Report NEP-FMK-2003-02-18

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Other reports in NEP-FMK

The following items were anounced in this report:

• Harney, Matthew & Tower, Edward, 2002. "Rational Pessimism: Predicting Equity Returns using Tobin's q and Price/Earnings Ratios," Working Papers 02-29, Duke University, Department of Economics. [Downloadable!]
• Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics. [Downloadable!]
• Bask, Mikael, 2003. "Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates," UmeÃ¥ Economic Studies 605, Umeå University, Department of Economics. [Downloadable!]
• William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Desgranges, Gabriel & Foucault, Thierry, 2002. "Reputation-Based Pricing and Price Improvements in Dealership Markets," CEPR Discussion Papers 3359, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• 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)
• Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Rodolfo Martell & Rene M. Stulz, 2003. "Equity market liberalizations as country IPOs," NBER Working Papers 9481, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Dellas, Harris & Hess, Martin, 2002. "Financial Development and Stock Returns: A Cross-Country Analysis," CEPR Discussion Papers 3681, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Reinker, Kenneth S. & Tower, Edward, 2002. "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers 02-22, Duke University, Department of Economics. [Downloadable!]

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