Research classified by Journal of Economic Literature (JEL) codes

2005

• Thomas Hintermaier & Emilio Espino, 2005, "Asset Trading Volume in a Production Economy," 2005 Meeting Papers, Society for Economic Dynamics, number 363.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2005, "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers, Society for Economic Dynamics, number 77.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2005, "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers, Society for Economic Dynamics, number 78.
• Francesco Menoncin, 2005, "Risk Management for an Internationally Diversified Portfolio," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 1, pages 9-41.
• Ramon P. DeGennaro, 2005, "Market imperfections," Journal of Financial Transformation, Capco Institute, volume 14, pages 107-117.
• Hugh R. Lamle & Terrence F. Martell, 2005, "A New Era for Commodity Investments," Journal of Financial Transformation, Capco Institute, volume 15, pages 1-6.
• Popescu, Nela, 2005, "Choosing Business Risk Measures," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 3, pages 59-64.
• Larry Epstein & Martin Schneider, 2005, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 519, Jul.
• Marisa Cenci & Massimiliano Corradini & Andrea Gheno, 2005, "Dynamic portfolio selection in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0056, Dec.
• Emilio Espino, 2005, "Equilibrium Portfolios in the Neoclassical Growth Model," Working Papers, Universidad de San Andres, Departamento de Economia, number 87, Dec, revised Dec 2005.
• Giuseppe Garofalo & Alessandro Sansone, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 88, Oct.
• Wolfgang Gerke & Ferdinand Mager & Alexander Röhrs, 2005, "Twenty Years of International Diversification from a German Perspective," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 57, issue 2, pages 86-102, April.
• Han N. Ozsoylev, 2005, "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe11.
• Enrico De Giorgi, 2005, "Evolutionary Portfolio Selection with Liquidity Shocks," Computing in Economics and Finance 2005, Society for Computational Economics, number 15, Nov.
• Hendri Adriaens & Bertrand Melenberg, 2005, "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005, Society for Computational Economics, number 163, Nov.
• C. Chiarella & C. Hsiao, 2005, "Intertemporal Asset Allocation with Inflation-Indexed Bonds," Computing in Economics and Finance 2005, Society for Computational Economics, number 168, Nov.
• Francisco Covas, 2005, "Uninsured Idiosyncratic Production Risk With Borrowing Constraints," Computing in Economics and Finance 2005, Society for Computational Economics, number 198, Nov.
• David Goldbaum & Bruce Mizrach, 2005, "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Computing in Economics and Finance 2005, Society for Computational Economics, number 295, Nov.
• Mark E. Wohar & David E. Rapach, 2005, "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005, Society for Computational Economics, number 329, Nov.
• M. Gilli & I. Roko, 2005, "Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches," Computing in Economics and Finance 2005, Society for Computational Economics, number 338, Nov.
• Simon Lysbjerg Hansen, 2005, "A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Computing in Economics and Finance 2005, Society for Computational Economics, number 391, Nov.
• Stanley Zin & Thomas Tallarini, 2005, "Portfolio Choice and Permanent Income," Computing in Economics and Finance 2005, Society for Computational Economics, number 408, Nov.
• Viktoria Hnatkovska & Martin Evans, 2005, "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005, Society for Computational Economics, number 419, Nov.
• Dr. Brian J. Jacobsen, 2005, "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005, Society for Computational Economics, number 5, Nov.
• Joseph B. Nichols, 2005, "Housing Wealth and Mortgage Contracts," Computing in Economics and Finance 2005, Society for Computational Economics, number 75, Nov.
• Chia-Hsuan Yeh, 2005, "Time Series Properties Under Price Limits," Computing in Economics and Finance 2005, Society for Computational Economics, number 78, Nov.
• Yi-Feng Tzeng & Chung-Yi Yang & Chia-Hsuan Yeh, 2005, "The Effectiveness of Margin Requirements: Agent-Based Modeling Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 79, Nov.
• Thomas Steinberger, 2005, "Social security and entrepreneurial activity," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 130, Jan.
• Manuel Ammann, 2005, "Eigenschaften von Verwaltungsräten und Unternehmensperformance," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 141, issue I, pages 1-22, March.
• Winston T.H. Koh & Edward H.K. Ng, 2005, "Investing in Real Estate: Mortgage Financing Practices and Optimal Holding Period," Working Papers, Singapore Management University, School of Economics, number 03-2005, Feb.
• Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 05-014.RS.
• Lynn Rees, 2005, "Abnormal Returns from Predicting Earnings Thresholds," Review of Accounting Studies, Springer, volume 10, issue 4, pages 465-496, December, DOI: 10.1007/s11142-005-4210-9.
• Borut Vojinovič, 2005, "Home Bias or Corporate Loan Market Integration and Financial Globalization," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 12, issue 3, pages 463-478, December, DOI: 10.1007/s11300-005-0070-z.
• Pierre-Guillaume Meon & Laurent Weill, 2005, "Can mergers in Europe help banks hedge against macroeconomic risk?," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 5, pages 315-326, DOI: 10.1080/0960310042000323629.
• Daniel Capocci & Albert Corhay & Georges Hubner, 2005, "Hedge fund performance and persistence in bull and bear markets," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 5, pages 361-392, DOI: 10.1080/1351847042000286676.
• Dennis Dittrich & Werner Guth & Boris Maciejovsky, 2005, "Overconfidence in investment decisions: An experimental approach," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 6, pages 471-491, DOI: 10.1080/1351847042000255643.
• Ozge Akinci & Yasemin Barlas Ozer & Bulent Usta, 2005, "Dolarizasyon Endeksleri : Turkiye�deki Dolarizasyon Surecine Iliskin Gostergeler," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0517.
• Namwon Hyung & Casper G. de Vries, 2005, "Portfolio Selection with Heavy Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-009/2, Jan, revised 04 Oct 2006.
• Siem Jan Koopman & André Lucas & André Monteiro, 2005, "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-071/4, Jun, revised 04 Jul 2005.
• Michiel de Pooter & Martin Martens & Dick van Dijk, 2005, "Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-089/4, Oct, revised 03 Jan 2006.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-62.
• Melenberg, B. & Polbennikov, S.Y., 2005, "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-99.
• Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005, "The Impact of Overnight Periods on Option Pricing," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-1.
• Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005, "Labor Income and the Demand for Long-term Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-95.
• Eiling, E. & Gerard, B. & de Roon, F.A., 2005, "Asset Allocation in the Euro-Zone : Industry or Country Based?," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-2.
• Polbennikov, S.Y. & Melenberg, B., 2005, "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-100.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2005-016.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 059428e3-2ed6-42e2-8d3c-2.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1deb12a0-54a3-47f7-9626-5.
• Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005, "The Impact of Overnight Periods on Option Pricing," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2c3a7553-f718-4caa-90f2-b.
• Fellner, Gerlinde & Sutter, Matthias, 2005, "Causes, consequences, and cures of myopic loss aversion - An experimental investigation," 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 171, Jun.
• Francesco Menoncin & Rosella Nicolini, 2005, "The optimal behaviour of firms facing stochastic costs," Working Papers, University of Brescia, Department of Economics, number ubs0501.
• Sonia Benito Muela, 2005, "Factores comunes en la ETTI española. Un análisis de corto y largo plazo," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0510.
• Karl Whelan & Filippo Altissimo & Evaggelia Georgiou & Teresa Sastre & Maria Teresa Valderrama & Gabriel Sterne & Marc Stocker & Mark Weth & Alpo Willman, 2005, "Wealth and asset price effects on economic activity," Open Access publications, School of Economics, University College Dublin, number 10197/210, Jun.
• Suleyman Basak & Alexander Shapiro, 2005, "A Model of Credit Risk, Optimal Policies, and Asset Prices," The Journal of Business, University of Chicago Press, volume 78, issue 4, pages 1215-1266, July, DOI: 10.1086/430859.
• Jonathan A. Parker & Christian Julliard, 2005, "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, volume 113, issue 1, pages 185-222, February, DOI: 10.1086/426042.
• Nava Ashraf & Dean S. Karlan & Wesley Yin, 2005, "Tying Odysseus to the Mast: Evidence from a Commitment Savings Product in the Philippines," Working Papers, Economic Growth Center, Yale University, number 917, Jul.
• Mendoza, Enrique G., 2005, "Real exchange rate volatility and the price of nontradable goods in economies prone to sudden stops," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123316, Oct.
• Gomes, Francisco & Michaelides, Alexander, 2005, "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24649, Mar.
• Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de, 2005, "Comparing downside risk measures for heavy tailed distribution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24671, Dec.
• Giannis Vardas & Anastasios Xepapadeas, 2005, "Robust Portfolio Choices and Asset Holdings," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 8, issue 1, pages 1-20, Summer.
• Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005, "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-26, Jul.
• van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C., 2005, "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," 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-2005-012-F&A, Mar.
• Moerman, G.A., 2005, "How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area," 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-2005-035-F&A, Jun.
• Hallerbach, W.G.P.M. & Pouchkarev, I., 2005, "A Relative View on Tracking Error," 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-2005-063-F&A, Nov.
• Fleischmann, M. & Hall, J.M. & Pyke, D.F., 2005, "A Dynamic Pricing Model for Coordinated Sales and Operations," 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-2005-074-LIS, Nov.
• Swinkels, L.A.P. & Vejina, D. & Vilans, R., 2005, "Why don’t Latvian pension funds diversify more internationally?," 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-2005-078-F&A, Nov.
• Michael Glezakos & Dr. George Gotzageorgis, 2005, "An empirical investigation of underpricing in Greek IPO’s: 1990-2003," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 3-20.
• Gerlinde Fellner & Matthias Sutter, 2005, "Causes, consequences, and cures of myopic loss aversion - An experimental investigation," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2005-15, Jul.
• Jorge Miguel Ventura Bravo & Carlos Manuel Pereira da Silva, 2005, "Immunization Using a Parametric Model of the Term Structure," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 19_2005.
• Pascal St-Amour, 2005, "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp136, Mar.
• Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005, "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp138, Mar.
• Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005, "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp139, Mar.
• Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2005, "Robust Mean-Variance Portfolio Selection," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp140, Apr.
• Laruent Barras, 2005, "International Conditional Asset Allocation under Real Time Uncertrainty," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp153, Jul.
• Olivier Scaillet & Nikolas Topaloglou, 2005, "Testing for Stochastic Dominance Efficiency," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp154, Jul.
• Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp163, Nov.
• Helena Horská, 2005, "The Czech Equity Market - Its Effectiveness and Macroeconomic Consequences," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 5-6, pages 283-301, May.
• Roman Horváth, 2005, "Financial Accelerator Effects in the Balance Sheets of Czech Firms," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 96, revised 2005.
• Arun J. Prakash, Suchismita Mishra, Dispari Ghosh, 2005, "The Kraus and Litzenberger Quadratic Characteristic Line and Event Studies," Frontiers in Finance and Economics, SKEMA Business School, volume 2, issue 2, pages 67-78, December.
• Ramon P. DeGennaro, 2005, "Market imperfections," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-12.
• Karsten Jeske & Dirk Krueger, 2005, "Housing and the macroeconomy: the role of implicit guarantees for government-sponsored enterprises," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-15.
• Steven J. Davis & Felix Kubler & Paul S. Willen, 2005, "Borrowing costs and the demand for equity over the life cycle," Working Papers, Federal Reserve Bank of Boston, number 05-7.
• Péter Kondor, 2005, "The more we know, the less we agree: public announcements and higher-order expectations," FMG Discussion Papers, Financial Markets Group, number dp532, Apr.
• Péter Kondor, 2005, "Rational Trader Risk," FMG Discussion Papers, Financial Markets Group, number dp533, Apr.
• Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005, "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers, Financial Markets Group, number dp551, Nov.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2077.
• Giovanni Ferri & Cecilia Frale & Ottavio Ricchi, 2005, "More Households in the Stock Market Through Privatizations? Evidence from Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 64, issue 1, pages 93-132, September.
• Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005, "International Capital Flows, Returns and World Financial Integration," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-17, May.
• Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005, "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-18, May.
• Alain Chateauneuf & Ghizlane Lakhnati, 2005, "Increases in risk and demand for risky asset," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00194413, Apr.
• K. Kerstens, 2005, "Mean-Variance Skewness Portfolio Performance Gauging:A General Shortage Function and Dual Approach," Post-Print, HAL, number hal-00288765.
• Sebastián Nieto Parra, 2005, "The Macroeconomic Implications of the New Banking Capital Regulation in Emerging Markets: A Duopoly Model Adapted to Risk-Averse Banks," Post-Print, HAL, number hal-01020776, Jun.
• Christian Walter, 2005, "La gestion indicielle et la théorie des moyennes," Post-Print, HAL, number hal-04529992, DOI: 10.3406/ecofi.2005.3974.
• Alain Chateauneuf & Ghizlane Lakhnati, 2005, "Increases in risk and demand for risky asset," Post-Print, HAL, number halshs-00194413, Apr.
• C. Aaron & I. Bilon & Sébastien Galanti & Y. Tadjeddine, 2005, "Les styles de gestion de portefeuille existent-ils?," Post-Print, HAL, number halshs-00224453.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers, HAL, number halshs-00590775, Aug.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers, HAL, number halshs-00590775, Aug.
• Christiansen, Charlotte & Joensen, Juanna Schröter & Rangvid, Jesper, 2005, "Do More Economists Hold Stocks?," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-02, Sep.
• Carlsson, Evert & Erlandzon, Karl, 2005, "The Dark Side of Wage Indexed Pensions," Working Papers in Economics, University of Gothenburg, Department of Economics, number 178, Sep.
• Daunfeldt, Sven-Olov, 2005, "Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden," HUI Working Papers, HUI Research, number 3, Dec.
• Lundtofte, Frederik, 2005, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers, Lund University, Department of Economics, number 2005:17, Feb.
• Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005, "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/17, Dec.
• Hens, Thorsten & Vlcek, Martin, 2005, "Does Prospect Theory Explain the Disposition Effect?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/18, Dec.
• Ågren, Martin, 2005, "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series, Uppsala University, Department of Economics, number 2005:11, Jan.
• Ronald J. Balvers & Yangru Wu, 2005, "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers, Hong Kong Institute for Monetary Research, number 022005, Feb.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Scholarly Articles, Harvard University Department of Economics, number 27867240.
• Gollier, Christian, 2005, "Optimal Portfolio Management for Individual Pension Plans," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 298, Nov.
• Décamps, Jean-Paul & Villeneuve, Stéphane, 2005, "Optimal Dividend Policy and Growth Option," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 369, Jun.
• Wydia Andry, 2005, "Analisis Faktor-Faktor Yang Mempengaruhi Prediksi Peringkat Obligasi," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 2, pages 243-262, September, DOI: https://doi.org/10.21098/bemp.v8i2..
• Michel Normandin & Pascal Saint-Amour, 2005, "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 05-02, Mar.
• Walter Briec & Kristiaan Kerstens & Octave Jokung, 2005, "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Working Papers, IESEG School of Management, number 2005-ECO-05, Sep.
• Sule Alan, 2005, "Entry costs and stock market participation over the life cycle," IFS Working Papers, Institute for Fiscal Studies, number W05/01, Jan.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps," Economics Series, Institute for Advanced Studies, number 164, Jan.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options," Economics Series, Institute for Advanced Studies, number 165, Jan.
• Mr. Akito Matsumoto & Mr. Charles Engel, 2005, "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers, International Monetary Fund, number 2005/165, Aug.
• Iván Aguayo Guajardo, 2005, "Is Portfolio Diversification Achievable Within The Mexican Stock Market?," 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 4, issue 1, pages 65-72, Marzo 200.
• Jorge Ludlow Wiechers & Beatríz Mota Aragón, 2005, "La Dinámica De La Volatilidad Del Ipc Y Sus Componentes," 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 4, issue 2, pages 149-173, Junio 200.
• Jorge Ludlow Wiechers & M. Beatríz Mota Aragón, 2005, "Curvas De Apalancamiento Y Elección De Carteras En La Bmv," 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 4, issue 4, pages 313-346, Diciembre.
• Rick Harbaugh, 2005, "Prospect Theory or Skill Signaling?," Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy, number 2005-06.
• Claudio Campanale, 2005, "Increasing Returns To Savings And Wealth Inequality," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-20, May.
• Westerheide Peter, 2005, "Auswirkungen von Erbschaften und Schenkungen auf die Vermögensbildung privater Personen und Haushalte / The Importance of Intergenerational Transfers for Private Wealth Accumulation: Eine empirische A," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 225, issue 4, pages 459-481, August, DOI: 10.1515/jbnst-2005-0407.
• G. M. Constantinides & J. B. Donaldson & R. Mehra, 2005, "Junior must pay: pricing the implicit put in privatizing Social Security," Annals of Finance, Springer, volume 1, issue 1, pages 1-34, January, DOI: 10.1007/s10436-004-0002-7.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2005, "A risk assessment model for banks," Annals of Finance, Springer, volume 1, issue 2, pages 197-224, September, DOI: 10.1007/s10436-004-0006-3.
• Jean-Charles Rochet & Stéphane Villeneuve, 2005, "Corporate portfolio management," Annals of Finance, Springer, volume 1, issue 3, pages 225-243, August, DOI: 10.1007/s10436-005-0018-7.
• Marcelo Pinheiro, 2005, "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, volume 1, issue 4, pages 395-421, October, DOI: 10.1007/s10436-005-0017-8.
• Pierangelo Ciurlia & Ilir Roko, 2005, "Valuation of American Continuous-Installment Options," Computational Economics, Springer;Society for Computational Economics, volume 25, issue 1, pages 143-165, February, DOI: 10.1007/s10614-005-6279-4.
• Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005, "Do More Economists Hold Stocks?," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-06, Apr.
• Markus K. Brunnermeier & Jonathan A. Parker, 2005, "Optimal Expectations," American Economic Review, American Economic Association, volume 95, issue 4, pages 1092-1118, September.
• Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2005, "Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 37, issue 01, pages 1-14, April, DOI: 10.22004/ag.econ.43717.
• Ashraf, Nava & Karlan, Dean S. & Yin, Wesley, 2005, "Tying Odysseus to the Mast: Evidence from a Commitment Savings Product in the Philippines," Center Discussion Papers, Yale University, Economic Growth Center, number 28411, DOI: 10.22004/ag.econ.28411.
• Rosella Nicolini & Francesco Menoncin, 2005, "The optimal behaviour of firms facing stochastic costs," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 640.05, Feb.
• Alipi Alipiev, 2005, "Necessity and Prerequisites for the Debt Market Development in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 101-107.
• Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0503, Jan.
• John Knight & Stephen Satchell, 2005, "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0513, Sep.
• Alicia Garcia-Herrero, 2005, "Emerging Countries Sovereign Risk: Balance Sheets, Contagion and Risk Aversion," Working Papers, BBVA Bank, Economic Research Department, number 0501, Jun.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers, Bank of Canada, number 05-2, DOI: 10.34989/swp-2005-2.
• Francisco Covas, 2005, "Uninsured Idiosyncratic Production Risk with Borrowing Constraints," Staff Working Papers, Bank of Canada, number 05-26, DOI: 10.34989/swp-2005-26.
• Marco Taboga, 2005, "Maxmin Portfolio Choice," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 543, Feb.
• Esteban Gómez & Diego Vásquez & Camilo Zea, 2005, "Derivative Markets' Impact on Colombian Monetary Policy," Borradores de Economia, Banco de la Republica de Colombia, number 334, May, DOI: 10.32468/be.334.
• Diego Jara & Carolina Gómez & Andrés Pardo, 2005, "Análisis de eficiencia de los portafolio pensionales obligatorios en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 23, issue 49, pages 192-239, December, DOI: 10.32468/Espe.4905.
• Jhon Baude, 2005, "L impact des chocs boursiers sur le Crédit en France depuis le milieu des années quatre-vingt-dix," Working papers, Banque de France, number 132.
• Gest, I. & Grandjean, H., 2005, "Le patrimoine en valeurs mobilières des personnes physiques à fin décembre 2004," Bulletin de la Banque de France, Banque de France, issue 142, pages 75-84.
• Marionnet, D., 2005, "Placements financiers des ménages français : comparaisons européennes (1995-2004)," Bulletin de la Banque de France, Banque de France, issue 143, pages 53-64.
• Chassagne, F. & Noiville, V. & Ferrand-Eynard, J-B. & Grandjean, H., 2005, "Les valeurs mobilières détenues par les Français en mars 2005," Bulletin de la Banque de France, Banque de France, issue 143, pages 65-69.
• Bardos, M., 2005, "Les scores de la Banque de France : leur développement, leurs applications, leur maintenance," Bulletin de la Banque de France, Banque de France, issue 144, pages 63-73.
• Francesco Menoncin & Rosella Nicolini, 2015, "The optimal behaviour of firms facing stochastic costs," Working Papers, Barcelona School of Economics, number 161, Sep.
• Francesco Franzoni & José M. Marín, 2015, "Portable Alphas from Pension Mispricing," Working Papers, Barcelona School of Economics, number 227, Sep.
• Michael Haliassos & Michael Reiter, 2015, "Credit Card Debt Puzzles," Working Papers, Barcelona School of Economics, number 233, Sep.
• James J. Choi & David Laibson & Brigitte C. Madrian, 2005, "Are Empowerment and Education Enough? Underdiversification in 401(k) Plans," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 36, issue 2, pages 151-214.
• Patrick McGuire & Eli Remolona & Kostas Tsatsaronis, 2005, "Time-varying exposures and leverage in hedge funds," BIS Quarterly Review, Bank for International Settlements, March.
• Benjamin H Cohen, 2005, "Currency choice in international bond issuance," BIS Quarterly Review, Bank for International Settlements, June.
• Zoran Ivković & Scott Weisbenner, 2005, "Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments," Journal of Finance, American Finance Association, volume 60, issue 1, pages 267-306, February, DOI: 10.1111/j.1540-6261.2005.00730.x.
• Francisco Gomes & Alexander Michaelides, 2005, "Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence," Journal of Finance, American Finance Association, volume 60, issue 2, pages 869-904, April, DOI: 10.1111/j.1540-6261.2005.00749.x.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "Thy Neighbor's Portfolio: Word‐of‐Mouth Effects in the Holdings and Trades of Money Managers," Journal of Finance, American Finance Association, volume 60, issue 6, pages 2801-2824, December, DOI: 10.1111/j.1540-6261.2005.00817.x.
• Egil Matsen, 2005, "Portfolio choice when managers control returns," Working Paper, Norges Bank, number 2005/15, Dec.
• Stephania Albanesi & Claudia Olivetti, 2005, "Home Production, Market Production and the Gender Wage Gap: Incentives and Expectations," Boston University - Department of Economics - Macroeconomics Working Papers Series, Boston University - Department of Economics, number WP2005-004, Apr, revised Aug 2007.
• Junjian Miao & Neng Wang, 2005, "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series, Boston University - Department of Economics, number WP2005-011, Oct, revised Sep 2006.
• Claudia Olivetti & Stefania Albanesi, 2005, "Home Production, Market Production and the Gender Wage Gap: Incentives and Expectations," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-013, Apr.
• Ai Deng & Pierre Perron, 2005, "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-046, Nov.
• Oswaldo Luiz do Valle Costa & Rodrigo de Barros Nabholz, 2005, "A Multi-Period Mean-Variance Portfolio Selection Problem," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 1, pages 101-121.
• José Euclides de Melo Ferraz & Christian Johannes Zimmer, 2005, "Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 2, pages 195-221.
• Anna Zalewska, 2005, "Home bias and stock market development. The Polish experience," The Centre for Market and Public Organisation, The Centre for Market and Public Organisation, University of Bristol, UK, number 05/136, Nov.
• Rey, David & Schmid, Markus M., 2005, "Feasible Momentum Strategies - Evidence from the Swiss Stock Market," Working papers, Faculty of Business and Economics - University of Basel, number 2005/12.
• Sancetta, A., 2005, "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0506, Jan.
• Satchell, S.E. & Wright, S.M., 2005, "A Rank Approach to Equity Forecast Construction," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0553, Nov.
• Eugen Kovac, 2005, "Speculation and Survival in Financial Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp276, Sep.
• Christian Gollier, 2005, "Optimal Portfolio Management for Individual Pension Plans," CESifo Working Paper Series, CESifo, number 1394.
• Martin Vlcek, 2006, "Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-27, Apr.
• Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2008, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-18, Sep.
• Kevin Milligan, 2005, "Life-cycle asset accumulation and allocation in Canada," Canadian Journal of Economics, Canadian Economics Association, volume 38, issue 3, pages 1057-1106, August, DOI: 10.1111/j.0008-4085.2005.00316.x.
• Esteban G�mez & Diego V�squez & Camilo Zea, 2005, "Derivative Markets' Impact On Colombian Monetary Policy," Borradores de Economia, Banco de la Republica, number 2277, May.
• Diego Jara & Carolina G�mez & Andr�s Pardo, 2005, "Análisis de eficiencia de los portafolio pensionales obligatorios en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 23, issue 49, pages 192-239, DOI: 10.32468/Espe.4905.
• Sebastián Nieto, 2005, "The Macroeconomic Implications of the New Banking Capital Regulation in Emerging Markets: A Duopoly Model Adapted to Risk-Averse Banks," Revista de Economía del Rosario, Universidad del Rosario.
• Luís Diego Vélez Gómez, 2005, "Un juicio sobre el valor presente neto como criterio de decisión," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 9018, Nov.
• Enrique G. Mendoza, 2005, "Real Exchange Rate Volatility and the Price of Nontradable Goods in Economies Prone to Sudden Stops," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Fall 2005, pages 103-148.
• Beatriz Marulanda, 2005, "Del microcrédito a las microfinanzas en Colombia," Coyuntura Económica, Fedesarrollo.
• Massa, Massimo & Locarno, Alberto, 2005, "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4828, Jan.
• Eckbo, B Espen & Norli, Øyvind, 2005, "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4832, Jan.
• Michaelides, Alexander & Gomes, Francisco & ,, 2005, "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4852, Jan.
• Michaelides, Alexander & Gomes, Francisco, 2005, "Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4853, Jan.
• Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2005, "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5006, Apr.
• Uppal, Raman & Bhamra, Harjoat Singh, 2005, "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5020, Apr.
• Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005, "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5041, May.
• Uppal, Raman & Garlappi, Lorenzo & DeMiguel, Victor, 2005, "How Inefficient is the 1/N Asset-Allocation Strategy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5142, Jul.
• Miles, David & Cerny, Ales & ,, 2005, "The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5143, Jul.