Research classified by Journal of Economic Literature (JEL) codes

2007

• Eva Carceles-Poveda & Chryssi Giannitsarou, 2007, "Online Appendix to Asset Pricing with Adaptive Learning," Online Appendices, Review of Economic Dynamics, number carceles08, Oct.
• Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007, "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 10, issue 4, pages 519-548, October, DOI: 10.1016/j.red.2007.02.004.
• Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007, "Durability of Output and Expected Stock Returns," 2007 Meeting Papers, Society for Economic Dynamics, number 432.
• Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007, "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers, Society for Economic Dynamics, number 503.
• Juha Seppala & Federico Ravenna, 2007, "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers, Society for Economic Dynamics, number 513.
• Sydney Ludvigson & Jack Favalukus & Xiaohong Chen, 2007, "An Estimation of Economic Models with Recursive Preferences," 2007 Meeting Papers, Society for Economic Dynamics, number 543.
• Kjetil Storesletten & Gianluca Violante & Jonathan Heathcote, 2007, "Consumption and Labor Supply with Partial Insurance: An Analytical Framework," 2007 Meeting Papers, Society for Economic Dynamics, number 913.
• Harald Uhlig, 2007, "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," 2007 Meeting Papers, Society for Economic Dynamics, number 97.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Paper series, Rimini Centre for Economic Analysis, number 07_07, Jul.
• Elettra Agliardi & Rossella Agliardi, 2007, "Progressive Taxation and Corporate Liquidation: Analysis and Policy Implications," Working Paper series, Rimini Centre for Economic Analysis, number 29_07, Jul.
• Alexandre Lowenkron & Marcio Gomes Pinto Garcia, 2007, "Monetary policy credibility and inflation risk premium: a model with application to Brazilian data," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 543, Apr.
• Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007, "Modeling and predicting the CBOE market volatility index," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 548, Aug.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A reduced form model of default spreads with Markov switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 07-8, Oct.
• Angelos Kanas & Christos Ioannidis, 2007, "Stock Market and the Macroeconomy: A Regime Switching Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 60, issue 2, pages 181-206.
• Rien Wagenvoort, 2007, "Does the hedge fund industry deliver alpha?," Economic and Financial Reports, European Investment Bank, Economics Department, number 2006/2, Jun.
• Ben Marshall & Martin Young & Lawrence Rose, 2007, "Market timing with candlestick technical analysis," Journal of Financial Transformation, Capco Institute, volume 20, pages 18-25.
• Paun, Cristian & Brasoveanu, Iulian & Musetescu, Radu, 2007, "Absolute Risk Aversion on the Romanian Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 4, issue 4, pages 77-87, December.
• John Cotter & Jim Hanly, 2007, "Hedging effectiveness under conditions of asymmetry," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1186.
• Yusuke Osaki, 2007, "Risk and Derivative Price," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WP2R07, Mar.
• Luisa Corrado & Marcus Miller & Lei Zhang, 2007, "Monitoring Bands and Monitoring Rules: how currency intervention can change market composition," CEIS Research Paper, Tor Vergata University, CEIS, number 91, Feb.
• Bruce Mizrach, 2007, "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers, Rutgers University, Department of Economics, number 200702, Jan.
• Michail Koubouros & Ekaterini Panopoulou, 2007, "Intertemporal Market Risks and the Cross–Section of Greek Average Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 6, issue 2, pages 203-227, May, DOI: 10.1177/097265270700600204.
• Qin Xiao & Gee Kwang Randolph Tan, 2007, "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Urban Studies, Urban Studies Journal Limited, volume 44, issue 4, pages 865-888, April, DOI: 10.1080/00420980601185650.
• Saeed Ahmed, 2007, "Forecasting Profitability, Earnings, and Corporate Taxes: Evidence from UK Companies," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 16, May.
• Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2007, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series, Oxford Financial Research Centre, number 2007fe01.
• Giovanni Cespa, 2007, "Information Sales and Insider Trading with Long-lived Information," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 174, Jan.
• Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007, "How Does Liquidity Affect Government Bond Yields?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 181, Jun.
• Mordecai Kurz & Maurizio Motolese, 2007, "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers, Stanford Institute for Economic Policy Research, number 06-044, Aug.
• Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007, "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers, Singapore Management University, School of Economics, number 13-2007, Jan.
• Marie Briere & Ombretta Signori, 2007, "Do Inflation-Linked Bonds Still Diversify?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 07-029.RS.
• Andros Gregoriou & Christos Ioannidis, 2007, "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, volume 32, issue 1, pages 19-39, April, DOI: 10.1007/s00181-006-0070-9.
• Jakob Madsen, 2007, "Pitfalls in estimates of the relationship between stock returns and inflation," Empirical Economics, Springer, volume 33, issue 1, pages 1-21, July, DOI: 10.1007/s00181-006-0080-7.
• Leif Andersen & Vladimir Piterbarg, 2007, "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, volume 11, issue 1, pages 29-50, January, DOI: 10.1007/s00780-006-0011-7.
• Nan Chen & Paul Glasserman, 2007, "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, volume 11, issue 2, pages 153-179, April, DOI: 10.1007/s00780-006-0031-3.
• Mark Davis & Vicente Mataix-Pastor, 2007, "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, volume 11, issue 2, pages 181-193, April, DOI: 10.1007/s00780-006-0032-2.
• Sara Biagini & Marco Frittelli, 2007, "The supermartingale property of the optimal wealth process for general semimartingales," Finance and Stochastics, Springer, volume 11, issue 2, pages 253-266, April, DOI: 10.1007/s00780-006-0026-0.
• Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu, 2007, "An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model," Finance and Stochastics, Springer, volume 11, issue 3, pages 323-355, July, DOI: 10.1007/s00780-007-0045-5.
• Jacek Jakubowski & Jerzy Zabczyk, 2007, "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, volume 11, issue 3, pages 429-445, July, DOI: 10.1007/s00780-007-0040-x.
• Elisa Alòs & Jorge León & Josep Vives, 2007, "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, volume 11, issue 4, pages 571-589, October, DOI: 10.1007/s00780-007-0049-1.
• Luciano Campi & Umut Çetin, 2007, "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, volume 11, issue 4, pages 591-602, October, DOI: 10.1007/s00780-007-0038-4.
• Bernd Pape, 2007, "Asset allocation and multivariate position based trading," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 2, issue 2, pages 163-193, December, DOI: 10.1007/s11403-007-0021-3.
• Anna Battauz & Fulvio Ortu, 2007, "Dynamic versus one-period completeness in event-tree security markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 30, issue 1, pages 191-193, January, DOI: 10.1007/s00199-005-0050-x.
• David Kelly & Stephen LeRoy, 2007, "Liquidity and Liquidation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 31, issue 3, pages 553-572, June, DOI: 10.1007/s00199-006-0113-7.
• Costas Azariadis & Leo Kaas, 2007, "Is dynamic general equilibrium a theory of everything?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 32, issue 1, pages 13-41, July, DOI: 10.1007/s00199-006-0167-6.
• Jean-Pierre Danthine & Xiangrong Jin, 2007, "Intangible capital, corporate valuation and asset pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 32, issue 1, pages 157-177, July, DOI: 10.1007/s00199-006-0176-5.
• Michał Baran, 2007, "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 66, issue 1, pages 1-20, August, DOI: 10.1007/s00186-006-0144-7.
• Kenton K. Yee, 2007, "Using accounting information for consumption planning and equity valuation," Review of Accounting Studies, Springer, volume 12, issue 2, pages 227-256, September, DOI: 10.1007/s11142-007-9026-3.
• Ang, Andrew & Chen, Joseph, 2007, "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, volume 14, issue 1, pages 1-40, January.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007, "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, volume 14, issue 4, pages 546-563, September.
• Connor, Gregory & Linton, Oliver, 2007, "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 694-717, December.
• Kiefer, Nicholas M. & Larson, C. Erik, 2007, "A simulation estimator for testing the time homogeneity of credit rating transitions," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 818-835, December.
• Schmeling, Maik, 2007, "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, volume 23, issue 1, pages 127-145.
• Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007, "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, volume 31, issue 12, pages 3604-3620, December.
• Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007, "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2517-2534, August.
• Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007, "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, volume 62, issue 3, pages 408-427, March.
• Fielding, David & Stracca, Livio, 2007, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, volume 64, issue 2, pages 250-268, October.

2006

• Dvorak, Tomas & Podpiera, Richard, 2006, "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, volume 7, issue 2, pages 129-146, June.
• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Realdon, Marco, 2006, "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, volume 3, issue 4, pages 277-289, December.
• Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006, "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, volume 2, issue 1, pages 28-54, April.
• Basher, Syed A. & Sadorsky, Perry, 2006, "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, volume 17, issue 2, pages 224-251, December.
• d'Addona, Stefano & Kind, Axel H., 2006, "International stock-bond correlations in a simple affine asset pricing model," Journal of Banking & Finance, Elsevier, volume 30, issue 10, pages 2747-2765, October.
• Post, Thierry & van Vliet, Pim, 2006, "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, volume 30, issue 3, pages 823-849, March.
• Guangsug Hahn & Dongchul Won, 2006, "Competitive Equilibrium with Short-selling and Nontransitivie Preferences," Korean Economic Review, Korean Economic Association, volume 22, pages 25-67.
• Móricz, Dániel, 2006, "Vállalati nyugdíjkötelezettségek és a részvények kockázata - tőkeáttétel és kereszttulajdonlás
  [Corporate pension liabilities and risk of stocks - leverage and cross-holding]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 144-157.
• Frank Hansen, 2006, "Decreasing Relative Risk Premium," Discussion Papers, University of Copenhagen. Department of Economics, number 06-21, Nov.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers, Kyoto University, Institute of Economic Research, number 620, May.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 621, May.
• Jean-Pierre DANTHINE & Xiangrong JIN, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 06.05, Sep.
• CHATON Corinne & CRETI Anna & VILLENEUVE Bertrand, 2006, "The Economics of Seasonal Gas Storage," LERNA Working Papers, LERNA, University of Toulouse, number 06.01.194, Aug.
• Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006, "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 11, issue 2, pages 123-139, Jul-Dec.
• Rossella Bisignani & Giovanni Masala & Marco Micocci, 2006, "Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, volume 0, issue 3.
• Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006, "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 2, pages 399-428, March, DOI: 10.1353/mcb.2006.0032.
• Eric Girard & Amit Sinha, 2006, "Does Total Risk Matter? The Case of Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 117-151, March-Jun.
• Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006, "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 81-116, March-Jun.
• Ahmad Naimzada & Giorgio Ricchiuti, 2006, "Heterogeneous Fundamentalists and Imitative Processes," Working Papers, University of Milano-Bicocca, Department of Economics, number 104, Nov, revised Nov 2006.
• Péter Banczúr & Cosmin Ilut, 2006, "Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/1.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06070, Nov.
• Dominique Guégan & Jing Zhang, 2006, "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06090, Jul, DOI: 10.1080/14697680902933041.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2006, "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/06.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0601, Jan.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0602, Feb.
• V. Baugnet & G. Wuyts, 2006, "The role of equities in corporate finance in Belgium," Economic Review, National Bank of Belgium, issue ii, pages 35-47, September.
• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006, "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research, National Bank of Belgium, number 83, May.
• Marina Emiris, 2006, "The term structure of interest rates in a DSGE model," Working Paper Research, National Bank of Belgium, number 88, Jul.
• Alan J. Auerbach & Kevin A. Hassett, 2006, "Dividend Taxes and Firm Valuation: New Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11959, Jan.
• Leora Friedberg & Anthony Webb, 2006, "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11984, Jan.
• Jakub W. Jurek & Luis M. Viceira, 2006, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12017, Feb.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006, "Valuation in Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12020, Feb.
• Jay Shanken & Guofu Zhou, 2006, "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers, National Bureau of Economic Research, Inc, number 12055, Feb.
• Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006, "Is There Hedge Fund Contagion?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12090, Mar.
• Wayne E. Ferson & Andrew F. Siegel, 2006, "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 12098, Mar.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
• Clemens Sialm, 2006, "Investment Taxes and Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12146, Apr.
• John Y. Campbell, 2006, "Household Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 12149, Apr.
• Andrew Ang & Li Gu & Yael V. Hochberg, 2006, "Is IPO Underperformance a Peso Problem?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12203, May.
• Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006, "Stock and Bond Returns with Moody Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 12247, May.
• Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006, "Risk, Uncertainty and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12248, May.
• James Dow & Gary Gorton, 2006, "Noise Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 12256, May.
• Andrew B. Abel, 2006, "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers, National Bureau of Economic Research, Inc, number 12290, Jun.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006, "The Performance of International Equity Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12346, Jul.
• Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006, "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 12360, Jul.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006, "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 12376, Jul.
• Nicholas Barberis & Ming Huang, 2006, "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 12378, Jul.
• Nicholas Barberis & Wei Xiong, 2006, "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12397, Jul.
• Orazio P. Attanasio & Monica Paiella, 2006, "Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 12412, Aug.
• Rajnish Mehra, 2006, "Recursive Competitive Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 12433, Aug.
• Rajnish Mehra, 2006, "The Equity Premium in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 12434, Aug.
• Josef Lakonishok & Louis Chan & Stephen G. Dimmock, 2006, "Benchmarking Money Manager Performance: Issues and Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12461, Aug.
• Urban Jermann, 2006, "The Equity Premium Implied by Production," NBER Working Papers, National Bureau of Economic Research, Inc, number 12487, Aug.
• Michael W. Brandt & David A. Chapman, 2006, "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12513, Sep.
• Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006, "Financially Constrained Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12555, Oct.
• Monika Piazzesi & Martin Schneider, 2006, "Equilibrium Yield Curves," NBER Working Papers, National Bureau of Economic Research, Inc, number 12609, Oct.
• Lars Peter Hansen & Jose Scheinkman, 2006, "Long Term Risk: An Operator Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12650, Oct.
• Robert J. Barro, 2006, "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 12763, Dec.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2006, "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12766, Dec.
• Wei Xiong & Hongjun Yan, 2006, "Heterogeneous Expectations and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12781, Dec.
• Laurent E. Calvet & Adlai J. Fisher, 2006, "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12797, Dec.
• Markus K. Brunnermeier & Christian Julliard, 2006, "Money Illusion and Housing Frenzies," NBER Working Papers, National Bureau of Economic Research, Inc, number 12810, Dec.
• Ping Zhang, 2006, "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 2006-05, Apr.
• Ping Zhang, 2006, "A Complete Characterization of Pure Strategy Equilibrium in Uniform Price IPO Auctions," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2006-06, Apr.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006, "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, volume 1, issue 4, pages 269-364, February, DOI: 10.1561/0500000003.
• Clive G. Bowsher & Roland Meeks, 2006, "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W05, Jun.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W12, Oct.
• Rudiger Ahrend & Pietro Catte & Robert Price, 2006, "Interactions Between Monetary and Fiscal Policy: How Monetary Conditions Affect Fiscal Consolidation," OECD Economics Department Working Papers, OECD Publishing, number 521, Nov, DOI: 10.1787/414663503428.
• Mariana Mazzucato & Massimiliano Tancioni, 2006, "Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry," Open Discussion Papers in Economics, The Open University, Faculty of Social Sciences, Department of Economics, number 55, Dec, revised Sep 2007.
• George W. Evans & Avik Chakraborty, 2006, "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2006-8, Jun, revised 20 Aug 2006.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006, "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 121, issue 2, pages 461-504.
• François Ortalo-Magné & Sven Rady, 2006, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints ," The Review of Economic Studies, Review of Economic Studies Ltd, volume 73, issue 2, pages 459-485.
• Laura L. Veldkamp, 2006, "Information Markets and the Comovement of Asset Prices," The Review of Economic Studies, Review of Economic Studies Ltd, volume 73, issue 3, pages 823-845.
• Tomas Björk & Irina Slinko, 2006, "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, volume 10, issue 2, pages 221-260.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2006, "Downside Risk," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1191-1239.
• Doron Avramov & Tarun Chordia & Amit Goyal, 2006, "The Impact of Trades on Daily Volatility," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1241-1277.
• Joel M. Vanden, 2006, "Option Coskewness and Capital Asset Pricing," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1279-1320.
• João F. Gomes & Amir Yaron & Lu Zhang, 2006, "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1321-1356.
• Michael Lemmon & Evgenia Portniaguina, 2006, "Consumer Confidence and Asset Prices: Some Empirical Evidence," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1499-1529.
• Meir Statman & Steven Thorley & Keith Vorkink, 2006, "Investor Overconfidence and Trading Volume," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1531-1565.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Series Working Papers, University of Oxford, Department of Economics, number 2006-FE-11, Oct.
• Christine Wilson & Allen Featherstone, 2006, "Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 06-08.
• Samuel Mongrut & Dídac Ramírez, 2006, "Discount Rates in Emerging Capital Markets," Working Papers, Centro de Investigación, Universidad del Pacífico, number 06-03, Jan.
• Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F., 2006, "Bayesian Model Averaging in the Presence of Structural Breaks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-33, Aug.
• Dutordoir, M.D.R.P. & Van de Gucht, L., 2006, "Why Do Western European Firms Issue Convertibles Instead of Straight Debt or Equity?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2006-056-F&A, Oct.
• Dutordoir, M.D.R.P. & Van de Gucht, L., 2006, "Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2006-055-F&A, Oct.
• Jorge H. del Castillo-Spíndola, 2006, "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 21, issue 2, pages 275-297.
• Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006, "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 75-90.
• Edward J. Lusk & Michael HALPERIN & Li Yue, 2006, "A Behavioural Finance Explanation of a Gearing-ß Inverse Association Referencing Weill’s Liquidity Result (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 3-4, pages 168-177, March.
• Yeliz Yalcin & Eray M. Yycel, 2006, "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 5-6, pages 258-277, May.
• Jan Brùha & Alexis Derviz, 2006, "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 7-8, pages 318-343, July.
• ZANG Xuheng & WANG Liping, 2006, "An analysis of the consumption risk and asset returns of Chinese residents," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 3, pages 395-405, September.
• SHENG Bin, 2006, "Political economy of China¡¯s trade policy: the evidence from industrial protection in 1990s," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 3, pages 406-432, September.
• Pengguo wang, 2006, "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 1, pages 1-28, June.
• Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006, "Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 630, Nov.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0607, DOI: 10.26509/frbc-wp-200607.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The Bond Yield “Conundrum” from a Macro-Finance Perspective," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-16, May, DOI: 10.24148/wp2006-16.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Gregory H. Bauer & Clara Vega, 2006, "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 872.
• Martin Bodenstein, 2006, "International Asset Markets and Real Exchange Rate Volatility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 884.
• Torben G. Andersen & Luca Benzoni, 2006, "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series, Federal Reserve Bank of Chicago, number WP-06-15.
• Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers, Federal Reserve Bank of St. Louis, number 2003-024, DOI: 10.20955/wp.2003.024.
• Anthony Pennington-Cross, 2006, "The duration of foreclosures in the subprime mortgage market: a competing risks model with mixing," Working Papers, Federal Reserve Bank of St. Louis, number 2006-027, DOI: 10.20955/wp.2006.027.
• Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006, "Temptation and self-control: some evidence and applications," Staff Report, Federal Reserve Bank of Minneapolis, number 367.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in asset markets," Staff Report, Federal Reserve Bank of Minneapolis, number 375.
• Domenico Colucci & Vincenzo Valori, 2006, "Asset price dynamics when behavioural heterogeneity varies," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2006-01, Nov.
• Jean-Pierre Zigrand & Jon Danielsson, 2006, "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers, Financial Markets Group, number dp561, May.
• Markus K Brunnermeier & Christian Julliard, 2006, "Money Illusion and Housing Frenzies," FMG Discussion Papers, Financial Markets Group, number dp579, Jul.
• Nicole Branger & Antje Mahayni, 2006, "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 135.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00112202, Nov.
• Dominique Guegan & Jing Zhang, 2006, "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00189141, Jul.
• Francesco Franzoni & J. M. Marin, 2006, "Pension Plan Funding and Stock Market Efficiency," Post-Print, HAL, number halshs-00009850.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Post-Print, HAL, number halshs-00112202, Nov.
• Francesco Franzoni & J. M. Marin, 2006, "Portable Alphas from Pension Mispricing," Post-Print, HAL, number halshs-00119546, Jul.
• Jacques Olivier & J. M. Marin, 2006, "The dog that did not bark: insider trading and crashes," Post-Print, HAL, number halshs-00121093, Aug.
• Elyès Jouini & Clotilde Napp, 2006, "Aggregation of Heterogeneous Beliefs," Post-Print, HAL, number halshs-00151562, Sep, DOI: 10.1016/j.jmateco.2006.02.001.
• Fredj Jawadi & Slim Chaouachi, 2006, "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," Working Papers, HAL, number hal-04138865.
• Kevin Elie Beaubrun-Diant & Julien Matheron, 2006, "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," Working Papers, HAL, number hal-04138877.
• Menkhoff, Lukas & Schmeling, Maik, 2006, "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-335, May.
• Schmeling, Maik, 2006, "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-337, May.
• Péter Csóka & Jean-Jacques Herings & László Kóczy, 2006, "Coherent Measures of Risk from a General Equilibrium Perspective," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0611, Aug, revised 30 Aug 2006.