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! ]
Elsevier Journal of Empirical Finance Contact information of
Elsevier: http://www.elsevier.com/locate/jempfin
Download restrictions: Full text for ScienceDirect subscribers only Editor: R. T. Baillie Editor: G. Bekaert Editor: W. Ferson Editor: F. C. Palm Editor: Th. J. Vermaelen Editor:
For technical questions regarding this series, please contact
(Heidi Boesdal) Series handle: repec:eee:empfin
More pages of listings: 0 |1 |2 2009, Volume 16, Issue 4
525-536 Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns by Møller, Stig Vinther [Downloadable! (restricted)]
537-556 Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM by Adrian, Tobias & Franzoni, Francesco [Downloadable! (restricted)]
557-567 The information content of stock splits by Huang, Gow-Cheng & Liano, Kartono & Pan, Ming-Shiun [Downloadable! (restricted)]
568-581 Stock price and systematic risk effects of discontinuation of corporate R&D programs by Saad, Mohsen & Zantout, Zaher [Downloadable! (restricted)]
582-596 Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway by Dai, Qinglei & Rydqvist, Kristian [Downloadable! (restricted)]
597-612 Institutional ownership and credit spreads: An information asymmetry perspective by Wang, Ashley W. & Zhang, Gaiyan [Downloadable! (restricted)]
613-631 Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries by Sarkar, Asani & Zhang, Lingjia [Downloadable! (restricted)]
632-639 International comovement of stock market returns: A wavelet analysis by Rua, António & Nunes, Luís C. [Downloadable! (restricted)]
640-654 Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices by Phylaktis, Kate & Chen, Long [Downloadable! (restricted)]
655-670 A semiparametric model for the systematic factors of portfolio credit risk premia by Giammarino, Flavia & Barrieu, Pauline [Downloadable! (restricted)]
671-685 L-performance with an application to hedge funds by Darolles, Serge & Gourieroux, Christian & Jasiak, Joann [Downloadable! (restricted)]
686-700 Which power variation predicts volatility well? by Ghysels, Eric & Sohn, Bumjean [Downloadable! (restricted)]
2009, Volume 16, Issue 3 353-367 Correlation risk by Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter [Downloadable! (restricted)]
368-387 Time-varying Integration and International diversification strategies by Baele, Lieven & Inghelbrecht, Koen [Downloadable! (restricted)]
388-393 Herding and information based trading by Zhou, Rhea Tingyu & Lai, Rose Neng [Downloadable! (restricted)]
394-408 Investor sentiment and stock returns: Some international evidence by Schmeling, Maik [Downloadable! (restricted)]
409-429 The cross section of cashflow volatility and expected stock returns by Huang, Alan Guoming [Downloadable! (restricted)]
430-445 Empirical evidence on jumps in the term structure of the US Treasury Market by Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa [Downloadable! (restricted)]
446-456 Optimal futures hedging under jump switching dynamics by Lee, Hsiang-Tai [Downloadable! (restricted)]
457-465 Estimation of default probabilities using incomplete contracts data by Santos Silva, J.M.C. & Murteira, J.M.R. [Downloadable! (restricted)]
466-482 Sample selection and event study estimation by Ahern, Kenneth R. [Downloadable! (restricted)]
483-506 Improvement in finite sample properties of the Hansen-Jagannathan distance test by Ren, Yu & Shimotsu, Katsumi [Downloadable! (restricted)]
507-523 A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data by Lejeune, Bernard [Downloadable! (restricted)]
2009, Volume 16, Issue 2 175-187 Dividend policy of German firms: A panel data analysis of partial adjustment models by Andres, Christian & Betzer, André & Goergen, Marc & Renneboog, Luc [Downloadable! (restricted)]
188-200 Forecasting financial crises and contagion in Asia using dynamic factor analysis by Cipollini, A. & Kapetanios, G. [Downloadable! (restricted)]
201-215 Pricing of credit default index swap tranches with one-factor heavy-tailed copula models by Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J. [Downloadable! (restricted)]
216-234 The credit rating process and estimation of transition probabilities: A Bayesian approach by Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart [Downloadable! (restricted)]
235-253 Modelling the distribution of credit losses with observable and latent factors by Jiménez, Gabriel & Mencía, Javier [Downloadable! (restricted)]
254-263 Modelling the distribution of the extreme share returns in Singapore by Tolikas, Konstantinos & Gettinby, Gareth D. [Downloadable! (restricted)]
264-279 Quantile regression analysis of hedge fund strategies by Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D. [Downloadable! (restricted)]
280-305 Model averaging in risk management with an application to futures markets by Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo [Downloadable! (restricted)]
306-317 On the explanatory power of firm-specific variables in cross-sections of expected returns by Zhang, Chu [Downloadable! (restricted)]
318-329 Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application by de Goeij, Peter & Marquering, Wessel [Downloadable! (restricted)]
330-336 Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management by Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin [Downloadable! (restricted)]
337-351 A censored stochastic volatility approach to the estimation of price limit moves by Hsieh, Ping-Hung & Yang, J. Jimmy [Downloadable! (restricted)]
2009, Volume 16, Issue 1 2-17 The transmission of emerging market shocks to global equity markets by Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian [Downloadable! (restricted)]
18-41 Market liberalization within a country by Sun, Qian & Tong, Wilson H.S. & Yan, Yuxing [Downloadable! (restricted)]
42-54 Credit cycles and macro fundamentals by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B. [Downloadable! (restricted)]
55-69 Timing the investment grade securities market: Evidence from high quality bond funds by Boney, Vaneesha & Comer, George & Kelly, Lynne [Downloadable! (restricted)]
70-86 Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing by Barnhart, Scott W. & Giannetti, Antoine [Downloadable! (restricted)]
87-100 Investor flows and stock market returns by Boyer, Brian & Zheng, Lu [Downloadable! (restricted)]
101-111 Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests by Jegadeesh, Narasimhan & Karceski, Jason [Downloadable! (restricted)]
112-125 Risk and performance estimation in hedge funds revisited: Evidence from errors in variables by Coën, Alain & Hübner, Georges [Downloadable! (restricted)]
126-135 Costly trade, managerial myopia, and long-term investment by Holden, Craig W. & Lundstrum, Leonard L. [Downloadable! (restricted)]
136-150 Understanding the relationship between founder-CEOs and firm performance by Adams, Renée & Almeida, Heitor & Ferreira, Daniel [Downloadable! (restricted)]
151-163 Co-movements of index options and futures quotes by Fahlenbrach, Rüdiger & Sandås, Patrik [Downloadable! (restricted)]
164-173 Default estimation for low-default portfolios by Kiefer, Nicholas M. [Downloadable! (restricted)]
2008, Volume 15, Issue 5 801-815 An inquiry into the economic fundamentals of the Fama and French equity factors by Simpson, Marc W. & Ramchander, Sanjay [Downloadable! (restricted)]
816-838 Specification tests of asset pricing models using excess returns by Kan, Raymond & Robotti, Cesare [Downloadable! (restricted)]
839-849 A comparison of trading and non-trading mechanisms for price discovery by Barclay, Michael J. & Hendershott, Terrence [Downloadable! (restricted)]
850-859 Robust performance hypothesis testing with the Sharpe ratio by Ledoit, Oliver & Wolf, Michael [Downloadable! (restricted)]
860-867 Regression analysis of proportions in finance with self selection by Cook, Douglas O. & Kieschnick, Robert & McCullough, B.D. [Downloadable! (restricted)]
868-877 Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data by Jalal, Amine & Rockinger, Michael [Downloadable! (restricted)]
878-896 A model-independent measure of aggregate idiosyncratic risk by Bali, Turan G. & Cakici, Nusret & Levy, Haim [Downloadable! (restricted)]
2008, Volume 15, Issue 4 583-612 Firm heterogeneity and credit risk diversification by Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til [Downloadable! (restricted)]
613-634 UK mutual fund performance: Skill or luck? by Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall [Downloadable! (restricted)]
635-655 Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market by Mahani, Reza S. & Poteshman, Allen M. [Downloadable! (restricted)]
656-678 Determinants of bid and ask quotes and implications for the cost of trading by Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S. [Downloadable! (restricted)]
679-699 Liquidity and conditional portfolio choice: A nonparametric investigation by Ghysels, Eric & Pereira, João Pedro [Downloadable! (restricted)]
700-713 Identifying multiple outliers in heavy-tailed distributions with an application to market crashes by Schluter, Christian & Trede, Mark [Downloadable! (restricted)]
714-728 Can exchange rate volatility explain persistence in the forward premium? by Kellard, Neil & Sarantis, Nicholas [Downloadable! (restricted)]
729-750 Quantile forecasts of daily exchange rate returns from forecasts of realized volatility by Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H. [Downloadable! (restricted)]
751-777 Structural models of corporate bond pricing with maximum likelihood estimation by Li, Ka Leung & Wong, Hoi Ying [Downloadable! (restricted)]
778-788 Asset pricing models with errors-in-variables by Carmichael, Benoît & Coën, Alain [Downloadable! (restricted)]
789-798 Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution by Chen, Carl R. & Su, Yuli & Huang, Ying [Downloadable! (restricted)]
2008, Volume 15, Issue 3 363-386 Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses by Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W. [Downloadable! (restricted)]
387-417 Corruption and valuation of multinational corporations by Pantzalis, Christos & Park, Jung Chul & Sutton, Ninon [Downloadable! (restricted)]
418-435 Multiple directorships and corporate diversification by Jiraporn, Pornsit & Kim, Young Sang & Davidson III, Wallace N. [Downloadable! (restricted)]
436-454 Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks by Zheng, Steven Xiaofan & Li, Mingsheng [Downloadable! (restricted)]
455-467 Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP by Menkhoff, Lukas & Rebitzky, Rafael R. [Downloadable! (restricted)]
468-480 Economic and financial crises and the predictability of U.S. stock returns by Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian [Downloadable! (restricted)]
481-502 Time-series and cross-sectional excess comovement in stock indexes by Kallberg, Jarl & Pasquariello, Paolo [Downloadable! (restricted)]
503-517 A Bayesian view of temporary components in asset prices by Eraker, Bjørn [Downloadable! (restricted)]
518-532 Are Asian stock markets efficient? Evidence from new multiple variance ratio tests by Kim, Jae H. & Shamsuddin, Abul [Downloadable! (restricted)]
533-548 Excess demand and price formation during a Walrasian auction by Eaves, James & Melvin, Michael & Mohapatra, Sandeep [Downloadable! (restricted)]
549-566 Box-Cox stochastic volatility models with heavy-tails and correlated errors by Zhang, Xibin & King, Maxwell L. [Downloadable! (restricted)]
567-581 Is long memory necessary? An empirical investigation of nonnegative interest rate processes by Duan, Jin-Chuan & Jacobs, Kris [Downloadable! (restricted)]
2008, Volume 15, Issue 2 145-166 Assessing the role of option grants to CEOs: How important is heterogeneity? by Baranchuk, Nina & Chib, Siddhartha [Downloadable! (restricted)]
167-184 Does risk aversion drive financial crises? Testing the predictive power of empirical indicators by Coudert, Virginie & Gex, Mathieu [Downloadable! (restricted)]
185-198 How does owners' exposure to idiosyncratic risk influence the capital structure of private companies? by Mueller, Elisabeth [Downloadable! (restricted)]
199-210 Does intraday technical analysis in the U.S. equity market have value? by Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M. [Downloadable! (restricted)]
211-231 Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004 by Morel, Christophe & Teïletche, Jérôme [Downloadable! (restricted)]
232-250 Noise trading and the price formation process by Berkman, Henk & Koch, Paul D. [Downloadable! (restricted)]
251-264 The factor structure of time-varying conditional volume by Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael [Downloadable! (restricted)]
265-286 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation by Nielsen, Morten Ørregaard & Frederiksen, Per [Downloadable! (restricted)]
287-309 Increasing correlations or just fat tails? by Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul [Downloadable! (restricted)]
310-331 Simulation-based pricing of convertible bonds by Ammann, Manuel & Kind, Axel & Wilde, Christian [Downloadable! (restricted)]
332-341 Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models by Asai, Manabu [Downloadable! (restricted)]
342-362 Estimation of an adaptive stock market model with heterogeneous agents by Amilon, Henrik [Downloadable! (restricted)]
2008, Volume 15, Issue 1 1-16 A functional approach to the price impact of stock trades and the implied true price by Huang, Roger D. & Ting, Christopher [Downloadable! (restricted)]
17-40 Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s by Benston, George J. & Wood, Robert A. [Downloadable! (restricted)]
41-63 Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution by Choi, Pilsun & Nam, Kiseok [Downloadable! (restricted)]
64-79 Volatility of stock price as predicted by patent data: An MGARCH perspective by Chow, William W. & Fung, Michael K. [Downloadable! (restricted)]
80-110 It takes a model to beat a model: Volatility bounds by Liu, Ludan [Downloadable! (restricted)]
111-130 The ordered qualitative model for credit rating transitions by Feng, D. & Gourieroux, C. & Jasiak, J. [Downloadable! (restricted)]
131-144 Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence by Booth, G. Geoffrey & Gurun, Umit G. [Downloadable! (restricted)]
2007, Volume 14, Issue 5 590-610 Predictable behavior, profits, and attention by Seasholes, Mark S. & Wu, Guojun [Downloadable! (restricted)]
611-635 Is CEO certification of earnings numbers value-relevant? by Bhattacharya, Utpal & Groznik, Peter & Haslem, Bruce [Downloadable! (restricted)]
636-661 Order dynamics: Recent evidence from the NYSE by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert [Downloadable! (restricted)]
662-693 Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds by Bechmann, Ken L. & Rangvid, Jesper [Downloadable! (restricted)]
694-717 Semiparametric estimation of a characteristic-based factor model of common stock returns by Connor, Gregory & Linton, Oliver [Downloadable! (restricted)]
718-735 Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size by Jakob, Keith J. & Ma, Tongshu [Downloadable! (restricted)]
736-755 Are there Monday effects in stock returns: A stochastic dominance approach by Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae [Downloadable! (restricted)]
756-782 Modeling the Euro overnight rate by Benito, Francis & Leon, Angel & Nave, Juan [Downloadable! (restricted)]
783-817 Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables by Lekkos, Ilias [Downloadable! (restricted)]
818-835 A simulation estimator for testing the time homogeneity of credit rating transitions by Kiefer, Nicholas M. & Larson, C. Erik [Downloadable! (restricted)]
2007, Volume 14, Issue 4 443-464 International conditional asset allocation under specification uncertainty by Barras, Laurent [Downloadable! (restricted)]
465-498 International capital asset pricing: Evidence from options by Mo, Henry & Wu, Liuren [Downloadable! (restricted)]
499-522 Official interventions and the forward premium anomaly by Mark, Nelson C. & Moh, Young-Kyu [Downloadable! (restricted)]
523-545 Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence by Otchere, Isaac [Downloadable! (restricted)]
546-563 Indirect robust estimation of the short-term interest rate process by Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio [Downloadable! (restricted)]
564-583 Multivariate autoregressive modeling of time series count data using copulas by Heinen, Andreas & Rengifo, Erick [Downloadable! (restricted)]
2007, Volume 14, Issue 3 261-286 Sources of contrarian profits in the Japanese stock market by Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin [Downloadable! (restricted)]
287-309 Are IPOs really overpriced? by Zheng, Steven X. [Downloadable! (restricted)]
310-332 When is inter-transaction time informative? by Furfine, Craig [Downloadable! (restricted)]
333-354 The implied volatility term structure of stock index options by Mixon, Scott [Downloadable! (restricted)]
355-382 The ex ante real rate and inflation premium under a habit consumption model by Madureira, Leonardo [Downloadable! (restricted)]
383-400 Portfolio selection with heavy tails by Hyung, Namwon & de Vries, Casper G. [Downloadable! (restricted)]
401-423 Measuring financial contagion: A Copula approach by Rodriguez, Juan Carlos [Downloadable! (restricted)]
424-442 Specification and estimation of discrete time quadratic stochastic volatility models by Kawakatsu, Hiroyuki [Downloadable! (restricted)]
2007, Volume 14, Issue 2 131-149 Bayesian inference for generalized linear mixed models of portfolio credit risk by McNeil, Alexander J. & Wendin, Jonathan P. [Downloadable! (restricted)]
150-167 Firm-level implications of early stage venture capital investment -- An empirical investigation by Engel, Dirk & Keilbach, Max [Downloadable! (restricted)]
168-195 On the premiums of iShares by Delcoure, Natalya & Zhong, Maosen [Downloadable! (restricted)]
196-219 The role of trades in price convergence: A study of dual-listed Canadian stocks by Kaul, Aditya & Mehrotra, Vikas [Downloadable! (restricted)]
220-247 Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds by Scruggs, John T. [Downloadable! (restricted)]
248-259 Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations by Wu, Ping-Tsung & Shieh, Shwu-Jane [Downloadable! (restricted)]
2007, Volume 14, Issue 1 2006, Volume 13, Issue 4-5 393-395 Introduction to the special issue on International Finance by Palm, Franz C. & Werner, Ingrid M. & Wolff, Christian C.P. [Downloadable! (restricted)]
396-416 Geographic versus industry diversification: Constraints matter by Ehling, Paul & Ramos, Sofia B. [Downloadable! (restricted)]
417-443 Sources of gains from international portfolio diversification by Campa, Jose Manuel & Fernandes, Nuno [Downloadable! (restricted)]
444-461 Local risk factors in emerging markets: Are they separately priced? by Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma [Downloadable! (restricted)]
462-494 Non-synchronous trading and testing for market integration in Central European emerging markets by Schotman, Peter C. & Zalewska, Anna [Downloadable! (restricted)]
495-518 Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms by Muller, Aline & Verschoor, Willem F.C. [Downloadable! (restricted)]
519-549 The impact of the introduction of the Euro on foreign exchange rate risk exposures by Bartram, Sohnke M. & Karolyi, G. Andrew [Downloadable! (restricted)]
550-576 Measuring the economic importance of exchange rate exposure by Doidge, Craig & Griffin, John & Williamson, Rohan [Downloadable! (restricted)]
2006, Volume 13, Issue 3 249-273 Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory by Prather, Larry J. & Middleton, Karen L. [Downloadable! (restricted)]
274-315 Instability of return prediction models by Paye, Bradley S. & Timmermann, Allan [Downloadable! (restricted)]
316-350 Stock market development and internationalization: Do economic fundamentals spur both similarly? by Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L. [Downloadable! (restricted)]
351-370 Propensity score matching and abnormal performance after seasoned equity offerings by Li, Xianghong & Zhao, Xinlei [Downloadable! (restricted)]
371-388 House prices and rents: An equilibrium asset pricing approach by Ayuso, Juan & Restoy, Fernando [Downloadable! (restricted)]
389-391 Note from the Editor, Wayne E. Ferson on Shanken, Jay and Mark I. Weinstein, Economic Forces and the Stock Market Revisited, Journal of Empirical Finance 13, Issue 2, 2006, 129-144 by Ferson, Wayne E. [Downloadable! (restricted)]
2006, Volume 13, Issue 2 129-144 Economic forces and the stock market revisited by Shanken, Jay & Weinstein, Mark I. [Downloadable! (restricted)]
145-182 Manager education and mutual fund performance by Gottesman, Aron A. & Morey, Matthew R. [Downloadable! (restricted)]
183-202 Interpreting the predictive power of the consumption-wealth ratio by Hahn, Jaehoon & Lee, Hangyong [Downloadable! (restricted)]
203-230 Volatility estimation via hidden Markov models by Rossi, Alessandro & Gallo, Giampiero M. [Downloadable! (restricted)]
231-247 In-sample vs. out-of-sample tests of stock return predictability in the context of data mining by Rapach, David E. & Wohar, Mark E. [Downloadable! (restricted)]
2006, Volume 13, Issue 1 1-23 Are investors moonstruck? Lunar phases and stock returns by Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao [Downloadable! (restricted)]
24-48 Momentum and mean reversion across national equity markets by Balvers, Ronald J. & Wu, Yangru [Downloadable! (restricted)]
49-78 The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories by Kennedy, Duane B. & Sivakumar, Ranjini & Vetzal, Kenneth R. [Downloadable! (restricted)]
79-112 Information content and other characteristics of the daily cross-sectional dispersion in stock returns by Connolly, Robert & Stivers, Chris [Downloadable! (restricted)]
113-128 A re-examination of the asymmetric power ARCH model by Karanasos, Menelaos & Kim, Jinki [Downloadable! (restricted)]
2005, Volume 12, Issue 5 613-628 Testing forward rate unbiasedness allowing for persistent regressors by Liu, Wei & Maynard, Alex [Downloadable! (restricted)]
629-649 Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team by Garvey, Ryan & Murphy, Anthony [Downloadable! (restricted)]
650-665 The relationship between stock returns and volatility in international stock markets by Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae [Downloadable! (restricted)]
666-685 Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness by Hueng, C. James & McDonald, James B. [Downloadable! (restricted)]
2005, Volume 12, Issue 4 2005, Volume 12, Issue 3 353-373 Index futures arbitrage before and after the introduction of sixteenths on the NYSE by Henker, Thomas & Martens, Martin [Downloadable! (restricted)]
374-417 Equilibrium analysis of volatility clustering by Vanden, Joel M. [Downloadable! (restricted)]
418-434 Regime shifts in interest rate volatility by Sun, Licheng [Downloadable! (restricted)]
435-444 The relationship between stock returns and inflation: new evidence from wavelet analysis by Kim, Sangbae & In, Francis [Downloadable! (restricted)]
445-475 Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie [Downloadable! (restricted)]
476-489 Testing for contagion: a conditional correlation analysis by Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola [Downloadable! (restricted)]
490-509 STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index by Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian [Downloadable! (restricted)]
2005, Volume 12, Issue 2 219-238 Index futures and positive feedback trading: evidence from major stock exchanges by Antoniou, Antonios & Koutmos, Gregory & Pericli, Andreas [Downloadable! (restricted)]
239-268 The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq by Loderer, Claudio & Roth, Lukas [Downloadable! (restricted)]
269-290 Price limit performance: evidence from transactions data and the limit order book by Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon [Downloadable! (restricted)]
291-316 Winter blues and time variation in the price of risk by Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A. [Downloadable! (restricted)]
317-338 Trading volume and contract rollover in futures contracts by Holmes, Phil & Rougier, Jonathan [Downloadable! (restricted)]
339-352 A comparison of extreme value theory approaches for determining value at risk by Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G. [Downloadable! (restricted)]
2005, Volume 12, Issue 1 1-41 The econometrics of efficient portfolios by Gourieroux, C. & Monfort, A. [Downloadable! (restricted)]
43-76 Chasing trends: recursive moving average trading rules and internet stocks by Fong, Wai Mun & Yong, Lawrence H. M. [Downloadable! (restricted)]
77-98 Testing dividend signaling models by Bernhardt, Dan & Douglas, Alan & Robertson, Fiona [Downloadable! (restricted)]
99-125 Foreign acquisitions by UK limited companies: short- and long-run performance by Gregory, Alan & McCorriston, Steve [Downloadable! (restricted)]
127-137 Yet another look at mutual fund tournaments by Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M. [Downloadable! (restricted)]
139-164 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects by Grammig, Joachim & Melvin, Michael & Schlag, Christian [Downloadable! (restricted)]
165-185 Measuring tail thickness under GARCH and an application to extreme exchange rate changes by Wagner, Niklas & Marsh, Terry A. [Downloadable! (restricted)]
187-215 European exchange rate volatility dynamics: an empirical investigation by Malik, Ali Khalil [Downloadable! (restricted)]
217-217 Corrigendum to "Mean reversion of industry stock returns in the U.S., 1926-1998" [J. Empir. Finance 11 (2004) 537-551] by Gropp, Jeffrey [Downloadable! (restricted)]
2004, Volume 11, Issue 5 629-658 Structural change and long-range dependence in volatility of exchange rates: either, neither or both? by Morana, Claudio & Beltratti, Andrea [Downloadable! (restricted)]
659-680 The rise in comovement across national stock markets: market integration or IT bubble? by Brooks, Robin & Del Negro, Marco [Downloadable! (restricted)]
681-694 Analysis of intraday herding behavior among the sector ETFs by Gleason, Kimberly C. & Mathur, Ike & Peterson, Mark A. [Downloadable! (restricted)]
695-708 The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach by Mazouz, Khelifa [Downloadable! (restricted)]
709-731 The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market by Chiao, Chaoshin & Hung, Ken & Lee, Cheng F. [Downloadable! (restricted)]
2004, Volume 11, Issue 4 423-427 Introduction to the special issue on behavioral finance by De Bondt, Werner & Palm, Franz & Wolff, Christian [Downloadable! (restricted)]
429-459 Return momentum and global portfolio allocations by Bange, Mary M. & Miller, Thomas Jr. [Downloadable! (restricted)]
461-481 Do countries or industries explain momentum in Europe? by Nijman, Theo & Swinkels, Laurens & Verbeek, Marno [Downloadable! (restricted)]
483-507 Style momentum within the S&P-500 index by Chen, Hsiu-Lang & De Bondt, Werner [Downloadable! (restricted)]
509-536 Momentum strategies: some bootstrap tests by Karolyi, G. Andrew & Kho, Bong-Chan [Downloadable! (restricted)]
537-551 Mean reversion of industry stock returns in the U.S., 1926-1998 by Gropp, Jeffrey [Downloadable! (restricted)]
553-584 Predictability of short-horizon returns in international equity markets by Patro, Dilip K. & Wu, Yangru [Downloadable! (restricted)]
585-616 Market stress and herding by Hwang, Soosung & Salmon, Mark [Downloadable! (restricted)]
617-626 Are forecasts of corporate profits rational? A note and further evidence by El-Galfy, Ahmed M. & Forbes, William P. [Downloadable! (restricted)]
627-628 Corrigendum to "Investor sentiment and the near-term stock market" [J. Empirical Finance 11 (2004) 1-27] by Brown, Gregory W. & Cliff, Michael T. [Downloadable! (restricted)]
0 |1 |2 Access
and download statistics
Did you know? About 2700 working paper series are listed on RePEc .
This page was last updated on 2009-11-7.
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 .