Research classified by Journal of Economic Literature (JEL) codes

2008

• 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 Staff Working Paper series, 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.
• François Gourio, 2008, "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-016, Jan.
• Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008, "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers, Brandeis University, Department of Economics and International Business School, number 37, Oct.
• John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers, Brandeis University, Department of Economics and International Business School, number 39, Aug.
• Rafael Victal Saliba, 2008, "Application of Multiple Evaluation Models in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 1, pages 13-47.
• Edson Bastos e Santos & Nelson Ithiro Tanaka, 2008, "Dynamic Lévy Copulas and their Applications in the Pricing of Multidimensional Option with Path Dependence," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 1, pages 69-111.
• Felipe Pretti Casotti & Luiz Felipe Jacques da Motta, 2008, "Initial public offerings in Brazil (2004-2006): Valuation with the use of multiples and discounting of cash flows using the appropriate cost of equity," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 157-204.
• Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno, 2008, "SWARCH and the implicit volatility of the Real/USD exchange rate," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 235-265.
• Fernando Nascimento de Oliveira & Eduardo Lana de Paula, 2008, "Determining the Optimum Level of Diversification of Home Brokers Investors," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 3, pages 439-463.
• Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008, "Are Asia-Pacific Housing Prices Too High For Comfort?," Working Papers, Monetary Policy Group, Bank of Thailand, number 2008-11, Nov.
• Ciprian Necula, 2008, "A Framework for Derivative Pricing in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 19, Oct.
• Cipian Necula, 2008, "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 2, Jan.
• Ciprian Necula, 2008, "Pricing European and Barrier Options in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 20, Oct.
• Ciprian Necula, 2008, "A Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 23, Dec.
• Ciprian Necula, 2008, "Asset Pricing in a Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 24, Dec.
• Cipian Necula, 2008, "Barrier Options and a Reflection Principle of the Fractional Brownian Motion," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 6, Apr.
• Kevin E. Beaubrun-Diant & Julien Matheron, 2008, "Rentabilités d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Economie & Prévision, La Documentation Française, volume 0, issue 2, pages 35-63.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2008, "Bourse et Football," Revue d'économie politique, Dalloz, volume 118, issue 2, pages 255-296.
• Tambakis, D.N., 2008, "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0847, Oct.
• D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard, 2008, "Identifying and Forecasting House Price Dynamics in Ireland," Research Technical Papers, Central Bank of Ireland, number 3/RT/08, Jun.
• Theodoros Diasakos, 2008, "Comparative Statics of Asset Prices," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 72, revised 2011.
• Elisa Luciano & Patrizia Semeraro, 2008, "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 96.
• Elisa Luciano & Patrizia Semeraro, 2008, "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 97, revised 2009.
• Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008, "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/12, Jul.
• Mathias Hoffmann, 2006, "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series, CESifo, number 1712.
• Kerstin Bernoth & Guntram B. Wolff, 2006, "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series, CESifo, number 1732.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007, "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series, CESifo, number 2046.
• Heinrich Ursprung & Christian Wiermann, 2008, "Reputation, Price, and Death: An Empirical Analysis of Art Price Formation," CESifo Working Paper Series, CESifo, number 2237.
• Guglielmo Maria Caporale & Mario Cerrato, 2008, "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series, CESifo, number 2308.
• Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008, "No-Trade in the Laboratory," CESifo Working Paper Series, CESifo, number 2436.
• Alexander Kovalenkov & Xavier Vives, 2008, "Competitive Rational Expectations Equilibria without Apology," CESifo Working Paper Series, CESifo, number 2446.
• Andrea GAMBA & Nicola FUSARI, 2008, "Valuing modularity as a real option," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-20, Jan.
• Rui Albuquerque & Enrique Schroth, 2008, "The Determinants of the Block Premium and of Private Benefits of Control," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-21, Mar, revised Oct 2014.
• Tony BERRADA & Julien HUGONNIER, 2008, "Incomplete information, idiosyncratic volatility and stock returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-23, Jul.
• Michèle Breton & Julien Hugonnier & Tarek Masmoudi, 2008, "Mutual Fund Competition in the Presence of Dynamic Flows," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-26, Sep.
• Julien Hugonnier, 2008, "Bubbles and multiplicity of equilibria under portfolio constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-28, Sep.
• Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE, 2008, "Market Selection of Constant Proportions Investment Strategies in Continuous Time," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-29, Sep.
• Patrick GAGLIARDINI & Christian GOURIEROUX, 2009, "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-12, Mar.
• John Y. Campbell, 2008, "Viewpoint: Estimating the equity premium," Canadian Journal of Economics, Canadian Economics Association, volume 41, issue 1, pages 1-21, February.
• Dante Amengual & Enrique Sentana, 2008, "A Comparison of Mean-Variance Efficiency Tests," Working Papers, CEMFI, number wp2008_0806, Apr.
• Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.
• Arturo Jos√© Galindo & Marc Hofstetter, 2008, "Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 4544, Jan.
• Ximena Pena Parga & Camilo MondragÔøΩn-VÔøΩlez, 2008, "Business Ownership and Self-Employment in Developing Economies: The Colombian Case," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 4672, Feb.
• Juan Camilo Rojas, 2008, "Estructura a plazo, hip√≥tesis de expectativas y paridad descubierta de intereses en Colombia," Documentos de Trabajo, Universidad del Rosario, number 4893, Jul.
• Alejandro Reveiz Herault & Carlos Eduardo Le�n Rinc�n, 2008, "�ndice representativo del mercado de deuda p�blica interna: IDXTES," Borradores de Economia, Banco de la Republica, number 4522, Feb.
• Alejandro Reveiz Herault, 2008, "Artificial Markets under a Complexity Perspective," Borradores de Economia, Banco de la Republica, number 4616, Apr.
• 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 República, volume 26, issue 56, pages 114-148, DOI: 10.32468/Espe.5604.
• Juan José Echavarría & Diego V�squez, 2008, "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, DOI: 10.32468/Espe.5605.
• Juan Carlos Botero Ramírez & Andrés Ramírez Hassan, 2008, "La volatilidad de la tasa de interés a corto plazo: Un ejercicio para la economía Colombiana, 2001-2006," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10622, Sep.
• Jorge Enrique Bueno Orozco, 2008, "La valoración de empresas: sus fundamentos económicos, estratégicos y financieros," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Henry Laverde Rojas, 2008, "Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances," Revista CIFE, Universidad Santo Tomás.
• José Joaquín Alzate Marín, 2008, "Cómo medir la quiebra de las empresas en Santander, el modelo logístico: una herramienta para evaluar el riesgo de quiebra," Revista CIFE, Universidad Santo Tomás.
• Diego Vásquez E. & Pedro Felipe Lega G. & Andr�s Murcia P. & Tatiana Venegas K., 2008, "Volatilidad de la tasa de cambio nominal en Colombia y su relación con algunas variables," Coyuntura Económica, Fedesarrollo.
• Ignacio Velez-Pareja & Carlo Alberto Magni, 2008, "Potential Dividends and Actual Cash Flows. Theoretical and Empirical Reasons for Using 'Actual' and Dismissing 'Potential'. Or: How Not to Pull Pot..," Proyecciones Financieras y Valoración, Master Consultores, number 4520, Feb.
• Ignacio Velez-Pareja & Julian Benavides Franco, 2008, "There exists circularity between WACC and value? Another solution," Proyecciones Financieras y Valoración, Master Consultores, number 4557, Mar.
• Ignacio Velez-Pareja & Joseph Tham, 2008, "The mismatching of APV and the DCF in Brealey, Myers and Allen 8th edition of Principles of corporate finance, 2006," Proyecciones Financieras y Valoración, Master Consultores, number 4586, Apr.
• Ignacio Velez-Pareja & Mariano Merlo & David Andres Londono & Julio Sarmiento, 2008, "Dividendos "potenciales" versus pagados : razones teoricas y empiricas para usar dividendos pagados. Casos de America Latina y Argentina," Proyecciones Financieras y Valoración, Master Consultores, number 5122, Oct.
• D’ARGENSIO, John-John & LAURIN, Frédéric, 2008, "The real estate risk premium: A developed/emerging country panel data analysis," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008004, Jan.
• 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, "Inflação e deflação de ativos a partir do mercado imobiliário americano," Brazilian Journal of Political Economy, FGV EAESP, volume 28, issue 3, pages 414-433, July.
• 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.
• Lundtofte, Frederik, 2008, "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, volume 52, issue 6, pages 1072-1096, August.
• Tsuyuguchi, Yosuke & Wooldridge, Philip D., 2008, "The evolution of trading activity in Asian foreign exchange markets," Emerging Markets Review, Elsevier, volume 9, issue 4, pages 231-246, December.
• Coudert, Virginie & Gex, Mathieu, 2008, "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 167-184, March.
• 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.
• Santiago Budría, 2008, "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 36, issue 3, pages 261-274, September, DOI: 10.1007/s11293-008-9134-x.
• Maria Giuli & Dean Fantazzini & Mario Maggi, 2008, "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 2, pages 161-180, March, DOI: 10.1007/s10614-007-9112-4.
• Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008, "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 3, pages 225-241, April, DOI: 10.1007/s10614-007-9115-1.
• Volker Böhm & Tomoo Kikuchi & George Vachadze, 2008, "Asset Pricing and Productivity Growth: The Role of Consumption Scenarios," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 163-181, September, DOI: 10.1007/s10614-008-9137-3.
• Ilaria Foroni & Anna Agliari, 2008, "Complex Price Dynamics in a Financial Market with Imitation," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 21-36, September, DOI: 10.1007/s10614-008-9132-8.
• Domenico Colucci & Vincenzo Valori, 2008, "Asset Price Dynamics When Behavioural Heterogeneity Varies," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 3-20, September, DOI: 10.1007/s10614-008-9129-3.
• Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008, "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 55-72, September, DOI: 10.1007/s10614-008-9131-9.
• Ronald Doeswijk, 2008, "The Optimism Cycle: Sell in May," De Economist, Springer, volume 156, issue 2, pages 175-200, June, DOI: 10.1007/s10645-008-9088-z.
• Andreas Ziegler & Michael Schröder & Klaus Rennings, 2008, "The Effect of Environmental and Social Performance on the Stock Performance of European Corporations," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 40, issue 4, pages 609-609, August, DOI: 10.1007/s10640-007-9160-1.
• Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008, "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 1, pages 3-20, March, DOI: 10.1007/s11408-007-0068-0.
• Reinhold Hafner & Martin Wallmeier, 2008, "Optimal investments in volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 2, pages 147-167, June, DOI: 10.1007/s11408-008-0076-8.
• Arthur Allen & Donna Dudney, 2008, "The Impact of Rating Agency Reputation on Local Government Bond Yields," Journal of Financial Services Research, Springer;Western Finance Association, volume 33, issue 1, pages 57-76, February, DOI: 10.1007/s10693-007-0021-4.
• Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008, "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, volume 36, issue 2, pages 183-206, February, DOI: 10.1007/s11146-007-9062-6.
• Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008, "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 1, pages 71-91, July, DOI: 10.1007/s11146-007-9060-8.
• Brent Ambrose & Yildiray Yildirim, 2008, "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 281-298, October, DOI: 10.1007/s11146-008-9119-1.
• Partha Dasgupta, 2008, "Discounting climate change," Journal of Risk and Uncertainty, Springer, volume 37, issue 2, pages 141-169, December, DOI: 10.1007/s11166-008-9049-6.
• Christian Gollier, 2008, "Discounting with fat-tailed economic growth," Journal of Risk and Uncertainty, Springer, volume 37, issue 2, pages 171-186, December, DOI: 10.1007/s11166-008-9050-0.
• Roland Füss & Michael Bechtel, 2008, "Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election," Public Choice, Springer, volume 135, issue 3, pages 131-150, June, DOI: 10.1007/s11127-007-9250-1.
• Mark Hallerberg & Guntram Wolff, 2008, "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," Public Choice, Springer, volume 136, issue 3, pages 379-396, September, DOI: 10.1007/s11127-008-9301-2.
• Rani Hoitash & Murugappa (Murgie) Krishnan, 2008, "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 1, pages 25-47, January, DOI: 10.1007/s11156-007-0042-y.
• Mark Cassano & Bing Han, 2008, "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 1, pages 49-67, January, DOI: 10.1007/s11156-007-0041-z.
• Bharat Kolluri & Mahmoud Wahab, 2008, "Stock returns and expected inflation: evidence from an asymmetric test specification," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 4, pages 371-395, May, DOI: 10.1007/s11156-007-0060-9.
• Yaw Mensah & Robert Werner, 2008, "The capital market implications of the frequency of interim financial reporting: an international analysis," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 1, pages 71-104, July, DOI: 10.1007/s11156-007-0069-0.
• John Maher & Robert Brown & Raman Kumar, 2008, "Firm valuation, abnormal earnings, and mutual funds flow," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 2, pages 167-189, August, DOI: 10.1007/s11156-007-0065-4.
• Ben Marshall & Martin Young & Rochester Cahan, 2008, "Are candlestick technical trading strategies profitable in the Japanese equity market?," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 2, pages 191-207, August, DOI: 10.1007/s11156-007-0068-1.
• Aldo Montesano, 2008, "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, volume 65, issue 2, pages 97-123, September, DOI: 10.1007/s11238-007-9095-6.
• 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.