Research classified by Journal of Economic Literature (JEL) codes

2005

• 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 Analyse auf der Basis des Sozio-oekonomischen Panel," 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.
• Louis Kaplow, 2005, "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," Journal of Risk and Uncertainty, Springer, volume 31, issue 1, pages 23-34, July, DOI: 10.1007/s11166-005-2928-1.
• Axel Dreher & Lars Siemers, 2005, "The Intriguing Nexus Between Corruption and Capital Account Restrictions," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 05-113, Nov, DOI: 10.3929/ethz-a-005104867.
• Bugár, Gyöngyi & Uzsoki, Máté, 2005, "Nemzetközi részvény befektetési lehetőségek Közép- és Kelet-Európa új európai uniós tagállamainak szemszögéből
  [Opportunities for investing in international stocks, seen from the viewpoint of the new Central and East European member-states of the ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 576-598.
• Kutas, Gábor & Végh, Richárd, 2005, "A Budapest Likviditási Mérték bevezetéséről. A magyar részvények likviditásának összehasonlító elemzése a budapesti, a varsói és a londoni értéktőzsdéken
  [Introduction of the Budapest Liquidity Measure]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 686-711.
• Holger Kraft & Mogens Steffensen, 2005, "How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/07, May.
• Chiaki Hara, 2005, "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 609, Dec.
• Michel Normandin & Pascal St-Amour, 2005, "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 05.03, Mar.
• Pascal St-Amour, 2005, "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 05.04, Mar.
• Sarah Brown & Karl Taylor, 2005, "Household Debt and Financial Assets: Evidence from Great Britain, Germany and the United States," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/5, Mar.
• Rosarius, Stephan & Wiese, Jörg, 2005, "Erweiterungen zu „Simplified Discounting Rules in Binomial Models“ von Frank Richter," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 1893, Aug.
• Klaus Fischer & Nabil Khoury, 2005, "The Impact of Ethical Ratings on Canadian Security Performance: Portfolio Management and Corporate Governance Implications," Cahiers de recherche, CIRPEE, number 0501.
• Michel Normandin & Pascal St-Amour, 2005, "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de recherche, CIRPEE, number 0503.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005, "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE, number 0532.
• S D Flåm, 2005, "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series, Economics, The University of Manchester, number 0508.
• Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D., 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1580505, May.
• Sule Alan, 2005, "Entry Costs and Stock Market Participation Over the Life Cycle," Social and Economic Dimensions of an Aging Population Research Papers, McMaster University, number 126, Jan.
• Mitchell Ratner & Ricardo P. C. Leal, 2005, "Sector Integration and the Benefits of Global Diversification," Multinational Finance Journal, Multinational Finance Journal, volume 9, issue 3-4, pages 237-269, September.
• Edouard Challe, 2005, "Endogenous Participation Rick in Speculative Markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 90, Sep.
• Albrecht, Peter & Coche, Joachim & Maurer, Raimond & Rogalla, Ralph, 2005, "Optimal investment policies for hybrid pension plans : analyzing the perspective of sponsors and members," Papers, Sonderforschungsbreich 504, number 05-28.
• Alain Chateauneuf & Ghizlane Lakhnati, 2005, "Increases in risk and demand for risky asset," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05033, Apr, DOI: 10.1016/j.mathsocsi.2015.02.005.
• Alexis Bonnet & Isabelle Nagot, 2005, "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05078, Oct.
• Martin D. D. Evans & Viktoria Hnatkovska, 2005, "Solving General Equilibrium Models with Incomplete Markets and Many Assets," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0318, Oct.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2005, "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 11021, Jan.
• Philippe Jorion, 2005, "Bank Trading Risk and Systemic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11037, Jan.
• George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005, "Junior is Rich: Bequests as Consumption," NBER Working Papers, National Bureau of Economic Research, Inc, number 11122, Feb.
• George-Marios Angeletos, 2005, "Uninsured Idiosyncratic Investment Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11180, Mar.
• Claude B. Erb & Campbell R. Harvey, 2005, "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 11222, Mar.
• John R. Graham & Campbell R. Harvey & Hai Huang, 2005, "Investor Competence, Trading Frequency, and Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 11426, Jun.
• Anna Obizhaeva & Jiang Wang, 2005, "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 11444, Jun.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 11488, Jul.
• Enrique G. Mendoza, 2005, "Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11691, Oct.
• Kee-Hong Bae & Rene M. Stulz & Hongping Tan, 2005, "Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts," NBER Working Papers, National Bureau of Economic Research, Inc, number 11697, Oct.
• Martin D. D. Evans & Viktoria Hnatkovska, 2005, "International Capital Flows, Returns and World Financial Integration," NBER Working Papers, National Bureau of Economic Research, Inc, number 11701, Oct.
• Henry Hongbo Jin & Olivia S. Mitchell & John Piggott, 2005, "Socially Responsible Investment in Japanese Pensions," NBER Working Papers, National Bureau of Economic Research, Inc, number 11747, Nov.
• Sendhil Mullainathan & Andrei Shleifer, 2005, "Persuasion in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 11838, Dec.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005, "International Stock Return Comovements," NBER Working Papers, National Bureau of Economic Research, Inc, number 11906, Dec.
• Florin Bilbiie, 2005, "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W09, Mar.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1398, Jan.
• Shizuka Sekita, 2005, "The Small Saving Tax Exemption and Japanese Household Asset Allocation Behavior: Impact of the 1988 and 2006 Revisions (in Japanese)," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-17, Jun.
• Enrique Sentana, 2005, "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 56-78.
• 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.
• Pierre-Guillaume Méon & Laurent Weill, 2005, "Can mergers in Europe help banks hedge against macroeconomic risk?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/8370, Mar.
• Fernando Lago, 2005, "Tres ensayos sobre crisis financieras basadas en fundamentals," Estudios Economicos, Universidad Nacional del Sur, Departamento de Economia, volume 22, issue 45, pages 1-66, july-dece.
• José M. Marín & Francesco Franzoni, 2005, "Portable alphas from pension mispricing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 894, Oct.
• Michael Haliassos & Michael Reiter, 2005, "Credit card debt puzzles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 901, Nov.
• Fabio Trojani & Roberto G. Ferretti, 2005, "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-02, Jan.
• Fabio Trojani & Markus Leippold & Paolo Vanini, 2005, "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-03, Jan.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005, "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 166, Sep.
• Martin Gervais & Manish Pandey, 2005, "Who Cares about Mortgage Interest Deductibility?," University of Western Ontario, Economic Policy Research Institute Working Papers, University of Western Ontario, Economic Policy Research Institute, number 20059.
• Leo Krippner, 2005, "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics, University of Waikato, number 05/03, Mar.
• Kevin Milligan, 2005, "Life‐cycle asset accumulation and allocation in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 38, issue 3, pages 1057-1106, August, DOI: 10.1111/j.0008-4085.2005.00316.x.
• Camelia Kuhnen & Brian Knutson, 2005, "The Neural Basis of Financial Risk Taking," Experimental, University Library of Munich, Germany, number 0509001, Sep.
• Jonathan Reuter & Eric Zitzewitz, 2005, "Do Ads Influence Editors? Advertising and Bias in the Financial Media," Finance, University Library of Munich, Germany, number 0501003, Jan.
• Sutthisit Jamdee & Cornelis A. Los, 2005, "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance, University Library of Munich, Germany, number 0502021, Feb.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0503014, Mar, revised 17 Jan 2006.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0505009, May, revised 17 Jan 2006.
• Yan Olszewski, 2005, "Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach," Finance, University Library of Munich, Germany, number 0507018, Jul, revised 13 Dec 2005.
• Francis Vitek, 2005, "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance, University Library of Munich, Germany, number 0508014, Aug.
• Alessandro Sansone & Giuseppe Garofalo, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance, University Library of Munich, Germany, number 0510026, Oct.
• Godwin Nwaobi, 2005, "Securities Markets And Social Capital Integration In Africa: Risks And Policy Options," Finance, University Library of Munich, Germany, number 0512019, Dec.
• Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005, "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance, University Library of Munich, Germany, number 0512030, Dec.
• Ehud Lehrer, 2005, "A new integral for capacities," Game Theory and Information, University Library of Munich, Germany, number 0504004, Apr.
• Diana Barro & Elio Canestrelli, 2005, "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods, University Library of Munich, Germany, number 0510011, Oct.
• Alexander Harin, 2005, "Gains and losses: the same or different choices? A “non-ideal” economics approach," International Finance, University Library of Munich, Germany, number 0509002, Sep.
• Lieven Baele & Koen Inghelbrecht, 2005, "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, University Library of Munich, Germany, number 0511005, Nov.
• Edgar L. Feige & M. Parkin & R Avery & C. Stones, 2005, "The Roles Of Money In An Economy And The Optimum Quantity Of Money," Macroeconomics, University Library of Munich, Germany, number 0501035, Jan.
• Fatih Guvenen, 2005, "Do Stockholders Share Risk More Effectively Than Non- stockholders?," Macroeconomics, University Library of Munich, Germany, number 0508006, Aug.
• Alexander Harin, 2005, "A Rational Irrational Man," Public Economics, University Library of Munich, Germany, number 0511005, Nov.
• Allon Cohen & Haim Levy, 2005, "The Log-Normal Asset Pricing Model (Lapm)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-34, DOI: 10.1142/S2010495205500028.
• Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès, 2005, "The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-20, DOI: 10.1142/S2010495205500041.
• Sanjiv Ranjan Das, 2005, "Working Papers: “Hedge” Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Mila Getmansky & Andrew W. Lo & Shauna X. Mei, 2005, "Sifting Through The Wreckage: Lessons From Recent Hedge-Fund Liquidations," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Harry M. Kat, 2005, "The Dangers Of Mechanical Investment Decision-Making: The Case Of Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Arik Ben Dor & Ravi Jagannathan & Iwan Meier, 2005, "Understanding Mutual Fund And Hedge Fund Styles Using Return-Based Style Analysis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Bing Liang, 2005, "ALTERNATIVE INVESTMENTS: CTAs, HEDGE FUNDS, AND FUNDS-OF-FUNDS," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Harry M. Kat, 2005, "Managed Futures And Hedge Funds: A Match Made In Heaven," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Stephen J. Brown & William N. Goetzmann & Bing Liang, 2005, "Fees On Fees In Funds Of Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• William Fung & David A. Hsieh, 2005, "Extracting Portable Alphas From Equity Long/Short Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Milind Sharma, 2005, "AIRAP—ALTERNATIVE RAPMs FOR ALTERNATIVE INVESTMENTS," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: H Gifford Fong, "The World Of Hedge Funds Characteristics and Analysis".
• Sule Alan, 2005, "Entry Costs and Stock Market Participation Over the Life Cycle," Working Papers, York University, Department of Economics, number 2005_1, Jan.
• William N. Goetzmann & Massimo Massa & Andrei Simonov, 2005, "Portfolio Diversification, Proximity Investment and City Agglomeration," Yale School of Management Working Papers, Yale School of Management, number ysm452, Apr.
• William N. Goetzmann & Alok Kumar, 2005, "Why Do Individual Investors Hold Under-Diversified Portfolios?," Yale School of Management Working Papers, Yale School of Management, number ysm454, Apr.
• Fellner, Gerlinde & Sutter, Matthias, 2005, "Causes, consequences, and cures of myopic loss aversion: An experimental investigation," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 16/2005.
• Cai, Fang & Warnock, Francis E., 2005, "International diversification at home and abroad," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,06.
• Brooks, Robin & Del Negro, Marco, 2005, "Firm-level evidence on international stock market comovement," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,11.
• Memmel, Christoph & Wehn, Carsten, 2005, "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,02.
• Kamp, Andreas & Pfingsten, Andreas & Porath, Daniel, 2005, "Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,03.
• Kempf, Alexander & Memmel, Christoph, 2005, "On the estimation of the global minimum variance portfolio," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-02.
• Bilias, Yannis & Georgarakos, Dimitris & Haliassos, Michael, 2005, "Equity culture and the distribution of wealth," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/20.
• Haliassos, Michael & Reiter, Michael, 2005, "Credit card debt puzzles," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/26.
• Agarwal, Sumit & Chomsisengphet, Souphala & Liu, Chunlin & Souleles, Nicholas S., 2005, "Do consumers choose the right credit contracts?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/32.
• Bertaut, Carol C. & Haliassos, Michael, 2005, "Credit cards: Facts and theories," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/19.
• Kluß, Norbert & Bayer, Marcus & Cremers, Heinz, 2005, "Wertsicherungsstrategien für das Asset Management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 62.
• Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2005, "Möglichkeiten der Strukturierung von Hedgefondsportfolios," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 68.
• Müller, Sebastian & Müller, Gerhard, 2005, "Sicherheits-orientiertes Portfoliomanagement," Wismar Discussion Papers, Hochschule Wismar, Wismar Business School, number 09/2005.
• Brooks, Robin & Del Negro, Marco, 2005, "Firm-Level Evidence on International Stock Market Comovement," Kiel Working Papers, Kiel Institute for the World Economy, number 1244.
• Cai, Fang & Warnock, Francis E., 2005, "International Diversification at Home and Abroad," Kiel Working Papers, Kiel Institute for the World Economy, number 1246.
• Dreher, Axel & Siemers, Lars-H. R., 2005, "The Intriguing Nexus between Corruption and Capital Account Restrictions," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 35.
• Weißbach, Rafael & von Lieres und Wilkau, Carsten, 2005, "On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2005,06.
• Lawrenz, Claudia & Tschiersch, Patrick & Weißbach, Rafael, 2005, "Testing Homogeneity of Time-Continuous Rating Transitions," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2005,34.
• Breuer, Wolfgang & Gürtler, Marc, 2005, "Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW17V4.
• Sennewald, Ken & Wälde, Klaus, 2005, ""Itô's Lemma" and the Bellman equation: An applied view," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 04/05.
• Sennewald, Ken & Wälde, Klaus, 2005, ""Ito's Lemma" and the Bellman equation for Poisson processes: An applied view," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 58.
• Schröder, Michael, 2005, "Is there a Difference? The Performance Characteristics of SRI Equity Indexes," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-50.
• De Giorgi, Enrico, 2005, "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 895-926, April.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Journal of Financial Economics, Elsevier, volume 75, issue 2, pages 283-317, February.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Jones, Christopher S. & Shanken, Jay, 2005, "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 507-552, December.
• Amir, Rabah & Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005, "Market selection and survival of investment strategies," Journal of Mathematical Economics, Elsevier, volume 41, issue 1-2, pages 105-122, February.
• Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005, "Evolutionary stability of portfolio rules in incomplete markets," Journal of Mathematical Economics, Elsevier, volume 41, issue 1-2, pages 43-66, February.
• Alos-Ferrer, Carlos & Ania, Ana B., 2005, "The asset market game," Journal of Mathematical Economics, Elsevier, volume 41, issue 1-2, pages 67-90, February.
• 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.
• John 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.