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

2004

• 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.
• Jeremy Large, 2004, "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W05, Feb.
• Johann Scharler, 2004, "Understanding the Stock Market’s Response to Monetary Policy Shocks," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 93, Dec.
• Felix Rioja & Neven Valev, 2004, "Finance and the Sources of Growth at Various Stages of Economic Development," Economic Inquiry, Western Economic Association International, volume 42, issue 1, pages 127-140, January.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, European Finance Association, volume 8, issue 1, pages 1-18.
• Jeremy Large, 2004, "Cancellation and uncertainty aversion on limit order books," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-04, Feb.
• Dimitrios P Tsomocos & Charles A.E. Goodhart & Pojanart Sunirand, 2004, "A Model to Analyse Financial Fragility: Applications," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-05, Feb.
• Oren Sussman & Stefano G. Athanasoulis, 2004, "Habit Formation and the Equity-Premium Puzzle: a Skeptical View," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-12, Jun.
• Attaullah Shah & Tahir Hijazi, 2004, "The Determinants of Capital Structure of Stock Exchange-listed Non-financial Firms in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 605-618.
• Mohammed Nishat & Rozina Shaheen, 2004, "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 619-637.
• Bacha, Obiyathulla I., 2004, "The Market for Financial Derivatives: Removing Impediments to Growth," MPRA Paper, University Library of Munich, Germany, number 13074, Dec.
• Cotter, John, 2004, "Absolute Return Volatility," MPRA Paper, University Library of Munich, Germany, number 3529, revised 2005.
• Cotter, John, 2004, "Downside Risk for European Equity Markets," MPRA Paper, University Library of Munich, Germany, number 3537.
• Cotter, John, 2004, "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper, University Library of Munich, Germany, number 3538.
• Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper, University Library of Munich, Germany, number 8115, Aug.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Bruno Séjourné, 2004, "Volatilité des marchés boursiers et comportement des épargnants français," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 219-230, DOI: 10.3406/ecofi.2004.5040.
• Jean Saint Geours, 2004, "La crise d’aujourd’hui est une rechute des maux du système financier international," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 333-346, DOI: 10.3406/ecofi.2004.5048.
• Bruno Cabrillac & Jean-Patrick Yanitch, 2004, "Les marchés financiers chinois," Revue d'Économie Financière, Programme National Persée, volume 77, issue 4, pages 275-297, DOI: 10.3406/ecofi.2004.4187.
• Huw Lloyd-Ellis & Xiaodong Zhu, 2004, "Using Financial Market Information To Enhance Canadian Fiscal Policy," Working Paper, Economics Department, Queen's University, number 1041, Aug.
• Matteo Iacoviello, 2004, "Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis," 2004 Meeting Papers, Society for Economic Dynamics, number 201.
• Iacoviello, Matteo, 2004, "Consumption, House Prices and Collateral Constraints: A Structural Econometric Analysis," 2004 Meeting Papers, Society for Economic Dynamics, number 207b.
• Harold Cole & Andrew Atkeson, 2004, "A Dynamic Theory of Optimal Capital Structure and Executive Compensation," 2004 Meeting Papers, Society for Economic Dynamics, number 267.
• John Campbell & Joao Cocco, 2004, "How Do House Prices Affect Consumption? Evidence from Micro Data," 2004 Meeting Papers, Society for Economic Dynamics, number 357a.
• Antonio Moreno & Geert Bekaert & Seonghoon Cho, 2004, "New-Keynesian Macroeconomics and the Term Structure," 2004 Meeting Papers, Society for Economic Dynamics, number 388.
• Finn Kydland & Irasema Alonso, 2004, "Betting against your neighbor: a quantitative investigation," 2004 Meeting Papers, Society for Economic Dynamics, number 443.
• Aleh Tsyvinski & Christian Hellwig & Arihit Mukherji, 2004, "Coordination Failures and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 72.
• Ronald L. Goettler & Christine A. Parlour, 2004, "Equilibrium in a Dynamic Limit Order Market," 2004 Meeting Papers, Society for Economic Dynamics, number 757.
• Michael R. Wickens & Chiona Balfoussia, 2004, "Macroeconomic Sources of Risk in the Term Structure," CEIS Research Paper, Tor Vergata University, CEIS, number 61, Nov.
• Jeremy Large, 2004, "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe04.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004, "A Model to Analyse Financial Fragility: Applications," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe05.
• Alessandro Beber; Fabio Fornari., 2004, "Volatility and the Term Structure: Evidence from Interest Rate Derivatives," Computing in Economics and Finance 2004, Society for Computational Economics, number 313, Aug.
• Ilija I. Zovko, 2004, "Network properties of trading," Computing in Economics and Finance 2004, Society for Computational Economics, number 328, Aug.
• Joshua Seungwook Bahng, 2004, "Structural Breaks and the Normality of Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue 2, pages 207-227, June.
• Jan Hansen & Carsten Schmidt & Martin Strobel, 2004, "Manipulation in political stock markets - preconditions and evidence," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 7, pages 459-463, DOI: 10.1080/1350485042000191700.
• John Cotter, 2004, "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 10, pages 707-716, DOI: 10.1080/0960310042000243547.
• Yongil Jeon & Stephen Miller, 2004, "The effect of the Asian financial crisis on the performance of Korean nationwide banks," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 5, pages 351-360, DOI: 10.1080/0960310042000211614.
• P. Hartmann & S. Straetmans & C. G. de Vries, 2004, "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, volume 86, issue 1, pages 313-326, February.
• Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2004, "Firm-Specific Variation and Openness in Emerging Markets," The Review of Economics and Statistics, MIT Press, volume 86, issue 3, pages 658-669, August.
• Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2004, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 7, Jun.
• Robert Kitt, 2004, "Equity Asset Allocation Model for EUR-based Eastern Europe Pension Funds," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 119.
• Marcelo Bianconi, 2004, "Heterogeneity, Adverse Selection and Valuation with Endogenous Labor Supply," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0412.
• Marcelo Bianconi, 2004, "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0413.
• Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004, "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, volume 112, issue 5, pages 1054-1090, October, DOI: 10.1086/422565.
• Ali M. Kutan & Brasukra G. Sudjana, 2004, "Worsening of the Asian Financial Crisis: Who is to Blame?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-658, Feb.
• Oosterlinck Kim, 2004, "Why Do Investors Still Hope? The Soviet Repudiation Puzzle (1918- 1919)," Economic History, University Library of Munich, Germany, number 0409002, Sep.
• T. Di Matteo & T. Aste & Michel M. Dacorogna, 2004, "Using the Scaling Analysis to Characterize Financial Markets," Finance, University Library of Munich, Germany, number 0402014, Feb.
• Nicholas Economides, 2004, "The Impact of the Internet on Financial Markets," Finance, University Library of Munich, Germany, number 0407010, Jul.
• Cornelis A. Los, 2004, "The 1998 Third Annual Survey of Risk Management Practices of Unit Trusts in Singapore," Finance, University Library of Munich, Germany, number 0409036, Sep.
• Andrea Terzi, 2004, "Is a transactions tax an effective means to stabilize the foreign exchange market?," International Finance, University Library of Munich, Germany, number 0403007, Mar.

2003

• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Dimitrios Tsomocos, 2003, "Equilibrium analysis, banking, contagion and financial fragility," FMG Discussion Papers, Financial Markets Group, number dp450, May.
• Burak Saltoglu & Jon Danielsson, 2003, "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers, Financial Markets Group, number dp456, Jun.
• Andrew Feltenstein & Roger Lagunoff, 2003, "International versus Domestic Auditing of Bank Solvency," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-08, Mar.
• Sébastien Wälti, 2003, "Testing for contagion in international financial markets: which way to go?," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 04-2003, Aug.
• K. Dimitrova & Nikolay Nenovsky, 2003, "Deposits insurance during EU accession," Post-Print, HAL, number halshs-00259788.
• K. Dimitrova & Nikolay Nenovsky, 2003, "Deposits insurance during EU accession," Post-Print, HAL, number halshs-00259793.
• Jean-Paul Decamps & Stefano Lovo, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," Working Papers, HAL, number hal-00592016, Jan.
• Campbell, John & Cocco, Joao, 2003, "Household Risk Management and Optimal Mortgage Choice," Scholarly Articles, Harvard University Department of Economics, number 3157876.
• Fudenberg, Drew & Ellison, Glenn, 2003, "Knife-Edge or Plateau: When Do Market Models Tip?," Scholarly Articles, Harvard University Department of Economics, number 3160493.
• Jonathan Conning & Sergio Navajas & Claudio Gonzalez-Vega, 2003, "Lending Technologies, Competition, and Consolidation in the Market for Microfinance in Bolivia," Economics Working Paper Archive at Hunter College, Hunter College Department of Economics, number 213, Apr.
• Goldstein Rossotto, Karen & Peterson, Robert J. & Masci, Pietro & Giorgio, Luis Alberto & García, Valeriano F. & West, Derek & Lee, Ruben & Agatiello, Osvaldo R. & Hook, Andrew & Dowers, Kenroy & Soto, 2003, "Focus on Capital: New Approaches to Developing Latin American Capital Markets," IDB Publications (Books), Inter-American Development Bank, number 196, ISBN: ARRAY(0x899775c0), March.
• Biais, Bruno & Bisière, Christophe & Spatt, Chester, 2003, "Imperfect Competition in Financial Markets: ISLAND versus NASDAQ," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 220, revised Dec 2006.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 177.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 246.
• Abd. Ghafar Ismail and Mohd. Saharudin Shakrani, 2003, "The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 11, issue 1, pages 1-20, June.
• Mr. Andrew Feltenstein & Roger Dean Lagunoff, 2003, "International Versus Domestic Auditing of Bank Solvency," IMF Working Papers, International Monetary Fund, number 2003/190, Sep.
• Felipe Zurita, 2003, "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 725-727.
• Iacoviello, Matteo & Ortalo-Magne, Francois, 2003, "Hedging Housing Risk in London," The Journal of Real Estate Finance and Economics, Springer, volume 27, issue 2, pages 191-209, September.
• Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003, "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 25-54, March-Jun.
• Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003, "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 55-82, March-Jun.
• Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003, "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 3-4, pages 177-206, September.
• Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003, "The Price Impact and Survival of Irrational Traders," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4293-03, Mar.
• Glaser, Markus, 2003, "Online broker investors : demographic information, investment strategy, portfolio positions, and trading activity," Papers, Sonderforschungsbreich 504, number 03-18.
• Glaser, Markus & Weber, Martin, 2003, "Overconfidence and trading volume," Papers, Sonderforschungsbreich 504, number 03-07.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-08.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2003.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2003.
• Peter F. Christoffersen & Francis X. Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 10009, Oct.
• John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.
• Francis X. Diebold & Canlin Li, 2003, "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 10048, Oct.
• Francis Longstaff & Monika Piazzesi, 2003, "Corporate Earnings and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 10054, Oct.
• Antonios Sangvinatsos & Jessica A. Wachter, 2003, "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 10086, Nov.
• Bryan R. Routledge & Stanley E. Zin, 2003, "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10107, Nov.
• Sean D. Campbell & Francis X. Diebold, 2003, "Weather Forecasting for Weather Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 10141, Dec.
• Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003, "The Price Impact and Survival of Irrational Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 9434, Jan.
• Bruce N. Lehmann & David M. Modest, 2003, "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9461, Jan.
• Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003, "Fees on Fees in Funds of Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9464, Feb.
• William N. Goetzmann & Massimo Massa, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 9499, Feb.
• Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003, "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 9515, Feb.
• Glenn Ellison & Drew Fudenberg, 2003, "Knife Edge of Plateau: When Do Market Models Tip?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9528, Mar.
• Chen-Chien Hsun & Shih Hui-Tzu, 2003, "Initial Public Offering and Corporate Governance in China's Transitional Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 9574, Mar.
• Andrew Leigh & Justin Wolfers & Eric Zitzewitz, 2003, "What Do Financial Markets Think of War in Iraq?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9587, Mar.
• Michael W. Brandt & Francis X. Diebold, 2003, "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers, National Bureau of Economic Research, Inc, number 9664, May.
• 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.