Research classified by Journal of Economic Literature (JEL) codes

---

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

2003

• Kent Daniel & Sheridan Titman, 2003, "Market Reactions to Tangible and Intangible Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 9743, Jun.
• John Y. Campbell & Joao F. Cocco, 2003, "Household Risk Management and Optimal Mortgage Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 9759, Jun.
• Mario Draghi & Francesco Giavazzi & Robert C. Merton, 2003, "Transparency, Risk Management and International Financial Fragility," NBER Working Papers, National Bureau of Economic Research, Inc, number 9806, Jun.
• Alessandro Beber & Michael W. Brandt, 2003, "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 9914, Aug.
• Hui Guo & Robert F. Whitelaw, 2003, "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 9927, Aug.
• Sheridan Titman & K.C. John Wei & Feixue Xie, 2003, "Capital Investments and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9951, Sep.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2003, "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers, National Bureau of Economic Research, Inc, number 9959, Sep.
• Keiichi Tanaka, 2003, "Heterogeneous Yield Curves and Basis Swaps," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 03-12, Jun.
• Glenn Ellison & Drew Fudenberg, 2003, "Knife-Edge or Plateau: When Do Market Models Tip?," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 4, pages 1249-1278.
• John Y. Campbell & João F. Cocco, 2003, "Household Risk Management and Optimal Mortgage Choice," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 4, pages 1449-1494.
• David Vines, 2003, "Equilibrium Analysis, Banking, Contagion and Financial Fragility," Economics Series Working Papers, University of Oxford, Department of Economics, number 2003-FE-03, Jan.
• Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003, "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-008, Mar.
• Yochanan Shachmurove, 2003, "Financial Markets of the Middle East and North Africa: The Past and Present," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-017, Jun.
• Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003, "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-024, Oct.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-025, Feb, revised 01 Sep 2003.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003, "Realized Beta: Persistence and Predictability," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-018, Jan, revised 01 Mar 2004.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003, "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-028, Jul, revised 28 Jun 2004.
• Cebula, Richard, 2003, "The Impact of the Federal Budget Deficit on the Nominal Interest Rate Yield on US Treasury Notes, 1979-2001," MPRA Paper, University Library of Munich, Germany, number 49400, Sep.
• Novak, Branko & Matić, Branko & Stjepanović, Slobodanka, 2003, "Issuing Policies In Currencies Denominated In Euros And Eurocents," MPRA Paper, University Library of Munich, Germany, number 5903.
• Heinen, Andreas, 2003, "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper, University Library of Munich, Germany, number 8113, Jul.
• Karine Michalon, 2003, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Revue d'Économie Financière, Programme National Persée, volume 70, issue 1, pages 253-259, DOI: 10.3406/ecofi.2003.4838.
• Nikolay Nenovsky & Kalina Dimitrova, 2003, "Assurance des dépôts bancaires durant l’accession à l’UE," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 123-140, DOI: 10.3406/ecofi.2003.4874.
• Dan Bernhardt & Ryan J. Davies & John Spicer, 2003, "Long-term Information, Short-lived Securities," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-10, Jul.
• Dimitrios Tsomocos, 2003, "Equilibrium Analysis, Banking, Contagion and Financial Fragility," OFRC Working Papers Series, Oxford Financial Research Centre, number 2003fe03.
• Dimitrios P. Tsomocos, 2003, "Equilibrium Analysis, Banking and Financial Instability," OFRC Working Papers Series, Oxford Financial Research Centre, number 2003fe08.
• Frank Niehaus, 2003, "The great influence of less risk averse agents," Computing in Economics and Finance 2003, Society for Computational Economics, number 111, Aug.
• Andrei Kirilenko, 2003, "A Network Model of Market Prices and Trading Volume," Computing in Economics and Finance 2003, Society for Computational Economics, number 2, Aug.
• Asger Lunde & Esben Hoeg, 2003, "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 274, Aug.
• Marcelo Bianconi & Stephen J. Turnovsky, 2003, "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Computing in Economics and Finance 2003, Society for Computational Economics, number 277, Aug.
• Luigi Guiso & Tullio Jappelli, 2003, "Awareness and Stock Market Participation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 110, Nov, revised 01 Jun 2004.
• Andrew Ellul & Marco Pagano, 2003, "IPO underpricing and after-market liquidity," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 99, Jun, revised 09 Feb 2006.
• Wendell H. Fleming & Daniel Hernández-Hernández, 2003, "An optimal consumption model with stochastic volatility," Finance and Stochastics, Springer, volume 7, issue 2, pages 245-262.
• Laurence Copeland & Biqiong Zhang, 2003, "Volatility and Volume in Chinese Stock Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 1, issue 3, pages 287-300, DOI: 10.1080/1476528032000108562.
• Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003, "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-037/2, May, revised 13 Oct 2003.
• Cees Diks & Roy van der Weide, 2003, "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-103/1, Dec.
• Bijmolt, T.H.A. & Paas, L.J. & Vermunt, J.K., 2003, "Country and Consumer Segmentation : Multi-Level Latent Class Analysis of Financial Product Ownership," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-75.
• Sarah Parlane, 2003, "Procurement contracts under limited liability," Open Access publications, School of Economics, University College Dublin, number 10197/685.
• William N. Goetzmann & Massimo Massa, 2003, "Index Funds and Stock Market Growth," The Journal of Business, University of Chicago Press, volume 76, issue 1, pages 1-28, January, DOI: 10.1086/344111.
• Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2003, "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model," Working Papers, University of Verona, Department of Economics, number 07/2003, Sep.
• Nikolay Nenovsky & Kalina Dimitrova, 2003, "Deposit Insurance During EU Accession," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-617, Oct.
• Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003, "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-623, Oct.
• Sergio Navajas & Jonathan Conning & Claudio Gonzalez-Vega, 2003, "Lending technologies, competition and consolidation in the market for microfinance in Bolivia," Journal of International Development, John Wiley & Sons, Ltd., volume 15, issue 6, pages 747-770, DOI: 10.1002/jid.1024.
• Osman Karamustafa & Yakup Kucukkale, 2003, "Long Run Relationships between Stock Market Returns and Macroeconomic Performance: Evidence from Turkey," Finance, University Library of Munich, Germany, number 0309010, Sep.
• Andrew Feltenstein & Roger Lagunoff, 2003, "International versus Domestic Auditing of Bank Solvency," Macroeconomics, University Library of Munich, Germany, number 0308002, Aug.
• Mihnea-Stefan Mihai, 2003, "Stochastics for the worst case: distributions and risk measures for minimal returns," Risk and Insurance, University Library of Munich, Germany, number 0305001, May.
• Fa-Chin Liang, 2003, "Recent Developments and New Challenges Confronting Central Banking Authorities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-3, DOI: 10.1142/S0219091503000967.
• Ying Wu & Ruifang Wang, 2003, "Monetary Sterilization of Capital Inflows through the Central-Provident-Fund Savings in Singapore," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 65-86, DOI: 10.1142/S0219091503000979.
• Hsien-Chang Kuo & Lie-Huey Wang & Her-Jiun Sheu & Fa-Kuang Li, 2003, "Credit Evaluation for Small and Medium-sized Enterprises by the Examination of Firm-specific Financial Ratios and Non-financial Variables: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 5-20, DOI: 10.1142/S0219091503000980.
• Chang-Wen Duan & William T. Lin & Cheng Few Lee, 2003, "Sequential Capital Budgeting as Real Options: The Case of a New DRAM Chipmaker in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 87-112, DOI: 10.1142/S0219091503000992.
• William Miles, 2003, "The Role of Non-Bank Financial Intermediaries in Propagating Korea's Financial Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 45-64, DOI: 10.1142/S0219091503001006.
• Shen-Yuan Chen, 2003, "Valuation of Covered Warrant Subject to Default Risk," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 21-44, DOI: 10.1142/S0219091503001018.
• Chunchi Wu & Chun-nan Chen & Yan He, 2003, "The Performance of East Asian Economies and Financial Markets since the 1997 Financial Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 113-140, DOI: 10.1142/S021909150300102X.
• Charmen Loh & R. S. Rathinasamy, 2003, "Do All Securities Class Actions Have the Same Merit? A Stock Market Perspective," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 167-178, DOI: 10.1142/S0219091503001031.
• Tom Campbell, 2003, "Competitiveness in Economics," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 223-251, DOI: 10.1142/S0219091503001043.
• Patrick K. K. Chu, 2003, "Study on the Non-Random and Chaotic Behavior of Chinese Equities Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 199-222, DOI: 10.1142/S0219091503001055.
• Yimin Zhang & Ronald Zhao, 2003, "Risk under "One Country and Two Systems": Evidence from Class A, B and H Shares of Chinese Listed Companies," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 179-197, DOI: 10.1142/S0219091503001067.
• Gili Yen & Nelson N. H. Liao, 2003, "On Acculturation in Business Mergers: Empirical Findings from a Commercial Bank's Opinion Survey in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 02, pages 141-166, DOI: 10.1142/S0219091503001079.
• Dong-Hoon Yang & Youngsun Kwon & Jae Jeung Rho & Mikyoung Ha, 2003, "The Value Drivers of US Internet Retailers," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 253-271, DOI: 10.1142/S0219091503001080.
• Steven J. Cochran & Jean L. Heck & David R. Shaffer, 2003, "Volatility in World Equity Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 273-290, DOI: 10.1142/S0219091503001092.
• Ching-Chung Lin & Shen-Yuan Chen & Dar-Yeh Hwang, 2003, "An Application of Threshold Cointegration to Taiwan Stock Index Futures and Spot Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 291-304, DOI: 10.1142/S0219091503001109.
• Shih-Kuo Yeh & Bing-Huei Lin, 2003, "Term Structure Fitting Models and Information Content: An Empirical Examination in Taiwanese Government Bond Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 305-348, DOI: 10.1142/S0219091503001110.
• Callum Scott, 2003, "The South-East Asia Crisis, Neural Networks and Market Behavior: An Exploratory Study," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 349-379, DOI: 10.1142/S0219091503001122.
• Rosalind Chew & Soon Beng Chew, 2003, "Trade Union Orientation and Macro-Economic Management," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 381-403, DOI: 10.1142/S0219091503001134.
• Marc De Ceuster & Liam Flanagan & Allan Hodgson & Mohammad I. Tahir, 2003, "Determinants of Derivative Usage in the Life and General Insurance Industry: The Australian Evidence," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 405-431, DOI: 10.1142/S0219091503001146.
• James R. Barth & Susanne Trimbath & Glenn Yago, 2003, "Before the Enron Collapse: What Corporate CFOs Around the World Said About the Status of Accounting and Disclosure Practices," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 433-440, DOI: 10.1142/S0219091503001158.
• Pablo F. Mangaran, 2003, "The Financial and Operational Performances of Privatized Banks: The Philippine Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 441-472, DOI: 10.1142/S021909150300116X.
• Pei-Gi Shu & Hsuan-Chi Chen, 2003, "The Determinants of Derivatives Use: Evidence from Non-Financial Firms in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 473-500, DOI: 10.1142/S0219091503001171.
• Keishiro Matsumoto & James P. Hoban, 2003, "Cash Breakeven Analysis and Leverage Indices," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 501-547, DOI: 10.1142/S0219091503001183.
• Anthony H. Tu, 2003, "The Shift of Weekend Effects in Taiwan's Equity Index Return: Index Futures Listings or Other Alternative Explanations," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 549-572, DOI: 10.1142/S0219091503001195.
• Glaser, Markus & Weber, Martin, 2003, "Overconfidence and Trading Volume," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-07, Apr.
• William N. Goetzmann & Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm14, Jan.
• Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm31, Feb.
• Massimo Massa & William Goetzmann, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers, Yale School of Management, number ysm333, Feb, revised 01 Apr 2005.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Kaserer, Christoph & Wagner, Niklas & Achleitner, Ann-Kristin, 2003, "Managing investment risks of institutional private equity investors: The challenge of illiquidity," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2003-01.
• Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003, "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/31.
• Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/35.
• Christoffersen, Peter F. & Diebold, Francis X., 2003, "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/08.
• Diebold, Francis X. & Li, Canlin, 2003, "Forecasting the term structure of government bond yields," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/09.
• Stehle, Richard & Schulz, Anja & Schröder, Michael & Eberts, Elke & Ziegler, Andreas, 2003, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-45.

2002

• Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002, "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management, number ysm251, Jul, revised 08 Jun 2006.
• William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," Yale School of Management Working Papers, Yale School of Management, number ysm273, Mar.
• William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," Yale School of Management Working Papers, Yale School of Management, number ysm29, Feb.
• Stephen Brown & William Goetzmann & Bing Liang, 2002, "Fees on Fees in Funds of Funds," Yale School of Management Working Papers, Yale School of Management, number ysm309, Oct, revised 01 Sep 2009.
• Mark Grinblatt & Bhagwan Chowdhry & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Yale School of Management Working Papers, Yale School of Management, number ysm38, Feb.
• Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002, "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management, number ysm251, Jul, revised 08 Jun 2006.
• Mark Grinblatt & Bhagwan Chowdhry & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Yale School of Management Working Papers, Yale School of Management, number ysm38, Feb.
• Kaltenhäuser, Bernd, 2002, "Return and volatility spillovers to industry returns: Does EMU play a role?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/05.
• Schmidt, Carsten & Werwatz, Axel, 2002, "How accurate do markets predict the outcome of an event? The Euro 2000 soccer championships experiment," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,29.
• Neven Valev & Felix Rioja, 2002, "Finance and the Sources of Growth at Various Stages of Economic Development," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0217, Sep.
• Stefan Petranov, 2002, "The capital market in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 23-40.
• Zhiwei Zhang, 2002, "Corporate Bond Spreads and the Business Cycle," Staff Working Papers, Bank of Canada, number 02-15, DOI: 10.34989/swp-2002-15.
• Younes Bensalah, 2002, "Asset Allocation Using Extreme Value Theory," Staff Working Papers, Bank of Canada, number 02-2, DOI: 10.34989/swp-2002-2.
• David Bolder & Scott Gusba, 2002, "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers, Bank of Canada, number 02-29, DOI: 10.34989/swp-2002-29.
• Daniella Acker & Mathew Stalker & Ian Tonks, 2002, "Daily Closing Inside Spreads and Trading Volumes Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, volume 29, issue 9‐10, pages 1149-1179, DOI: 10.1111/1468-5957.00465.
• George M. Constantinides, 2002, "Rational Asset Prices," Journal of Finance, American Finance Association, volume 57, issue 4, pages 1567-1591, August, DOI: 10.1111/1540-6261.00471.
• Matteo Iacoviello & Francois Ortalo-Magne, 2002, "Hedging Housing Risk in London," Boston College Working Papers in Economics, Boston College Department of Economics, number 539, Oct.
• A. Kontonikas & A. Montagnoli, 2002, "Has Monetary Policy Reacted To Asset Price Movements: Evidence From The Uk," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-11, Apr.
• A. Kontonikas & A. Montagnoli, 2002, "Has Monetary Policy Reacted To Asset Price Movements: Evidence From The Uk," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-11, Apr.
• Bernardo, Antonio E. & Welch, Ivo, 2002, "Financial Market Runs," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt0zd313hf, Nov.
• Grinblatt, Mark & Liu, Jun, 2002, "Debt Policy, Corporate Taxes, and Discount Rates," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt7dx622kj, Nov.
• Eugene Durenard & David Veredas, 2002, "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers, CIRANO, number 2002s-03, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Blake, David & Timmermann, Allan, 2002, "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3464, Jul.
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002, "Modeling and Forecasting Realized Volatility," Working Papers, Duke University, Department of Economics, number 02-12.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, Duke University, Department of Economics, number 02-16.
• Sathye, M, 2002, "The Impact of Foreign Banks on Market Concentration: The Case of India," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 2, issue 1.
• Escudero, E., 2002, "Modelizacion econometrica de la rentabilidad en los mercados de valores," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 58.
• Sergio Da Silva & Raul Matsushita & Iram Gleria, 2002, "Scaling power laws in the Sao Paulo Stock Exchange," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-12.
• Eschenbach, Felix & Schuknecht, Ludger, 2002, "Asset prices and fiscal balances," Working Paper Series, European Central Bank, number 141, May.
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 02-1, Apr.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Nonexistence of Constrained Efficient Equilibria When Markets are Incomplete," Econometrica, Econometric Society, volume 70, issue 3, pages 1245-1251, May.
• Gong, Liutang & Zou, Heng-fu, 2002, "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 2, pages 247-270, February.
• Harvey, Campbell R. & Huang, Roger D., 2002, "The impact of the Federal Reserve Bank's open market operations," Journal of Financial Markets, Elsevier, volume 5, issue 2, pages 223-257, April.
• Audretsch, David B. & Elston, Julie Ann, 2002, "Does firm size matter? Evidence on the impact of liquidity constraints on firm investment behavior in Germany," International Journal of Industrial Organization, Elsevier, volume 20, issue 1, pages 1-17, January.
• Tadesse, Solomon, 2002, "Financial Architecture and Economic Performance: International Evidence," Journal of Financial Intermediation, Elsevier, volume 11, issue 4, pages 429-454, October.
• Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002, "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, volume 21, issue 3, pages 295-350, June.
• Acker, Daniella & Stalker, Mathew & Tonks, Ian, 2002, "Daily closing inside spreads and trading volumes around earnings announcements," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24908, Feb.
• Sarasola Ledesma, Josemari, 2002, "Zorizko fluxu bati ezarritako mugaren zenbatespena egiantz handienaz," Revista de Dirección y Administración de Empresas, Universidad del País Vasco - Escuela Universitaria de Estudios Empresariales de San Sebastián.
• Carsten Schmidt & Axel Werwatz, 2002, "How accurate do markets predict the outcome of an event? The Euro 2000 soccer championships experiment," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2002-09, Mar.
• Jiøí Hlaváèek & Michal Hlaváèek, 2002, "Porovnání pøežívajících a zanikajících podnikù v èeské ekonomice na konci 90. let," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 9, pages 502-514, September.
• Ian Tonks & Daniella Acker & Matthew Stalker, 2002, "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers, Financial Markets Group, number dp404, Feb.
• Matteo Iacoviello, 2002, "Hedging Housing Risk in London," FMG Discussion Papers, Financial Markets Group, number dp415, Jun.
• Jonathan Parker & Markus K Brunnermeier, 2002, "Optimal Expectations," FMG Discussion Papers, Financial Markets Group, number dp434, Dec.
• John Y. Campbell & Joao F. Cocco, 2002, "Household Risk Management and Optimal Mortgage Choice," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1946.
• John Y. Campbell & Motohiro Yogo, 2002, "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1972.
• Karine Michalon, 2002, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print, HAL, number halshs-00142776.
• Jean-Paul Decamps & Stefano Lovo, 2002, "Risk Aversion and Herd Behavior in Financial Markets," Working Papers, HAL, number hal-00593657, May.
• Kitamura, Yukinobu & 北村, 行伸 & キタムラ, ユキノブ & Suto, Megumi & 首藤, 惠 & ストウ, メグミ & Teranishi, Juro & 寺西, 重郎, 2002, "Reflections on New Financial System in Japan: Participation Costs, Wealth Distribution,and Security Market-Based Intermediation," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2001-25, Jul.
• Nuria Alcalde Fradejas & Jaime Vallés Giménez, 2002, "El mercado financiero y el racionamiento del crédito. Estudio del caso de los gobiernos regionales en España," Hacienda Pública Española / Review of Public Economics, IEF, volume 160, issue 1, pages 77-102, march.
• José Carlos Ramírez & Rogelio Sandoval-Saavedra, 2002, "¿Existen Componentes Pronosticables En Las Series De Los Rendimientos De Las Acciones?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 1, pages 39-58, Marzo 200.
• Monique Jeanblanc & Wojciech Szatzschneider, 2002, "Environment And Finance: Why We Should Make The Environment A Part Of The Financial Markets," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 2, pages 131-142, Junio 200.
• Lapan, Harvey E. & Hennessy, David A., 2002, "Symmetry and Order in the Portfolio Allocation Problem," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 5106, Jun.
• Kosfeld Reinhold, 2002, "Asset Price Channel and Financial Markets / Vermögenstheoretischer Transmissionsmechanismus und Finanzmärkte," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 4, pages 440-462, August, DOI: 10.1515/jbnst-2002-0404.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Are Incomplete Markets Able to Achieve Minimal Efficiency?," Discussion Papers, University of Copenhagen. Department of Economics, number 03-09, Nov.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Michael Magill & Martine Quinzii, 2002, "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, number 0262632543, edition 1, ISBN: ARRAY(0x8e7e8eb0), December.
• Sebastian Edwards & Roberto Rigobon, 2002, "Inter-American Seminar on Economics (IASE) 2000," NBER Books, National Bureau of Economic Research, Inc, number edwa02-1, December.
• Mark Grinblatt & Bing Han, 2002, "The Disposition Effect and Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 8734, Jan.
• Mark Grinblatt & Tobias J. Moskowitz, 2002, "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8744, Jan.
• Mark Grinblatt & Matti Keloharju, 2002, "Tax-Loss Trading and Wash Sales," NBER Working Papers, National Bureau of Economic Research, Inc, number 8745, Jan.
• Bhagwan Chowdhry & Mark Grinblatt & David Levine, 2002, "Information Aggregation, Security Design and Currency Swaps," NBER Working Papers, National Bureau of Economic Research, Inc, number 8746, Jan.
• Hans-Werner Sinn, 2002, "The New Systems Competition," NBER Working Papers, National Bureau of Economic Research, Inc, number 8747, Jan.
• George M. Constantinides, 2002, "Rational Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8826, Mar.
• Annette Vissing-Jorgensen, 2002, "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," NBER Working Papers, National Bureau of Economic Research, Inc, number 8896, Apr.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers, National Bureau of Economic Research, Inc, number 8959, May.
• John H. Cochrane, 2002, "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 8987, Jun.
• Rajeev Dehejia & Roberta Gatti, 2002, "Child Labor: The Role of Income Variability and Access to Credit Across Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 9018, Jun.
• Jun Liu & Francis A. Longstaff & Jun Pan, 2002, "Dynamic Asset Allocation With Event Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 9103, Aug.
• William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002, "Sharpening Sharpe Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9116, Aug.
• John H. Cochrane & Monika Piazzesi, 2002, "Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 9178, Sep.
• Lior Menzly & Tano Santos & Pietro Veronesi, 2002, "The Time Series of the Cross Section of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 9217, Sep.
• Antonio E. Bernardo & Ivo Welch, 2002, "Financial Market Runs," NBER Working Papers, National Bureau of Economic Research, Inc, number 9251, Oct.
• Clemens Sialm, 2002, "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 9301, Nov.
• Mark Grinblatt & Jun Liu, 2002, "Debt Policy, Corporate Taxes, and Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 9353, Nov.
• Randolph Cohen & Joshua Coval & Lubos Pastor, 2002, "Judging Fund Managers by the Company They Keep," NBER Working Papers, National Bureau of Economic Research, Inc, number 9359, Dec.
• Luc Renneboog, 2002, "The monetary appreciation of paintings: from realism to Magritte," Cambridge Journal of Economics, Cambridge Political Economy Society, volume 26, issue 3, pages 331-358, May.
• Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002, "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, volume 15, issue 4, pages 1005-1047.
• Augusto Rodríguez & Julio Villavicencio, 2002, "La formación de la curva de rendimientos en nuevos soles en el Peru," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 50, pages 173-204.
• Alasrag, Hussien, 2002, "دور سوق الأوراق المالية فى تنمية الادخار فى مصر
  [Role of the Egyptian securities market on saving development]," MPRA Paper, University Library of Munich, Germany, number 2317, Mar, revised Mar 2007.
• Senn, Myriam, 2002, "SuperMontage in the American Securities Markets Context," MPRA Paper, University Library of Munich, Germany, number 9818, Aug.
• Alexis Penot, 2002, "Appréciations et conséquences possibles de l'hétérogénéité structurelle de la zone euro," Revue d'Économie Financière, Programme National Persée, volume 65, issue 1, pages 153-175, DOI: 10.3406/ecofi.2002.3772.
• Michel Delapierre & Bernadette Madeuf & Charles-Albert Michalet & Christian Milelli, 2002, "La présence des investisseurs institutionnels étrangers dans les grandes entreprises françaises : logique financière ou logique industrielle ?," Revue d'Économie Financière, Programme National Persée, volume 67, issue 3, pages 277-282, DOI: 10.3406/ecofi.2002.3590.
• Antonio Borges & Francesco Giavazzi, 2002, "Une monnaie saine et des marchés développés : l’Europe après l’euro," Revue d'Économie Financière, Programme National Persée, volume 68, issue 4, pages 307-320, DOI: 10.3406/ecofi.2002.4787.
• Sergio Parrinello, 2002, "The myth of the service economy," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 55, Feb.
• Andrea Morone, 2002, "Financial Market in the Laboratory," Computing in Economics and Finance 2002, Society for Computational Economics, number 151, Jul.
• Nuno Almeida & Pedro Valls Pereira, 2002, "Switching Regime Models: applications to trading rules," Computing in Economics and Finance 2002, Society for Computational Economics, number 175, Jul.
• Manfred Gilli & Nicolas Roth, 2002, "A Heuristic Technique for Model Selection Problems," Computing in Economics and Finance 2002, Society for Computational Economics, number 365, Jul.
• Giulia Iori & Carl Chiarella, 2002, "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 44, Jul.
• Benoit Pochard & Jean-Philippe Bouchaud, 2002, "The skewed multifractal random walk with applications to option smiles," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0204047, Apr.
• Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 2002, "Reply to Johansen's comment," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0206368, Jun.
• Jean-Philippe Bouchaud, 2002, "An introduction to statistical finance," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 313238, Jan.
• Simon van Norden & Huntley Schaller, 2002, "Fads or bubbles?," Empirical Economics, Springer, volume 27, issue 2, pages 335-362.
• Stanley Block & Dan French, 2002, "The effect of portfolio weighting on investment performance evaluation: The case of actively managed mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 26, issue 1, pages 16-30, March, DOI: 10.1007/BF02744449.
• Harvey E. Lapan & David A. Hennessy, 2002, "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 19, issue 4, pages 747-772.
• Bhagwan Chowdhry & Mark Grinblatt & David Levine, 2002, "Information Aggregation, Security Design, and Currency Swaps," Journal of Political Economy, University of Chicago Press, volume 110, issue 3, pages 609-633, June, DOI: 10.1086/339717.
• Annette Vissing-Jorgensen, 2002, "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 825-853, August, DOI: 10.1086/340782.
• Yongil Jeon & Stephen M. Miller, 2002, "The Effect of the Asian Financial Crisis on the Performance of Korean Nationwide Banks," Working papers, University of Connecticut, Department of Economics, number 2002-32, May.
• Romain Rancière, 2002, "Credit derivatives in emerging markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 856, Apr.
• Egbert Dierker & Hildegard Dierker & Birgit Grodal, 2002, "Are Incomplete Markets Able to Achieve Minimal Efficiency?," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0212, Nov.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-23, Apr.
• Francis X. Diebold & Canlin Li, 2002, "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-34, Aug.
• Sean D. Campbell & Francis X. Diebold, 2002, "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-42, Dec.
• Alex Strashny, 2002, "Trading system evaluation based on past performance: Random Signals Test," Finance, University Library of Munich, Germany, number 0205003, May, revised 10 Jun 2002.
• Daniel Capocci, 2002, "An Analysis of Hedge Fund Performance," Finance, University Library of Munich, Germany, number 0210001, Oct.
• Dmitry Baryshevsky, 2002, "How to work in the uncertain market conditions," Finance, University Library of Munich, Germany, number 0211007, Nov, revised 22 Nov 2002.
• Cheng-Ping Lin, 2002, "The Application of Cobb-Douglas Production Cost Functions to Construction Firms in Japan and Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 111-128, DOI: 10.1142/S0219091502000663.