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

• 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, Centre for Economic Policy Research, number 5243, Sep.
• Bacchetta, Philippe & van Wincoop, Eric, 2005, "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 5355, Nov.
• Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005, "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5367, Nov.
• Danthine, Jean-Pierre & Siconolfi, Paolo & Donaldson, John B, 2005, "Distribution Risk and Equity Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5425, Dec.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2005, "Technological Revolutions and Stock Prices," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Georg Zachmann, 2005, "Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 512.
• Min-Hsien Chiang & Chihwa Kao, 2005, "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model," Economics Bulletin, AccessEcon, volume 3, issue 10, pages 1-13.
• Kian-Ping Lim & Melvin J. Hinich, 2005, "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, volume 7, issue 1, pages 1-6.
• Kevin E. Beaubrun-Diant, 2005, "Can a Time-to-Plan Model explain the Equity Premium Puzzle," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-8.
• Yusuke Osaki, 2005, "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, volume 4, issue 8, pages 1-8.
• Manfred Stadler & Tobias Schuele, 2005, "Signalling Effects of a Large Player in a Global Game of Creditor Coordination," Economics Bulletin, AccessEcon, volume 4, issue 12, pages 1-7.
• Sergio Da Silva & Paulo Ceretta & Silvia Nunes & Newton Da Costa, Jr, 2005, "Stockmarket comovements revisited," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-9.
• Kian-Ping Lim & Melvin J. Hinich, 2005, "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, AccessEcon, volume 7, issue 6, pages 1-5.
• Gerhard Kling, 2005, "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, AccessEcon, volume 7, issue 5, pages 1-11.
• Jean Fernand Nguema, 2005, "Stochastic dominance on optimal portfolio with one risk-less and two risky assets," Economics Bulletin, AccessEcon, volume 7, issue 7, pages 1-7.
• Sergio Da Silva & Jefferson Cunha & Newton Da Costa, Jr, 2005, "Stock selection based on cluster analysis," Economics Bulletin, AccessEcon, volume 13, issue 1, pages 1-9.
• Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005, "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, volume 13, issue 2, pages 1-6.
• Cornelia Holthausen & Cyril Monnet, 2005, "Securities settlement and dinancial integration: Why do we care?," Research Bulletin, European Central Bank, volume 2, pages 8-9.
• Miller, Darius P. & Puthenpurackal, John J., 2005, "Security fungibility and the cost of capital: evidence from global bonds," Working Paper Series, European Central Bank, number 426, Jan.
• Zaghini, Andrea & Wilhelmsen, Björn-Roger, 2005, "Monetary policy predictability in the euro area: an international comparison," Working Paper Series, European Central Bank, number 504, Jul.
• Carey, Mark & Stulz, Rene M., 2005, "The Risks of Financial Institutions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-13, Jun.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005, "Over-the-Counter Markets," Econometrica, Econometric Society, volume 73, issue 6, pages 1815-1847, November.
• Diks, Cees & van der Weide, Roy, 2005, "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 4, pages 741-763, April.
• Wachter, Jessica A., 2005, "Solving models with external habit," Finance Research Letters, Elsevier, volume 2, issue 4, pages 210-226, December.
• Feltenstein, Andrew & Lagunoff, Roger, 2005, "International versus domestic auditing of bank solvency," Journal of International Economics, Elsevier, volume 67, issue 1, pages 73-96, September.
• Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005, "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 827-851, April.
• Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005, "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, volume 76, issue 3, pages 509-548, June.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Evans, Martin D.D. & Lyons, Richard K., 2005, "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, volume 24, issue 2, pages 197-217, March.
• Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005, "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, volume 52, issue 5, pages 921-950, July.
• Nava Ashraf & Dean Karlan & Wesley Yin, 2005, "Deposit Collectors," Working Papers, Economic Growth Center, Yale University, number 930, Dec.
• Lezaun, Javier & Millo, Yuval, 2005, "Regulatory experiments: putting GM crops and financial markets on trial," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36102, Feb.
• Schwarze, Reimund & Wein, Thomas, 2005, "Is the market classification of risk always efficient? evidence from german third party motor insurance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 36104, Feb.
• Raghuram G. Rajan, 2005, "Has Financial Development Made the World Riskier?," Working Papers, eSocialSciences, number id:248.
• Ramiro Sosa Navarro, 2005, "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-10.
• Stefano Bosi, 2005, "Sunspot Bubbles," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-25.
• Philippe Bacchetta & Eric van Wincoop, 2005, "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp155, Aug.
• Philippe Bacchetta & Eric van Wincoop, 2005, "Rational Inattention: A Solution to the Forward Discount Puzzle," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp156, Sep.
• Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005, "Distribution Risk and Equity Returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp161, Nov.
• Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005, "Modeling Bond Yields in Finance and Macroeconomics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2005-04, Jan, DOI: 10.24148/wp2005-04.
• Raghuram G. Rajan, 2005, "Has financial development made the world riskier?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
• Hui Guo & Robert Whitelaw, 2005, "Uncovering the risk-return relation in the stock market," Working Papers, Federal Reserve Bank of St. Louis, number 2001-001, DOI: 10.20955/wp.2001.001.
• John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005, "Caught On Tape: Institutional Order Flow and Stock Returns," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2080.
• John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005, "In Searach of Distress Risk," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2081.
• John Y. Campbell & Joao F. Cocco, 2005, "How Do House Prices Affect Consumption? Evidence From Micro Data," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2083.
• John Y. Campbell & Samuel B. Thompson, 2005, "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2084.
• Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005, "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-01, May.
• Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005, "Exchange Rate Fundamentals and Order Flow (July 2004)," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-03, May.
• Martin D. D. Evans (Georgetown University), 2005, "Understanding Order Flow," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-19, May.
• Martin D. D. Evans (Georgetown University), 2005, "Foreign Exchange Market Microstructure," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-20, May.
• Alexandros Kontonikas & Alberto Montagnoli, 2005, "Optimal Monetary Policy and Asset Price Misalignments," Working Papers, Business School - Economics, University of Glasgow, number 2005_9, Nov.
• Stefano Bosi & Guillaume Girmens & Michel Guillard, 2005, "Optimal privatization design and financial markets," Post-Print, HAL, number hal-02877996, Dec, DOI: 10.1111/j.1467-9779.2005.00246.x.
• David A. Hennessy, 2005, "Feeding and the Equilibrium Feeder Animal Price-Weight Schedule," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 05-wp395, Jun.
• Williams, Marion & Rudden, Kyle & Medici, André & Mitchell, Olivia S. & Masci, Pietro & Brunton, P. Desmond & Osborne, Derek M. & Bobb, Euric Allan & Dowers, Kenroy & Thompson, Lawrence H. & Díaz Cass, 2005, "Workable Pension Systems: Reforms in the Caribbean," IDB Publications (Books), Inter-American Development Bank, number 198, ISBN: ARRAY(0x7050a460), August.
• Ricardo Caballero & Arvind Krishnamurthy, 2005, "Exchange Rate Volatility and the Credit Channel in Emerging Markets: A Vertical Perspective," International Journal of Central Banking, International Journal of Central Banking, volume 1, issue 1, May.
• Venegas-Martínez, Francisco, 2005, "De Bachelier a Merton: 100 años del movimiento Browniano en economía y finanzas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 1, pages 9-64, primer se.
• Tanya Araujo & Francisco Louçã, 2005, "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2005/15.
• Paula Albuquerque, 2005, "The interdealer market and the central bank intervention," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2005/09.
• Hennessy, David A., 2005, "Feeding and the Equilibrium Feeder Animal Price-Weight Schedule," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12365, Jun.
• William A. Barnett & Shu Wu, 2005, "On user costs of risky monetary assets," Annals of Finance, Springer, volume 1, issue 1, pages 35-50, January, DOI: 10.1007/s10436-004-0003-6.
• Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005, "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, volume 1, issue 2, pages 109-147, July, DOI: 10.1007/s10436-004-0004-5.
• Benoit B. Mandelbrot, 2005, "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, volume 1, issue 2, pages 179-192, October, DOI: 10.1007/s10436-004-0007-2.
• Benoit B. Mandelbrot, 2005, "The inescapable need for fractal tools in finance," Annals of Finance, Springer, volume 1, issue 2, pages 193-195, October, DOI: 10.1007/s10436-004-0008-1.
• Asger Lunde & Allan Timmermann, 2005, "Completion time structures of stock price movements," Annals of Finance, Springer, volume 1, issue 3, pages 293-326, August, DOI: 10.1007/s10436-005-0012-0.
• Željko Šević, 2005, "Emerging Markets: Preferences, R isks, Performance..," Economic Change and Restructuring, Springer, volume 38, issue 1, pages 1-10, March, DOI: 10.1007/s10644-005-4520-8.
• Luigi Guiso & Tullio Jappelli, 2005, "Awareness and Stock Market Participation," Review of Finance, Springer, volume 9, issue 4, pages 537-567, December, DOI: 10.1007/s10679-005-5000-8.
• Joost Pennings & Philip Garcia & Eligius Hendrix, 2005, "Towards a Theory of Revealed Economic Behavior: The Economic-Neurosciences Interface," Journal of Bioeconomics, Springer, volume 7, issue 2, pages 113-127, January, DOI: 10.1007/s10818-005-6417-z.
• Jean-Pierre Danthine & John B. Donaldson & Paolo Siconolfi, 2005, "Distribution Risk and Equity Returns," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 05.10, Nov.
• Reimund Schwarze & Thomas Wein, 2005, "Is the Market Classification of Risk Always Efficient? - Evidence from German Third Party Motor Insurance," Working Paper Series in Economics, University of Lüneburg, Institute of Economics, number 3, Mar.
• André Lemelin, 2005, "La dette obligataire dans un MÉGC dynamique séquentiel," Cahiers de recherche, CIRPEE, number 0505.
• Glaser, Markus & Langer, Thomas & Weber, Martin, 2005, "Overconfidence of professionals and lay men : individual differences within and between tasks?," Papers, Sonderforschungsbreich 504, number 05-25.
• Wing-Keung Wong & Guorui Bian, 2005, "Robust Estimation of Multiple Regression Model with Non-normal Error: Symmetric Distribution," Monash Economics Working Papers, Monash University, Department of Economics, number 09/05, Jun.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-04.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 04-2005.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2005, "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 11021, Jan.
• Martin D.D. Evans & Richard K. Lyons, 2005, "Do Currency Markets Absorb News Quickly?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11041, Jan.
• Martin D.D. Evans & Richard K. Lyons, 2005, "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers, National Bureau of Economic Research, Inc, number 11042, Jan.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 11069, Jan.
• Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch, 2005, "Modeling Bond Yields in Finance and Macroeconomics," NBER Working Papers, National Bureau of Economic Research, Inc, number 11089, Jan.
• Ali Hortacsu & Samita Sareen, 2005, "Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions," NBER Working Papers, National Bureau of Economic Research, Inc, number 11116, Feb.
• Josh Lerner & Antoinette Schoar & Wan Wong, 2005, "Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 11136, Feb.
• Martin Lettau & Jessica Wachter, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 11144, Feb.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Volatility Forecasting," NBER Working Papers, National Bureau of Economic Research, Inc, number 11188, Mar.
• John Cochrane, 2005, "Financial Markets and the Real Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 11193, Mar.
• Stefano DellaVigna & Joshua M. Pollet, 2005, "Attention, Demographics, and the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 11211, Mar.
• Genevieve Boyreau-Debray & Shang-Jin Wei, 2005, "Pitfalls of a State-Dominated Financial System: The Case of China," NBER Working Papers, National Bureau of Economic Research, Inc, number 11214, Mar.
• Richard K. Lyons & Michael J. Moore, 2005, "An Information Approach to International Currencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11220, Mar.
• Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005, "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers, National Bureau of Economic Research, Inc, number 11247, Apr.
• Cade Massey & Richard Thaler, 2005, "Overconfidence vs. Market Efficiency in the National Football League," NBER Working Papers, National Bureau of Economic Research, Inc, number 11270, Apr.
• Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005, "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 11276, Apr.
• Mitchell A. Petersen, 2005, "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers, National Bureau of Economic Research, Inc, number 11280, Apr.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005, "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11312, May.
• Jeff Dominitz & Charles F. Manski, 2005, "Measuring and Interpreting Expectations of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11313, May.
• Manju Puri & David Robinson, 2005, "Optimism and Economic Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 11361, May.
• Jianping Mei & Jose Scheinkman & Wei Xiong, 2005, "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 11362, May.
• Harrison Hong & Jose Scheinkman & Wei Xiong, 2005, "Asset Float and Speculative Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 11367, May.
• Kristin J. Forbes, 2005, "The Microeconomic Evidence on Capital Controls: No Free Lunch," NBER Working Papers, National Bureau of Economic Research, Inc, number 11372, May.
• Lin Peng & Wei Xiong, 2005, "Investor Attention: Overconfidence and Category Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 11400, Jun.
• John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005, "Caught On Tape: Institutional Order Flow and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11439, Jun.
• Raj Chetty & Joseph Rosenberg & Emmanuel Saez, 2005, "The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11452, Jul.
• John Y. Campbell & Samuel B. Thompson, 2005, "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers, National Bureau of Economic Research, Inc, number 11468, Jul.
• Lars Peter Hansen & John Heaton & Nan Li, 2005, "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11476, Jul.
• John Y. Campbell & João F. Cocco, 2005, "How Do House Prices Affect Consumption? Evidence From Micro Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 11534, Aug.
• James J. Choi & David Laibson & Brigitte C. Madrian, 2005, "$100 Bills on the Sidewalk: Suboptimal Investment in 401(k) Plans," NBER Working Papers, National Bureau of Economic Research, Inc, number 11554, Aug.
• Jessica A. Wachter, 2005, "Solving Models with External Habit," NBER Working Papers, National Bureau of Economic Research, Inc, number 11559, Aug.
• 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.
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• 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.
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• 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.
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• Morris Davis & Robert F. Martin, 2005, "Housing, House Prices, and the Equity Premium Revisited," 2005 Meeting Papers, Society for Economic Dynamics, number 753.
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• 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.
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• 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.
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• 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.
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• David Veredas, 2005, "Macro surprises and short-term behavior in bond futures," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136194.
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• 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.