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

• 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.

2004

• Byung-Ju Kim & Richard J. Kish & Geraldo M. Vasconcellos, 2004, "Cumulative Returns from the Korean IPO Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 43-75, DOI: 10.1142/S0219091504000020.
• Chien-Ting Lin & Lee-Kian Lim, 2004, "Another Look at the Tuesday Effect in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 77-89, DOI: 10.1142/S0219091504000032.
• Der-Fen Huang & Chenen Ko & Chi-Chun Liu, 2004, "The Risk-Relevant Information Content of Changes in the Basel Capital Regulations in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 91-117, DOI: 10.1142/S0219091504000044.
• Theodore M. Barnhill & Panagiotis Papapanagiotou & Marcos Rietti Souto, 2004, "Preemptive Strategies for the Assessment and Management of Financial System Risk Levels: An Application to Japan with Implications for Emerging Economies," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-42, DOI: 10.1142/S0219091504000056.
• Tracy Yang & Jamus Jerome Lim, 2004, "Crisis, Contagion, and East Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 119-151, DOI: 10.1142/S0219091504000068.
• Nicolaas Groenewold, 2004, "Autocorrelation and Volume in the Chinese Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 289-309, DOI: 10.1142/S021909150400007X.
• Konan Chan & Narasimhan Jegadeesh, 2004, "Market-Based Evaluation for Models to Predict Bond Ratings," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 153-172, DOI: 10.1142/S0219091504000081.
• Chau-Chen Yang & Cheng-Few Lee & Chung-Jiun Lin & Ya-Ting Chung, 2004, "The Determinants of Returns on China-Concept Stocks Listed in Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 213-231, DOI: 10.1142/S0219091504000093.
• C. F. Lee & Ta-Peng Wu & Ren-Raw Chen, 2004, "The Constant Elasticity of Variance Models: New Evidence from S&P 500 Index Options," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 173-190, DOI: 10.1142/S021909150400010X.
• Yu-Li Liang & Ching-Hai Jiang & Yen-Sheng Huang, 2004, "Bid-Ask Bounce and the Intraday Performance of Limit Orders: Evidence from the Taiwan Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 191-211, DOI: 10.1142/S0219091504000111.
• Chaoshin Chiao & Ko-I Lin, 2004, "The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 259-288, DOI: 10.1142/S0219091504000123.
• Poh Har Neo & Seow Eng Ong, 2004, "Risk Sharing in Mortgage Loan Agreements," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 233-258, DOI: 10.1142/S0219091504000135.
• Miawjane Chen & Chao-Liang Chen & Wan-Hsiu Cheng, 2004, "The Announcement Effects of Restricted Open Market Share Repurchases: Experience from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 335-354, DOI: 10.1142/S0219091504000147.
• Wei-Chiao Huang & Yuanlei Zhu, 2004, "Are Shocks Asymmetric to Volatility of Chinese Stock Markets?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 379-395, DOI: 10.1142/S0219091504000159.
• Donald Lien & Li Yang, 2004, "Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 397-422, DOI: 10.1142/S0219091504000160.
• Alastair Marsden & Russell Poskitt, 2004, "The Pricing of Instalments Receipts: New Zealand Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 423-449, DOI: 10.1142/S0219091504000172.
• Ya-Hui Wang & Chien-Tai Wu, 2004, "The Share Price Responses and Determinants of Strategic Alliances in Taiwan's High-Tech Industry: A Quantile Regression Approach," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 355-378, DOI: 10.1142/S0219091504000184.
• Zhaohui Zhang & Khondkar E. Karim, 2004, "Is Too-Big-To-Fail Policy Effective for US Banks in an International Currency Crisis?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 311-333, DOI: 10.1142/S0219091504000196.
• D. K. Malhotra & R. Martin & V. Marisetty, 2004, "An Empirical Analysis of Australian Superannuation Fund Expenses," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 451-469, DOI: 10.1142/S0219091504000202.
• Shiu-Wan Hung & Chyan Yang & Cheng-Few Lee, 2004, "The Vertical Disintegration of Taiwan's Semiconductor Industries: Price and Non-Price Factors," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 547-569, DOI: 10.1142/S0219091504000214.
• Edward B. Douthett & Kooyul Jung & YoungKyu Park, 2004, "KeiretsuAffiliation and Equity Values in Japan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 525-545, DOI: 10.1142/S0219091504000226.
• Li-Chin Jennifer Ho & Jeffrey Tsay, 2004, "Analysts' Forecasts of Taiwanese Firms' Earnings: Some Empirical Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 571-597, DOI: 10.1142/S0219091504000238.
• Pei-Gi Shu & Yin-Hua Yeh & Yu-Chen Huang, 2004, "Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 471-491, DOI: 10.1142/S021909150400024X.
• Dick Davies & David Hillier & Andrew Marshall & King Fui Cheah, 2004, "Pricing Interest Rate Swaps in Malaysia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 493-507, DOI: 10.1142/S0219091504000251.
• Wen-Hsiu Kuo & Hsinan Hsu & Chwan-Yi Chiang, 2004, "Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 509-524, DOI: 10.1142/S0219091504000263.
• William N. Goetzmann & Massimo Massa, 2004, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm331, Jul.
• William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004, "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers, Yale School of Management, number ysm5, Jan.
• Amit Goyal & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers, Yale School of Management, number amz2412, Apr, revised 01 Jan 2006.
• Brandt, Michael W. & Diebold, Francis X., 2004, "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/07.
• Campbell, Sean D. & Diebold, Francis X., 2004, "Weather forecasting for weather derivatives," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/10.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004, "Realized beta: Persistence and predictability," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/16.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2004, "Real-time price discovery in stock, bond and foreign exchange markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/19.
• Nell, Martin & Richter, Andreas, 2004, "Catastrophic events as threats to society: Private and public risk management strategies," Working Papers on Risk and Insurance, University of Hamburg, Institute for Risk and Insurance, number 12.
• Philippe Bacchetta & Eric Van Wincoop, 2004, "A Scapegoat Model of Exchange-Rate Fluctuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 114-118, May, DOI: 10.1257/0002828041301849.
• René M. Stulz, 2004, "Should We Fear Derivatives?," Journal of Economic Perspectives, American Economic Association, volume 18, issue 3, pages 173-192, Summer, DOI: 10.1257/0895330042162359.
• Isik, Murat, 2004, "Incorporating Risk Preferences Into Real Options Models," 2004 Annual meeting, August 1-4, Denver, CO, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 20027, DOI: 10.22004/ag.econ.20027.
• Lloyd-Ellis, Huw & Zhu, Xiaodong, 2004, "Using Financial Market Information to Enhance Canadian Fiscal Policy," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273511, Aug, DOI: 10.22004/ag.econ.273511.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• David Bolder & Grahame Johnson & Adam Metzler, 2004, "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers, Bank of Canada, number 04-48, DOI: 10.34989/swp-2004-48.
• Andrew Filardo, 2004, "Monetary policy and asset price bubbles: calibrating the monetary policy trade-offs," BIS Working Papers, Bank for International Settlements, number 155, Jun.
• John D. Burger, 2004, "The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 4, pages 544-554, October, DOI: 10.1093/cep/byh041.
• Hans‐Werner Sinn, 2004, "The New Systems Competition," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 5, issue 1, pages 23-38, February, DOI: 10.1111/j.1468-2516.2004.00125.x.
• Matteo Iacoviello, 2004, "Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis," Boston College Working Papers in Economics, Boston College Department of Economics, number 589, Jan, revised 13 Sep 2004.
• Sophocles N. Brissimis & Nicholas S. Magginas, 2004, "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers, Bank of Greece, number 10, Feb.
• Cappuccio Nunzio & Lubian Diego & Raggi Davide, 2004, "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-31, May, DOI: 10.2202/1558-3708.1211.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Daniella Acker & Nigel W. Duck, 2004, "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 04/557, Jan.
• John Roberts & Paul Sanderson & John Hendry & Richard Barker, 2004, "Owners, traders and providers of capital: the multiple faces of institutional investors," Working Papers, Centre for Business Research, University of Cambridge, number wp296, Dec.
• Christopher Knittel & Jeffrey Heisler & John J. Neumann & Scott Stewart, 2004, "Why Do Institutional Plan Sponsors Hire and Fire their Investment Managers?," Working Papers, University of California, Davis, Department of Economics, number 1, Sep.
• Santa-Clara, Pedro & Yan, Shu, 2004, "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt5dv8v999, Sep.
• Brandt, Michael W. & Santa-Clara, Pedro, 2004, "Dynamic Portfolio Selection by Augmenting the Asset Space," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt632436gt, Apr.
• Hans-Werner Sinn, 2001, "The New Systems Competition," CESifo Working Paper Series, CESifo, number 623.
• René Garcia & Eric Ghysels & Eric Renault, 2004, "The Econometrics of Option Pricing," CIRANO Working Papers, CIRANO, number 2004s-04, Jan.
• Luigi Guiso & Tullio Jappelli, 2006, "Information Acquisition and Portfolio Performance," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 52, Oct.
• Titman, Sheridan & Wei, K. C. John & Xie, Feixue, 2004, "Capital Investments and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 4, pages 677-700, December.
• Colasse, Bernard (ed.), 2004, "Contribution à l'étude de l'investissement socialement responsable : Les stratégies de légitimation des sociétés de gestion," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10473.
• Nicolas Wesner, 2004, "Searching for chaos on low frequency," Economics Bulletin, AccessEcon, volume 3, issue 1, pages 1-8.
• Songul Kakilli Acaravci & Hatice Dogukanli, 2004, "The Effects Of Market And Industry Factors On The Returns Of Common Stocks Traded On The Istanbul Stock Exchange," Economics Bulletin, AccessEcon, volume 28, issue 5, pages 1.
• Vincenzo Costa, 2004, "Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods," Economics Bulletin, AccessEcon, volume 3, issue 43, pages 1-10.
• Chongcheul Cheong, 2004, "Does the risk of exchange rate fluctuation really affect international trade flows between countries?," Economics Bulletin, AccessEcon, volume 6, issue 4, pages 1-8.
• Frank Westerhoff & Sebastiano Manzan, 2004, "Does liquidity in the FX market depend on volatility?," Economics Bulletin, AccessEcon, volume 6, issue 10, pages 1-8.
• Victor Vaugirard, 2004, "A canonical first passage time model to pricing nature-linked bonds," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-7.
• Reint Gropp & Philipp Hartmann, 2004, "Financial Contagion: Myth or Reality?," Research Bulletin, European Central Bank, volume 1, pages 2-5.
• Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004, "Stock Market Trading and Market Conditions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-13, Aug.
• Stulz, Rene M., 2004, "Should We Fear Derivatives?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-5, May.
• Rene Garcia & Marco Bonomo, 2004, "Optimal Rules under Adjustment Cost and Infrequent Information," Econometric Society 2004 Latin American Meetings, Econometric Society, number 135, Aug.
• Mario Zambrano, 2004, "Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos," Econometric Society 2004 Latin American Meetings, Econometric Society, number 164, Aug.
• Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
• Lasse H. Pedersen & Markus Brunnermeier, 2004, "Predatory Trading," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 425, Aug.
• Jonathan A. Parker & Markus K. Brunnermeier, 2004, "Optimal Expectations," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 426, Aug.
• Feng Zhao & Robert Jarrow & Haitao Li, 2004, "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 431, Aug.
• Hyun Song Shin & Stephen Morris, 2004, "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 620, Aug.
• Martin E. Ruckes & Mukarram Attari & Antonio S. Mello, 2004, "Arbitraging Arbitrageurs," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 621, Aug.
• Martin E. Ruckes & Mukarram Attari & Antonio S. Mello, 2004, "Arbitraging Arbitrageurs," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 643, Aug.
• Hyun Song Shin & Stephen Morris, 2004, "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 644, Aug.
• Ramazan Gencay & Faruk Selcuk, 2004, "Asymmetry of Information Flow Between Volatilities Across Time Scales," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 90, Aug.
• Capocci, Daniel & Hubner, Georges, 2004, "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 55-89, January.
• Cotter, John, 2004, "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, volume 13, issue 5, pages 669-685.
• Goodhart, Charles A. E. & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility: applications," Journal of Financial Stability, Elsevier, volume 1, issue 1, pages 1-30, September.
• Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004, "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, volume 64, issue 1, pages 113-134, October.
• Martin, Philippe & Rey, Helene, 2004, "Financial super-markets: size matters for asset trade," Journal of International Economics, Elsevier, volume 64, issue 2, pages 335-361, December.
• Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, volume 28, issue 5, pages 1069-1087, May.
• Grinblatt, Mark & Keloharju, Matti, 2004, "Tax-loss trading and wash sales," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 51-76, January.
• Longstaff, Francis A. & Piazzesi, Monika, 2004, "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, volume 74, issue 3, pages 401-421, December.
• Iacoviello, Matteo, 2004, "Consumption, house prices, and collateral constraints: a structural econometric analysis," Journal of Housing Economics, Elsevier, volume 13, issue 4, pages 304-320, December.
• Sotskov Alexander, 2004, "Optimal time-consistent taxes, money supply, internal and external borrowing in the Sidrausky model," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 01-166e, Jul.
• Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 16628, May.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A model to analyse financial fragility: applications," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24680, Feb.
• Ellul, Andrew & Shin, Hyun Song & Tonks, Ian, 2004, "Opening and closing the market: evidence from the London Stock Exchange," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24753, Jul.
• Vayanos, Dimitri & Wang, Tan, 2004, "Search and endogenous concentration of liquidity in asset markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 455, Aug.
• Alexandros Kontonikas & Alberto Montagnoli, 2004, "Has Monetary Policy Reacted to Asset Price Movements? Evidence from the UK," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 18-33, Summer.
• T. Mandalis & S. I. Spyrou, 2004, "Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 56-72, Summer.
• G. A. Karathanassis & S. N. Spilioti, 2004, "An Empirical Examination of Traditional Equity Valuation Models: The case of the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 133-142.
• Jürgen Huber & Matthias Sutter & Michael Kirchler, 2004, "Is more information always better? Experimental financial markets with asymmetric information," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2005-13, Dec.
• Leonid Kogan & Stephan Ross & Jiang Wang & Mark Westerfield, 2004, "Price Impact and Survival of Irrational Traders," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp116, Oct.
• Matthias HAGMANN & Carlos LENZ, 2004, "Real Asset Returns and Components of Inflation: A Structural VAR Analysis," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp118, Oct.
• Jan Hansen & Carsten Schmidt & Martin Strobel, 2004, "Manipulation in political stock markets - preconditions and evidence," Natural Field Experiments, The Field Experiments Website, number 00265.
• Monika Piazzesi & Eric T. Swanson, 2004, "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Hyun Song Shin & Ian Tonks & Andrew Ellul, 2004, "Opening and Closing the Market: Evidence from the London Stock Exchange," FMG Discussion Papers, Financial Markets Group, number dp506, Jul.
• John Y. Campbell & Joao F. Cocco, 2004, "How Do House Prices Affect Consumption? Evidence From Micro F. Data," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2045.
• Chung H. Lee, 2004, "Economic Development in China and Its Implications for East Asia," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200412.
• Philippe Martin & Helene Rey, 2004, "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00176904, DOI: 10.1016/j.jinteco.2003.12.001.
• Ahuja, Rajeev, 2004, "Health insurance for the poor in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers, Indian Council for Research on International Economic Relations, New Delhi, India, number 123, Mar.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, Springer, volume 8, issue 1, pages 1-18.
• Eugene N. White, 2004, "Bubbles and Busts: The 1990s in the Mirror of the 1920s," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/09, Mar.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 04.01, Jan.
• Sinn, Hans-Werner, 2004, "The new systems competition," Munich Reprints in Economics, University of Munich, Department of Economics, number 19608.
• Alfonso Mendoza, 2004, "Modelling long memory and risk premia in Latin American sovereign bond markets," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 65, Sep, revised 13 Oct 2004.
• Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004, "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 49, Sep, revised 13 Oct 2004.
• Alexandros Kontikas & Alberto Montagnoli, 2004, "Optimal Monetary Policy and Asset Price Misalignments," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 80, Sep.
• Eduardo S. Schwartz & Lenos Trigeorgis (ed.), 2004, "Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions," MIT Press Books, The MIT Press, number 0262693186, edition 1, ISBN: ARRAY(0x66ff6268), December.
• Chen Chien-Hsun & Shih Hui-Tzu, 2004, "Initial Public Offering and Corporate Governance in China's Transitional Economy," NBER Chapters, National Bureau of Economic Research, Inc, "Governance, Regulation, and Privatization in the Asia-Pacific Region".
• James J. Choi & David Laibson & Brigitte Madrian & Andrew Metrick, 2004, "Employees' Investment Decisions about Company Stock," NBER Working Papers, National Bureau of Economic Research, Inc, number 10228, Jan.
• Philippe Bacchetta & Eric van Wincoop, 2004, "A Scapegoat Model of Exchange Rate Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 10245, Jan.
• Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004, "Investor Behavior in the Option Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 10264, Feb.
• Dimitri Vayanos, 2004, "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10327, Feb.
• Michael W. Brandt & Pedro Santa-Clara, 2004, "Dynamic Portfolio Selection by Augmenting the Asset Space," NBER Working Papers, National Bureau of Economic Research, Inc, number 10372, Mar.
• Francis A. Longstaff, 2004, "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10411, Apr.
• Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004, "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 10418, Apr.
• Francis A. Longstaff, 2004, "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 10422, Apr.
• James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick, 2004, "Consumption-Wealth Comovement of the Wrong Sign," NBER Working Papers, National Bureau of Economic Research, Inc, number 10454, Apr.
• Xiaohong Chen & Sydney C. Ludvigson, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior," NBER Working Papers, National Bureau of Economic Research, Inc, number 10503, May.
• Monika Piazzesi & Eric Swanson, 2004, "Futures Prices as Risk-adjusted Forecasts of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 10547, Jun.
• Rene M. Stulz, 2004, "Should We Fear Derivatives?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10574, Jun.
• Lubos Pastor & Pietro Veronesi, 2004, "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10581, Jun.
• Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004, "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 10616, Jul.
• Robert C. Merton & Zvi Bodie, 2004, "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 10620, Jul.
• Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael Roberts, 2004, "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 10651, Jul.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2004, "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 10689, Aug.
• John M. Griffin & Federico Nardari & Rene M. Stulz, 2004, "Stock Market Trading and Market Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10719, Sep.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2004, "Predatory Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 10755, Sep.
• Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004, "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 10756, Sep.
• Viral V. Acharya & Lasse Heje Pedersen, 2004, "Asset Pricing with Liquidity Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10814, Oct.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004, "Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10816, Oct.
• Pedro Santa-Clara & Shu Yan, 2004, "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 10912, Nov.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004, "There is a Risk-Return Tradeoff After All," NBER Working Papers, National Bureau of Economic Research, Inc, number 10913, Nov.
• Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004, "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 10914, Nov.
• Jun Pan & Allen Poteshman, 2004, "The Information of Option Volume for Future Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10925, Nov.
• Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004, "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10934, Nov.
• Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004, "Theft and Taxes," NBER Working Papers, National Bureau of Economic Research, Inc, number 10978, Dec.
• Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004, "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10996, Dec.
• David J. Brophy & Paige P. Ouimet & Clemens Sialm, 2004, "PIPE Dreams? The Performance of Companies Issuing Equity Privately," NBER Working Papers, National Bureau of Economic Research, Inc, number 11011, Dec.
• George-Marios Angeletos & Ivan Werning, 2004, "Crises and Prices: Information Aggregation, Multiplicity and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11015, Dec.