This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "Risk, Return, and Equilibrium: Empirical Tests"

by Fama, Eugene F & MacBeth, James D

For a complete description of this item, click here.
Cited by (explanations, 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.):
  1. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. 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!]
  3. Mika Vaihekoski, 1998. "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, vol. 11(1), pages 19-36, Spring. [Downloadable!]
    Other versions:
  4. Raffaella Giacomini & Halbert White, 2004. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series 2003-09, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  5. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  8. Mª Victoria Esteban González & Fernando Tusell Palmer, 2009. "Predicting Betas: Two new methods," BILTOKI 200901, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
  9. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis. [Downloadable!]
  10. P. Chelley-Steeley, 2004. "Serial correlation in the returns of UK capitalization based portfolios," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 975-979, September. [Downloadable!] (restricted)
  11. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
  13. Allard Bruinshoofd & Leo de Haan, 2005. "Financing the New Economy: Are ICT Firms Really That Different?," DNB Working Papers 077, Netherlands Central Bank, Research Department. [Downloadable!]
  14. Zoran Ivkovich & Scott Weisbenner, 2007. "Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices," NBER Working Papers 13201, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Lee, Byung-Joo, 2007. "Uncovered Interest Parity: Cross-sectional Evidence," MPRA Paper 10360, University Library of Munich, Germany. [Downloadable!]
  16. Linda Allen & Julapa Jagtiani, 1996. "Risk and Market Segmentation in Financial Intermediaries’ Returns," Center for Financial Institutions Working Papers 96-36, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  17. Bruce N. Lehmann, 1990. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  19. 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)
  20. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
  21. Ayub, Mehar, 1998. "A simulation model of corporate finances: A study of the companies listed on Karachi stock exchange," MPRA Paper 443, University Library of Munich, Germany, revised 2001. [Downloadable!]
  22. Peter Pope & David Peel & Mark Clatworthy, 2006. "Are analysts’ loss functions asymmetric?," Working Papers 003094, Lancaster University Management School, Economics Department. [Downloadable!]
    Other versions:
  23. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005. "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers 11488, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  24. Elsas, Ralf & Florysiak, David, 2008. "Empirical Capital Structure Research: New Ideas, Recent Evidence, and Methodological Issues," Discussion Papers in Business Administration 4743, University of Munich, Munich School of Management. [Downloadable!]
  25. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001. "Breadth of Ownership and Stock Returns," NBER Working Papers 8151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  26. Adelegan, Olatundun, 2006. "Effects of taxes financing decisions and firm value in Nigeria," Proceedings of the German Development Economics Conference, Berlin 2006 1, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
  27. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  28. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI. [Downloadable!]
  29. Lombardo, Davide & Pagano, Marco, 1999. "Legal Determinants of the Return on Equity," CEPR Discussion Papers 2275, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  30. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  31. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 225-235, September. [Downloadable!] (restricted)
  32. Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics. [Downloadable!]
    Other versions:
  33. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  34. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA. [Downloadable!]
  35. Lewellen, Katharina, 2004. "Financing Decisions When Managers Are Risk Averse," Working papers 4438-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  36. Joelle Miffre, 2003. "The cross section of expected futures returns and the Keynesian hypothesis," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 731-739, October. [Downloadable!] (restricted)
  37. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  38. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  39. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics. [Downloadable!]
  40. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, 03. [Downloadable!] (restricted)
  41. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  42. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York. [Downloadable!]
  43. Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  44. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn. [Downloadable!]
  45. Zitzewitz, Eric, 2001. "Measuring Herding and Exaggeration by Equity Analysts and Other Opinion Sellers," Research Papers 1802, Stanford University, Graduate School of Business. [Downloadable!]
  46. Ilya A. Strebulaev, 2004. "Do Tests of Capital Structure Theory Mean What They Say?," Econometric Society 2004 North American Summer Meetings 646, Econometric Society. [Downloadable!]
  47. Octave JOKUNG & Jean-Christophe MEYFREDI, 2004. "Improving the Market Model: The 4-State Model Alternative," Finance 0403006, EconWPA. [Downloadable!]
  48. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," ESE Discussion Papers 157, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  49. George Bulkley & Richard Holt, 2007. "Forecasting Cross-Section Stock Returns using The Present Value Model," ESE Discussion Papers 163, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  50. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  51. Kenneth L. Stanley & Wilbur G. Lewehlen & Gary G. Schlarbau-, 1981. "Further Evidence on the Value of Professional Investment Research," NBER Working Papers 0536, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  52. Juan Monterrey & Amparo Sánchez-Segura, 2006. "Las características socioeconómicas como incentivos para la información financiera: evidencia empírica española," Investigaciones Economicas, Fundación SEPI, vol. 30(3), pages 611-634, September. [Downloadable!]
  53. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  54. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  55. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers iewwp387, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  56. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
  57. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  58. Bradford Cornell & Simon Cheng, 1995. "Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns," University of California at Los Angeles, Anderson Graduate School of Management 1139, Anderson Graduate School of Management, UCLA. [Downloadable!]
  59. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  60. Ping Hu & Jayant Kale & Ajay Subramanian, 2003. "Compensation, Career Concerns, and Relative Risk Choices by Mutual Fund Managers: Theory and Evidence," Levine's Bibliography 666156000000000349, UCLA Department of Economics. [Downloadable!]
  61. Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, 1997. "Noise Traders, Market Sentiment, and Futures Price Behavior," Finance 9707001, EconWPA. [Downloadable!]
  62. Wang, Daxue, 2008. "Herd behavior towards the market index: Evidence from 21 financial markets," IESE Research Papers D/776, IESE Business School. [Downloadable!]
  63. Minardi, Andrea Maria Accioly Fonseca & SANVICENTE, Antônio Zoratto & Monteiro, Rogério, 2006. "Bid-ask spread and liquidity premium in Brazil," Ibmec Working Papers wpe_51, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
  64. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Multivariate tests of asset pricing: Simulation evidence from an emerging market," Monash Econometrics and Business Statistics Working Papers 2/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  65. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  66. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  67. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group. [Downloadable!]
  68. Davide Lombardo & Marco Pagano, 1999. "Law and Equity Markets: a Simple Model," CSEF Working Papers 25, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    Other versions:
  69. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  70. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS. [Downloadable!]
  71. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, . "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  72. Ugur Lel, 2006. "Currency hedging and corporate governance: a cross-country analysis," International Finance Discussion Papers 858, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  73. Richard Sweeney & Arthur Warga, 1984. "The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market," University of California at Los Angeles, Anderson Graduate School of Management 1218, Anderson Graduate School of Management, UCLA. [Downloadable!]
  74. Rani Hoitash & Murugappa (Murgie) Krishnan, 2008. "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 25-47, January. [Downloadable!] (restricted)
  75. George Buckley & Richard Holt, 2004. "Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model," ESE Discussion Papers 47, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  76. Post, G.T., 2005. "A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions," Research Paper ERS-2005-032-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!]
  77. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  78. Ajay Subramanian & Jonathan Clarke, 2004. "Dynamic Forecasting Behavior by Analysts: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 546, Econometric Society. [Downloadable!]
    Other versions:
  79. Stefan Ruenzi, 2004. "Mutual Fund Growth in Standard and Specialist Market Segments," Finance 0406005, EconWPA, revised 27 Jun 2004. [Downloadable!]
    Other versions:
  80. Fohlin, Caroline & Bossaerts, Peter, 2000. "The Pricing of Securities Risk in a Universal Banking System: Historical Evidence from Germany," Working Papers 1084, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  81. Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics. [Downloadable!]
  82. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  83. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  84. Shing-yang Hu, 1997. "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance 9702001, EconWPA. [Downloadable!]
  85. Richard Kum-yew Lai, 2005. "Inventory Signals," Microeconomics 0509001, EconWPA. [Downloadable!]
    Other versions:
  86. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 9258, University Library of Munich, Germany, revised 10 Mar 2009. [Downloadable!]
  87. Robin Brooks & Marco Del Negro, 2003. "Firm-level evidence on international stock market movement," Working Paper 2003-8, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  88. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, EconWPA, revised 17 Jan 2006. [Downloadable!]
    Other versions:
  89. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research Department. [Downloadable!]
  90. Peter Bossaerts & Pierre Hillion, 1995. "Testing the Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections," Annales d'Economie et de Statistique, ADRES, issue 40, pages 07, Octobre-D. [Downloadable!]
  91. Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005. "Momentum Profits and Macroeconomic Risk," NBER Working Papers 11480, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  92. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  93. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach," MPRA Paper 4995, University Library of Munich, Germany, revised 02 Feb 2009. [Downloadable!]
  94. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers iewwp405, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  95. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics. [Downloadable!]
  96. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]
  97. John Ammer, 1993. "Macroeconomic risk and asset pricing: estimating the apt with observable factors," International Finance Discussion Papers 448, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  98. Jonathan Reuter & Eric Zitzewitz, 2005. "Do Ads Influence Editors? Advertising and Bias in the Financial Media," Finance 0501003, EconWPA. [Downloadable!]
    Other versions:
  99. Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  100. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong & Zhang, Yinglei, 2004. "Do Investors Overvalue Firms with Bloated Balance Sheets?," Working Paper Series 2004-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    Other versions:
  101. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," Research Paper ERS-2002-50-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!]
  102. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping Up with the Joneses: An International Asset Pricing Model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  103. R.N. Agarwal, 2000. "Financial integration and capital markets in developing countries: A study of growth, volatility and efficiency in the Indian capital market," Institute of Economic Growth, Delhi Discussion Papers 21, Institute of Economic Growth, Delhi, India. [Downloadable!]
  104. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  105. Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 23-39, February. [Downloadable!] (restricted)
  106. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
    Other versions:
  107. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia. [Downloadable!]
  108. Christopher S. Armstrong & Mary E. Barth & Alan D. Jagolinzer & Edward J. Riedl, 2008. "Market Reaction to the Adoption of IFRS in Europe," Harvard Business School Working Papers 09-032, Harvard Business School. [Downloadable!]
  109. Chowdhry, Bhagwan & Roll, Richard & Xia, Yihong, 2004. "Extracting Inflation from Stock Returns to Test Purchasing Power Parity," Working Papers 04-2, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
  110. Joos, Peter & Plesko, George, 2004. "Costly Dividend Signaling: The Case of Loss Firms with Negative Cash Flows," Working papers Costly Dividend Signaling, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  111. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  112. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September. [Downloadable!] (restricted)
  113. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  114. Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics. [Downloadable!]
    Other versions:
  115. Bhagwan Chowdhry & Richard Roll & Yihong Xia, 2005. "Extracting Inflation from Stock Returns to Test Purchasing Power Parity," American Economic Review, American Economic Association, vol. 95(1), pages 255-276, March. [Downloadable!]
  116. Carolyn Sherwood-Call, 1990. "Assessing regional economic stability: a portfolio approach," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 17-26. [Downloadable!]
  117. Zhang, Ge, 2004. "Market valuation and employee stock options," Working Papers 2003-13, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  118. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," Working Paper 2009-11, Federal Reserve Bank of Atlanta. [Downloadable!]
  119. Peter Bossaerts & Caroline Fohlin, 2000. "Universal Banking and the Pricing of Securities Risk: Historical Evidence from Germany," Econometric Society World Congress 2000 Contributed Papers 1596, Econometric Society. [Downloadable!]
  120. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    Other versions:
  121. Gentry, James A. & Whitford, David T. & Sougiannis, Theodore & Aoki, Shigeo, 2002. "Do Accounting Earnings or Free Cash Flows Provide a Better Estimate of Capital Gain Rates of Return on Stocks?," Working Papers 02-0111, University of Illinois at Urbana-Champaign, College of Business. [Downloadable!]
  122. Robert P. Flood & Andrew K. Rose, 2004. "Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk," NBER Working Papers 10805, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  123. Claessens, Stijn & Moon-Whoan Rhee & DEC, 1994. "The effects of barriers on equity investment in developing countries," Policy Research Working Paper Series 1263, The World Bank. [Downloadable!]
  124. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  125. Cronqvist, Henrik & Heyman, Fredrik & Nilsson, Mattias & Svaleryd, Helena & Vlachos, Jonas, 2006. "Do Entrenched Managers Pay Their Workers More?," Working Paper Series 2005-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    Other versions:
  126. Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  127. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
  128. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1989. "Data-snooping biases in tests of financial asset pricing models," Working papers 3020-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  129. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  130. Jonathan B. Berk & Ian Tonks, 2007. "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers 13042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  131. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO. [Downloadable!]
  132. Allan Timmerman & Luis Catão, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund. [Downloadable!]
    Other versions:
  133. Rajan, Madhav & Reichelstein, Stefan J. & Soliman, Mark T., 2006. "Conservatism, Growth, and Return on Investment," Research Papers 1956, Stanford University, Graduate School of Business. [Downloadable!]
  134. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    Other versions:
  135. M. Victoria Esteban, 1997. "Variabilidad predecible en los rendimientos de los activos: Evidencia e implicaciones," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 523-542, September. [Downloadable!]
  136. Driscoll, John & Kraay, Aart, 1995. "Spatial correlations in panel data," Policy Research Working Paper Series 1553, The World Bank. [Downloadable!]
  137. Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006. "Financially Constrained Stock Returns," NBER Working Papers 12555, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  138. Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene, 2007. "Has New York Become Less Competitive in Global Markets? Evaluating Foreign Listing Choices over Time," Working Paper Series 2007-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  139. Acharya, Viral V & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  140. A. Craig Burnside, 2007. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," NBER Working Papers 13357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  141. Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007. "On the Capital Structure of Real Estate Investment Trusts (REITs)," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 81-105, January. [Downloadable!] (restricted)
  142. Javier Gómez Biscarri & Germán López Espinosa, . "Fundamentals and the accruals puzzle," Faculty Working Papers 02/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  143. Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers UWEC-2009-04, University of Washington, Department of Economics. [Downloadable!]
    Other versions:
  144. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-43, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  145. Patrick Coggi & Bogdan Manescu, 2004. "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004 2004-01, Department of Economics, University of St. Gallen. [Downloadable!]
  146. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
  147. Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, School of Economics and Management, University of Aarhus. [Downloadable!]
  148. Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers 2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  149. Hsiu-Lang Chen, 2006. "On Russell index reconstitution," Review of Quantitative Finance and Accounting, Springer, vol. 26(4), pages 409-430, June. [Downloadable!] (restricted)
  150. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO. [Downloadable!]
  151. Kent Daniel & Sheridan Titman, 2003. "Market Reactions to Tangible and Intangible Information," NBER Working Papers 9743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  152. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  153. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  154. Stijn Claessens & Moon-Whoan Rhee, 1993. "The Effect of Equity Barriers on Foreign Investment in Developing Countries," NBER Working Papers 4579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  155. Carl Chen & Peter Lung & F. Wang, 2009. "Mispricing and the cross-section of stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 317-349, May. [Downloadable!] (restricted)
  156. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  157. Chang, Xin & Dasgupta, Sudipto & Hilary, Gilles, 2005. "The Effect of Auditor Choice on Financing Decisions," CEI Working Paper Series 2005-10, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  158. Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003. "Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange," MPRA Paper 13879, University Library of Munich, Germany. [Downloadable!]
  159. Joseph Chen & Harrison Hong & Ming Huang & Jeffrey D. Kubik, 2004. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization," American Economic Review, American Economic Association, vol. 94(5), pages 1276-1302, December. [Downloadable!]
  160. Mª Victoria Esteban González & Susan Orbe Mandaluniz, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 200603, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
  161. Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  162. Haim H. Bau & Yochanan Shachmurove, 2002. "Chaos Theory And Its Application," Penn CARESS Working Papers 6a7863cdd8e575c9e635b060c, Penn Economics Department. [Downloadable!]
  163. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research. [Downloadable!]
  164. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  165. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
  166. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004. [Downloadable!]
  167. Bartram, Söhnke M. & Bodnar, Gordon M., 2006. "Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," MPRA Paper 14018, University Library of Munich, Germany, revised 02 Nov 2008. [Downloadable!]
  168. Gerald T. Garvey & Todd T. Milbourn, 2001. "Do Stock Prices Incorporate the Potential Dilution of Employee Stock Options?," Claremont Colleges Working Papers 2001-09, Claremont Colleges. [Downloadable!]
  169. Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002. "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms," NBER Working Papers 8750, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  170. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  171. Bruce N. Lehmann & David M. Modest, 2003. "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers 9461, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  172. Sheridan Titman & K.C. John Wei & Feixue Xie, 2003. "Capital Investments and Stock Returns," NBER Working Papers 9951, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  173. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group. [Downloadable!]
  174. Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  175. Canegrati, Emanuele, 2008. "A Non-Random Walk down Canary Wharf," MPRA Paper 9871, University Library of Munich, Germany. [Downloadable!]
  176. Suwina Cheng & Michael Firth, 2006. "Family ownership, corporate governance, and top executive compensation," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 27(7), pages 549-561. [Downloadable!]
  177. Maria Giduskova & Borja Larrain, 2006. "International risk-taking, volatility, and consumption growth," Communities and Banking, Federal Reserve Bank of Boston. [Downloadable!]
  178. Dusan Isakov, 1999. "Is beta still alive? Conclusive evidence from the Swiss stock market," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 202-212, September. [Downloadable!] (restricted)
    Other versions:
  179. Shaun K. Roache, 2008. "Commodities and the Market Price of Risk," IMF Working Papers 08/221, International Monetary Fund. [Downloadable!]
  180. Fernando Rubio, 2004. "Data Mining Sobre El Beta En España," Finance 0410011, EconWPA. [Downloadable!]
  181. Shihe Fu & Liwei Shan, 2009. "Corporate Equality and Equity Prices: Doing Well While Doing Good?," EERI Research Paper Series EERI_RP_2009_09, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    Other versions:
  182. Richard Kum-yew Lai, 2005. "Inventory and the Stock Market," Finance 0509006, EconWPA. [Downloadable!]
    Other versions:
  183. Craig Burnside & Alexandra Tabova, 2009. "Risk, Volatility, and the Global Cross-Section of Growth Rates," NBER Working Papers 15225, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  184. Joos, Peter & Plesko, George, 2004. "Valuing Loss Firms," Working papers 562043, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  185. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold, 2003. "Stock Returns, Aggregate Earnings Surprises, And Behavioral Finance," Working papers 4284-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  186. Anusha Chari & Wenjie Chen & Kathryn M.E. Dominguez, 2009. "Foreign Ownership and Firm Performance: Emerging-Market Acquisitions in the United States," NBER Working Papers 14786, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  187. Benjamin M. Friedman, 1983. "The Substitutability Of Debt And Equity Securities," NBER Working Papers 1130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  188. Javier Gil-Bazo & Pablo Ruiz-Verdu, 2006. "Yet Another Puzzle? The Relation Between Price And Performance In The Mutual Fund Industry," Business Economics Working Papers wb066519, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  189. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
  190. Diether, Karl B. & Lee, Kuan-Hui & Werner, Ingrid M., 2007. "Can Short-Sellers Predict Returns? Daily Evidence," Working Paper Series 2005-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  191. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  192. William C. Brainard & Matthew D. Shapiro & John B. Shoven, 1990. "Fundamental Value and Market Value," NBER Working Papers 3452, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  193. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge. [Downloadable!]
  194. Juan-Pedro Gómez & Fernando Zapatero, 2001. "Asset Pricing Implications of Benchmarking: A Two-Factor CAPM," Economics Working Papers 693, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  195. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers 120, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  196. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  197. John M. Griffin & G. Andrew Karolyi, . "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies," Research in Financial Economics 9608, Ohio State University. [Downloadable!]
    Other versions:
  198. Yang Ni & Shasha Guo & David E. Giles, 2009. "Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China," Econometrics Working Papers 0905, Department of Economics, University of Victoria. [Downloadable!]
  199. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  200. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008. "Taxes on Tax-Exempt Bonds," NBER Working Papers 14496, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  201. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January. [Downloadable!]
  202. Araceli Mora & Ana Gisbert & Beatriz García Osma & Juan M. García Lara, 2004. "La Comparabilidad De La Información Contable En Europa: Efectos De La Manipulación Contable Sobre El Nivel De Conservadurismo," Working Papers. Serie EC 2004-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  203. Post, G.T. & Vliet, P. van, 2004. "Conditional Downside Risk and the CAPM," Research Paper ERS-2004-048-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!]
  204. Joos, Peter R. & Plesko, George A., 2003. "Reporting Conservatism, Loss Reversals, and Earnings-based Valuation," Working papers 4262-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  205. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  206. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
  207. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
  208. David Schröder, 2005. "The Implied Equity Risk Premium - An Evaluation of Empirical Methods," Bonn Econ Discussion Papers bgse13_2005, University of Bonn, Germany. [Downloadable!]
  209. Richard Sweeney & Arthur Warga, 1984. "Estimating the Risk Premium on the Market, and Discriminating between the CAPM and APT," University of California at Los Angeles, Anderson Graduate School of Management 1217, Anderson Graduate School of Management, UCLA. [Downloadable!]
  210. Begoña Basarrate Urizar & Gonzalo Rubio, 1990. "A note on the seasonality in the risk-return relationship," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 311-318, May. [Downloadable!]
Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.

This page was last updated on 2009-12-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.