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

• 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.

2003

• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, volume 93, issue 1, pages 38-62, March, DOI: 10.1257/000282803321455151.
• Diks, C.G.H. & Weide, R. van der, 2003, "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-06.
• Grahame Johnson, 2003, "Measuring Interest Rate Expectations in Canada," Staff Working Papers, Bank of Canada, number 03-26, DOI: 10.34989/swp-2003-26.
• David Hirshleifer & Siew Hong Teoh, 2003, "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, volume 9, issue 1, pages 25-66, March, DOI: 10.1111/1468-036X.00207.
• Jun Liu & Francis A. Longstaff & Jun Pan, 2003, "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, volume 58, issue 1, pages 231-259, February, DOI: 10.1111/1540-6261.00523.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Dimitrios P Tsomocos, 2003, "Equilibrium analysis, banking, contagion and financial fragility," Bank of England Staff Working Paper series, Bank of England, number 175, Feb.
• Andrea Terzi, 2003, "Is a transactions tax an effective means to stabilize the foreign exchange market?," Working Papers (-2012), University of Bergamo, Department of Economics, number 0303.
• David Demery & Nigel Duck, 2003, "Demographic Change and the UK Savings Rate," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/550, Feb.
• Alexandros Kontonikas & Alberto Montagnoli, 2003, "Optimal Monetary Policy and Asset Price Misalignments," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-22, Nov.
• Alexandros Kontonikas & Alberto Montagnoli, 2003, "Optimal Monetary Policy and Asset Price Misalignments," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-22, Nov.
• Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003, "International Policy Rate Changes and Dublin Interbank Offer Rates," Research Technical Papers, Central Bank of Ireland, number 8/RT/03, Dec.
• Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003, "The Influence of Domestic and International Interest Rates on the ISEQ," Research Technical Papers, Central Bank of Ireland, number 9/RT/03, Dec.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Fernando Tenjo & Enrique Lopez, 2003, "Credit bubble and stagnation in Colombia, 1990-2001," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, volume 1, issue 1, pages 151-191, December.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Glenn Ellison & Drew Fudenberg, 2003, "Knife-Edge or Plateau: When do Market Models Tip?," Levine's Working Paper Archive, David K. Levine, number 506439000000000098, Jan.
• Fernando Tenjo & Enrique López, 2003, "Credit bubble and stagnation in Colombia, 1990-2001," Colombian Economic Journal, Universidad Nacional de Colombia, FCE, CID.
• HEINEN, Andréas, 2003, "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003062, Sep.
• Gregory C. Chow & Caroline C. Lawler, 2003, "A Time Series Analysis of the Shanghai and New York Stock Price Indices," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 17-35, May.
• Ramazan Gencay & Aslihan Salih, 2003, "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 73-101, May.
• Liutang Gong & Heng-fu Zou, 2003, "Fiscal Federalism, Public Capital Formation, and Endogenous Growth," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 471-490, November.
• Martin Shubik, 2003, "A Double Auction Market: Teaching, Experiment and Theory," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1443, Oct.
• Zbigniew Kominek, 2003, "Stock markets and industry growth: an eastern European perspective," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 81, Oct.
• Miroslav Misina, 2003, "What does the risk-appetite index measure?," Economics Bulletin, AccessEcon, volume 28, issue 6, pages 1-6.
• Jussi Tolvi, 2003, "Long memory in a small stock market," Economics Bulletin, AccessEcon, volume 7, issue 3, pages 1-13.
• Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003, "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank, number 204, Jan.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Leigh, Andrew & Wolfers, Justin & Zitzewitz, Eric, 2003, "What do Financial Markets Think of War in Iraq?," Research Papers, Stanford University, Graduate School of Business, number 1785, Mar.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003, "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, volume 71, issue 2, pages 579-625, March.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Tsomocos, Dimitrios P., 2003, "Equilibrium analysis, banking and financial instability," Journal of Mathematical Economics, Elsevier, volume 39, issue 5-6, pages 619-655, July.
• Xu, Zhaoxia & Gençay, Ramazan, 2003, "Scaling, self-similarity and multifractality in FX markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 323, issue C, pages 578-590, DOI: 10.1016/S0378-4371(03)00030-X.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Tsomocos, Dimitrios P., 2003, "Equilibrium analysis, banking, contagion and financial fragility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24826, May.
• Danielsson, Jon & Saltoglu, Burak, 2003, "Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24855, Jun.
• Driesprong, G. & Jacobsen, B. & Maat, B., 2003, "Striking Oil: Another Puzzle," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-082-F&A, Nov.
• Sarah Parlane, 2003, "Procurement Contracts under Limited Liability," The Economic and Social Review, Economic and Social Studies, volume 34, issue 1, pages 1-21.
• Don Bredin & Caroline Gavin & Gerard O Reilly, 2003, "The Influence of Domestic and International Interest Rates on the ISEQ," The Economic and Social Review, Economic and Social Studies, volume 34, issue 3, pages 249-265.
• Sébastien WÄLTI, 2003, "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp92, Aug.
• S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch, 2004, "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-18, May, DOI: 10.24148/wp2003-18.
• Stacey L. Schreft & Bruce Smith, 2003, "The social value of risk-free government debt," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-02.
• 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(0x6fc55168), August.
• 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.
• 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.