Report NEP-FIN-2005-02-13

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• Rosella Nicolini & Francesco Menoncin, 2005. "The optimal behaviour of firms facing stochastic costs," UFAE and IAE Working Papers 640.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
• Item repec:bbk:bbkefp:0414 is not listed on IDEAS anymore

• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Working Papers 05-2, Bank of Canada. [Downloadable!]
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO. [Downloadable!]
• Canjels, Eugene & Prakash-Canjels, Gauri & Taylor, Alan M, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard 1874-1913," CEPR Discussion Papers 4492, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Koedijk, Kees & Tims, Ben & Van Dijk, Mathijs A, 2004. "Purchasing Power Parity and the Euro Area," CEPR Discussion Papers 4510, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Sraer, David & Thesmar, David, 2004. "Performance and Behaviour of Family Firms: Evidence from the French Stock Market," CEPR Discussion Papers 4520, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2004. "The Real Effects of the Euro: Evidence from Corporate Investments," CEPR Discussion Papers 4521, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Breedon, Francis & Vitale, Paolo, 2004. "An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates," CEPR Discussion Papers 4586, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Dahlquist, Magnus & de Jong, Frank, 2004. "Pseudo Market Timing: Fact or Fiction?," CEPR Discussion Papers 4609, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Keloharju, Matti & Knüpfer, Samuli & Torstila, Sami, 2004. "Do Retail Incentives Work in Privatizations?," CEPR Discussion Papers 4612, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Guttman, Ilan & Kadan, Ohad & Kandel, Eugene, 2004. "A Rational Expectations Theory of the Kink in Earnings Reports," CEPR Discussion Papers 4613, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Brunnermeier, Markus K & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Aron, Janine & Muellbauer, John, 2004. "Estimates of Personal Sector Wealth for South Africa," CEPR Discussion Papers 4646, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Cespa, Giovanni & Cestone, Giacinta, 2004. "Corporate Social Responsibility and Managerial Entrenchment," CEPR Discussion Papers 4648, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Ho, Tai-Kuang & von Hagen, Jürgen, 2004. "Money Market Pressure and the Determinants of Banking Crises," CEPR Discussion Papers 4651, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Brunnermeier, Markus K & Parker, Jonathan A, 2004. "Optimal Expectation," CEPR Discussion Papers 4656, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Cespa, Giovanni, 2004. "Information Sales and Insider Trading," CEPR Discussion Papers 4667, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Guidolin, Massimo & La Ferrara, Eliana, 2004. "Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?," CEPR Discussion Papers 4668, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Ber, Hedva & Yafeh, Yishay, 2004. "Can Venture Capital Funds Pick Winners? Evidence from Pre-IPO Survival Rates and Post-IPO Performance," CEPR Discussion Papers 4672, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Bossaerts, Peter, 2004. "Equilibrium of Real Financial Markets: Theory and Experimental Evidence," CEPR Discussion Papers 4673, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Norden, Lars & Weber, Martin, 2004. "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers 4674, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Banerjee, Abhijit & Duflo, Esther, 2004. "Do Firms Want to Borrow More? Testing Credit Constraints Using a Directed Lending Program," CEPR Discussion Papers 4681, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Flood, Robert P & Rose, Andrew K, 2004. "Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk," CEPR Discussion Papers 4684, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Acharya, Viral V & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Chetty, Raj & Saez, Emmanuel, 2004. "Dividend Taxes and Corporate Behaviour: Evidence from the 2003 Dividend Tax Cut," CEPR Discussion Papers 4722, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Repullo, Rafael, 2004. "Policies for Banking Crises: A Theoretical Framework," CEPR Discussion Papers 4727, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Kandel, Shmuel & Zilca, Shlomo, 2004. "A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002," CEPR Discussion Papers 4729, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Gersbach, Hans, 2004. "Financial Intermediation with Contingent Contracts and Macroeconomic Risks," CEPR Discussion Papers 4735, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Vives, Xavier, 2004. "Complementarities and Games: New Developments," CEPR Discussion Papers 4742, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Gehrig, Thomas & Menkhoff, Lukas, 2004. "The Rise of Fund Managers in Foreign Exchange," CEPR Discussion Papers 4752, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Biais, Bruno & Mariotti, Thomas & Plantin, Guillaume & Rochet, Jean Charles, 2004. "Dynamic Security Design," CEPR Discussion Papers 4753, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Rochet, Jean Charles & Villeneuve, Stéphane, 2004. "Liquidity Risk and Corporate Demand for Hedging and Insurance," CEPR Discussion Papers 4755, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Thesmar, David & Thoenig, Mathias, 2004. "Financial Market Development and the Rise in Firm Level Uncertainty," CEPR Discussion Papers 4761, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Axel, GAUTIER & Malika, HAMADI, 2005. "Internal Capital Market Efficiency of Belgian Holding Companies," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004037, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
• Dirk Bergemann & Ulrich Hege, 2001. "The Financing of Innovation: Learning and Stopping," Cowles Foundation Discussion Papers 1292R, Cowles Foundation, Yale University, revised Oct 2004. [Downloadable!]
• DaniÅ¡evská, P. & Jong, A. de & Verbeek, M.J.C.M., 2004. "Do Banks Influence the Capital Structure Choices of Firms?," Research Paper ERS-2004-040-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!]
• Item repec:dgr:eureri:30002030 is not listed on IDEAS anymore

• Peter Wirtz, 2004. "The Changing Institutions of Governance in Corporate France:What Drives the Process?," Working Papers FARGO 1040701, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
• Andy Snell & Ian Tonks, 1998. "The Profitability of Block Trades in Auction and Dealer Markets," ESE Discussion Papers 9, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
• Item repec:fra:franaf:145 is not listed on IDEAS anymore

• Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005. "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics 159, Göteborg University, Department of Economics. [Downloadable!]
• Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
• Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004. "Portfolio Selection with Monotone Mean-Variance Preferences," ICER Working Papers - Applied Mathematics Series 27-2004, ICER - International Centre for Economic Research, revised Dec 2004. [Downloadable!]
• Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
• Campagnoli Patrizia & Muliere Pietro & Petrone Sonia, . "Generalized dynamic linear models for financial time series," Economics and Quantitative Methods qf0003, Department of Economics, University of Insubria.
• Klaus Fischer & Nabil Khoury, 2005. "The Impact of Ethical Ratings on Canadian Security Performance: Portfolio Management and Corporate Governance Implications," Cahiers de recherche 0501, CIRPEE. [Downloadable!]
• Gábor Kézdi & Robert J. Willis, 2003. "Who Becomes a Stockholder? Expectations, SUbjective Uncertainty, and Asset Allocation," Working Papers wp039, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
• Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers wp063, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
• Tongxuan Yang, 2003. "Defined Benefit Pension Plan Liabilities and International Asset Allocation," Working Papers wp058, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
• Shripad Tuljapurkar & Ronald D. Lee & Qi Li, 2004. "Random Scenario Forecasts Versus Stochastic Forecasts," Working Papers wp073, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
• Patrick de Fontnouvelle & John Jordan & Eric Rosengren, 2005. "Implications of Alternative Operational Risk Modeling Techniques," NBER Working Papers 11103, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management. [Downloadable!]
• Didier Sornette & Anders Johansen & Jean-Philippe Bouchaud, 1995. "Stock market crashes, precursors and replicas," Science & Finance (CFM) working paper archive 500018, Science & Finance, Capital Fund Management. [Downloadable!]
• Marc Potters & Jean-Philippe Bouchaud, 2003. "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive 50002, Science & Finance, Capital Fund Management. [Downloadable!]
• Matthieu Wyart & Jean-Philippe Bouchaud, 2003. "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive 500020, Science & Finance, Capital Fund Management. [Downloadable!]
• Matthieu Wyart & Jean-Philippe Bouchaud, 2002. "Statistical models for company growth," Science & Finance (CFM) working paper archive 500021, Science & Finance, Capital Fund Management. [Downloadable!]
• Irene Giardina & Jean-Philippe Bouchaud, 2002. "Bubbles, crashes and intermittency in agent based market models," Science & Finance (CFM) working paper archive 500022, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud, 2000. "Power-laws in economics and finance: some ideas from physics," Science & Finance (CFM) working paper archive 500023, Science & Finance, Capital Fund Management. [Downloadable!]
• Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2001. "Microscopic models for long ranged volatility correlations," Science & Finance (CFM) working paper archive 500024, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Rama Cont, 1998. "A Langevin approach to stock market fluctuations and crashes," Science & Finance (CFM) working paper archive 500027, Science & Finance, Capital Fund Management. [Downloadable!]
• Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
• Benoit Pochard & Jean-Philippe Bouchaud, 2003. "Option pricing and hedging with minimum expected shortfall," Science & Finance (CFM) working paper archive 500029, Science & Finance, Capital Fund Management. [Downloadable!]
• Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters, 2000. "Option pricing and hedging with temporal correlations," Science & Finance (CFM) working paper archive 500030, Science & Finance, Capital Fund Management. [Downloadable!]
• Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2000. "Hedged Monte-Carlo: low variance derivative pricing with objective probabilities," Science & Finance (CFM) working paper archive 500031, Science & Finance, Capital Fund Management. [Downloadable!]
• Farhat Selmi & Jean-Philippe Bouchaud, 2000. "Hedging large risks reduces the transaction costs," Science & Finance (CFM) working paper archive 500033, Science & Finance, Capital Fund Management. [Downloadable!]
• Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management. [Downloadable!]
• Andrew Matacz, 1997. "Financial modeling and option theory with the truncated Lévy process," Science & Finance (CFM) working paper archive 500035, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Marc Potters, 1998. "Back to basics: historical option pricing revisited," Science & Finance (CFM) working paper archive 500036, Science & Finance, Capital Fund Management. [Downloadable!]
• Marc Potters & Rama Cont & Jean-Philippe Bouchaud, 1996. "Financial markets as adaptative systems," Science & Finance (CFM) working paper archive 500037, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Didier Sornette & Marc Potters, 1997. "Option pricing in the presence of extreme fluctuations," Science & Finance (CFM) working paper archive 500038, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Giulia Iori & Didier Sornette, 1995. "Real-world options: smile and residual risk," Science & Finance (CFM) working paper archive 500039, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud, 1998. "Elements for a theory of financial risks," Science & Finance (CFM) working paper archive 500042, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Marc Mezard, 1997. "Universality classes for extreme value statistics," Science & Finance (CFM) working paper archive 500043, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Didier Sornette & Christian Walter & Jean-Pierre Aguilar, 1998. "Taming large events: portfolio selection for strongly fluctuating assets," Science & Finance (CFM) working paper archive 500044, Science & Finance, Capital Fund Management. [Downloadable!]
• Andrew Matacz & Jean-Philippe Bouchaud, 1999. "Explaining the forward interest rate term structure," Science & Finance (CFM) working paper archive 500046, Science & Finance, Capital Fund Management. [Downloadable!]
• Andrew Matacz & Jean-Philippe Bouchaud, 1999. "An empirical investigation of the forward interest rate term structure," Science & Finance (CFM) working paper archive 500047, Science & Finance, Capital Fund Management. [Downloadable!]
• Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1997. "Phenomenology of the interest rate curve," Science & Finance (CFM) working paper archive 500048, Science & Finance, Capital Fund Management. [Downloadable!]
• Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Science & Finance (CFM) working paper archive 500050, Science & Finance, Capital Fund Management. [Downloadable!]
• Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1998. "Noise dressing of financial correlation matrices," Science & Finance (CFM) working paper archive 500051, Science & Finance, Capital Fund Management. [Downloadable!]
• Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999. "Random matrix theory and financial correlations," Science & Finance (CFM) working paper archive 500053, Science & Finance, Capital Fund Management. [Downloadable!]
• Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters, 1998. "Rational decisions, random matrices and spin glasses," Science & Finance (CFM) working paper archive 500054, Science & Finance, Capital Fund Management. [Downloadable!]
• Torfinn Harding, Haakon O. Aa. Solheim og Andreas Benedictow, 2004. "House ownership and taxes," Discussion Papers 395, Research Department of Statistics Norway. [Downloadable!]
• Nair, Ajai, 2005. "Sustainability of microfinance self help groups in India: would federating help?," Policy Research Working Paper Series 3516, The World Bank. [Downloadable!]
• Ronald J. Balvers & Dayong Huang, 2004. "Money and the (C)CAPM: Theory and Evaluation," Working Papers 04-10, Department of Economics, West Virginia University. [Downloadable!]
• Ronald J. Balvers & Yangru Wu, 2004. "Momentum and Mean Reversion Across National Equity Markets," Working Papers 04-11, Department of Economics, West Virginia University. [Downloadable!]
• Ronald J. Balvers & Yangru Wu, 2004. "Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 04-12, Department of Economics, West Virginia University. [Downloadable!]
• Koch I. & De Schepper A., 2005. "Discrete annuities using truncate stochastic interest rates: the case of a Vasicek and Ho-Lee model," Working Papers 2005006, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

This page was last updated on 2009-11-15.