Report NEP-FIN-2004-11-22

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• Wayne Y. Lee & Anjan V. Thakor, 2004. "Regulatory Pricing and Capital Investment under Asymmetric Information about Cost," Finance 0411022, EconWPA. [Downloadable!]
• Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, EconWPA. [Downloadable!]
• Anjan V. Thakor, 2004. "Information, Investment Horizon, and Price Reactions," Finance 0411029, EconWPA. [Downloadable!]
• Corrado Crocetta & Nicola Loperfido, 2004. "A sign-based estimator for correlation between financial returns," Quaderni DSEMS 20-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
• Wink Joosten, 2004. "The Asian Financial Crisis in Retrospect: What Happened? What Can We Conclude?," CPB Memoranda 87, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
• Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Item repec:rsm:murray:m604 is not listed on IDEAS anymore

• Ahron R. Ofer & Anjan V. Thakor, 2004. "A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchase and Dividends," Finance 0411031, EconWPA. [Downloadable!]
• K. Victor Chow & Ou Hu, 2004. "Conditional Mean Dominance: Testing for Sufficiency of Anomalies," Working Papers 04-01, Department of Economics, West Virginia University. [Downloadable!]
• Akash Gupta & Samik Metia & Prashant Trivedi, 2004. "The Effects of Option Expiration on NSE volume and prices," Finance 0411035, EconWPA. [Downloadable!]
• Item repec:rsm:pubpol:p304 is not listed on IDEAS anymore

• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Andreas Gintschel & Andreas Hackethal, 2004. "Multi-Bank Loan Pool Contracts," Working Paper Series: Finance and Accounting 129, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
• Anjan V. Thakor, 2004. "An Exploration of Competitive Signalling Equilibria with 'Third Party' Information Production: The Case of Debt Insurance," Finance 0411028, EconWPA. [Downloadable!]
• Nicola Cetorelli & Philip E. Strahan, 2004. "Finance as a Barrier to Entry: Bank Competition and Industry Structure in Local U.S. Markets," NBER Working Papers 10832, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Jong-Won Yoon, 2004. "Circuit Breakers and Price Discovery: Theory and Evidence," Levine's Working Paper Archive 618897000000000896, UCLA Department of Economics. [Downloadable!]
• Anand Mohan Goel & Anjan V. Thakor, 2004. "Why Do Firms Smooth Earnings?," Finance 0411021, EconWPA. [Downloadable!]
• Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Working Papers 04-42, Bank of Canada. [Downloadable!]
• Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Ram T. S. Ramakrishnan & Anjan V. Thakor, 2004. "The Valuation of Assets under Moral Hazard," Finance 0411032, EconWPA. [Downloadable!]
• John Geanakoplos & Michael Magill & Martine Quinzii, 2004. "Demography and the Long Run Behavior of the Stock Market," Levine's Bibliography 122247000000000643, UCLA Department of Economics. [Downloadable!]
• Andersson, Tommy, 2004. "Profit Maximizing Nonlinear Pricing Revisited," Working Papers 2004:24, Lund University, Department of Economics.
• Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Andreas Hackethal & Alexandre Zdantchouk, 2004. "Share Buy-Backs in Germany - Overreaction to Weak Signals?," Working Paper Series: Finance and Accounting 128, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
• Raghuram G. Rajan, 2004. "Dollar Shortages and Crises," NBER Working Papers 10845, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Anjan V. Thakor, 2004. "Capital Requirements, Monetary Policy, and Aggregate Bank," Finance 0411027, EconWPA. [Downloadable!]
• Andrea Brasili & Giuseppe Vulpes, 2004. "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance 0411011, EconWPA, revised 02 Nov 2005.
• Geir Høidal Bjønnes, Dagfinn Rime and Haakon O.Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway. [Downloadable!]
• Nooman Rebei, 2004. "Characterization of the Dynamic Effects of Fiscal Shocks in a Small Open Economy," Working Papers 04-41, Bank of Canada. [Downloadable!]
• Sudhakar D. Deshmukh & Stuart I. Greenbaum & Anjan V. Thakor, 2004. "Capital Accumulation and Deposit Pricing in Mutual Financial Institutions," Finance 0411020, EconWPA. [Downloadable!]
• Yannis Bilias & Michael Haliassos, 2004. "The Distribution of Gains from Access to Stocks," CSEF Working Papers 125, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
• Salman Shah & Anjan V. Thakor, 2004. "Private versus Public Ownership: Investment, Ownership Distribution, and Optimality," Finance 0411026, EconWPA. [Downloadable!]
• Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO. [Downloadable!]
• Ulrike Malmendier & Geoffrey Tate, 2004. "Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction," NBER Working Papers 10813, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets: Part b," Working Papers Rutgers University, Newark 2004-011, Department of Economics, Rutgers University, Newark. [Downloadable!]
• Takatoshi Ito & Yuko Hashimoto, 2004. "Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System," NBER Working Papers 10856, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Anusha Chari & Paige P. Ouimet & Linda L. Tesar, 2004. "Acquiring Control in Emerging Markets: Evidence from the Stock Market," NBER Working Papers 10872, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Mansor H. Ibrahim, 2004. "Integration or Segmentation of Malaysian Equity Market: An Analysis of Pre- and Post- Capital Controls," Finance 0411010, EconWPA. [Downloadable!]
• Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004. "Pseudo Market Timing and Predictive Regressions," NBER Working Papers 10823, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Marco Pagano & Ernst-Ludwig von Thadden, 2004. "The European Bond Markets under EMU," CSEF Working Papers 126, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
• William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Enzo Dia, 2004. "Monopolistic Pricing in the Banking Industry: a Dynamic Portfolio Model," Finance 0411025, EconWPA. [Downloadable!]
• Anjan V. Thakor & Richard Callaway, 2004. "Costly Information Production Equilibria in the Bank Credit Market with Applications to Credit Rationing," Finance 0411030, EconWPA. [Downloadable!]
• Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, EconWPA, revised 25 Jan 2005. [Downloadable!]
• Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Lahcen ACHY, 2004. "Financial liberalization, saving, investment and growth in MENA countries," Finance 0411004, EconWPA. [Downloadable!]
• Marcia H. Millon & Anjan V. Thakor, 2004. "Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies," Finance 0411024, EconWPA. [Downloadable!]
• Lisa Farrell & Roger Hartley, . "Can Expected Utility Theory Explain Gambling?," Discussion Papers in Public Sector Economics 00/8, Department of Economics, University of Leicester. [Downloadable!]
• Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA. [Downloadable!]
• Goetz von Peter, 2004. "Asset Prices and Banking Distress: A Macroeconomic Approach," Finance 0411034, EconWPA. [Downloadable!]
• K. Victor Chow & Sunny Liao & Peter Ou Hu, 2004. "Marginal Conditional Stochastic Dominance between Value and Growth," Working Papers 04-02, Department of Economics, West Virginia University. [Downloadable!]
• Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004. [Downloadable!]
• Jacob Gyntelberg & Frank Hansen, 2004. "Expected utility theory with ”small worlds”," Discussion Papers 04-20, University of Copenhagen. Department of Economics, revised Jan 2005. [Downloadable!]
• Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance 0411005, EconWPA. [Downloadable!]
• Malcolm Baker & Richard S. Ruback & Jeffrey Wurgler, 2004. "Behavioral Corporate Finance: A Survey," NBER Working Papers 10863, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO. [Downloadable!]
• Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance 0411006, EconWPA. [Downloadable!]
• Yuk-Shee Chan & Anjan V. Thakor, 2004. "Collateral and Competitive Equilibria with Moral Hazard and Private Information," Finance 0411019, EconWPA. [Downloadable!]
• Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, EconWPA. [Downloadable!]
• Wayne L. Lee & Anjan V. Thakor & Gautam Vora, 2004. "Screening, Market Signalling, and Capital Structure Theory," Finance 0411023, EconWPA. [Downloadable!]
• Alberto Bisin & Piero Gottardi & Adriano A. Rampini, 2004. "Managerial Hedging and Portfolio Monitoring," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Ulrike Malmendier & Devin Shanthikumar, 2004. "Are Investors Naive About Incentives?," NBER Working Papers 10812, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Maria Grazia Romano, 2004. "Learning, Cascades and Transaction Costs," CSEF Working Papers 123, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
• Harald A. Benink & Jose Luis Gordillo & Juan Pablo Pardo & Christopher R. Stephens, 2004. "A Study of Neo-Austrian Economics using an Artificial Stock Market," Finance 0411038, EconWPA. [Downloadable!]
• Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. " Monetary Policy Rules, Asset Prices and Exchange Rates," CDMA Working Paper Series 0403, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
• Rolf Poulsen, 2004. "Exotic Options: Proofs Without Formulas," FRU Working Papers 2004/10, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
• Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004. "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers 10820, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Item repec:eab:eabeco:0411 is not listed on IDEAS anymore

• Ram T. S. Ramakrishnan & Anjan V. Thakor, 2004. "Moral Hazard, Agency Costs, and Asset Prices in a Competitive Equilibrium," Finance 0411033, EconWPA. [Downloadable!]
• Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA. [Downloadable!]
• Issam Hallak, 2004. "Why Borrowers Pay Premiums to Larger Lenders: Empirical Evidence from Sovereign Syndicated Loans," CSEF Working Papers 124, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
• Cornelis A. Los, 2004. "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance 0411037, EconWPA. [Downloadable!]
• Carlos Andrés Amaya & Peter Rowland, . "Determinants of Investment Flows into Emerging Markets," Borradores de Economia 313, Banco de la Republica de Colombia. [Downloadable!]
• Li Gan & Qi Li, 2004. "Efficiency of Thin and Thick Markets," NBER Working Papers 10815, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Andersson, Tommy, 2004. "Nonlinear Pricing as a Cooperative Game," Working Papers 2004:23, Lund University, Department of Economics, revised 12 Jan 2006.
• Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret, 2004. "Competition Among Securities Markets: Can the Canadian Market Survive?," CIRANO Working Papers 2004s-50, CIRANO. [Downloadable!]
• Jennergren, L. Peter, 2004. "The Effect on Stock Prices of the Swedish Wealth Tax," Working Paper Series in Business Administration 2004:14, Stockholm School of Economics. [Downloadable!]
• Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
• Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]
• Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

This page was last updated on 2008-7-20.