Research classified by Journal of Economic Literature (JEL) codes

1999

• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 312, Feb, revised 10 May 2000.
• Forsfält, Tomas, 1999, "The Effects of Risk Aversion and Age on Investments in New Firms," Research Papers in Economics, Stockholm University, Department of Economics, number 1999:18, Nov.
• Ieda, Akira & Ohba, Toshikazu, 1999, "Risk Management for Equity Portfolios of Japanese Banks," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 2, pages 91-117, August.
• T. Todd Smith & Mr. Garry J. Schinasi, 1999, "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Papers, International Monetary Fund, number 1999/136, Oct.
• John B. Shoven, 1999, "The Location and Allocation of Assets in Pension and Conventional Savings Accounts," NBER Working Papers, National Bureau of Economic Research, Inc, number 7007, Mar.
• Thomas E. MaCurdy & John B. Shoven, 1999, "Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?," NBER Working Papers, National Bureau of Economic Research, Inc, number 7015, Mar.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999, "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 7039, Mar.
• Klaas Baks & Andrew Metrick & Jessica Wachter, 1999, "Bayesian Performance Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 7069, Apr.
• John B. Shoven & Clemens Sialm, 1999, "Asset Location in Tax-Deferred and Conventional Savings Accounts," NBER Working Papers, National Bureau of Economic Research, Inc, number 7192, Jun.
• Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999, "On Mutual Fund Investment Styles," NBER Working Papers, National Bureau of Economic Research, Inc, number 7215, Jul.
• Lubos Pastor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 7284, Aug.
• James M. Poterba & Andrew Samwick, 1999, "Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s," NBER Working Papers, National Bureau of Economic Research, Inc, number 7392, Oct.
• Luis M. Viceira, 1999, "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers, National Bureau of Economic Research, Inc, number 7409, Oct.
• Masao Ogaki, 1999, "A Theory of Exchange Rates and the Term Structure of Interest Rates," Working Papers, Ohio State University, Department of Economics, number 99-19, Dec.
• Dimitri Vayanos, 1999, "Strategic Trading and Welfare in a Dynamic Market," The Review of Economic Studies, Review of Economic Studies Ltd, volume 66, issue 2, pages 219-254.
• Bryan Mase, 1999, "The Predictability of Short-Horizon Stock Returns," Review of Finance, European Finance Association, volume 3, issue 2, pages 161-173.
• Paul Söderlind, 1999, "An Interpretation of SDF Based Performance Measures," Review of Finance, European Finance Association, volume 3, issue 2, pages 233-237.
• Claus Munk, 1999, "The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices," Review of Finance, European Finance Association, volume 3, issue 3, pages 347-388.
• Babbs, Simon H & Johnson, Andrew E, 1999, "Severe Loss Probabilities in Portfolio Credit Risk Models," MPRA Paper, University Library of Munich, Germany, number 22929, Dec, revised 14 Jan 2004.
• Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999, "Intra-day market activity," Journal of Financial Markets, Elsevier, volume 2, issue 3, pages 193-226, August.
• Miller, Edward M., 1999, "Equilibrium with divergence of opinion," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-17.
• Berkelaar, Arjan & Dert, Cees & Oldenkamp, Bart, 1999, "A primal-dual decompsition-based interior point approach to two-stage stochastic linear programming," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0026.
• Lucas, André & Straetmans, Stefan & Klaassen, Pieter, 1999, "Tail behavior of credit loss distributions," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0060.
• Luboš Pástor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 497, Jul.
• Andrew Winton, 1999, "Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 00-16, Sep.
• Erik Taflin, 1999, "Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model," GE, Growth, Math methods, University Library of Munich, Germany, number 9906002, Jun, revised 23 Jul 1999.
• Alok Kumar, 1999, "Behavior Of Momentum Following And Contrarian Market Timers," Yale School of Management Working Papers, Yale School of Management, number ysm113, Jan.
• Adam-Müller, Axel F. A., 1999, "Hedging Price Risk When Real Wealth Matters," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/12.
• Reiss, Ariane, 1999, "Discrete and continuous time dynamic mean-variance analysis," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 168.
• Dornau, Robert & Szczesny, Andrea, 1999, "250 Analysten, 1 Portfolio? Eine ökonometrische Analyse von Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 99-17.
• Köke, Jens, 1999, "Institutional investment in Central and Eastern Europe: investment criteria of Western portfolio managers," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 99-37.
• Luciano, elisa, 1999, "A note on loadings and deductibles: can a vicious circle arise?," MPRA Paper, University Library of Munich, Germany, number 59636.
• Weinrich, Gerd, 1999, "Nondegenerate Intervals of No-Trade Prices for Risk-averse Traders," MPRA Paper, University Library of Munich, Germany, number 6298.
• Bernardino Adão, 1999, "Iberian Financial Integration," Working Papers, Banco de Portugal, Economics and Research Department, number w199905.
• Giyas Gokkent, 1999, "Simultaneous Home Bias and Cross-Holding of Assets Under Information Asimmetry," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 52, issue 1, pages 15-44.
• Michael Haliassos & Christis Hassapis, 1999, "Borrowing Constraints, Portfolio Choice and Precautionary Motives: Theoretical Predictions and Empirical Complications," Computing in Economics and Finance 1999, Society for Computational Economics, number 1341, Mar.
• Jones, R.A., 1999, "Estimating Correlated Diffusions," Discussion Papers, Department of Economics, Simon Fraser University, number dp99-12.
• HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999, "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, volume 3, issue 1, pages 35-54.
• HuyËn Pham & Jean Paul Laurent, 1999, "Dynamic programming and mean-variance hedging," Finance and Stochastics, Springer, volume 3, issue 1, pages 83-110.
• Sid Browne, 1999, "Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark," Finance and Stochastics, Springer, volume 3, issue 3, pages 275-294.
• Ioannis Karatzas & Jaksa Cvitanic, 1999, "On dynamic measures of risk," Finance and Stochastics, Springer, volume 3, issue 4, pages 451-482.
• Elisa Luciano, 1999, "A Note on Loadings and Deductibles: Can a Vicious Circle Arise?," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 1999, issue 2, pages 157-169, DOI: 10.1080/03461239950132633.
• Winfried G. Hallerbach, 1999, "Decomposing Portfolio Value-at-Risk: A General Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-034/2, May.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-54.
• Palomino, F.A. & Uhlig, H.F.H.V.S., 1999, "Should smart investors buy funds with high returns in the past," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-69.
• Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999, "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-05.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 06a4e5b2-f380-4d5b-a96f-8.
• Dahlquist, Magnus & Soderlind, Paul, 1999, "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, volume 72, issue 3, pages 347-383, July, DOI: 10.1086/209618.
• Michael Haliassos & Alexandros Michaelides, 1999, "Portfolio Choice and Liquidity Constraints," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 9918, Jun.
• Elvio Accinelli & Daniel Vaz, 1999, "Inversión bajo incertidumbre," Documentos de Trabajo (working papers), Department of Economics - dECON, number 1299.
• Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999, "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers, University of Iowa, Department of Economics, number 99-04, May.

1998

• Noussair, C. & Robin, S. & Ruffieux, B., 1998, "Bubbles and Anti-Crashes in Laboratory Asset Markets with Constant Fundamental Values," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1119, Nov.
• Lei, V. & Noussair, C. & Plott, C.R., 1998, "Non-Speculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality Vs. Actual Irrationality," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1120, Nov.
• Geoffrey Shuetrim, 1998, "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9802, Feb.
• Georges Dionne & François Gagnon & Kaïs Dachraoui, 1998, "Increases in risk and optimal portfolio," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 97-11, Dec.
• Georges Dionne & Christian Gouriéroux & Charles Vanasse, 1998, "The informational content of household decisions with applications to insurance under asymmetric information," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-0, Jan.
• Taik-Hwan Jyoung, 1998, "Korean Investments in Latin America: Current Status and Prospects," East Asian Economic Review, Korea Institute for International Economic Policy, volume 2, issue 2, pages 257-294, DOI: 10.11644/KIEP.JEAI.1998.2.2.21.
• Michael Haliassos & Christis Hassapis, 1998, "Borrowing Constraints, Portfolio Choice, and Precautionary Motives: Theoretical Predictions and Empirical Complications," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 11, Nov.
• JÊrÆme B. Detemple & Piero Gottardi, 1998, "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 443-455.
• Palomino, F.A. & Prat, A., 1998, "Dynamic incentives in the money management tournament," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-107.
• Palomino, F.A. & Prat, A., 1998, "Risk Taking and Optimal Contracts for Money Managers," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-108.
• Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998, "Style Analysis and Performance Evaluation of Dutch Mutual Funds," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-50.
• Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998, "Performance analysis of international mutual funds incorporating market frictions," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-51.
• Ter Horst, J.R. & Nijman, T.E. & Verbeek, M.J.C.M., 1998, "Eliminating biases in evaluating mutual fund performance from a survivorship free sample," Discussion Paper, Tilburg University, Center for Economic Research, number 98.55.
• Palomino, F.A. & Prat, A., 1998, "Risk Taking and Optimal Contracts for Money Managers," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3da5cec4-4ab5-495a-8786-3.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119142, Oct.
• G. Dionne & D. Gouriéroux & C. Vanasse, 1998, "The informational content of household decisions with applications to insurance under adverse selection," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 98-06.
• Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek, 1998, "Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces9820, Mar.
• Roger Lagunoff & Stacey L. Schreft, 1998, "A model of financial fragility," Research Working Paper, Federal Reserve Bank of Kansas City, number 98-01.
• Allan Timmermann & Halbert White & Ryan Sullivan, 1998, "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers, Financial Markets Group, number dp304, Oct.
• Cesari, R. & Panetta, F., 1998, "Style, Fees and Performance of Italian Equity Funds," Papers, Banca Italia - Servizio di Studi, number 325.
• Flam, S.D., 1998, "Looking for Arbitrage," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 0598.
• Njoya, I., 1998, "Les choix patrimoniaux des menages francais: analyse et evaluation retrospective des demandes d'actifs financiers en valeur mobiliere 1978-1994," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1998-02/fi.
• Artus, P., 1998, "Comprendre les effets de la crise asiatique sur les marches financiers avec un modele de choix de portefeuille international," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1998-23/ei.
• Artus, P., 1998, "Reaction tardive et non precoce des investisseurs: le role des couts d'ajustement des porte-feuilles et de l'effet des choix des investisseurs sur l'equilibre," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1998-29/ei.
• Paul A. Gompers & Andrew Metrick, 1998, "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1830.
• Trzpiot, G., 1998, "Multivalued Stochastic Dominance to Determine the Efficient Set of Assets: Evidence from the Warsow Stock Market," Papers, Laval - Faculte des sciences de administration, number 98-004.
• Donald B. Keim, , "An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 05-98.
• Bruce D. Grundy & J. Spencer Martin, , "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 13-98.
• A. Craig MacKinlay & Lubos Pástor, , "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 19-98.
• Domenico Cuoco & Hong Liu, , "Optimal Consumption of a Divisible Durable Good," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 20-98.
• Lubos Pástor & Robert F. Stambaugh, , "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 21-98.
• Lewis, K.K., 1998, "Explaining Home Bias in Equities and Consumption," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 98-05.
• Jermann, U.J., 1998, "International Portfolio Diversification and Endogenous Labour Supply Choice," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 98-06.
• Dionne, G. & Gourieroux, C. & Vanasse, C., 1998, "The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9806.
• Hochguertel, Stefan & van Soest, Arthur, 1998, "The Relation between Financial and Housing Wealth of Dutch Households," Working Paper Series, Uppsala University, Department of Economics, number 1998:19, Aug.
• Patricio Arrau & Rómulo Chumacero, 1998, "Tamaño de los Fondos de Pensiones en Chile y su Desempeño Financiero," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 35, issue 105, pages 205-236.
• Kanodia, C & Lee, DH, 1998, "Investment and disclosure: The disciplinary role of periodic performance reports," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 36, issue 1, pages 33-55, DOI: http://hdl.handle.net/10.2307/24913.
• Pedersen, Christian C & Satchell, Stephen E, 1998, "Utility Functions with Parameters Depending on Initial Wealth," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9819, Oct.
• Bond, Shaun A & Satchell, Stephen E, 1998, "Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9821, Oct.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2z02z6d9, Jun.
• Carolyn Pitchik, 1998, "Irreversible, Unobservable, Costly Investment in the Presence of Rivals," Canadian Journal of Economics, Canadian Economics Association, volume 31, issue 1, pages 77-91, February.
• Lettau, Martin, 1998, "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1795, Jan.
• Nielsen, Lars Tyge & Vassalou, Maria, 1998, "Performance Measures for Dynamic Portfolio Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1885, May.
• Liutang Gong & Heng-fu Zou, 1998, "Fiscal Policies in a Stochastic Model with Hyperbolic Discounting," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 103.
• Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998, "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, volume 30, issue 3, pages 347-366, October.
• Los, Cornelis A., 1998, "Optimal multi-currency investment strategies with exact attribution in three Asian countries," Journal of Multinational Financial Management, Elsevier, volume 8, issue 2-3, pages 169-198, September.
• James S. Costain, 1998, "A simple model of multiple equilibria based on risk," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 407, Mar, revised Jul 1999.
• Lucas, André & Dert, Cees L., 1998, "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0057.
• Frankel, Jeffrey A. & Schmukler, Sergio L., 1998, "Country funds and asymmetric information," Policy Research Working Paper Series, The World Bank, number 1886, Feb.
• Claus Munk, 1998, "The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Finance, University Library of Munich, Germany, number 9802002, Feb.
• Roger Lagunoff & Stacey L. Schreft, 1998, "A Model of Financial Fragility," Game Theory and Information, University Library of Munich, Germany, number 9803001, Mar, revised 30 Apr 1998.
• Jeffrey A. Frankel & Sergio L. Schmukler, 1998, "Country Funds and Asymmetric Information," International Finance, University Library of Munich, Germany, number 9805003, May.
• Michael Haliassos & Christis Hassapis, 1998, "Borrowing Constraints, Portfolio Choice, and Precautionary," Macroeconomics, University Library of Munich, Germany, number 9809008, Sep.
• Peter J. Knez & Zhiwu Chen, 1998, "Portfolio Performance Measurement: Theory and Applications," Yale School of Management Working Papers, Yale School of Management, number ysm48, May.
• William Goetzmann & Philippe Jorion, 1998, "Re-emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm50, Apr, revised 01 Aug 2000.
• William N. Goetzmann & Susan M. Wachter, 1998, "Clustering Methods for Real Estate Portfolios," Yale School of Management Working Papers, Yale School of Management, number ysm59, Jul.
• Henke, Sabine & Burghof, Hans-Peter & Rudolph, Bernd, 1998, "Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market commercial loan portfolios," CFS Working Paper Series, Center for Financial Studies (CFS), number 1998/07.
• Bhar, Ramaprasad & Malliaris, A G, 1998, "Volume and Volatility in Foreign Currency Futures Markets," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 3, pages 285-302, May.
• Urban J. Jermann, 1998, "International Portfolio Diversification and Labor/Leisure Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 6382, Jan.
• Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 1998, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," NBER Working Papers, National Bureau of Economic Research, Inc, number 6661, Jul.
• Patrick F. Rowland & Linda L. Tesar, 1998, "Multinationals and the Gains from International Diversification," NBER Working Papers, National Bureau of Economic Research, Inc, number 6733, Sep.
• Rajanendra Narayan Nag & Mallinath Mukhopadhyay, 1998, "Macro-Economic Effects of Stabilisation under Financial Repression," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 33, issue 1, pages 1-17, January.
• Willem H. Buiter & Ricardo Lago & Hélène Rey, 1998, "Financing transition: investing in enterprises during macroeconomic transition," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 35, Dec.

1997

• Calvo, Guillermo A. & Mendoza, Enrique, 1997, "Rational Herd Behavior and the Globalization of Securities Markets," Working Papers, Duke University, Department of Economics, number 97-26.
• Bertaut, Carol C. & Haliassos, Michael, 1997, "Precautionary portfolio behavior from a life-cycle perspective," Journal of Economic Dynamics and Control, Elsevier, volume 21, issue 8-9, pages 1511-1542, June.
• Baxter, Marianne & Jermann, Urban J, 1997, "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, volume 87, issue 1, pages 170-180, March.
• Canner, Niko & Mankiw, N Gregory & Weil, David N, 1997, "An Asset Allocation Puzzle," American Economic Review, American Economic Association, volume 87, issue 1, pages 181-191, March.
• Willem H. Buiter & Ricardo Lago & Hélène Rey, 1997, "A portfolio approach to a cross‐sectoral and cross‐national investment strategy in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, volume 5, issue 1, pages 63-96, May, DOI: 10.1111/j.1468-0351.1997.tb00004.x.
• Daniel, Kent & Titman, Sheridan, 1997, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, volume 52, issue 1, pages 1-33, March.
• Frankel, Jeffrey A. & Schmukler, Sergio L., 1997, "Country Funds and Asymmetric Information," Center for International and Development Economics Research, Working Paper Series, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley, number qt2791c3wm, May.
• W.H. Buiter & R Lagos & H Rey, 1997, "A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economics," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0320, Jan.
• W.H. Buiter & R Lagos & H Rey, 1997, "Enterprises in Transition: Macroeconomic Influences on Enterprise Decision-Making and Performance," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0340, Mar.
• Jérôme Detemple & Piero Gottardi, 1997, "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers, CIRANO, number 97s-11, Mar.
• Marco Bonomo & René Garcia, 1997, "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," CIRANO Working Papers, CIRANO, number 97s-20, Apr.
• HARA, Chiaki, 1997, "Robustness of the coordinating role of a redundant security," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997057, Aug.
• Buiter, Willem H. & Lago, Ricardo & Rey, Hélène, 1997, "A Portfolio Approach to a Cross-sectoral and Cross-National Investment Strategy in Transition Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1548, Jan.
• Buiter, Willem H. & Lago, Ricardo & Rey, Hélène, 1997, "Enterprises in Transition: Macroeconomic Influences on Enterprise Decision-making and Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1601, Apr.
• Nielsen, Lars Tyge & Vassalou, Maria, 1997, "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1652, May.
• Dahlquist, Magnus & Söderlind, Paul, 1997, "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1663, Jun.
• Anderson, Ronald & Reinard, Davy & Scaillet, Olivier, 1997, "A New Index of Belgian Shares," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997016, Jul.
• Zhang, Harold H., 1997, "Endogenous Short-Sale Constraint, Stock Prices And Output Cycles," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 228-254, January.
• Marco Antonio Bonomo & Rene Garcia, 1997, "Tests of conditional asset pricing models in the Brazilian stock market," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 368, Mar.
• Hiroya Akiba, 1997, "The Forward Exchange Rate and the Interest Rate within a Production Economy," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 12, pages 227-241.
• Martin Hoesli & Colin Lizieri & Bryan MacGregor, 1997, "The Spatial Dimensions of the Investment Performance of UK Commercial Property," Urban Studies, Urban Studies Journal Limited, volume 34, issue 9, pages 1475-1494, August, DOI: 10.1080/0042098975529.
• Ter Horst, J.R. & Verbeek, M.J.C.M., 1997, "Estimating short-run persistence in mutual fund performance," Discussion Paper, Tilburg University, Center for Economic Research, number 97.21.
• Hochgürtel, S., 1997, "Precautionary Motives and Portfolio Decisions," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-55.
• Jeffrey A. Frankel and Sergio L. Schmukler., 1997, "Country Funds and Asymmetric Information," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley, number C97-087, May.
• Chevalier, Judith & Ellison, Glenn, 1997, "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, volume 105, issue 6, pages 1167-1200, December, DOI: 10.1086/516389.
• G. Dionne & F. Gagnon & K. Dachraoui, 1997, "Increases in risk and optimal portfolio," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-29.
• Urban J. Jermann, 1997, "International portfolio diversification and labor/leisure choice," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis, number 119.
• Guillermo A. Calvo & Enrique G. Mendoza, 1997, "Rational herd behavior and the globalization of securities markets," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis, number 120.
• Drudi, F. & Generale, A. & Majnoni, G., 1997, "Sensitivity of VAR Measures to Different Risk Models," Papers, Banca Italia - Servizio di Studi, number 317.
• Ohlson, J.A., 1997, "Revisiting the Basics of Return and Risk in Equilibrium," Papers, Columbia - Graduate School of Business, number 97-23.
• Bancel, F. & Richard, A., 1997, "The COncept of Financial Flexibility: A Note," Papers, Ecole Superieure de Commerce de Paris. Groupe ESCP-, number 97/133.
• Isakov, D. & Morard, B., 1997, "Improving Portfolio Performance with Option Strategies: Evidence from Switzerland," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 97.21.
• Stout, L.A., 1997, "Technology, Transactions Costs, and Investor Welfare: Is a Motley Fool Born Every Minute?," Papers, Georgetown University Law Center, number 97-5.
• Eeckhoudt,L. & Gollier, C., 1997, "Changing in Risk and Risk Taking: A Survey," Papers, Toulouse - GREMAQ, number 97.472.
• Etner, J. & Jouvet, P.-A,, 1997, "Choix d'investissement dans un modele a generations imbriquees avec incertitude et pollution," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 97.51.
• Eitan Goldman & Christopher S. Jones & Ron Kaniel, , "Free Cash Flow, Optimal Contracting, and Takeovers," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 03-97.
• Dionne, G. & Gagnon, F. & Dachraoui, K., 1997, "Increases in Risk and Optimal Portfolio," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9729.
• Augier, L. & Mokrane, M., 1997, "Strategic Uniformed Traders," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9739.
• Kang, J., 1997, "The Numeraire Portfolio Approach in Bond Portfolio Performance Evaluation," Papers, Rochester, Business - Ph.D.,, number 82.
• Dahlquist, Magnus & Söderlind, Paul, 1997, "Evaluating Portfolio Performance with Stochastic Discount Factors," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 175, May, revised 01 Sep 1998.
• Werner, Jan, 1997, "Arbitrage, Bubbles, and Valuation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 38, issue 2, pages 453-464, May.
• Wang, Cheng, 1997, "Incentives, CEO Compensation and Shareholder Wealth in a Dynamic Agency Model," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 5170, Sep.
• Hoesli, Martin & MacGregor, Bryan D. & Matysiak, George & Nanthakumaran, Nanda, 1997, "The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate," The Journal of Real Estate Finance and Economics, Springer, volume 15, issue 1, pages 27-57, July.
• BONOMO, Marco & GARCIA, René, 1997, "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 1997.
• Bonomo, M. & Garcia, R., 1997, "Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9715.
• Christian Gollier & Richard J. Zeckhauser, 1997, "Horizon Length and Portfolio Risk," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0216, Oct.
• Willem H. Buiter & Ricardo Lago & Helene Rey, 1997, "A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 5882, Jan.
• William N. Goetzmann & Philippe Jorion, 1997, "A Century of Global Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 5901, Jan.
• William N. Goetzmann & Philippe Jorion, 1997, "Re-emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 5906, Jan.
• Robert F. Stambaugh, 1997, "Analyzing Investments Whose Histories Differ in Length," NBER Working Papers, National Bureau of Economic Research, Inc, number 5918, Feb.
• James M. Poterba & Andrew A. Samwick, 1997, "Household Portfolio Allocation Over the Life Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 6185, Sep.
• Kovenock, Dan & Phillips, Gordon M, 1997, "Capital Structure and Product Market Behavior: An Examination of Plant Exit and Investment Decisions," The Review of Financial Studies, Society for Financial Studies, volume 10, issue 3, pages 767-803.
• Wang, Cheng, 1997, "Incentives, CEO Compensation, and Shareholder Wealth in a Dynamic Agency Model," Journal of Economic Theory, Elsevier, volume 76, issue 1, pages 72-105, September.
• Gollier, Christian & Lindsey, John & Zeckhauser, Richard J., 1997, "Investment Flexibility and the Acceptance of Risk," Journal of Economic Theory, Elsevier, volume 76, issue 2, pages 219-241, October.
• Stambaugh, Robert F., 1997, "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, volume 45, issue 3, pages 285-331, September.
• Manuel Moreno, 1997, "Risk management under a two-factor model of the term structure of interest rates," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 254, Dec.
• José Penalva, 1997, "Insurance with frequent trading," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 365, Oct, revised Mar 1999.
• Klaassen, Pieter, 1997, "Solving stochastic programming models for asset/liability management using iterative disaggregation," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0010.
• Klaassen, Pieter, 1997, "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0011.
• Lucas, André, 1997, "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0056.
• Claus Munk, 1997, "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance, University Library of Munich, Germany, number 9712003, Dec.
• Michael Haliassos & Christis Hassapis, 1997, "Non-expected Utility, Saving, and Portfolios," Macroeconomics, University Library of Munich, Germany, number 9709003, Sep, revised 09 Jun 1999.
• Matthew I. Spiegel, 1997, "Stock Price Volatility in a Multiple Security Overlapping," Yale School of Management Working Papers, Yale School of Management, number ysm32, Nov.
• William Goetzmann & Philippe Jorion, 1997, "A Century of Global Stock Markets," Yale School of Management Working Papers, Yale School of Management, number ysm53, Feb, revised 01 Aug 2000.
• Boleslav Gulko, 1997, "PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios," Yale School of Management Working Papers, Yale School of Management, number ysm56, Apr.
• Krahnen, Jan Pieter & Schmid, Frank A. & Theissen, Erik, 1997, "Performance and market share: Evidence from the German mutual fund industry," CFS Working Paper Series, Center for Financial Studies (CFS), number 1997/01.