Research classified by Journal of Economic Literature (JEL) codes

2008

• Amilon, Henrik, 2008, "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 342-362, March.
• Jalal, Amine & Rockinger, Michael, 2008, "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, volume 15, issue 5, pages 868-877, December.
• Cartea, Álvaro & Williams, Thomas, 2008, "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, volume 30, issue 3, pages 829-846, May.
• Asgharian, Hossein & Karlsson, Sonnie, 2008, "Evaluating a non-linear asset pricing model on international data," International Review of Financial Analysis, Elsevier, volume 17, issue 3, pages 604-621, June.
• Christiansen, Charlotte, 2008, "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, volume 17, issue 5, pages 925-948, December.
• Lanne, Markku & Luoto, Jani, 2008, "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, volume 5, issue 2, pages 118-127, June.
• Møller, Stig Vinther, 2008, "Consumption growth and time-varying expected stock returns," Finance Research Letters, Elsevier, volume 5, issue 3, pages 129-136, September.
• Gourio, François, 2008, "Time-series predictability in the disaster model," Finance Research Letters, Elsevier, volume 5, issue 4, pages 191-203, December.
• Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008, "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1050-1061, June.
• Boyle, Phelim & Tian, Weidong, 2008, "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 3, pages 303-315, December.
• Jayasinghe, Prabhath & Tsui, Albert K., 2008, "Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors," Japan and the World Economy, Elsevier, volume 20, issue 4, pages 639-660, December.
• King, Michael R. & Santor, Eric, 2008, "Family values: Ownership structure, performance and capital structure of Canadian firms," Journal of Banking & Finance, Elsevier, volume 32, issue 11, pages 2423-2432, November.
• Cartea, Álvaro & Villaplana, Pablo, 2008, "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, volume 32, issue 12, pages 2502-2519, December.
• Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008, "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, volume 32, issue 4, pages 541-558, April.
• Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008, "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, volume 32, issue 9, pages 1941-1953, September.
• Miller, Ross M., 2008, "Don't let your robots grow up to be traders: Artificial intelligence, human intelligence, and asset-market bubbles," Journal of Economic Behavior & Organization, Elsevier, volume 68, issue 1, pages 153-166, October.
• Weill, Pierre-Olivier, 2008, "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, volume 140, issue 1, pages 66-96, May.
• Mailath, George J. & Nöldeke, Georg, 2008, "Does competitive pricing cause market breakdown under extreme adverse selection?," Journal of Economic Theory, Elsevier, volume 140, issue 1, pages 97-125, May.
• Basak, Suleyman & Cass, David & Licari, Juan Manuel & Pavlova, Anna, 2008, "Multiplicity in general financial equilibrium with portfolio constraints," Journal of Economic Theory, Elsevier, volume 142, issue 1, pages 100-127, September.
• Larrain, Borja & Yogo, Motohiro, 2008, "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, volume 87, issue 1, pages 200-226, January.
• Hong, Harrison & Kubik, Jeffrey D. & Stein, Jeremy C., 2008, "The only game in town: Stock-price consequences of local bias," Journal of Financial Economics, Elsevier, volume 90, issue 1, pages 20-37, October.
• Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008, "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, volume 90, issue 3, pages 272-297, December.
• Shin, Hyun Song, 2008, "Risk and liquidity in a system context," Journal of Financial Intermediation, Elsevier, volume 17, issue 3, pages 315-329, July.
• Glaeser, Edward L. & Gyourko, Joseph & Saiz, Albert, 2008, "Housing supply and housing bubbles," Journal of Urban Economics, Elsevier, volume 64, issue 2, pages 198-217, September.
• Li, Ming-Yuan Leon, 2008, "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 3, pages 511-520, DOI: 10.1016/j.matcom.2008.02.023.
• Hara, Chiaki, 2008, "Complete monotonicity of the representative consumer's discount factor," Journal of Mathematical Economics, Elsevier, volume 44, issue 12, pages 1321-1331, December.
• Chambers, Robert G. & Quiggin, John, 2008, "Narrowing the no-arbitrage bounds," Journal of Mathematical Economics, Elsevier, volume 44, issue 1, pages 1-14, January.
• Calvet, Laurent E. & Fisher, Adlai J., 2008, "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, volume 44, issue 2, pages 207-226, January.
• Kurz, Mordecai, 2008, "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, volume 44, issue 7-8, pages 762-784, July.
• Chakraborty, Avik & Evans, George W., 2008, "Can perpetual learning explain the forward-premium puzzle?," Journal of Monetary Economics, Elsevier, volume 55, issue 3, pages 477-490, April.
• Whelan, Karl, 2008, "Consumption and expected asset returns without assumptions about unobservables," Journal of Monetary Economics, Elsevier, volume 55, issue 7, pages 1209-1221, October.
• Gomez Biscarri, Javier & Lopez Espinosa, German, 2008, "The influence of differences in accounting standards on empirical pricing models: An application to the Fama-French model," Journal of Multinational Financial Management, Elsevier, volume 18, issue 4, pages 369-388, October.
• Sherrill Shaffer, 2008, "Earnings Valuation And Sources Of Growth," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-32, Oct.
• Gordon Menzies & Daniel Zizzo, 2008, "News And Expectations In Financial Markets: An Experimental Study," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-34, Oct.
• Jesús Bravo Pliego, 2008, "Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 1, pages 44-57.
• Guillermo Einar Moreno Quezada, 2008, "Aplicación de procesos Poisson-Gaussianos a los activos nacionales: desechando la distribución normal," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 136-149.
• Benjamín García Martínez & Arturo Lorenzo Valdés, 2008, "La matriz de covarianzas de residuales en la asignación y valuación de activos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 162-178.
• Bazdrech, Santiago & Belo, Frederico & Lin, Xiaoji, 2009, "Labor hiring, investment and stock return predictability in the cross section," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24418, Mar.
• Greenwood, Robin & Vayanos, Dimitri, 2008, "Bond supply and excess bond returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24425, Feb.
• Constantinides, George M. & Ghosh, Anisha, 2008, "Asset pricing tests with long run risks in consumption growth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24428, Feb.
• Buiter, Willem H., 2008, "Central banks and financial crises," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24438, Sep.
• Danielsson, Jon & Zigrand, Jean-Pierre, 2008, "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24823, May.
• Rahi, Rohit & Zigrand, Jean-Pierre, 2008, "Arbitrage networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4787, Jan.
• Julliard, Christian & Ghosh, Anisha, 2008, "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4808, Mar.
• Maria Cristina Penido de Freitas & Marcos Antonio Macedo Cintra, 2008, "Asset inflation and deflation triggered by the US housing financial system," Brazilian Journal of Political Economy, Center of Political Economy, volume 28, issue 3, pages 414-433.
• Carlo Alberto Magni, 2008, "CAPM‐based capital budgeting and nonadditivity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 26, issue 5, pages 388-398, August, DOI: 10.1108/14635780810900251.
• Acharya, Viral & Viswanathan, S., 2008, "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6630, Jan.
• Cooper, Ian & Nyborg, Kjell, 2008, "Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6646, Jan.
• Rigobon, Roberto & Pavlova, Anna, 2008, "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6647, Jan.
• Zingales, Luigi & Sapienza, Paola & Reuben, Ernesto, 2008, "Procrastination and Impatience," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6668, Jan.
• Flood, Robert P & Rose, Andrew, 2008, "Why so Glum? The Meese-Rogoff Methodology Meets the Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6714, Feb.
• Albuquerque, Rui & Schroth, Enrique, 2008, "Determinants of the Block Premium and of Private Benefits of Control," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6742, Mar.
• Fischer, Andreas & Ranaldo, Angelo, 2008, "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6753, Mar.
• Chernov, Mikhail & Mueller, Philippe, 2008, "The Term Structure of Inflation Expectations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6809, Apr.
• Flandreau, Marc & Zumer, Frederic & Accominotti, Olivier & Rezzik, Riad, 2008, "Black Man?s Burden: Measured Philanthropy in the British Empire, 1880-1913," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6811, Apr.
• Foucault, Thierry & Thesmar, David & Sraer, David, 2008, "Individual Investors and Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6915, Jul.
• Vives, Xavier & Kovalenkov, Alex, 2008, "Competitive Rational Expectations Equilibria Without Apology," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7025, Oct.
• Nikolay Gospodinov & Taisuke Otsu, 2008, "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers, Concordia University, Department of Economics, number 08010, Dec.
• Christian Wolff & Dennis Bams & Thorsten Lehnert, 2008, "Loss Functions in Option Valuation: A Framework for Selection," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 08-11.
• Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas, 2008, "Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US," Working Papers, University of Crete, Department of Economics, number 0807, Jun.
• Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2008, "Nonparametric estimation of conditional beta pricing models," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb082403, May.
• Gil-Bazo, Javier & Ruiz-Verdú, Pablo & Santos, André A. P., 2008, "The performance of socially responsible mutual funds: the role of fees and management companies," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb083409, Jun.
• Moreno, David & Rodríguez, Rosa, 2008, "The value of coskewness in evaluating mutual funds," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb087616, Dec.
• Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008, "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we084422, Sep.
• John-John, D’ARGENSIO & Frederic, LAURIN, 2008, "The real estate risk premium : A developed/emerging country panel data analysis," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2008003, Feb.
• Iori, G. & Deissenberg, C., 2008, "An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture," Working Papers, Department of Economics, City St George's, University of London, number 08/03.
• Chiarella, C. & Iori, G. & Perello, J., 2008, "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers, Department of Economics, City St George's, University of London, number 08/04.
• Branger, Nicole & Schlag, Christian, 2008, "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 4, pages 1055-1090, December.
• Coronado, Julia & Mitchell, Olivia S. & Sharpe, Steven A. & Blake Nesbitt, S., 2008, "Footnotes aren't enough: the impact of pension accounting on stock values," Journal of Pension Economics and Finance, Cambridge University Press, volume 7, issue 3, pages 257-276, November.
• Sanning, Lee W. & Shaffer, Sherrill & Sharratt, Jo Marie, 2008, "Bordeaux Wine as a Financial Investment," Journal of Wine Economics, Cambridge University Press, volume 3, issue 1, pages 51-71, April.
• J. Doyne Farmer & John Geanakoplos, 2008, "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1647, Mar.
• Geman, Hélyette (ed.), 2008, "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116.
• Cécile Kharoubi-Rakotomalala & Christophe Moussu, 2008, "Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité," Revue Finance Contrôle Stratégie, revues.org, volume 11, issue 1, pages 185-223, March.
• Richard Agnello & Xiaowen Xu, 2008, "Prices for Paintings by African American Artists and Their Contemporaries: Does Race Matter? (Revision of Working Paper No. 2006-06)," Working Papers, University of Delaware, Department of Economics, number 08-06.
• Michel Aglietta & Laurence Scialom, 2008, "Permanence and innovation in central banking policy for financial stability," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2008-21.
• BRIO, Esther B. & PEROTE, Javier, 2008, "Forecasting Market Crashes: Does Density Specification Matter?," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 1, pages 53-58.
• Peter C. B. Phillips & Jun Yu, 2008, "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers, East Asian Bureau of Economic Research, number 22473, Jan.
• Charles Ka Yui Leung, 2008, "Intra-metropolitan Price and Trading Volume Dynamics : Evidence from Hong Kong," Finance Working Papers, East Asian Bureau of Economic Research, number 22894, Jan.
• Foucault, Thierry & Themar, David & Sraer, David, 2008, "Individual investors and volatility," HEC Research Papers Series, HEC Paris, number 899, Jul.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "IBEX 35: 1992-2007 - Rentabilidad y creación de valor," IESE Research Papers, IESE Business School, number D/725, Jan.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Las empresas españolas en 2007 (y en el periodo 1993-2007). Rentabilidad y creación de valor," IESE Research Papers, IESE Business School, number D/732, Feb.
• Fernandez, Pablo & Bermejo, Vicente, 2008, "Telefónica: 1991-2007. Creación de valor y rentabilidad," IESE Research Papers, IESE Business School, number D/733, Feb.
• Fernandez, Pablo & Bermejo, Vicente, 2008, "Banco Santander: 1991-2007. Creación de valor y rentabilidad," IESE Research Papers, IESE Business School, number D/735, Feb.
• Fernandez, Pablo & Bermejo, Vicente, 2008, "BBVA: 1991-2007. Creación de valor y rentabilidad," IESE Research Papers, IESE Business School, number D/736, Feb.
• Fernandez, Pablo & Bermejo, Vicente, 2008, "Rentabilidad de los fondos de inversión en España. 1991-2007," IESE Research Papers, IESE Business School, number D/737, Mar.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Rentabilidad de los fondos de pensiones en España. 1991-2007," IESE Research Papers, IESE Business School, number D/741, Apr.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Iberdrola: 1991-2007. Creación de valor y rentabilidad," IESE Research Papers, IESE Business School, number D/742, Apr.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Eléctricas españolas: 1991-2007. Creación de valor y rentabilidad para los accionistas," IESE Research Papers, IESE Business School, number D/743, Apr.
• Fernandez, Pablo, 2008, "The equity premium in finance and valuation textbooks," IESE Research Papers, IESE Business School, number D/745, Apr.
• Fernandez, Pablo & Bermejo, Vicente J. & Bilan, Andrada, 2008, "Poor performance of mutual funds in Spain. 1991-2007," IESE Research Papers, IESE Business School, number D/746, Apr.
• Saffi, Pedro, 2008, "Differences of opinion, information and the timing of trades," IESE Research Papers, IESE Business School, number D/747, Apr.
• Saffi, Pedro & Sigurdson, Kari, 2008, "Price efficiency and short selling," IESE Research Papers, IESE Business School, number D/748, Apr.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Descensos de las cotizaciones de 154 empresas españolas. 1991-2008," IESE Research Papers, IESE Business School, number D/755, Jun.
• Fernandez, Pablo, 2008, "The equity premium in 100 textbooks," IESE Research Papers, IESE Business School, number D/757, Jul.
• Fernandez, Pablo, 2008, "Prima de riesgo del mercado utilizada: Encuesta 2008," IESE Research Papers, IESE Business School, number D/761, Aug.
• Fernandez, Pablo, 2008, "Dos sentencias con tremendos errores sobre valoración," IESE Research Papers, IESE Business School, number D/763, Sep.
• Fernandez, Pablo, 2008, "Valoración de empresas por descuento de flujos: Diez métodos y siete teorías," IESE Research Papers, IESE Business School, number D/766, Sep.
• Fernandez, Pablo & Bermejo, Vicente J., 2008, "Rentabilidad y creación de valor de 125 empresas españolas en 2008 (hasta el 17 de septiembre)," IESE Research Papers, IESE Business School, number D/767, Sep.
• Fernandez, Pablo, 2008, "160 preguntas sobre finanzas," IESE Research Papers, IESE Business School, number D/770, Nov.
• Fernandez, Pablo, 2008, "Métodos de valoración de empresas," IESE Research Papers, IESE Business School, number D/771, Nov.
• Wang, Daxue, 2008, "Herd behavior towards the market index: Evidence from 21 financial markets," IESE Research Papers, IESE Business School, number D/776, Dec.
• De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008, "Measuring financial integration in new EU Member States," Occasional Paper Series, European Central Bank, number 81, Mar.
• Fornari, Fabio, 2008, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series, European Central Bank, number 859, Jan.
• Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2008, "Stock market volatility and learning," Working Paper Series, European Central Bank, number 862, Feb.
• Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008, "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series, European Central Bank, number 874, Feb.
• Amisano, Gianni & Savona, Roberto, 2008, "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series, European Central Bank, number 881, Mar.
• Scheicher, Martin, 2008, "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series, European Central Bank, number 910, Jun.
• Cappiello, Lorenzo & Maddaloni, Angela & Lo Duca, Marco, 2008, "Country and industry equity risk premia in the euro area: an intertemporal approach," Working Paper Series, European Central Bank, number 913, Jun.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008, "International stock return comovements," Working Paper Series, European Central Bank, number 931, Sep.
• Scheicher, Martin & Raunig, Burkhard, 2008, "A value at risk analysis of cedit default swaps," Working Paper Series, European Central Bank, number 968, Nov.
• Nagano, Teppei & Baba, Naohiko, 2008, "Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan," Working Paper Series, European Central Bank, number 980, Dec.
• GlennD. Rudebusch & Tao Wu, 2008, "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, volume 118, issue 530, pages 906-926, July.
• Ait-Sahalia, Yacine & Kimmel, Robert L., 2008, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-19, Oct.
• Loh, Roger, 2008, "Investor Attention and the Underreaction to Stock Recommendations," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-2, Feb.
• Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene, 2008, "Hedge Fund Contagion and Liquidity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-8, May.
• Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R., 2008, "Cost of Capital and Earnings Transparency," Research Papers, Stanford University, Graduate School of Business, number 2015, Dec.
• Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008, "Is There Hedge Fund Contagion?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 08-2, Mar.
• Eichholtz, Piet & Bauer, Rob & Kok, Nils, 2008, "Corporate Governance and Performance: the REIT Effect," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 08-3, Mar.
• Caporale, Guglielmo Maria & Cerrato, Mario, 2008, "Chebyshev polynomial approximation to approximate partial differential equations," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2008-15.
• Gregoriou, Andros & Kontonikas, Alexandros, 2008, "The long run relationship between stock prices and goods prices: new evidence from panel cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2008-32.
• Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008, "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, volume 37, issue 1, pages 43-48, DOI: 10.1016/j.chaos.2006.11.024.
• Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008, "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 1, pages 259-278, January.
• Lemke, Wolfgang, 2008, "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, volume 19, issue 1, pages 41-69, March.
• Cipollini, A. & Kapetanios, G., 2008, "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, volume 100, issue 1, pages 130-134, July.
• Leoni, Patrick L., 2008, "A market microstructure explanation of IPOs underpricing," Economics Letters, Elsevier, volume 100, issue 1, pages 47-48, July.
• Quoreshi, A.M.M. Shahiduzzaman, 2008, "A vector integer-valued moving average model for high frequency financial count data," Economics Letters, Elsevier, volume 101, issue 3, pages 258-261, December.
• Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008, "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 234-256, May.
• Han, Heejoon & Park, Joon Y., 2008, "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 275-292, October.
• Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008, "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 351-363, October.

2007

• Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007, "Slow Moving Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6117, Feb.
• Michaelides, Alexander & Gomes, Francisco, 2007, "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6136, Feb.
• Kilian, Lutz & Park, Cheolbeom, 2007, "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6166, Mar.
• Gollier, Christian & Brunnermeier, Markus & Parker, Jonathan A, 2007, "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6181, Mar.
• Brunnermeier, Markus & Julliard, Christian, 2007, "Money Illusion and Housing Frenzies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6183, Mar.
• Timmermann, Allan & Guidolin, Massimo, 2007, "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6188, Mar.
• Giannitsarou, Chryssi & Carceles-Poveda, Eva, 2007, "Asset Pricing with Adaptive Learning," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6223, Apr.
• Chernov, Mikhail & Broadie, Mark & Johannes, Michael, 2007, "Understanding Index Option Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6239, May.
• Marín Vigueras, José Maria & Olivier, Jacques, 2007, "The Dog that Did Not Bark: Insider Trading and Crashes," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6244, Apr.
• Storesletten, Kjetil & Violante, Giovanni & Heathcote, Jonathan, 2007, "Consumption and Labour Supply with Partial Insurance: An Analytical Framework," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6280, May.
• Campbell, John Y & Schwartz, Allie, 2007, "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6390, Jul.
• Toxvaerd, Flavio & Gershkov, Alex, 2007, "On Seller Estimates and Buyer Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6503, Oct.
• Marcet, Albert & Nicolini, Juan Pablo & Adam, Klaus, 2007, "Stock Market Volatility and Learning," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6518, Oct.
• Sentana, Enrique & Peñaranda, Francisco, 2007, "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6566, Nov.
• Albuquerque, Rui & Miao, Jianjun, 2007, "Advance Information and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6588, Nov.
• Schaefer, Stephen & Acharya, Viral & Zhang, Yili, 2007, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6619, Dec.
• Marie Lambert, 2007, "Four-Moment Asset Pricing Model: Computation Standards and specification Tests for Moment-Related Risk Premia," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 07-14.
• Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007, "Econometric Asset Pricing Modelling," Working Papers, Center for Research in Economics and Statistics, number 2007-18.
• Alain Monfort & Fulvio Pegoraro, 2007, "Switching VARMA Term Structure Models - Extended Version," Working Papers, Center for Research in Economics and Statistics, number 2007-19.
• Corgnet, Brice & Kujal, Praveen & Porter, Dave, 2007, "Uninformative announcements and asset trading behavior," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we078350, Dec.
• Carvalho, R. & Iori, G., 2007, "Socioeconomic networks with long-range interactions," Working Papers, Department of Economics, City St George's, University of London, number 07/12.
• Wang Xiaodong, 2007, "The Closed-form Solution for Pricing American Put Options," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 197-215, May.
• Jay Shanken & Guofu Zhou, 2007, "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 275.
• Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007, "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 42, issue 3, pages 565-594, September.
• Alfarano, Simone & Lux, Thomas, 2007, "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, volume 11, issue S1, pages 80-101, November.
• Peter C.B. Phillips & Donggyu Sul, 2007, "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1595, Jan.
• Peter C.B. Phillips & Jun Yu, 2007, "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1596, Jan.
• Peter C.B. Phillips & Jun Yu, 2007, "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1598, Jan.
• Robert J. Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1632, Oct.