Research classified by Journal of Economic Literature (JEL) codes

2008

• Chiaki Hara & James Huang & Christoph Kuzmics, 2008, "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," KIER Working Papers, Kyoto University, Institute of Economic Research, number 654, Jun.
• GOLLIER Christian, 2008, "Ecological Discounting," LERNA Working Papers, LERNA, University of Toulouse, number 08.18.262, Jul.
• GOLLIER Christian, 2008, "Discounting with fat-tailed economic growth," LERNA Working Papers, LERNA, University of Toulouse, number 08.19.263, Jul.
• GOLLIER Christian, 2008, "Should we discount the far-distant future at its lowest possible rate?," LERNA Working Papers, LERNA, University of Toulouse, number 08.30.274, Nov.
• Nawazish Mirza & Saima Shahid, 2008, "Size and Value Premium inKarachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 1-26, Jul-Dec.
• Nawazish Mirza, 2008, "Size and value premium in Karachi stock exchange," CREB Working papers, Centre for Research in Economics and Business, The Lahore School of Economics, number 1-2008, revised 2008.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4151, May.
• Gann, Philipp & Laut, Amelie, 2008, "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4231, Jun.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4482, May.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 7956, May.
• Kajuth, Florian & Watzka, Sebastian, 2008, "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics, University of Munich, Department of Economics, number 4858, Jul.
• Abul Shamsuddin & Jae H. Kim, 2008, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 1837-2198/978-0-9807041-0.
• David Büttner & Bernd Hayo, 2008, "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 200815.
• Philippe Bacchetta & Eric Van Wincoop, 2008, "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 5, pages 837-866, August.
• Catherine Kyrtsou & Michel Terraza, 2008, "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_09, Sep, revised Sep 2008.
• Naoto Isaka & Hiroshi Yoshikawa, 2008, "The Effect of Reductions in Minimum Trading Units on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 10, Jan.
• Joelle Miffre, 2008, "Conditional Risk Premia in International Government Bond Markets," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 3-4, pages 185-204, September.
• Marc Steffen Rapp & Bernhard Schwetzler, 2008, "Equilibrium Security Prices with Capital Income Taxes and an Exogenous Interest Rate," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 64, issue 3, pages 334-351, September, DOI: 10.1628/001522108X374160.
• Giorgio PIZZUTTO, 2008, "Rischio di lungo periodo e premio a termine," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-003, Feb.
• Giorgio PIZZUTTO, 2008, "Tassi di interesse reali, rischio di lungo periodo e cicli economici," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-005, Feb.
• Giorgio PIZZUTTO, 2008, "Rischio di lungo periodo e premio a termine," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-03, Feb.
• Giorgio PIZZUTTO, 2008, "Tassi di interesse reali, rischio di lungo periodo e cicli economici," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-05, Feb.
• Zoltán Reppa, 2008, "Interest rate expectations and macroeconomic shocks affecting the yield curve," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 3, issue 3, pages 26-32, December.
• Csaba Csávás & Lóránt Varga & Csaba Balogh, 2008, "The forint interest rate swap market and the main drivers of swap spreads," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/64.
• Zoltán Reppa, 2008, "Estimating yield curves from swap, BUBOR and FRA data," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/73.
• Jaime Andrés Correa García & Fernando Jaramillo Betancur & Leidy Johana Ramírez Bedoya & Carlos Eduardo Castaño Rios, 2008, "Es factible en las pymes la valoración y la creación de valor Patterns in Neighboring Areas Colombia," Lúmina. Revista iberoamericana de Contabilidad, Administración y Economía, Facultad de Ciencias Contables, Económicas y Administrativas, Universidad de Manizales., volume 0, issue 9, pages 20-46, Diciembre.
• Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008, "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp08044, May.
• Mathieu Gatumel & Dominique Guegan, 2008, "Towards an understanding approach of the insurance linked securities market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08006, Jan.
• Moez Abouda, 2008, "Decreasing absolute risk aversion: some clarification," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08024, Mar.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08026, Mar.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08049, Sep.
• Mathieu Gatumel, 2008, "Relevancy of the cost-of-capital rate for the insurance companies," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08094, Nov.
• Emmanuel F. Jurczenko & Bertrand Maillet & Paul M. Merlin, 2008, "Efficient frontier for robust higher-order moment portfolio selection," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number bla08062, Oct.
• Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008, "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/08, Apr.
• Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008, "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research, National Bank of Belgium, number 150, Oct.
• Marek Rozkrut, 2008, "It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication," NBP Working Papers, Narodowy Bank Polski, number 47, Apr.
• Xavier Gabaix, 2008, "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 13724, Jan.
• Julia Coronado & Olivia S. Mitchell & Steven A. Sharpe & S. Blake Nesbitt, 2008, "Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values," NBER Working Papers, National Bureau of Economic Research, Inc, number 13726, Jan.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008, "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 13739, Jan.
• Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008, "Catering Through Nominal Share Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13762, Jan.
• Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008, "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13786, Feb.
• Lubos Pastor & Robert F. Stambaugh, 2008, "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13804, Feb.
• Emmanuel Farhi & Xavier Gabaix, 2008, "Rare Disasters and Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 13805, Feb.
• Yacine Ait-Sahalia & Jialin Yu, 2008, "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 13825, Feb.
• Bruce Lehmann, 2008, "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 13848, Mar.
• Efraim Benmelech & Nittai K. Bergman, 2008, "Collateral Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 13874, Mar.
• Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008, "The Wealth-Consumption Ratio," NBER Working Papers, National Bureau of Economic Research, Inc, number 13896, Mar.
• Robert J. Barro & José F. Ursúa, 2008, "Macroeconomic Crises since 1870," NBER Working Papers, National Bureau of Economic Research, Inc, number 13940, Apr.
• Andrew Ang & Matthew Rhodes-Kropf & Rui Zhao, 2008, "Do Funds-of-Funds Deserve Their Fees-on-Fees?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13944, Apr.
• Jennifer Huang & Jiang Wang, 2008, "Liquidity and Market Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14013, May.
• Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008, "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 14019, May.
• Jennifer Huang & Jiang Wang, 2008, "Market Liquidity, Asset Prices and Welfare," NBER Working Papers, National Bureau of Economic Research, Inc, number 14058, Jun.
• Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008, "Hedge Fund Contagion and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 14068, Jun.
• Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008, "Common Risk Factors in Currency Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14082, Jun.
• Joost Driessen & Tse-Chun Lin & Ludovic Phalippou, 2008, "A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14144, Jun.
• Paul Asquith & Rebecca Oman & Christopher Safaya, 2008, "Short Sales and Trade Classification Algorithms," NBER Working Papers, National Bureau of Economic Research, Inc, number 14158, Jul.
• Edward L. Glaeser & Joseph Gyourko & Albert Saiz, 2008, "Housing Supply and Housing Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 14193, Jul.
• Robert E. Hall & Susan E. Woodward, 2008, "The Burden of the Nondiversifiable Risk of Entrepreneurship," NBER Working Papers, National Bureau of Economic Research, Inc, number 14219, Aug.
• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14340, Sep.
• Dongmei Li & Lu Zhang, 2008, "Costly External Finance: Implications for Capital Markets Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 14342, Sep.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2008, "Costly Financial Intermediation in Neoclassical Growth Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 14351, Sep.
• Zhiguo He & Arvind Krishnamurthy, 2008, "A Model of Capital and Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 14366, Sep.
• Jessica Wachter, 2008, "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14386, Oct.
• Anthony W. Lynch & Jessica A. Wachter, 2008, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14411, Oct.
• Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008, "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers, National Bureau of Economic Research, Inc, number 14424, Oct.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008, "The True Cost of Social Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 14427, Oct.
• Nicholas C. Barberis & Wei Xiong, 2008, "Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14440, Oct.
• Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 14463, Nov.
• Amir E. Khandani & Andrew W. Lo, 2008, "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14465, Nov.
• Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14473, Nov.
• Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008, "Taxes on Tax-Exempt Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14496, Nov.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008, "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14500, Nov.
• Thomas J. Brennan & Andrew W. Lo, 2008, "Impossible Frontiers," NBER Working Papers, National Bureau of Economic Research, Inc, number 14525, Dec.
• George M. Constantinides & Anisha Ghosh, 2008, "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 14543, Dec.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008, "Mispricing of S&P 500 Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 14544, Dec.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008, "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14609, Dec.
• Bernard Dumas & Andrew Lyasoff, 2008, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers, National Bureau of Economic Research, Inc, number 14629, Dec.
• Kurt Dew, 2008, "The Definition of Bank and the Subprime Mortgage Crisis: Tying Bank Regulation to Banks’ Risk-Return Trade-offs in the 21st Century," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2007-WP-17B, Feb.
• Ping Zhang, 2008, "Uniform Price Auctions and Fixed Price Offerings in IPOs: An Experimental Comparison," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2008-05, Apr.
• Clive G. Bowsher & Roland Meeks, 2008, "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W05, 04.
• H. Bertholon & A. Monfort & F. Pegoraro, 2008, "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 407-458, Fall.
• Anna Pavlova & Roberto Rigobon, 2008, "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, volume 75, issue 4, pages 1215-1256.
• William N. Goetzmann & Alok Kumar, 2008, "Equity Portfolio Diversification," Review of Finance, European Finance Association, volume 12, issue 3, pages 433-463.
• Daniel J. Bradley & Bradford D. Jordan & Jay R. Ritter, 2008, "Analyst Behavior Following IPOs: The 'Bubble Period' Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 101-133, January.
• Markus K. Brunnermeier & Christian Julliard, 2008, "Money Illusion and Housing Frenzies," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 135-180, January.
• Francisco Gomes & Alexander Michaelides, 2008, "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 415-448, January.
• Murillo Campello & Long Chen & Lu Zhang, 2008, "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 3, pages 1297-1338, May.
• Ivo Welch & Amit Goyal, 2008, "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1455-1508, July.
• Martin Lettau & Stijn Van Nieuwerburgh, 2008, "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1607-1652, July.
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 4, pages 1653-1687, July.
• K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2209-2242, September.
• John A Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-01, Jan.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008, "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-11, Feb.
• Tom Engsted & Stig V. Møller, 2008, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-12, Feb.
• Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
• Jie Zhu, 2008, "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-15, Mar.
• Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
• Tom Engsted & Thomas Q. Pedersen, 2008, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-27, May.
• Stig Vinther Møller, 2008, "Consumption growth and time-varying expected stock returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-40, Sep.
• Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008, "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-46, Sep.
• Charlotte Christiansen, 2008, "Mean Reversion in US and International Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-47, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Almut E. D. Veraart, 2008, "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-57, Nov.
• Thomas Q. Pedersen, 2008, "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-60, Dec.
• Robert J. Barro & Jose F. Ursua, 2008, "Consumption Disasters in the Twentieth Century," American Economic Review, American Economic Association, volume 98, issue 2, pages 58-63, May, DOI: 10.1257/aer.98.2.58.
• Xavier Gabaix, 2008, "Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance," American Economic Review, American Economic Association, volume 98, issue 2, pages 64-67, May, DOI: 10.1257/aer.98.2.64.
• Francois Gourio, 2008, "Disasters and Recoveries," American Economic Review, American Economic Association, volume 98, issue 2, pages 68-73, May, DOI: 10.1257/aer.98.2.68.
• Ian W. R. Martin, 2008, "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, volume 98, issue 2, pages 74-78, May, DOI: 10.1257/aer.98.2.74.
• John Geanakoplos & Ana Fostel, 2008, "Leverage Cycles and the Anxious Economy," American Economic Review, American Economic Association, volume 98, issue 4, pages 1211-1244, September, DOI: 10.1257/aer.98.4.1211.
• Nicholas Barberis & Ming Huang, 2008, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, volume 98, issue 5, pages 2066-2100, December, DOI: 10.1257/aer.98.5.2066.
• Calin Valsan & Robert Sproule, 2008, "Reservation Prices And Pre-Auction Estimates: A Study In Abstract Art," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 10, issue 24, pages 257-272, June.
• Wang, Honglin & Reardon, Thomas, 2008, "Social Learning and Parameter Uncertainty in Irreversible Investment----Evidence from Greenhouse Adoption in Northern China," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6310, DOI: 10.22004/ag.econ.6310.
• Jovanovic, Boyan, 2008, "Bubbles In Prices Of Exhaustible Resources," Working Papers, American Association of Wine Economists, number 45830, Nov, DOI: 10.22004/ag.econ.45830.
• Power, Gabriel J. & Turvey, Calum G., 2008, "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 37608, DOI: 10.22004/ag.econ.37608.
• Milne, Frank & Madan, Dilip, 2008, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273634, Jul, DOI: 10.22004/ag.econ.273634.
• Milne, Frank & Madan, Dilip, 2008, "Option Pricing With V. G. Martingale Components," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273635, Oct, DOI: 10.22004/ag.econ.273635.
• Belhocine, Nazim, 2008, "The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273702, Sep, DOI: 10.22004/ag.econ.273702.
• Fendel, Ralf, 2008, "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 4, issue 01-2, pages 1-19, DOI: 10.22004/ag.econ.50005.
• Babecky, Jan & Komarek, Lubos & Komarkova, Zlatuse, 2008, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Economic Research Papers, University of Warwick - Department of Economics, number 269847, DOI: 10.22004/ag.econ.269847.
• Adina Elena DaNULETIU & Dan Constantin DANULETIU, 2008, "Assessing Financial Equilibrium of the Romanian Companies Traded at Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 36, pages 272-277, May.
• David BONNER, 2008, "Can oil reach $200 a barrel?," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 8, pages 132-137, December.
• Igor Goncharov & Allan Hodgson, 2008, "Comprehensive Income In Europe: Valuation, Prediction And Conservative Issues," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-1.
• Zaiane Salma & Abaoub Ezzeddine, 2008, "Overconfidence And Trading Volume: Evidence From An Emergent Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-41.
• Hommes, C.H. & Wagener, F.O.O., 2008, "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-05.
• Sonnemans, J. & Tuinstra, J., 2008, "Positive expectations feedback experiments and number guessing games as models of financial markets," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-07.
• Michel Alexandre & Ciro Biderman & Gilberto Tadeu Lima, 2008, "Distribuição Regional do Crédito Bancário e Convergência no Crescimento Estadual Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 3, pages 457-490.
• Rafael Barros de Rezende, 2008, "Giving flexibility to the Nelso-Siegel class of term structure models," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807211322560.
• Franz Fuerst & Gianluca Marcato, 2008, "Style Analysis In Real Estate Markets: Beyond The Sectors And Regions Dichotomy," ERES, European Real Estate Society (ERES), number eres2008_146, Jan.
• Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008, "Stock Market Volatility and Learning," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 732.08, Jan.
• Marc Prat Sabartes, 2008, "Cotton manufacturers as bankers: the textile trade and credit in spain (1840-1913)," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 189.
• Stuart Turnbull & Jun Yang, 2008, "Default Dependence: The Equity Default Relationship," Staff Working Papers, Bank of Canada, number 08-1, DOI: 10.34989/swp-2008-1.
• Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008, "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers, Bank of Canada, number 08-16, DOI: 10.34989/swp-2008-16.
• George Jiang & Ingrid Lo & Adrien Verdelhan, 2008, "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 08-22, DOI: 10.34989/swp-2008-22.
• Philipp Maier & Garima Vasishtha, 2008, "Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?," Staff Working Papers, Bank of Canada, number 08-25, DOI: 10.34989/swp-2008-25.
• Jun Yang, 2008, "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers, Bank of Canada, number 08-29, DOI: 10.34989/swp-2008-29.
• Antonio Diez de los Rios, 2008, "McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 08-43, DOI: 10.34989/swp-2008-43.
• Ron Alquist, 2008, "How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange," Staff Working Papers, Bank of Canada, number 08-47, DOI: 10.34989/swp-2008-47.
• Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya, 2008, "Financial Stability of the Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 1, pages 9-26.
• Recep Bildik & Mustafa K. Yilmaz, 2008, "The Market Performance of Initial Public Offerings in the Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 2, pages 49-76.
• Silvia Iranzo, 2008, "Delving into country risk," Occasional Papers, Banco de España, number 0802, Apr.
• Ricardo Gimeno & José Manuel Marqués, 2008, "Uncertainty and the price of risk in a nominal convergence process," Working Papers, Banco de España, number 0802, Jan.
• Aitor Erce, 2008, "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers, Banco de España, number 0809, Jun.
• Stefano Nobili & Gerardo Palazzo, 2008, "A beta based framework for (lower) bond risk premia," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 689, Sep.
• Cortés Espada Josué Fernando & Ramos Francia Manuel & Torres García Alberto, 2008, "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers, Banco de México, number 2008-07, Jul.
• Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008, "An Affine Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México, number 2008-09, Jul.
• Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008, "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México, number 2008-10, Jul.
• Esteban Gómez & Sandra Rozo, 2008, "Beyond bubbles: the role of asset prices in early-warning indicators," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 26, issue 56, pages 114-148, June, DOI: 10.32468/Espe.5604.
• Bowsher, Clive G. & Meeks, Roland, 2008, "The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve," Journal of the American Statistical Association, American Statistical Association, volume 103, issue 484, pages 1419-1437.
• Lux, Thomas, 2008, "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 194-210, April.
• Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008, "Econometric Asset Pricing Modelling," Working papers, Banque de France, number 223.
• Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2011, "On equilibrium prices in continuous time," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 397, Aug.
• Robert J. Barro & Jose F. Ursua, 2008, "Macroeconomic Crises since 1870," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 39, issue 1 (Spring, pages 255-350.
• Jacob Gyntelberg & Philip Wooldridge, 2008, "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
• Naohiko Baba & Frank Packer & Teppei Nagano, 2008, "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
• Eli M Remolona & Ilhyock Shim, 2008, "Credit derivatives an structured creit: the nascant markets of Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, June.
• Ingo Fender & Martin Scheicher, 2008, "The ABX: how do the markets price subprime mortgage risk?," BIS Quarterly Review, Bank for International Settlements, September.
• Peter Hördahl & Michael R King, 2008, "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
• Stefania D'Amico & Don H Kim & Min Wei, 2008, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers, Bank for International Settlements, number 248, Feb.
• Yosuke Tsuyuguchi & Philip D Wooldridge, 2008, "The evolution of trading activity in Asian foreign exchange markets," BIS Working Papers, Bank for International Settlements, number 252, May.
• Sei‐Wan Kim & Bong‐Soo Lee, 2008, "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, volume 46, issue 2, pages 131-148, April, DOI: 10.1111/j.1465-7295.2007.00066.x.
• Don Bredin & John Cotter, 2008, "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 540-560, October, DOI: 10.1111/j.1465-7295.2007.00101.x.
• Theofanis Archontakis & Wolfgang Lemke, 2008, "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 37, issue 1, pages 75-117, February, DOI: 10.1111/j.1468-0300.2008.00189.x.
• Mikael Bask, 2008, "Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE," European Financial Management, European Financial Management Association, volume 14, issue 1, pages 99-117, January, DOI: 10.1111/j.1468-036X.2007.00436.x.
• Luc Renneboog & Peter G. Szilagyi, 2008, "Corporate Restructuring and Bondholder Wealth," European Financial Management, European Financial Management Association, volume 14, issue 4, pages 792-819, September, DOI: 10.1111/j.1468-036X.2007.00414.x.
• Ian A. Cooper & Kjell G. Nyborg, 2008, "Tax‐Adjusted Discount Rates with Investor Taxes and Risky Debt," Financial Management, Financial Management Association International, volume 37, issue 2, pages 365-379, June, DOI: 10.1111/j.1755-053X.2008.00016.x.
• Rui Albuquerue & Neng Wang, 2008, "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, volume 63, issue 1, pages 1-40, February, DOI: 10.1111/j.1540-6261.2008.01309.x.
• Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008, "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, volume 63, issue 1, pages 159-196, February, DOI: 10.1111/j.1540-6261.2008.01313.x.
• Larry G. Epstein & Martin Schneider, 2008, "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, volume 63, issue 1, pages 197-228, February, DOI: 10.1111/j.1540-6261.2008.01314.x.
• Giovanni Cespa, 2008, "Information Sales and Insider Trading with Long‐Lived Information," Journal of Finance, American Finance Association, volume 63, issue 2, pages 639-672, April, DOI: 10.1111/j.1540-6261.2008.01327.x.
• Andrew Ang & Geert Bekaert & Min Wei, 2008, "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, volume 63, issue 2, pages 797-849, April, DOI: 10.1111/j.1540-6261.2008.01332.x.
• Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008, "Correlated Trading and Returns," Journal of Finance, American Finance Association, volume 63, issue 2, pages 885-920, April, DOI: 10.1111/j.1540-6261.2008.01334.x.
• Dimitri Vayanos & Pierre‐Olivier Weill, 2008, "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, volume 63, issue 3, pages 1361-1398, June, DOI: 10.1111/j.1540-6261.2008.01360.x.
• William Fung & David A. Hsieh & Narayan Y. Naik & Tarun Ramadorai, 2008, "Hedge Funds: Performance, Risk, and Capital Formation," Journal of Finance, American Finance Association, volume 63, issue 4, pages 1777-1803, August, DOI: 10.1111/j.1540-6261.2008.01374.x.
• Jose M. Marin & Jacques P. Olivier, 2008, "The Dog That Did Not Bark: Insider Trading and Crashes," Journal of Finance, American Finance Association, volume 63, issue 5, pages 2429-2476, October, DOI: 10.1111/j.1540-6261.2008.01401.x.
• Paul Söderlind, 2008, "Monetary Policy Effects On Financial Risk Premia," Manchester School, University of Manchester, volume 76, issue 6, pages 690-707, December, DOI: 10.1111/j.1467-9957.2008.01089.x.
• Kerstin Bernoth & Guntram B. Wolff, 2008, "Fool The Markets? Creative Accounting, Fiscal Transparency And Sovereign Risk Premia," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 4, pages 465-487, September, DOI: 10.1111/j.1467-9485.2008.00462.x.
• Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2008, "The risk components of liquidity," Working Paper, Norges Bank, number 2008/03, Mar.
• Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2008, "Liquidity at the Oslo Stock Exchange," Working Paper, Norges Bank, number 2008/09, May.
• Michael Joyce & Iryna Kaminska & Peter Lildholdt, 2008, "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England working papers, Bank of England, number 358, Dec.
• Yosuke Tsuyuguchi & Philip Wooldridge, 2008, "The evolution of trading activity in Asian foreign exchange markets," Bank of Japan Working Paper Series, Bank of Japan, number 08-E-5, Jun.
• Joonhyuk Song & Youngsoo Choi, 2008, "Bond Risk Premia and Business Cycle (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 14, issue 4, pages 1-46, December.
• Serpil Canbas & Serkan Yilmaz Kandir & Ahmet Erismis, 2008, "The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 10, issue 39, pages 1-16.
• Zhongjun Qu & Pierre Perron, 2008, "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-007, Jun.