Research classified by Journal of Economic Literature (JEL) codes

2005

• 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.
• 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.
• Han N. Ozsoylev, 2005, "Amplification and Asymmetry in Crashes and Frenzies," Economics Series Working Papers, University of Oxford, Department of Economics, number 2005-FE-11, Oct.
• Juan F. Castro & Eduardo Morón, 2005, "Financial Dollarization and the Size of the Fear," Working Papers, Centro de Investigación, Universidad del Pacífico, number 05-03, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2005, "Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0292005, Jul.
• Magni, Carlo Alberto, 2005, "On decomposing net final values: EVA, SVA, and shadow project," MPRA Paper, University Library of Munich, Germany, number 12357.
• Ilmolelian, Peter, 2005, "The determinants of the Harare Stock Exchange (HSE) market capitalisation," MPRA Paper, University Library of Munich, Germany, number 1418, Nov.
• Gool van, Peter & Muller, Franciscus Leonardus Petrus, 2005, "Vastgoed en ALM
  [Real Estate and ALM]," MPRA Paper, University Library of Munich, Germany, number 22634, Sep.
• Castaneda, Pablo, 2005, "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper, University Library of Munich, Germany, number 3346, Sep, revised 30 Dec 2006.
• Caratelli, Massimo, 2005, "Transparency between banks and their customers. information needs and public intervention," MPRA Paper, University Library of Munich, Germany, number 37108, Jan.
• Carretta, Alessandro & Mattarocci, Gianluca, 2005, "Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market," MPRA Paper, University Library of Munich, Germany, number 4293, Jun, revised Jan 2007.
• Carretta, Alessandro & Mattarocci, Gianluca, 2005, "The performance evaluation of hedge funds: a comparison of different approaches using European data," MPRA Paper, University Library of Munich, Germany, number 4294, Jun, revised Jan 2007.
• Magni, Carlo Alberto, 2005, "Theoretical Flaws In The Use Of The Capm For Investment Decisions," MPRA Paper, University Library of Munich, Germany, number 6330, Dec, revised Nov 2007.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 6608, Oct.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 7093, Oct.
• Magni, Carlo Alberto, 2005, "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper, University Library of Munich, Germany, number 7359, Dec, revised 27 Feb 2008.
• Alexander Ludwig & Alexander Zimper, 2012, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers, University of Pretoria, Department of Economics, number 201223, Jun.
• Burton G. Malkiel & Jianping Mei & Rui Yang, 2005, "Investment Strategies to Exploit Economic Growth in China," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 80, Dec.
• Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005, "Les fondements de la rotation sectorielle des portefeuilles," Revue d'Économie Financière, Programme National Persée, volume 78, issue 1, pages 345-362, DOI: 10.3406/ecofi.2005.3960.
• Pierre-Yves Chanu, 2005, "Les attentes des salariés en matière d'épargne salariale," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 61-65, DOI: 10.3406/ecofi.2005.3969.
• François-Louis Michaud, 2005, "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 79-93, DOI: 10.3406/ecofi.2005.3971.
• Olivier Davanne & Thierry Pujol, 2005, "Allocation d’actifs, variation des primes de risque et benchmarks," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 95-111, DOI: 10.3406/ecofi.2005.3973.
• Christian Walter, 2005, "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 113-136, DOI: 10.3406/ecofi.2005.3974.
• François-Serge Lhabitant, 2005, "La gestion alternative : les vertus de la dissidence," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 137-152, DOI: 10.3406/ecofi.2005.3975.
• Daniel Roy, 2005, "Les enjeux de la multigestion," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 153-164, DOI: 10.3406/ecofi.2005.3976.
• Nicole Notat, 2005, "Quelles perspectives pour l'ISR ?," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 165-170, DOI: 10.3406/ecofi.2005.3977.
• Catherine Aaron & Isabelle Bilon & Sébastien Galanti & Yamina Tadjeddine, 2005, "Les styles de gestion de portefeuille existent-ils ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 171-188, DOI: 10.3406/ecofi.2005.4018.
• Eric Bayle & Marc Schwartz, 2005, "A quoi servent les analystes financiers ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 211-235, DOI: 10.3406/ecofi.2005.4020.
• Jianming Kou & Dr Simone Varotto, 2005, "Predicting Agency Rating Migrations with Spread Implied Ratings," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-06, Jun.
• Adam Szeidl & Raj Chetty, 2005, "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers, Society for Economic Dynamics, number 122.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers, Society for Economic Dynamics, number 148.
• Dirk Krueger & Karsten Jeske, 2005, "Housing and the Macroeconomy: The Role of Implicit Guarantees for Government Sponsored Enterprises," 2005 Meeting Papers, Society for Economic Dynamics, number 242.
• 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.