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Information about:
Peter L. Bossaerts

Personal Details | Affiliation | Works
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Personal Details

First Name: Peter
Middle Name: L.
Last Name: Bossaerts
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RePEc Short-ID: pbo132

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Homepage: http://www.hss.caltech.edu/~pbs
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Recursive Impact Factor

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics. [Downloadable!]

  2. Peter Bossaerts & William R. Zame, 2005. "Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment," UCLA Economics Working Papers 841, UCLA Department of Economics. [Downloadable!]
    Published as:

  3. Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics. [Downloadable!]
    Other versions:

  4. Ledyard, John O. & Bossaerts, Peter & Fine, Leslie., 2000. "Inducing Liquidity In Thin Financial Markets Through Combined-Value Trading Mechanisms," Working Papers 1095, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    Published as:

  5. Peter Bossaerts, 2000. "Learning-Induced Securities Price Volatility," Computing in Economics and Finance 2000 299, Society for Computational Economics.

  6. Bossaerts, Peter & Plott, Charles R., 2000. "Basic Principles of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets," Working Papers 1070, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    Other versions:
    Published as:

  7. Bossaerts, Peter & Kleiman, Daniel & Plott, Charles, 1998. "Price Discovery in Financial Markets: The Case of the CAPM," Working Papers 1032, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]

  8. Bossaerts, Peter & Bodarenko, Oleg, 1997. "Expectations and Learning in Iowa," Working Papers 989, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    Published as:

  9. 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!]
    Published as:

  10. Biais, Bruno & Bossaerts, Peter & Rochet, Jean-Charles, 1996. "An optimal IPO mechanism," IDEI Working Papers 59, Institut d'Économie Industrielle (IDEI), Toulouse.
    Published as:

  11. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:

  12. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  13. Bossaerts, Peter, 1993. "Transaction Prices When Insiders Trade Portfolios," Working Papers 835, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]

  14. Bossaerts, Peter & Hillion, Pierre, 1993. "Testing The Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections," Working Papers 854, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]

  15. Biais, Bruno & Bossaerts, Peter, 1993. "Asset Prices and Volume in a Beauty Contest," Working Papers 832, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]

  16. Bossaerts, Peter & Dammon, Robert M., 1991. "Tax-Induced Intertemporal Restrictions on Security Returns," Working Papers 763, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    Published as:

  17. 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.

Articles

  1. Bossaerts, Peter & Zame, William R., 2006. "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment," Finance Research Letters, Elsevier, vol. 3(2), pages 96-101, June. [Downloadable!] (restricted)
    Other versions:

  2. Peter Bossaerts, 2004. "Filtering Returns for Unspecified Biases in Priors when Testing Asset PricingTheory," Review of Economic Studies, Blackwell Publishing, vol. 71(1), pages 63-86, 01. [Downloadable!] (restricted)

  3. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, vol. 8(2), pages 135-169. [Downloadable!]
    Other versions:

  4. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August. [Downloadable!] (restricted)

  5. Asparouhova, Elena & Bossaerts, Peter & Plott, Charles, 2003. "Excess demand and equilibration in multi-security financial markets: the empirical evidence," Journal of Financial Markets, Elsevier, vol. 6(1), pages 1-21, January. [Downloadable!] (restricted)

  6. Bossaerts, Peter & Plott, Charles, 2002. "The CAPM in thin experimental financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1093-1112, July. [Downloadable!] (restricted)

  7. 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:

  8. Bossaerts, Peter & Fine, Leslie & Ledyard, John, 2002. "Inducing liquidity in thin financial markets through combined-value trading mechanisms," European Economic Review, Elsevier, vol. 46(9), pages 1671-1695, October. [Downloadable!] (restricted)
    Other versions:

  9. 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)
    Other versions:

  10. Bondarenko, Oleg & Bossaerts, Peter, 2000. "Expectations and learning in Iowa," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1535-1555, September. [Downloadable!] (restricted)
    Other versions:

  11. 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.

  12. 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)

  13. Bossaerts, Peter & Hillion, Pierre, 1997. "Local parametric analysis of hedging in discrete time," Journal of Econometrics, Elsevier, vol. 81(1), pages 243-272, November. [Downloadable!] (restricted)
    Other versions:

  14. Bossaerts, Peter & Dammon, Robert M, 1994. " Tax-Induced Intertemporal Restrictions on Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1347-71, September. [Downloadable!] (restricted)
    Other versions:

  15. 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)

  16. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364. [Downloadable!] (restricted)

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-EXP: Experimental Economics (2) 2000-04-17 2006-04-29 Author is listed
  2. NEP-FIN: Finance (3) 2000-04-17 2003-08-24 2004-12-02 Author is listed
  3. NEP-FMK: Financial Markets (3) 2000-04-17 2006-02-19 2006-04-29 Author is listed
  4. NEP-MAC: Macroeconomics (1) 2006-02-19 Author is listed
  5. NEP-UPT: Utility Models & Prospect Theory (1) 2006-04-29 Author is listed
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This page was last updated on 2009-11-20.

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