Research classified by Journal of Economic Literature (JEL) codes

2007

• Walker, Todd B., 2007, "How equilibrium prices reveal information in a time series model with disparately informed, competitive traders," Journal of Economic Theory, Elsevier, volume 137, issue 1, pages 512-537, November.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007, "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, volume 137, issue 1, pages 652-672, November.
• Ludvigson, Sydney C. & Ng, Serena, 2007, "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, volume 83, issue 1, pages 171-222, January.
• Acharya, Viral V. & Johnson, Timothy C., 2007, "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 110-141, April.
• Shanken, Jay & Zhou, Guofu, 2007, "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 40-86, April.
• Ang, Andrew & Liu, Jun, 2007, "Risk, return, and dividends," Journal of Financial Economics, Elsevier, volume 85, issue 1, pages 1-38, July.
• Calvet, Laurent E. & Fisher, Adlai J., 2007, "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, volume 86, issue 1, pages 178-212, October.
• Campbell, Rachel A. & Kraussl, Roman, 2007, "Revisiting the home bias puzzle: Downside equity risk," Journal of International Money and Finance, Elsevier, volume 26, issue 7, pages 1239-1260, November.
• Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007, "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, volume 43, issue 2, pages 201-217, February.
• Kelsey, David & Yalcin, Erkan, 2007, "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, volume 54, issue 1, pages 90-105, July.
• Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, volume 54, issue 8, pages 2251-2268, November.
• Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007, "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, volume 17, issue 2, pages 125-141, April.
• Creighton, Adam & Gower, Luke & Richards, Anthony J., 2007, "The impact of rating changes in Australian financial markets," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 1, pages 1-17, January.
• Fukuda, Shin-ichi & Koibuchi, Satoshi, 2007, "The impacts of "shock therapy" on large and small clients: Experiences from two large bank failures in Japan," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 5, pages 434-451, November.
• Iori, Giulia & Renò, Roberto & De Masi, Giulia & Caldarelli, Guido, 2007, "Trading strategies in the Italian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 376, issue C, pages 467-479, DOI: 10.1016/j.physa.2006.10.053.
• Sansone, Alessandro & Garofalo, Giuseppe, 2007, "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 382, issue 1, pages 247-257, DOI: 10.1016/j.physa.2007.02.022.
• Ehrmann, Michael & Fratzscher, Marcel, 2007, "The timing of central bank communication," European Journal of Political Economy, Elsevier, volume 23, issue 1, pages 124-145, March.
• Guillermo Sierra Juárez, 2007, "Procesos de Hurts y movimientos brownianos fraccionales en mercados fractales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 1, pages 1-21.
• Yaiza García Padrón & Juan García Boza, 2007, "Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 1, pages 63-83.
• Francisco Venegas Martínez & J. Víctor Reynoso Vendrell, 2007, "The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 2, pages 148-168.
• René Benjamín Pérez Sicairos, 2007, "Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 2, pages 169-182.
• Espinoza, Raphael A. & Goodhart, Charles & Tsomocos, Dimitrios P., 2007, "Endogenous state prices, liquidity, default, and the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24479, Feb.
• Penaranda, Francisco, 2007, "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24481, Mar.
• Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24484, Feb.
• Favilukis, Jack, 2007, "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24500, Nov.
• Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007, "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24502, Nov.
• Rahi, Rohit & Zigrand, Jean-Pierre, 2007, "Strategic financial innovation in segmented markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24503, Sep.
• Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007, "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24504, Sep.
• Ghosh, Anisha & Linton, Oliver, 2007, "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24506, Nov.
• Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007, "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 3775, Oct.
• Julliard, Christian, 2007, "Labor income risk and asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4811, May.
• Valery Polkovnichenko, 2007, "Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 1, pages 83-124, January.
• Steven L. Heston & Mark Loewenstein & Gregory A. Willard, 2007, "Options and Bubbles," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 359-390.
• Alexey Medvedev & Olivier Scaillet, 2007, "Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 427-459.
• Andrew Ang & Geert Bekaert, 2007, "Stock Return Predictability: Is it There?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 651-707.
• Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007, "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 813-857.
• Alexandre Ziegler, 2007, "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 859-904.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007, "Liquidity and Expected Returns: Lessons from Emerging Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1783-1831, November.
• Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Valuation in Over-the-Counter Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1865-1900, November.
• Raphael A. Espinoza & Dimitrios P Tsomocos & A.E. Goodhart, 2007, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," Economics Series Working Papers, University of Oxford, Department of Economics, number 2007-FE-01, Feb.
• Yochanan Shachmurove, 2007, "Geography and Industry Meets Venture Capital," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-015, Mar.
• George J. Mailath & Georg Noldeke, 2007, "Does Competitive Pricing Cause Market Breakdown under Extreme Adverse Selection?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-022, Jul.
• Haim Kedar-Levy, 2007, "Why Would Financial Bubbles Evolve After New Technologies?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 12, issue 1, pages 83-106, Spring.
• Attiya Y. Javed & Robina Iqbal, 2007, "The Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2007:14.
• Attiya Y. Javid, 2007, "Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2007:37.
• Ricardo Pereira, 2007, "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 1, pages 7-25.
• Francois-Éric Racicot & Raymond Théoret, 2007, "Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012007, Jan.
• Francois-Éric Racicot, 2007, "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022007, Apr.
• Vink, Dennis, 2007, "ABS, MBS and CDO compared: an empirical analysis," MPRA Paper, University Library of Munich, Germany, number 10381, Aug, revised 09 Sep 2008.
• Alexandru, Ciprian Antoniade, 2007, "Local financing through capital markets," MPRA Paper, University Library of Munich, Germany, number 12980, Sep.
• Ilya, Gikhman, 2007, "Corporate debt pricing I," MPRA Paper, University Library of Munich, Germany, number 1450, Oct.
• Magni, Carlo Alberto, 2007, "Project valuation and investment decisions: CAPM versus arbitrage," MPRA Paper, University Library of Munich, Germany, number 14525, Mar.
• Onour, Ibrahim, 2007, "Testing Efficiency Performance of an Underdeveloped Stock Market," MPRA Paper, University Library of Munich, Germany, number 15020, Jul.
• Hirshleifer, David & Jiang, Danling, 2007, "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper, University Library of Munich, Germany, number 16134, Oct, revised 08 Jul 2009.
• Olafsdottir, Katrin & Sigurdsson, Kari, 2007, "Hversu vel tekst til með verðbólguspár greiningardeilda?
  [How accurate are the inflation forecasts published by the commercial banks?]," MPRA Paper, University Library of Munich, Germany, number 18288.
• Hirshleifer, David & Jiang, Danling, 2007, "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper, University Library of Munich, Germany, number 20636, Oct, revised 10 Feb 2010.
• Javed, Attiya Y. & Iqbal, Robina, 2007, "Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 2225.
• Ozun, Alper & Cifter, Atilla, 2007, "Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets," MPRA Paper, University Library of Munich, Germany, number 2481, Feb.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007, "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper, University Library of Munich, Germany, number 25020, Oct, revised Oct 2007.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007, "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 25349, May, revised May 2007.
• Maclachlan, Iain C, 2007, "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper, University Library of Munich, Germany, number 28416, May.
• Siddiqi, Hammad, 2007, "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper, University Library of Munich, Germany, number 2984, Apr.
• Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007, "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper, University Library of Munich, Germany, number 3300.
• Meng, Ginger & Hu, Gang & Bai, Jushan, 2007, "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper, University Library of Munich, Germany, number 33183, Mar.
• Lin, William & Sun, David, 2007, "Liquidity-adjusted benchmark yield curves: a look at trading concentration and information," MPRA Paper, University Library of Munich, Germany, number 37282, Dec.
• Lanne, Markku & Luoto, Jani, 2007, "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper, University Library of Munich, Germany, number 3879.
• Nunes, Mauricio & Da Silva, Sergio, 2007, "Rational bubbles in emerging stockmarkets," MPRA Paper, University Library of Munich, Germany, number 4641, Aug.
• Perez, Marcos & Ahn, Seung Chan, 2007, "GMM Estimation of the Number of Latent Factors," MPRA Paper, University Library of Munich, Germany, number 4862, Sep.
• Ellouz, Siwar & Bellalah, Mondher, 2007, "Asset pricing and predictability of stock returns in the french market," MPRA Paper, University Library of Munich, Germany, number 4961, Mar, revised 24 Sep 2007.
• Taboga, Marco, 2007, "Structural change and the bond yield conundrum," MPRA Paper, University Library of Munich, Germany, number 4965, Jul.
• Doran, James & Jiang, Danling & Peterson, David, 2007, "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper, University Library of Munich, Germany, number 4995, Aug.
• Peroni, Chiara, 2007, "A non-parametric investigation of risk premia," MPRA Paper, University Library of Munich, Germany, number 5126, Jun, revised 01 Dec 2007.
• Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007, "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper, University Library of Munich, Germany, number 5173, Apr.
• Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007, "Accruals and Aggregate Stock Market Returns," MPRA Paper, University Library of Munich, Germany, number 5197, Sep.
• Albanese, Claudio, 2007, "Callable Swaps, Snowballs And Videogames," MPRA Paper, University Library of Munich, Germany, number 5229, Sep, revised 01 Oct 2007.
• Kovačić, Zlatko, 2007, "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper, University Library of Munich, Germany, number 5319, Oct.
• Magni, Carlo Alberto, 2007, "CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation," MPRA Paper, University Library of Munich, Germany, number 5468.
• Magni, Carlo Alberto, 2007, "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?," MPRA Paper, University Library of Munich, Germany, number 5471.
• Schoeneborn, Torsten & Schied, Alexander, 2007, "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper, University Library of Munich, Germany, number 5548, Nov.
• Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007, "Likelihood-based inference for correlated diffusions," MPRA Paper, University Library of Munich, Germany, number 5696.
• Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007, "Inference for stochastic volatility model using time change transformations," MPRA Paper, University Library of Munich, Germany, number 5697.
• Saleem, Kashif & Vaihekoski, Mika, 2007, "Time-varying global and local sources of risk in Russian stock market," MPRA Paper, University Library of Munich, Germany, number 5787, Sep.
• Magni, Carlo Alberto, 2007, "Measuring performance and valuing firms: In search of the lost capital," MPRA Paper, University Library of Munich, Germany, number 5850, Sep.
• Alpanda, Sami, 2007, "The Boom-Bust Cycle in Japanese Asset Prices," MPRA Paper, University Library of Munich, Germany, number 5895, Nov.
• Alpanda, Sami & Peralta-Alva, Adrian, 2007, "Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74," MPRA Paper, University Library of Munich, Germany, number 5896, Aug.
• Magni, Carlo Alberto, 2007, "A Sum&Discount method for appraising firms:An illustrative example," MPRA Paper, University Library of Munich, Germany, number 6114, Nov.
• Yoshida, Jiro, 2007, "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper, University Library of Munich, Germany, number 6271, Dec.
• Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007, "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper, University Library of Munich, Germany, number 6512.
• Magni, Carlo Alberto, 2007, "Residual income and value creation: An investigation into the lost-capital paradigm," MPRA Paper, University Library of Munich, Germany, number 6783, Nov.
• Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007, "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper, University Library of Munich, Germany, number 7299.
• Magni, Carlo Alberto, 2007, "Residual income and value creation: An investigation into the lost-capital paradigm," MPRA Paper, University Library of Munich, Germany, number 7335, Nov.
• Venier, Guido, 2007, "A new Model for Stock Price Movements," MPRA Paper, University Library of Munich, Germany, number 9146, Aug.
• Hyde, Stuart J, 2007, "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper, University Library of Munich, Germany, number 9679.
• Lukáš Vácha, 2007, "Fractal Properties of the Financial Market
  [Fraktální vlastnosti finančních trhů]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2007, issue 4, pages 49-55, DOI: 10.18267/j.aop.74.
• Jitka Veselá, 2007, "Some Less Known Charting Methods of Technical Analysis and Possibilities Its Using for Identification Trend Changes
  [Některé méně známé grafické metody technické analýzy a možnosti jejich využití k identifikaci změny trendu]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2007, issue 3, pages 32-40, DOI: 10.18267/j.cfuc.231.
• Jarmila Radová, 2007, "Measuring of bond price sensitivity
  [Měření citlivosti ceny dluhopisů]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2007, issue 3, pages 41-55, DOI: 10.18267/j.cfuc.232.
• Jan Frait & Luboš Komárek, 2007, "Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States?," Prague Economic Papers, Prague University of Economics and Business, volume 2007, issue 1, pages 3-23, DOI: 10.18267/j.pep.294.
• Lukáš Vácha & Miloslav Vošvrda, 2007, "Wavelet Decomposition of the Financial Market," Prague Economic Papers, Prague University of Economics and Business, volume 2007, issue 1, pages 38-54, DOI: 10.18267/j.pep.296.
• Karel Brůna, 2007, "Měnová politika, změny trendové inflace a nestabilita úrokových relací: analýza dynamiky dlouhodobých úrokových sazeb v kontextu změn repo sazby české národní banky
  [Monetary policy, trend inflation changes and volatility of interest rates relatio," Politická ekonomie, Prague University of Economics and Business, volume 2007, issue 1, pages 3-22, DOI: 10.18267/j.polek.587.
• Jiří Málek & Jarmila Radová & Filip Štěrba, 2007, "Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice
  [Vield curve construction using government bonds in the Czech republic]," Politická ekonomie, Prague University of Economics and Business, volume 2007, issue 6, pages 792-808, DOI: 10.18267/j.polek.624.
• Karel Brůna, 2007, "Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky
  [The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation polic," Politická ekonomie, Prague University of Economics and Business, volume 2007, issue 6, pages 829-851, DOI: 10.18267/j.polek.626.
• Julien Reynaud, 2007, "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, volume 87, issue 1, pages 241-246, DOI: 10.3406/ecofi.2007.4246.
• Michael Dueker & Martin Sola & Fabio Spagnolo, 2007, "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 5_2007, Apr.
• Stephen J. Taylor, 2007, "Introduction to Asset Price Dynamics, Volatility, and Prediction," Introductory Chapters, Princeton University Press, "Asset Price Dynamics, Volatility, and Prediction".
• Yu Ren & Katsumi Shimotsu, 2007, "Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test," Working Paper, Economics Department, Queen's University, number 1126, Jun.
• George Kapetanios, 2007, "Testing for Strict Stationarity," Working Papers, Queen Mary University of London, School of Economics and Finance, number 602, Jun.
• George Kapetanios, 2007, "A Test for Serial Dependence Using Neural Networks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 609, Oct.
• Giovanni Cespa, 2007, "Information Sales and Insider Trading with Long-lived Information," Working Papers, Queen Mary University of London, School of Economics and Finance, number 613, Oct.
• Chris Brooks & Xiafei Li & Joelle Miffre, 2007, "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-03, Apr.
• Carol Alexander & Aanand Venkatramanan, 2007, "Analytic Approximations for Spread Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-11, Aug.
• Xiafei Li & Chris Brooks & Jöelle Miffre, 2007, "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-12, Aug.
• Damiano Brigo & Naoufel El-Bachir, 2007, "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-14, Nov.
• Neil Crosby, 2007, "German Open Ended Funds: Was there a Valuation Problem?," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2007-05.
• 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.
• Berneburg, Marian, 2007, "Systematic Mispricing in European Equity Prices?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 6/2007.
• Uhlig, Harald, 2007, "Explaining asset prices with external habits and wage rigidities in a DSGE model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-003.
• Uhlig, Harald, 2007, "Explaining asset prices with external habits and wage rigidities in a DSGE model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-003a.
• Fischer, Matthias J., 2007, "Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-012.
• Detlefsen, Kai & Härdle, Wolfgang Karl & Moro, Rouslan A., 2007, "Empirical pricing kernels and investor preferences," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-017.
• Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007, "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-022.
• Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007, "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-023.
• Härdle, Wolfgang Karl & Mungo, Julius, 2007, "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-027.
• von Lilienfeld-Toal, Ulf & Ruenzi, Stefan, 2007, "Why managers hold shares of their firms: An empirical analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-055.
• Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M., 2007, "A stochastic volatility libor model and its robust calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-067.
• Breuer, Wolfgang & Feilke, Franziska & Gürtler, Marc, 2007, "Analysts' dividend forecasts, portfolio selection, and market risk premia," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW25V2.
• Entorf, Horst & Steiner, Christian, 2006, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-008.
• Schrimpf, Andreas & Grammig, Joachim G., 2007, "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-032 [rev.].
• Mathias Hoffmann & Thomas Nitschka, 2007, "The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 331, Sep.
• Thomas Nitschka, 2007, "International evidence for return predictability and the implications for long-run covariation of the G7 stock markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 338, Nov.
• Thomas Nitschka, 2007, "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 339, Nov.
• Thomas Nitschka, 2007, "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 340, Nov.
• 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.
• Jochen Wilhelm & Josef Schosser, 2007, "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, volume 1, issue 2, pages 133-149, August, DOI: 10.1007/s11846-007-0007-5.
• Andreas Ziegler & Michael Schröder & Anja Schulz & Richard Stehle, 2007, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse," Schmalenbach Journal of Business Research, Springer, volume 59, issue 3, pages 355-389, May, DOI: 10.1007/BF03371701.
• Steffen Brenner & Rainer Schulz & Wolfgang Härdle, 2007, "Realoptionen und Immobilienbewertung: Eine Umsetzungsstudie," Schmalenbach Journal of Business Research, Springer, volume 59, issue 8, pages 1002-1028, December, DOI: 10.1007/BF03372786.
• Pilar Abad-Romero & M. Robles-Fernández, 2007, "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer;Spanish Economic Association, volume 9, issue 2, pages 79-103, June, DOI: 10.1007/s10108-006-9020-0.
• Simone Alfarano & Thomas Lux, 2007, "A Minimal Noise Trader Model with Realistic Time Series Properties," Springer Books, Springer, in: Gilles Teyssière & Alan P. Kirman, "Long Memory in Economics", DOI: 10.1007/978-3-540-34625-8_12.
• Mikhail Anufriev & Pietro Dindo, 2007, "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2007/27, Dec.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 07-12.
• David K. Backus & Jonathan H. Wright, 2007, "Cracking the Conundrum," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 07-21.
• Joao Teixeira, 2007, "An empirical analysis of structural models of corporate debt pricing," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 14, pages 1141-1165, DOI: 10.1080/09603100600770994.