Peter L. Bossaerts Citations at IDEAS
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The citations below have been collected in an experimental project,
CitEc . These are
citations from works listed in RePEc
that could be analyzed mechanically. So far, only a minority of all
works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.
| Working papers | Articles | Access
and download statistics Working papers
Bruno Biais & Peter Bossaerts & Chester Spatt, 2003.
"Equilibrium Asset Pricing Under Heterogeneous Information ,"
Levine's Bibliography
666156000000000086, UCLA Department of Economics.
[Downloadable!] Other versions:
Bruno Biais & Peter Bossaerts & Chester Spatt, .
"Equilibrium Asset Pricing Under Heterogeneous Information ,"
GSIA Working Papers
2003-E42, Carnegie Mellon University, Tepper School of Business.
[Downloadable!] BIAIS, Bruno & BOSSAERTS, Peter & SPATT, Chester, 2003.
"Equilibrium Asset Pricing Under Heterogenous Information ,"
IDEI Working Papers
159, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!] Cited by:
Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005.
"Behavioral Heterogeneity in Stock Prices ,"
Tinbergen Institute Discussion Papers
05-052/1, Tinbergen Institute.
[Downloadable!]
Other versions: Pierre Monnin, .
"Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices ,"
IEW - Working Papers
iewwp202, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005.
"Behavioral Heterogeneity in Stock Prices ,"
CeNDEF Working Papers
05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
[Downloadable!]
Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005.
"Trusting the Stock Market ,"
CFS Working Paper Series
2005/27, Center for Financial Studies.
[Downloadable!]
Other versions:Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2005.
"Trusting the Stock Market ,"
CEPR Discussion Papers
5288, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005.
"Trusting the Stock Market ,"
NBER Working Papers
11648, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Peter Bossaerts, 2000.
"Learning-Induced Securities Price Volatility ,"
Computing in Economics and Finance 2000
299, Society for Computational Economics.
Cited by:
Larry Epstein & Martin Schneider, 2005.
"Ambiguity, Information Quality and Asset Pricing ,"
RCER Working Papers
519, University of Rochester - Center for Economic Research (RCER).
[Downloadable!]
Other versions:Larry G. Epstein & Martin Schneider, 2008.
"Ambiguity, Information Quality, and Asset Pricing ,"
Journal of Finance ,
American Finance Association, vol. 63(1), pages 197-228, 02.
[Downloadable!] (restricted)
Larry Epstein & Martin Schneider, 2004.
"Ambiguity, Information Quality and Asset Pricing ,"
RCER Working Papers
507, University of Rochester - Center for Economic Research (RCER).
[Downloadable!]
Larry Epstein & Martin Schneider, 2002.
"Learning Under Ambiguity ,"
RCER Working Papers
497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
[Downloadable!]
Other versions:
Bossaerts, Peter, 1997.
"The Dynamics of Equity Prices in Fallible Markets ,"
Working Papers
1015, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!] Cited by:
Jonathan Lewellen & Jay Shanken, 2000.
"Estimation Risk, Market Efficiency, and the Predictability of Returns ,"
NBER Working Papers
7699, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Bossaerts, Peter & Hillion, Pierre, 1997.
"IPO Post-Issue Markets: Questionable Predilections But Diligent Learners? ,"
Working Papers
1014, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Bossaerts, Peter, 1996.
"Martingale Restrictions on Equilibrium Prices of Arrow-Debreu Securities Under Rational Expectations and Consistent Beliefs ,"
Working Papers
958, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!] Cited by:
Lones Smith, 2000.
"Private Information and Trade Timing ,"
American Economic Review ,
American Economic Association, vol. 90(4), pages 1012-1018, September.
[Downloadable!] (restricted)
Other versions:
Bossaerts, P. & Hillion, P., 1995.
"Local Parametric Analysis of Hedging in Discrete Time ,"
Discussion Paper
23, Tilburg University, Center for Economic Research.
[Downloadable!] Cited by:
Eric Ghysels & Andrew Harvey & Éric Renault, 1995.
"Stochastic Volatility ,"
CIRANO Working Papers
95s-49, CIRANO.
[Downloadable!]
Other versions:Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility ,"
Papers
95.400, Toulouse - GREMAQ.
Éric Jacquier & Robert Jarrow, 1996.
"Model Error in Contingent Claim Models Dynamic Evaluation ,"
CIRANO Working Papers
96s-12, CIRANO.
[Downloadable!]
Other versions: Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996.
"Implied Volatility Functions: Empirical Tests ,"
NBER Working Papers
5500, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
René Garcia & Éric Renault, 1998.
"Risk Aversion, Intertemporal Substitution, and Option Pricing ,"
CIRANO Working Papers
98s-02, CIRANO.
[Downloadable!]
Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing ,"
CIRANO Working Papers
97s-19, CIRANO.
[Downloadable!]
Other versions: Matos, Joao Amaro de & Antao, Paula, 2000.
"Market Illiquidity and the Bid-Ask Spread of Derivatives ,"
FEUNL Working Paper Series
wp386, Universidade Nova de Lisboa, Faculdade de Economia.
[Downloadable!]
João Amaro De Matos & Paula Antão, 2003.
"Market illiquidity and bounds on European option prices ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 9(5), pages 475-498, October.
[Downloadable!] (restricted)
P. Bossaerts & C. Hafner & W. H"Ardle, .
"Foreign Exchange Rates Have Surprising Volatility ,"
Sonderforschungsbereich 373
1996-68, Humboldt Universitaet Berlin.
P. Bossaerts & W. H"Ardle & C. Hafner, .
"A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series ,"
Sonderforschungsbereich 373
1995-45, Humboldt Universitaet Berlin.
Cited by:
Bossaerts, P. & Hillion, P., 1995.
"Local Parametric Analysis of Hedging in Discrete Time ,"
Discussion Paper
23, Tilburg University, Center for Economic Research.
[Downloadable!]
P. Bossaerts & C. Hafner & W. H"Ardle, .
"Foreign Exchange Rates Have Surprising Volatility ,"
Sonderforschungsbereich 373
1996-68, Humboldt Universitaet Berlin.
P. Bossaerts & C. Hafner & W. H"Ardle, .
"Foreign Exchange Rates Have Surprising Volatility ,"
Sonderforschungsbereich 373
1996-68, Humboldt Universitaet Berlin.
Cited by:
F. Leblanc & O. V. Lepski, .
"Test for symmetry of regression curves ,"
Sonderforschungsbereich 373
1996-51, Humboldt Universitaet Berlin.
Eric Ghysels & Andrew Harvey & Éric Renault, 1995.
"Stochastic Volatility ,"
CIRANO Working Papers
95s-49, CIRANO.
[Downloadable!]
Other versions:Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility ,"
Papers
95.400, Toulouse - GREMAQ.
W. H"Ardle & A. Tsybakov, .
"Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression ,"
Sonderforschungsbereich 373
1995-42, Humboldt Universitaet Berlin.
W. H"Ardle & A. Tsybakov & L. Yang, .
"Nonparametric Vector Autoregression ,"
Sonderforschungsbereich 373
1996-61, Humboldt Universitaet Berlin.
P. Bossaerts & W. H"Ardle & C. Hafner, .
"A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series ,"
Sonderforschungsbereich 373
1995-45, Humboldt Universitaet Berlin.
C. Hafner, .
"Fourth moments of multivariate GARCH processes ,"
Sonderforschungsbereich 373
2000-80, Humboldt Universitaet Berlin.
Bossaerts, P. & Hillion, P., 1995.
"Local Parametric Analysis of Hedging in Discrete Time ,"
Discussion Paper
23, Tilburg University, Center for Economic Research.
[Downloadable!]
Nour Meddahi & Éric Renault, 1998.
"Quadratic M-Estimators for ARCH-Type Processes ,"
CIRANO Working Papers
98s-29, CIRANO.
[Downloadable!]
Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005.
"Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach ,"
BORRADORES DE ECONOMIA
002605, BANCO DE LA REPÚBLICA.
[Downloadable!]
Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing ,"
CIRANO Working Papers
97s-19, CIRANO.
[Downloadable!]
Other versions: L. Yang & W. H"Ardle, .
"Nonparametric Autoregression with Multiplicative Volatility and Additive Mean ,"
Sonderforschungsbereich 373
1996-62, Humboldt Universitaet Berlin.
Other versions:
Articles
Biais, Bruno & Bossaerts, Peter & Rochet, Jean-Charles, 2002.
"An Optimal IPO Mechanism ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 69(1), pages 117-46, January.
Other versions: Cited by:
Ljungqvist, Alexander P & Wilhelm Jr, William J, 2001.
"IPO Allocations: Discriminatory or Discretionary? ,"
CEPR Discussion Papers
2855, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:Ljungqvist, Alexander P. & Wilhelm, William Jr., 2002.
"IPO allocations: discriminatory or discretionary? ,"
Journal of Financial Economics ,
Elsevier, vol. 65(2), pages 167-201, August.
[Downloadable!] (restricted)
William Wilhelm & Alexander Ljungqvist, 2001.
"IPO Allocations: Discriminatory or Discretionary? ,"
OFRC Working Papers Series
2001fe08, Oxford Financial Research Centre.
[Downloadable!]
William J. Wilhelm & Alexander Ljungqvist, 2002.
"IPO Pricing in the Dot-com Bubble ,"
OFRC Working Papers Series
2002fe07, Oxford Financial Research Centre.
[Downloadable!]
Other versions:Ljungqvist, Alexander P & Wilhelm Jr, William J, 2002.
"IPO Pricing in the dot-com Bubble ,"
CEPR Discussion Papers
3314, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Alexander Ljungqvist & William J. Wilhelm, 2003.
"IPO Pricing in the Dot-com Bubble ,"
Journal of Finance ,
American Finance Association, vol. 58(2), pages 723-752, 04.
[Downloadable!] (restricted)
Goergen, M. & Khurshed, A. & McCahery, J.A. & Renneboog, L.D.R., 2002.
"The rise and fall of the European new markets : on the short and long-run performance of high-tech initial public offerings ,"
Discussion Paper
101, Tilburg University, Center for Economic Research.
[Downloadable!]
Ping Zhang, 2005.
"Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison ,"
Discussion Papers
2005-20, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
[Downloadable!]
Ravi Jagannathan & Ann E. Sherman, 2006.
"Why Do IPO Auctions Fail? ,"
NBER Working Papers
12151, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Matt Pritsker, 2005.
"A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance ,"
Computing in Economics and Finance 2005
414, Society for Computational Economics.
[Downloadable!]
Guray Kucukkocaoglu, 2007.
"Underpricing in Turkey: Comparison of the IPO Methods ,"
Money Macro and Finance (MMF) Research Group Conference 2006
8, Money Macro and Finance Research Group.
[Downloadable!]
Ping Zhang, 2006.
"Uniform price auctions and fixed price offerings in IPOs: an experimental comparison ,"
Discussion Papers
2006-05, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
[Downloadable!]
Fohlin, Caroline, 2000.
"IPO Underpricing in Two Universes: Berlin, 1882-1892, and New York, 1998-2000 ,"
Working Papers
1088, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
François Degeorge & François Derrien & Kent L. Womack, 2004.
"Quid Pro Quo in IPOs: Why Book-building is Dominating Auctions ,"
Working Papers
2004.150, Fondazione Eni Enrico Mattei.
[Downloadable!]
Other versions: Matthew Pritsker, 2006.
"A fully-rational liquidity-based theory of IPO underpricing and underperformance ,"
Finance and Economics Discussion Series
2006-12, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Bourjade, Sylvain, 2002.
"Diversification of Investor's Expertise in IPOs ,"
MPRA Paper
7259, University Library of Munich, Germany, revised Dec 2007.
[Downloadable!]
Ping Zhang, 2006.
"A Complete Characterization of Pure Strategy Equilibrium in Uniform Price IPO Auctions ,"
Discussion Papers
2006-06, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
[Downloadable!]
Alex Stomper & Pegaret Pichler, 2004.
"Primary Market Design: Direct Mechanisms and Markets ,"
Working Papers
2004.9, Fondazione Eni Enrico Mattei.
[Downloadable!]
Naoki Kojima, 2000.
"The Initial Public Offering from a Tripartite Point of View ,"
Econometric Society World Congress 2000 Contributed Papers
1318, Econometric Society.
[Downloadable!]
Tim Jenkinson & Howard Jones, 2006.
"IPO pricing and allocation: a survey of the views of institutional investors ,"
OFRC Working Papers Series
2006fe13, Oxford Financial Research Centre.
[Downloadable!]
Naoki KOJIMA, 2004.
"The IPO Spread and Conflicts of Interests ,"
Economics and Finance Discussion Papers
04-06, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Ljungqvist, Alexander P, 2003.
"Conflicts of Interest and Efficient Contracting in IPOs ,"
CEPR Discussion Papers
4163, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Naoki KOJIMA, 2004.
"The IPO Spread and Conflicts of Interests ,"
Public Policy Discussion Papers
04-06, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Peter Bossaerts & Pierre Hillion, 2001.
"Ipo Post-Issue Markets: Questionable Predilections But Diligent Learners? ,"
The Review of Economics and Statistics ,
MIT Press, vol. 83(2), pages 333-347, May.
[Downloadable!] (restricted) Cited by:
Fohlin, Caroline, 2000.
"IPO Underpricing in Two Universes: Berlin, 1882-1892, and New York, 1998-2000 ,"
Working Papers
1088, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Lucy F. Ackert & Bryan K. Church & Ping Zhang, 2002.
"Asset prices and informed traders' abilities: evidence from experimental asset markets ,"
Working Paper
2002-26, Federal Reserve Bank of Atlanta.
[Downloadable!]
Bossaerts, Peter & Hillion, Pierre, 1999.
"Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 12(2), pages 405-28.
Cited by:
Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004.
"On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts ,"
CEPR Discussion Papers
4165, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Georgi Nalbantov & Rob Bauer & Ida Sprinkhuizen-Kuyper, 2006.
"Equity style timing using support vector regressions ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 16(15), pages 1095-1111, October.
[Downloadable!] (restricted)
Walter Torous & Rossen Valkanov, 2000.
"Boundaries of Predictability: Noisy Predictive Regressions ,"
University of California at Los Angeles, Anderson Graduate School of Management
1081, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Hui Guo & Robert Savickas, 2005.
"Idiosyncratic volatility, stock market volatility, and expected stock returns ,"
Working Papers
2003-028, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions:Guo, Hui & Savickas, Robert, 2006.
"Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 24, pages 43-56, January.
[Downloadable!] (restricted)
Pedro N. Rodríguez, & Simón Sosvilla-Rivero, 2006.
"Forecasting Stock Price Changes: Is it Possible? ,"
Working Papers
2006-22, FEDEA.
[Downloadable!]
Massimo Guidolin & Carrie Fangzhou Na, 2007.
"The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns ,"
Working Papers
2006-059, Federal Reserve Bank of St. Louis.
[Downloadable!]
Laurence Fung & Ip-wing Yu, 2008.
"Predicting Stock Market Returns by Combining Forecasts ,"
Working Papers
0801, Hong Kong Monetary Authority.
[Downloadable!]
Marquering, W.A. & Verbeek, M.J.C.M, 2001.
"The Economic Value of Predicting Stock Index Returns and Volatility ,"
Research Paper
ERS-2001-75-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Hui Guo, 2003.
"On the out-of-sample predictability of stock market returns ,"
Working Papers
2002-008, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Hui Guo, 2004.
"A rational pricing explanation for the failure of CAPM ,"
Review ,
Federal Reserve Bank of St. Louis, issue May, pages 23-34.
[Downloadable!]
Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002.
"Spurious Regressions in Financial Economics? ,"
NBER Working Papers
9143, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Giorgio Valente & Lucio Sarno, 2005.
"Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 20(3), pages 345-376.
[Downloadable!]
Other versions: Massimo Guidolin & Stuart Hyde, 2007.
"What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model ,"
Working Papers
2006-029, Federal Reserve Bank of St. Louis.
[Downloadable!]
Aiolfi, Marco & Favero, Carlo A, 2003.
"Model Uncertainty, Thick Modelling and the Predictability of Stock Returns ,"
CEPR Discussion Papers
3997, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007.
"Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach ,"
Money Macro and Finance (MMF) Research Group Conference 2006
129, Money Macro and Finance Research Group.
[Downloadable!]
Massimo Guidolin & Allan Timmerman, 2006.
"Asset allocation under multivariate regime switching ,"
Working Papers
2005-002, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Todd E. Clark & Michael W. McCracken, 2006.
"Combining forecasts from nested models ,"
Research Working Paper
RWP 06-02, Federal Reserve Bank of Kansas City.
[Downloadable!]
Other versions: Michael W. Brandt & Qiang Kang, 2002.
"On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach ,"
NBER Working Papers
9056, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Marquering, W. & Verbeek, M., 2000.
"The economic value of predicting stock index returns and volatility ,"
Discussion Paper
78, Tilburg University, Center for Economic Research.
[Downloadable!]
Yihong Xia, 2000.
"Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation ,"
University of California at Los Angeles, Anderson Graduate School of Management
1057, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Cesare Robotti, 2003.
"Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio ,"
Working Paper
2003-6, Federal Reserve Bank of Atlanta.
[Downloadable!]
Arnulfo Rodriguez & Pedro N. Rodriguez, 2006.
"Recursive Thick Modeling and the Choice of Monetary Policy in Mexico ,"
Computing in Economics and Finance 2006
30, Society for Computational Economics.
[Downloadable!]
Amit Goyal & Ivo Welch, 2002.
"Predicting the Equity Premium With Dividend Ratios ,"
NBER Working Papers
8788, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Inoue, Atsushi & Kilian, Lutz, 2003.
"On the Selection of Forecasting Models ,"
CEPR Discussion Papers
3809, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:Inoue, Atsushi & Kilian, Lutz, 2006.
"On the selection of forecasting models ,"
Journal of Econometrics ,
Elsevier, vol. 127(2), pages 273-306, February.
[Downloadable!] (restricted)
Lutz Kilian & Atsushi Inoue, 2003.
"On the selection of forecasting models ,"
Working Paper Series
214, European Central Bank.
[Downloadable!]
Amit Goval & Ivo Welch, 2004.
"A Comprehensive Look at the Empirical Performance of Equity Premium Prediction ,"
NBER Working Papers
10483, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Wessel Marquering, 2006.
"Do consumption-based asset pricing models explain return predictability? ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 16(14), pages 1019-1027, October.
[Downloadable!] (restricted)
Andrew Ang & Geert Bekaert, 2001.
"Stock Return Predictability: Is it There? ,"
NBER Working Papers
8207, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998.
"Dating the Integration of World Equity Markets ,"
NBER Working Papers
6724, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Massimo Guidolin & Allan Timmerman, 2005.
"Optimal portfolio choice under regime switching, skew and kurtosis preferences ,"
Working Papers
2005-006, Federal Reserve Bank of St. Louis.
[Downloadable!]
Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005.
"The Myth of Long-Horizon Predictability ,"
NBER Working Papers
11841, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Jay Shanken & Ane Tamayo, 2001.
"Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield ,"
NBER Working Papers
8666, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Biais, Bruno & Bossaerts, Peter, 1998.
"Asset Prices and Trading Volume in a Beauty Contest ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 65(2), pages 307-40, April.
[Downloadable!] (restricted) Cited by:
Pierre Monnin, .
"Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices ,"
IEW - Working Papers
iewwp202, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2007.
"Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility ,"
CEPR Discussion Papers
6455, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007.
"Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility ,"
NBER Working Papers
13401, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005.
"What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? ,"
NBER Working Papers
11803, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Cespa, Giovanni & Vives, Xavier, 2007.
"Dynamic trading and asset prices: Keynes vs. Hayek ,"
IESE Research Papers
D/716, IESE Business School.
[Downloadable!]
Other versions: Franklin Allen & Stephen Morris & Hyun Song Shin, 2003.
"Beauty Contests, Bubbles and Iterated Expectations in Asset Markets Capital Adequacy Regulation: In Search of a Rationale ,"
Center for Financial Institutions Working Papers
03-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
J. Scheinkman & W. Xiong, 2002.
"Overconfidence, Short-Sale Constraints and Bubbles ,"
Princeton Economic Theory Working Papers
98734966f1c1a57373801367f, UCLA Department of Economics.
[Downloadable!]
William N. Goetzmann & Massimo Massa, 2000.
"Daily Momentum and Contrarian Behavior of Index Fund Investors ,"
NBER Working Papers
7567, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Franklin Allen & Stephen Morris & Hyun Song Shin, 2003.
"Beauty Contests, Bubbles and Iterated Expectations in Asset Markets ,"
Cowles Foundation Discussion Papers
1406, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2005.
"What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? ,"
CEPR Discussion Papers
5367, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Bossaerts, Peter & Hillion, Pierre, 1991.
"Market Microstructure Effects of Government Intervention in the Foreign Exchange Market ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 4(3), pages 513-41.
[Downloadable!] (restricted) Cited by:
Manuel Gomez & Michael Melvin, .
"Explaining the Early Years of the Euro Exchange Rate: an episode of learning about a new central bank ,"
Working Papers
2179608, Department of Economics, W. P. Carey School of Business, Arizona State University.
[Downloadable!]
Other versions: Martin D. D. Evans & Richard K. Lyons, 2003.
"Are Different-Currency Assets Imperfect Substitutes? ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo GmbH.
[Downloadable!]
Michael Melvin & Manuel Gomez, 2004.
"Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities ,"
Econometric Society 2004 North American Winter Meetings
72, Econometric Society.
[Downloadable!]
Fernando González & Simo Launonen, 2005.
"Towards European monetary integration - the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions ,"
Working Paper Series
569, European Central Bank.
[Downloadable!]
Richard T. Baillie & William P. Osterberg, 1991.
"The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990 ,"
Working Paper
9109, Federal Reserve Bank of Cleveland.
[Downloadable!]
Törbjörn I. Becker & Amadou N. R. Sy, 2005.
"Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis? ,"
IMF Working Papers
05/34, International Monetary Fund.
[Downloadable!]
Other versions: Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994.
"The Implications of First-Order Risk Aversion for Asset Market Risk Premiums ,"
NBER Working Papers
4624, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994.
"The implications of first-order risk aversion for asset market risk premiums ,"
Working Paper Series, Macroeconomic Issues
94-22, Federal Reserve Bank of Chicago.
Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997.
"The implications of first-order risk aversion for asset market risk premiums ,"
Journal of Monetary Economics ,
Elsevier, vol. 40(1), pages 3-39, September.
[Downloadable!] (restricted)
Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005.
"Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach ,"
BORRADORES DE ECONOMIA
002605, BANCO DE LA REPÚBLICA.
[Downloadable!]
Geert Bekaert & Robert J. Hodrick, 1991.
"On Biases in the Measurement of Foreign Exchange Risk Premiums ,"
NBER Working Papers
3861, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: P. Bossaerts & C. Hafner & W. H"Ardle, .
"Foreign Exchange Rates Have Surprising Volatility ,"
Sonderforschungsbereich 373
1996-68, Humboldt Universitaet Berlin.
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