Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G10: General (includes Measurement and Data)
/ / / G11: Portfolio Choice; Investment Decisions
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates
/ / / G13: Contingent Pricing; Futures Pricing
/ / / G14: Information and Market Efficiency; Event Studies; Insider Trading
/ / / G15: International Financial Markets
/ / / G17: Financial Forecasting and Simulation
/ / / G18: Government Policy and Regulation
/ / / G19: Other

2005

• Hanno Lustig & Stijn Van Nieuwerburgh, 2005, "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers, National Bureau of Economic Research, Inc, number 11564, Aug.
• Philippe Bacchetta & Eric van Wincoop, 2005, "Rational Inattention: A Solution to the Forward Discount Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 11633, Sep.
• Stefano DellaVigna & Joshua Pollet, 2005, "Investor Inattention, Firm Reaction, and Friday Earnings Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 11683, Oct.
• Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005, "Fiscal Hedging and the Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc, number 11687, Oct.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2005, "Institutional Investors and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11722, Nov.
• Raghuram G. Rajan, 2005, "Has Financial Development Made the World Riskier?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11728, Nov.
• Martin D. D. Evans & Richard K. Lyons, 2005, "Understanding Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 11748, Nov.
• Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005, "Unobserved Actions of Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 11766, Nov.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005, "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11775, Nov.
• Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005, "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11803, Nov.
• Ricardo Caballero & Arvind Krishnamurthy, 2005, "Financial System Risk and Flight to Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 11834, Dec.
• Lubos Pastor & Pietro Veronesi, 2005, "Technological Revolutions and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 11876, Dec.
• Cochrane, John H., 2005, "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, volume 1, issue 1, pages 1-101, July, DOI: 10.1561/0500000001.
• Luigi Guiso & Tullio Jappelli, 2005, "Awareness and Stock Market Participation," Review of Finance, European Finance Association, volume 9, issue 4, pages 537-567.
• Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005, "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 3, pages 831-873.
• Rafael Romeu, 2005, "Why Are Asset Markets Modeled Successfully, But Not Their Dealers?," IMF Staff Papers, Palgrave Macmillan, volume 52, issue 3, pages 1-1.
• Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005, "Modeling Bond Yields in Finance and Macroeconomics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-008, Jan.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Volatility Forecasting," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-011, Feb.
• Sosa Navarro, Ramiro, 2005, "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," MPRA Paper, University Library of Munich, Germany, number 11054, Jan.
• Douch, Mohamed, 2005, "The macroeconomic effects of monetary policy and financial crisis," MPRA Paper, University Library of Munich, Germany, number 1120, May.
• Akber, Hira, 2005, "Scope of Hedge Fund in Pakistan," MPRA Paper, University Library of Munich, Germany, number 116335, Jul, revised 12 Dec 2022.
• Nadeem, Sher, 2005, "Implications of Insider Trading on Share Market in Karachi," MPRA Paper, University Library of Munich, Germany, number 116447, Aug, revised 04 Feb 2023.
• Gray, Wesley, 2005, "Two Essays on Self Tender Offers," MPRA Paper, University Library of Munich, Germany, number 11919, Feb, revised 30 Nov 2005.
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2005, "Hurst exponents, Markov processes, and nonlinear diffusion equations," MPRA Paper, University Library of Munich, Germany, number 2152, Dec.
• Hossain, Monzur & Shahiduzzaman, Md., 2005, "Development of Non Bank Financial Institutions to Strengthen the Financial System of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 24734.
• Yalincak, Orhun Hakan, 2005, "Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula)," MPRA Paper, University Library of Munich, Germany, number 63208.
• Lukáš Bortel, 2005, "Vazba mezi právem, ekonomií a hospodářstvím
  [Linkage of law, economics and economy]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 5, pages 661-674, DOI: 10.18267/j.polek.529.
• Pierre Bollon & Carlos Pardo, 2005, "Actifs gérés pour compte de tiers : citius, altius, fortius ?," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 13-22, DOI: 10.3406/ecofi.2005.3965.
• Jean-François Boulier & Carlos Pardo, 2005, "Mini guide de la gestion pour compte de tiers ou ce que vous avez toujours voulu savoir sur la gestion d'actifs," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 35-60, DOI: 10.3406/ecofi.2005.3968.
• Bent Jesper Christensen & Morten Ø. Nielsen, 2005, "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper, Economics Department, Queen's University, number 1186, Nov.
• Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005, "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper, Economics Department, Queen's University, number 1187, Dec.
• Robert Kollmann, 2005, "International Asset Portfolios: A Dynamic General Equilibrium Perspective," 2005 Meeting Papers, Society for Economic Dynamics, number 184.
• Ivan Werning & George-Marios Angeletos, 2005, "Crises and Prices: Information Aggregation, Multiplicity and Volatility," 2005 Meeting Papers, Society for Economic Dynamics, number 284.
• Jessica Wachter & Martin Lettau, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics, number 302.
• Michael F. Gallmeyer & Burton Hollifield, 2005, "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers, Society for Economic Dynamics, number 676.
• Vincenzo Quadrini & Urban Jermann, 2005, "Financial Development and Macroeconomic Stability," 2005 Meeting Papers, Society for Economic Dynamics, number 692.
• Morris Davis & Robert F. Martin, 2005, "Housing, House Prices, and the Equity Premium Revisited," 2005 Meeting Papers, Society for Economic Dynamics, number 753.
• Pietro Veronesi & Lubos Pastor, 2005, "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers, Society for Economic Dynamics, number 95.
• Donal Bredin & Stuart Hyde & Gerard O'Reilly, 2005, "UK Stock returns & the impact of domestic monetary policy shocks," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1167, Oct.
• John Landon-Lane & Kim Oosterlinck, 2005, "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers, Rutgers University, Department of Economics, number 200513, Nov.
• Martin Shubik, 2005, "A double auction market: Teaching, experiment, and theory," Simulation & Gaming, , volume 36, issue 2, pages 166-182, June, DOI: 10.1177/1046878105277536.
• Willi Semmler & Lars Grüne, 2005, "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005, Society for Computational Economics, number 199, Nov.
• Michel PHILIP & Patrick Micheletti, 2005, "HRM and Value Creation," Computing in Economics and Finance 2005, Society for Computational Economics, number 264, Nov.
• Esben Hoeg, 2005, "Volatility and realized quadratic variation of differenced returns," Computing in Economics and Finance 2005, Society for Computational Economics, number 333, Nov.
• Wolfgang Drobetz & Roger Fix, 2005, "What are the Determinants of the Capital Structure? Evidence from Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 141, issue I, pages 71-113, March.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2005, "Are incomplete markets able to achieve minimal efficiency?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 25, issue 1, pages 75-87, January, DOI: 10.1007/s00199-003-0406-z.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Springer Books, Springer, chapter 0, in: Michèle Breton & Hatem Ben-Ameur, "Numerical Methods in Finance", DOI: 10.1007/0-387-25118-9_9.
• Christoph Kaserer & Niklas Wagner & Ann-Kristin Achleitner, 2005, "Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity," Springer Books, Springer, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel, "Risk Management", DOI: 10.1007/3-540-26993-2_13.
• Ajit Singh & Jack Glen & Ann Zammit & Rafael De-Hoyos & Alaka Singh & Bruce Weisse, 2005, "Shareholder Value Maximisation, Stock Market and New Technology: Should the US Corporate Model be the Universal Standard?," International Review of Applied Economics, Taylor & Francis Journals, volume 19, issue 4, pages 419-437, DOI: 10.1080/02692170500208533.
• Namwon Hyung & Casper G. de Vries, 2005, "Portfolio Diversification Effects of Downside Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-008/2, Jan.
• Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005, "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-052/1, May.
• Cars Hommes, 2005, "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-055/1, May.
• Cars H. Hommes, 2005, "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-056/1, May.
• William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005, "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 1-38, January, DOI: 10.1086/426518.
• Allan Timmermann & David Blake, 2005, "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 71-98, January, DOI: 10.1086/426520.
• David Veredas, 2005, "Macro surprises and short-term behavior in bond futures," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136194.
• Carl Chiarella & Giulia Iori, 2005, "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 152, Feb.
• Annastiina Silvennoinen & Timo Teräsvirta, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 168, Oct.
• Solomon Tadesse, 2005, "Financial Development and Technology," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp749, Feb.
• Solomon Tadesse, 2005, "Stock Markets Liquidity, Corporate Governance and Small Firms," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp883, Jun.
• Solomon Tadesse & Chuck Kwok, 2005, "National Culture and Financial Systems," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp884, Mar.
• Farooq Malik & Bradley T. Ewing & James E. Payne, 2005, "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 38, issue 3, pages 1037-1056, August, DOI: 10.1111/j.0008-4085.2005.00315.x.
• T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005, "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics, University Library of Munich, Germany, number 0503004, Mar.
• Marcos Mailoc López de Prado & Achim Peijan, 2005, "Measuring Loss Potential of Hedge Fund Strategies," Finance, University Library of Munich, Germany, number 0503010, Mar.
• Kensuke Tetsuya, 2005, "Client Firms and Bank Mergers: Positive Wealth Effect of Bank Mergers on Distressed Firms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 113-130, DOI: 10.1142/S0219091505000282.
• James Laurenceson & Kam Ki Tang, 2005, "Shanghai's Development as an International Financial Center," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 147-166, DOI: 10.1142/S0219091505000294.
• Youngkyu Park & Kooyul Jung, 2005, "Stock Repurchase in Korea: Market Reactions and Operating Performance," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 81-112, DOI: 10.1142/S0219091505000300.
• Barrie A. Bailey & Jean L. Heck & Kathryn A. Wilkens, 2005, "International Mutual Fund Performance and Political Risk," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 167-184, DOI: 10.1142/S0219091505000312.
• Mao-Wei Hung & Jr-Yan Wang, 2005, "Asset Prices Under Prospect Theory and Habit Formation," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 1-29, DOI: 10.1142/S0219091505000324.
• Chia-Cheng Ho & Chin-Chuan Lee & Chien-Ting Lin & C. Edward Wang, 2005, "Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 31-51, DOI: 10.1142/S0219091505000336.
• Mahendra Chandra, 2005, "Estimating and Explaining Extreme Comovements in Asia-Pacific Equity Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 53-79, DOI: 10.1142/S0219091505000348.
• Che-Chun Lin & Lan-Chih Ho, 2005, "Valuing Individual Mortgage Servicing Contracts: A Comparison between Adjustable Rate Mortgages and Fixed Rate Mortgages," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 131-146, DOI: 10.1142/S021909150500035X.
• Shao-Chi Chang & Jung-Ho Lai & Chen-Hsiang Yu, 2005, "The Intra-Industry Effect of Share Repurchase Deregulation: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 251-277, DOI: 10.1142/S0219091505000361.
• Chiung-Ju Liang & Ming-Li Yao & Jung-Chu Lin, 2005, "The Effects of High-Tech Companies' Strategic Alliance Announcements on the Stock Prices of the Relevant Companies: A Comparative Analysis of Indirect Benefits for Taiwan's High-Tech Industry Versus O," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 235-250, DOI: 10.1142/S0219091505000373.
• Louis T. W. Cheng & Ricky W. F. Szeto & T. Y. Leung, 2005, "Insider Trading Activities Before the Simultaneous Announcements of Earnings and Dividends," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 279-307, DOI: 10.1142/S0219091505000385.
• Sang-Gyung Jun & Frank C. Jen, 2005, "The Determinants and Implications of Matching Maturities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 309-337, DOI: 10.1142/S0219091505000397.
• Chao-Hsien Lin & Hsinan Hsu & Chwan-Yi Chiang, 2005, "Trading Patterns and Performance of Trader Types in Taiwan Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 217-234, DOI: 10.1142/S0219091505000403.
• Robin K. Chou & Wan-Chen Lee & Sheng-Syan Chen, 2005, "The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 201-216, DOI: 10.1142/S0219091505000415.
• Changi Nam & Dong-Hoon Yang & Myeong-Cheol Park & Gil-Hwan Oh & Jong-Hyun Park, 2005, "Stock Market Reaction to Mergers and Acquisitions in Anticipation of a Subsequent Related Significant Event: Evidence from the Korean Telecommunications Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 185-200, DOI: 10.1142/S0219091505000427.
• Carolyn W. Chang & Jack S. K. Chang, 2005, "Doubly-Binomial Option Pricing with Application to Insurance Derivatives," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 501-523, DOI: 10.1142/S0219091505000439.
• Robert W. Faff & David Hillier & Michael D. McKenzie, 2005, "An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 467-499, DOI: 10.1142/S0219091505000440.
• Maximilian J. B. Hall & Ganjar Mustika, 2005, "An Empirical Study of Optimal Bank Corrective Action for Indonesia Employing the Dynamic Contingent Claims Model," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 339-376, DOI: 10.1142/S0219091505000452.
• Hsien-Chang Kuo & Lie-Huey Wang, 2005, "The Effect of the Degree of Internationalization on Capital Structure for Listed Multinational Corporations in Taiwan during the Asian Financial Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 447-466, DOI: 10.1142/S0219091505000464.
• Mei-Chen Lin, 2005, "Returns and Investor Behavior in Taiwan: Does Overconfidence Explain this Relationship?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 405-446, DOI: 10.1142/S0219091505000476.
• Hsiao-Tien Pao & Yao-Yu Chih, 2005, "Comparison of Linear and Nonlinear Models for Panel Data Forecasting: Debt Policy in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 525-541, DOI: 10.1142/S0219091505000488.
• Paul S. L. Yip, 2005, "On the Maintenance Costs and Exit Costs of the Peg in Hong Kong," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 377-403, DOI: 10.1142/S021909150500049X.
• Chen-Lung Chin & Tyrone T. Lin & Chia-Chi Lee, 2005, "Convertible Bonds Issuance Terms, Management Forecasts, and Earnings Management: Evidence from Taiwan Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 03, pages 543-571, DOI: 10.1142/S0219091505000506.
• Asma Mobarek & A. Sabur Mollah, 2005, "The General Determinants of Share Returns: An Empirical Investigation on the Dhaka Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 593-612, DOI: 10.1142/S0219091505000518.
• Cheng-Few Lee, 2005, "Recap of the Ninth Conference on Pacific Basin Finance, Economics, and Accounting," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 733-745, DOI: 10.1142/S021909150500052X.
• Cheng-Few Lee, 2005, "Recap of the Tenth Conference on Pacific Basin Finance, Economics, and Accounting," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 747-765, DOI: 10.1142/S0219091505000531.
• Francis In & Jonathan A. Batten, 2005, "Expectations and Equilibrium in High-Grade Australian Bond Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 573-592, DOI: 10.1142/S0219091505000543.
• Luis Ferruz Agudo & Cristina Ortiz Lázaro, 2005, "Does Mutual Fund Management in India Correspond to its Investment Objective Classification?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 659-685, DOI: 10.1142/S0219091505000555.
• D. K. Malhotra & Vivek Bhargava & Mukesh Chaudhry, 2005, "Determinants of Treasury-LIBOR Swap Spreads," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 687-705, DOI: 10.1142/S0219091505000567.
• Donghyun Park & Junggun Oh, 2005, "Korea's Post-Crisis Monetary Policy Reforms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 707-731, DOI: 10.1142/S0219091505000579.
• Qi Luo & Toyohiko Hachiya, 2005, "Corporate Governance, Cash Holdings, and Firm Value: Evidence from Japan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 613-636, DOI: 10.1142/S0219091505000580.
• Shuh-Chyi Doong & Sheng-Yung Yang & Thomas C. Chiang, 2005, "Response Asymmetries in Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 04, pages 637-657, DOI: 10.1142/S0219091505000592.
• Stephen J. Brown & William N. Goetzmann & Bing Liang, 2005, "Fees On Fees In Funds Of Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Robert C. Merton & Zvi Bodie, 2005, "Design Of Financial Systems: Towards A Synthesis Of Function And Structure," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: H Gifford Fong, "The World Of Risk Management".
• Glaser, Markus & Langer, Thomas & Weber, Martin, 2005, "Overconfidence of Professionals and Lay Men: Individual Differences Within and Between Tasks?," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 05-25, Apr.
• William N. Goetzmann & Massimo Massa, 2005, "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm447, Apr.
• Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005, "In search of distress risk," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,27.
• Diebold, Francis X. & Piazzesi, Monica & Rudebusch, Glenn D., 2005, "Modeling bond yields in finance and macroeconomics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/03.
• Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005, "Volatility forecasting," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/08.
• Guiso, Luigi & Jappelli, Tullio, 2005, "Awareness and stock market participation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/29.
• Salzman, Diego & Trifan, Emanuela, 2005, "Emotions, Bayesian inference, and financial decision making," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 166.
• Schwarze, Reimund & Wein, Thomas, 2005, "Is the market classification of risk always efficient? Evidence from German third party motor insurance," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, volume 1, issue 4, pages 173-202.
• John H. Cochrane & Monika Piazzesi, 2005, "Bond Risk Premia," American Economic Review, American Economic Association, volume 95, issue 1, pages 138-160, March, DOI: 10.1257/0002828053828581.
• Martin D. D. Evans & Richard K. Lyons, 2005, "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, volume 95, issue 2, pages 405-414, May.
• Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005, "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, American Economic Association, volume 95, issue 2, pages 415-420, May.
• Markus K. Brunnermeier & Jonathan A. Parker, 2005, "Optimal Expectations," American Economic Review, American Economic Association, volume 95, issue 4, pages 1092-1118, September.
• Mathias Drehmann & Jörg Oechssler & Andreas Roider, 2005, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," American Economic Review, American Economic Association, volume 95, issue 5, pages 1403-1426, December.
• Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2005, "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273663, Nov, DOI: 10.22004/ag.econ.273663.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2005, "Forecasting Exchange Rate Volatility in the Presence of Jumps," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273664, Dec, DOI: 10.22004/ag.econ.273664.
• Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005, "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 1, issue 2, pages 1-23, DOI: 10.22004/ag.econ.50272.
• Ashraf, Nava & Karlan, Dean S. & Yin, Wesley, 2005, "Deposit Collectors," Center Discussion Papers, Yale University, Economic Growth Center, number 28502, DOI: 10.22004/ag.econ.28502.
• Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005, "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-12.
• Ingrid Lo & Stephen Sapp, 2005, "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers, Bank of Canada, number 05-42, DOI: 10.34989/swp-2005-42.
• Sean D. Campbell & Francis X. Diebold, 2005, "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 6-16, March.
• J L Ford & David Kelsey & W Pang, 2005, "Ambiguity in Financial Markets: Herding and Contrarian Behaviour," Discussion Papers, Department of Economics, University of Birmingham, number 05-11, May.
• Nikola A. Tarashev, 2005, "An empirical evaluation of structural credit risk models," BIS Working Papers, Bank for International Settlements, number 179, Jul.
• Antonios Sangvinatsos & Jessica A. Wachter, 2005, "Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?," Journal of Finance, American Finance Association, volume 60, issue 1, pages 179-230, February, DOI: 10.1111/j.1540-6261.2005.00728.x.
• John H. Boyd & Jian Hu & Ravi Jagannathan, 2005, "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, volume 60, issue 2, pages 649-672, April, DOI: 10.1111/j.1540-6261.2005.00742.x.
• Randolph B. Cohen & Joshua D. Coval & Ľuboš Pástor, 2005, "Judging Fund Managers by the Company They Keep," Journal of Finance, American Finance Association, volume 60, issue 3, pages 1057-1096, June, DOI: 10.1111/j.1540-6261.2005.00756.x.
• Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005, "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, volume 60, issue 3, pages 1167-1219, June, DOI: 10.1111/j.1540-6261.2005.00759.x.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
• Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005, "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, volume 60, issue 5, pages 2213-2253, October, DOI: 10.1111/j.1540-6261.2005.00797.x.
• Stefano Bosi & Guillaume Girmens & Michel Guillard, 2005, "Optimal Privatization Design and Financial Markets," Journal of Public Economic Theory, Association for Public Economic Theory, volume 7, issue 5, pages 799-826, December, DOI: 10.1111/j.1467-9779.2005.00246.x.
• Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2005, "Monetary policy predictability in the euro area: An international comparison," Working Paper, Norges Bank, number 2005/7, Sep.
• Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse, 2005, "Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard," Working Papers, Centre for Business Research, University of Cambridge, number wp315, Sep.
• Brandt, Michael W & Santa-Clara, Pedro & Valkanov, Rossen, 2005, "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt4ft420b6, Mar.
• Case, Karl E. & Quigley, John M. & Shiller, Robert J., 2005, "Comparing Wealth Effects: The Stock Market versus the Housing Market," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy, number qt28d3s92s, Jun.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers, CIRANO, number 2005s-03, Feb.
• Farooq Malik & Bradley Ewing & James Payne, 2005, "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics, Canadian Economics Association, volume 38, issue 3, pages 1037-1056, August, DOI: 10.1111/j.0008-4085.2005.00315.x.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005, "Asset Float and Speculative Bubbles," Levine's Bibliography, UCLA Department of Economics, number 122247000000000861, Jan.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005, "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography, UCLA Department of Economics, number 122247000000001003, Dec.
• Juan Carlos Echeverry & Leopoldo Fergusson & Pablo QuerubÔøΩn, 2005, "Budget Inflexibility," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2070, Sep.
• Kandel, Shmuel & Wohl, Avi & Braverman, Oded, 2005, "The (Bad?) Timing of Mutual Fund Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5243, Sep.
• Bacchetta, Philippe & van Wincoop, Eric, 2005, "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5261, Oct.
• Lettau, Martin & Van Nieuwerburgh, Stijn, 2005, "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5355, Nov.
• Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005, "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5367, Nov.
• Danthine, Jean-Pierre & Siconolfi, Paolo & Donaldson, John B, 2005, "Distribution Risk and Equity Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5425, Dec.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2005, "Technological Revolutions and Stock Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5428, Dec.
• Ellul, Andrew & Shin, Hyun Song & Tonks, Ian, 2005, "Opening and Closing the Market: Evidence from the London Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 4, pages 779-801, December.
• Turnovsky, Stephen J. & Bianconi, Marcelo, 2005, "Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply," Macroeconomic Dynamics, Cambridge University Press, volume 9, issue 3, pages 321-357, June.