Equilibrium
by Jean-Pierre Danthine & John B. Donaldson - 07-32 Arbitrage in Stationary Markets
by Igor Evstigneev & Dhruv Kapoor - 07-31 Robust Value at Risk Prediction
by Loriano Mancini & Fabio Trojani - 07-30 Prospect Theory for Continuous Distributions Games and Prospects
by Marc Oliver Rieger & Mei Wang - 07-29 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-28 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-27 Hybrid Cat-bonds
by Pauline Barrieu & Henri Loubergé - 07-26 Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
by Gregory Connor & Matthias Hagmann & Oliver Linton - 07-25 Pricing American Options under Stochastic Volatility and Stochastic Interest Rates
by Alexey MEDVEDEV & Olivier SCAILLET - 07-24 Testing For Equality Between Two Copulas
by Bruno Rémillard & Olivier Scaillet - 07-23 Asset Pricing, Habit Memory, and the Labor Market
by Ivan Jaccard - 07-22 Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations
by Christian Ewerhart & Nuno Cassola & Natacha Valla - 07-21 Financial Market Equilibria With Cumulative Prospect Therory
by Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger - 07-20 Do Stylised Facts of Order Book Markets Need Strategic Behaviour?
by Dan Ladley & Klaus Reiner Schenk-Hoppe - 07-19 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
by Ivan Jaccard - 07-18 Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets
by Alena Audzeyeva & Klaus Reiner Schenk-Hoppe - 07-17 Board Independence and Competence
by Alexander F. WAGNER - 07-16 Why Firms Purchase Property Insurance?
by Daniel Aunon-Nerin & Paul Ehling - 07-15 Conspicuous Conservatism In Risk Choice
by Boaz Moselle & François Degeorge & Richard Zeckhauser - 07-14 Stochastic Reference Points And The Dependence Structure
by Enrico De Giorgi & Thierry Post - 07-13 A Specification Test For Nonparametric Instrumental Variable Regression
by Patrick Gagliardini & Olivier Scaillet - 07-12 Anomalies In Intertemporal Choice?
by Anke Gerber & Kirsten I.M. Rohde - 07-11 Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang - 07-10 Stochastic Volatility: Risk Minimization and Model Risk
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe - 07-09 Benchmarks in Aggregate Household Portfolios
by Pascal St-Amour - 07-08 Bankcruptcy Law and Firms’ Behavior
by Anne Epaulard & Aude Pommeret - 07-07 Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers & Philipp J. Schoenbucher - 07-06 Aggregating Phillips Curves
by Jean Imbs & Eric Jondeau & Florian Pelgrin - 07-05 Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments
by Peter Bossaerts & Charles Plott & William R. Zame - 07-04 Why Do the Swiss Rent?
by Steven C. Bourassa & Martin Hoesli - 07-03 A GARCH Option Pricing Model in Incomplete Markets
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - 07-02 Barrier Option Pricing Using Adjusted Transition Probabilities
by Giovanni Barone-Adesi & Nicola Fusari & John Theal - 07-01 An Objective Function for Simulation Based Inference on Exchange Rate Data
by Peter Winker & Manfred Gilli & Vahidin Jeleskovic
2006
- 06-39 Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
by Philippe Ehlers & Philipp J. Schonbucher - 06-38 On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
by Terje Lensberg & Klaus Reiner Schenk-Hoppe - 06-37 House Prices, Real Estate Returns and the Business Cycle
by Ivan Jaccard - 06-36 Finance and Efficiency: Do Bank Branching Regulations Matter?
by Viral V. Acharya & Jean Imbs & Jason Sturgess - 06-35 The Economic Value of Distributional Timing
by Eric Jondeau & Michael Rockinger - 06-34 Loyalty and competence: Empirical evidence from public agencies
by Alexander F. Wagner - 06-33 Robust Subsampling
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 06-32 Local Transformation Kernel Density Estimation of Loss Distributions
by J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet - 06-31 The Determinants of Mutual Fund Performance: A Cross-Country Study
by Miguel A. Ferreira & António F. Miguel & Sofia Ramos - 06-30 Tikhonov Regularization for Functional Minimum Distance Estimators
by P. Gagliardini & O. Scaillet - 06-29 Manipulation in Money Markets
by Christian Ewerhart & Nuno Cassola & Steen EJjerksov & Natacha Valla - 06-28 The Impact of News on Higher Moments
by Eric Jondeau & Michael Rockinger - 06-27 Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities
by Martin Vlcek - 06-26 An Econometric Analysis of Emission Trading Allowances
by Marc S. Paoletta & Luca Taschini - 06-25 Insuring a risky investment project
by Henri Loubergé & Richard Watt - 06-24 The Quality of Public Information and The Term Structure of Interest Rates
by Frederik Lundtofte - 06-23 Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy
by Frederik Lundtofte - 06-22 Financing and Takeovers
by Erwan Morellec & Alexei Zhdanov - 06-21 Using Economic and Financial Information for Stock Selection
by Ilir Roko & Manfred Gilli - 06-20 House Prices and Bubbles in New Zealand
by Patricia Fraser & Martin Hoesli & Lynn Mc Alevey - 06-19 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
by Bernard Dumas & Alexander Kurshev & Raman Uppal - 06-18 Intangible Capital, Corporate Valuation and Asset Pricing
by Jean-Pierre Danthine & Xiangrong JIN - 06-17 Corporate Finance in Europe: A Survey
by Francois Degeorge & Ernst Maug - 06-16 Exchange Rate Volatility and Productivity Growth: The Role of Financial Development
by Philippe Aghion & Philippe Baccheta & Romain Ranciere & Kenneth Rogoff - 06-15 Predictability in Financial Markets: What Do Survey Expectations Tell Us?
by Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop - 06-14 Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?
by François-Serge Lhabitant - 06-13 ‘Running in the Family’ The Evolution of Ownership,Control and Performance in German Familyowned Firms, 1903-2003
by Olaf Ehrhardt & Eric NOWAK & Felix-Michael WEBER - 06-12 Unifications of Dual-Class Shares in Germany Empirical Evidence on the Effects ofRelated Changes in Ownership Structure, Market Value, and Bid-Ask Spreadsnce from the German Stock Market
by Olaf Ehrhardt & Jan Kuklinski & Eric Nowak - 06-11 The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes - Evidence from the German Stock Market
by Eric Nowak & Roland Rott & Till G. Mahr - 06-10 Why Do Stock Exchanges Demutualize and Go Public?
by Sofia Brito Ramos - 06-09 Growth and Volatility
by Jean Imbs - 06-08 Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
by Alexey Medvedev & Olivier Scaillet - 06-07 Bounded Rationality and Asset Pricing
by Tony Berrada - 06-06 What Jump Process to use to Model S&P500 Returns?
by Maria Semenova - 06-05 Model Combination and Stock Return Predictability
by Matthias Hagmann & Joachim Loebb - 06-04 The Inflation Hedging Characteristics of US and UK Investments: A Multifactor Error Correction Approach
by Martin Hoesli & Colin Lizieri & Bryan MacGregor - 06-03 The Overhang Hangover
by Jean Imbs & Romain Rancière - 06-02 A Data-Driven Optimization Heuristic for Downside Risk Minimization
by Manfred Gilli & Evis Këllezi & Hilda Hysi - 06-01 Stock Returns in Mergers and Acquisitions
by Dirk Hackbarth & Erwan Morellec