Research classified by Journal of Economic Literature (JEL) codes

2006

• Asgharian, Hossein & Karlsson, Sonnie, 2006, "Evaluating a nonlinear asset pricing model on international data," Working Papers, Lund University, Department of Economics, number 2006:5, Feb.
• Stecher, Jack D., 2006, "The Nonequivalence of the Earnings and Dividends Approaches to Equity Valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/1, Mar.
• Ekern, Steinar, 2006, "A Dozen Consistent CAPM-Related Valuation Models - So Why Use the Incorrect One?," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/6, May, revised 25 Apr 2007.
• Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006, "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/9, Aug, revised 21 Jun 2007.
• Bjerksund, Petter & Stensland, Gunnar, 2006, "Closed form spread option valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/20, Dec.
• Quoreshi, Shahiduzzaman, 2006, "LongMemory, Count Data, Time Series Modelling for Financial Application," Umeå Economic Studies, Umeå University, Department of Economics, number 673, Apr.
• Quoreshi, Shahiduzzaman, 2006, "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 674, Apr.
• Quoreshi, Shahiduzzaman, 2006, "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 675, Apr.
• Brännäs, Kurt & Lönnbark, Carl, 2006, "Effects of Explanatory Variables in Count Data Moving Average Models," Umeå Economic Studies, Umeå University, Department of Economics, number 679, Apr.
• Daunfeldt, Sven-Olov & Selander, Carina & Wikström, Magnus, 2006, "Taxation, Dividend Payments and Ex-Day Price Changes," Umeå Economic Studies, Umeå University, Department of Economics, number 684, Jun.
• Hellström, Jörgen & Simonsen, Ola, 2006, "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," Umeå Economic Studies, Umeå University, Department of Economics, number 687, Aug.
• Simonsen, Ola, 2006, "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies, Umeå University, Department of Economics, number 689, Aug.
• Fukuda, Shin-ichi & 福田, 慎一 & フクダ, シンイチ & Koibuchi, Satoshi & 鯉渕, 賢 & コイブチ, サトシ, 2006, "The Impacts of "Shock Therapy" on Large and Small Clients: Experiences from Two Large Bank Failures in Japan," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2006-8, Oct.
• Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers, Hong Kong Institute for Monetary Research, number 102006, Mar.
• Campbell, John, 2006, "Household Finance," Scholarly Articles, Harvard University Department of Economics, number 3157877.
• Barro, Robert, 2006, "On the Welfare Costs of Consumption Uncertainty," Scholarly Articles, Harvard University Department of Economics, number 3224745.
• Nuno Cassola & Christian Ewerhart & Claudio Morana, 2006, "Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem," ICER Working Papers, ICER - International Centre for Economic Research, number 26-2006, Jul.
• Carlos Forner Rodríguez & Joaquín Marhuenda Fructuoso, 2006, "Análisis del origen de los beneficios del momentum en el mercado de valores español," Investigaciones Economicas, Fundación SEPI, volume 30, issue 3, pages 401-439, September.
• Francisco Jareño Cebrián, 2006, "Sensibilidad de los rendimientos sectoriales a tipos de interés reales e inflación," Investigaciones Economicas, Fundación SEPI, volume 30, issue 3, pages 577-610, September.
• Shorish, Jamsheed, 2006, "Functional Rational Expectations Equilibria in Market Games," Economics Series, Institute for Advanced Studies, number 186, Feb.
• Reschreiter, Andreas, 2006, "Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting," Economics Series, Institute for Advanced Studies, number 193, Sep.
• Reschreiter, Andreas, 2006, "Indexed Bonds and Revisions of Inflation Expectations," Economics Series, Institute for Advanced Studies, number 199, Nov.
• Cem K. ARSLAN & Cumhur ERDEM & Meziyet Sema ERDEM, 2006, "Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 239, pages 125-135.
• M. Mete DOĞANAY & Ramazan AKTAŞ & Ünsal BAN, 2006, "Hisse senetlerinde risk ayrışımı ve İstanbul Menkul Kıymetler Borsası’nda bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 242, pages 27-33.
• Sıdıka BAŞÇI & Nildağ Başak CEYLAN, 2006, "Makroekonomik değişkenlerin borsa getirisi ve oynaklığı üzerindeki etkisi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 30-36.
• M.Mete DOĞANAY, 2006, "Fama-French üç faktör varlık fiyatlama modelinin İMKB’de uygulanması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 61-71.
• Charles P. Thomas, 2006, "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp162, Aug.
• Giuseppe Travaglini, 2006, "Irreversibility and Interest Rates," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 2, pages 173-183, August.
• Prasanna Gai & Nicholas Vause, 2006, "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Arturo Lorenzo Valdés, 2006, "Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 21, issue 1, pages 117-129, July.
• Bauwens, Luc, 2006, "Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue 1, pages 1-23, March.
• Naohiko Baba, 2006, "Financial Market Functioning and Monetary Policy: Japan's Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 39-71, December.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 83-109, December.
• Fernando Cruz Aranda, 2006, "Valuación Del Valor En Riesgo De Bonos Cupón Cero En El Mercado Financiero Mexicano A Través Del Modelo De Vasicek, Cir Y Simulación Monte Carlo Con Saltos De Poisson," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 5, issue 1, pages 47-83, Marzo 200.
• Andoni Gárritz Cruz, 2006, "VOLATILIDAD ESTOCÁSTICA, TEORÍA DE VALORES EXTREMOS Y VALUACIÓN DE DERIVADOS: CALIBRACIÓN Y ANÁLISIS DE 3 MODELOS DE PROCESOS ESTOCÁSTICOS PARA EL ÍNDICE DE LA BMV DE 1990 a 2005," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 5, issue 1, pages 85-110, Marzo 200.
• Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2006, "Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2006-010, Sep.
• Todd B. Walker, 2006, "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2006-011, Sep.
• Paulo Brito & Rui Dilao, 2006, "Equilibrium price dynamics in an overlapping-generations exchange economy," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2006/27.
• Juan A. Lafuente & Manuel Illueca Muñoz, 2006, "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-05, Feb.
• Matiur Rahman & Muhammad Mustafa & Anisul Islam & Kishor Kumar Guru-Gharana, 2006, "Growth and employment empirics of Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, volume 40, issue 1, pages 99-114, September.
• Johann Burgstaller, 2006, "Financial predictors of real activity and the propagation of aggregate shocks," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2006-16, Sep.
• Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006, "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 49-75, DOI: 10.1002/for.974.
• William Barnett & Ousmane Seck, 2006, "Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200605, Feb.
• William Barnett, 2006, "Divisia Monetary Index," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200606, Apr.
• William Barnett, 2006, "Supply of Money," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200607, Jul.
• Dan Bernhardt & Bart Taub, 2006, "Kyle v. Kyle (’85 v. ’89)," Annals of Finance, Springer, volume 2, issue 1, pages 23-38, January, DOI: 10.1007/s10436-005-0031-x.
• Robert Fernholz & Ioannis Karatzas, 2006, "The implied liquidity premium for equities," Annals of Finance, Springer, volume 2, issue 1, pages 87-99, January, DOI: 10.1007/s10436-005-0026-7.
• Xun Li & Zhenyu Wu, 2006, "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, volume 2, issue 2, pages 179-205, March, DOI: 10.1007/s10436-005-0034-7.
• William Barnett & John Keating & Unja Chae, 2006, "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, volume 2, issue 3, pages 229-258, July, DOI: 10.1007/s10436-006-0038-y.
• Min Fan, 2006, "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, volume 2, issue 3, pages 259-285, July, DOI: 10.1007/s10436-006-0039-x.
• M. Dempster & I. Evstigneev & M. Taksar, 2006, "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, volume 2, issue 4, pages 327-355, October, DOI: 10.1007/s10436-006-0042-2.
• Ramaprasad Bhar & Shigeyuki Hamori, 2006, "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 1, pages 1-9, March, DOI: 10.1007/s10690-007-9032-2.
• Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006, "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 2, pages 151-179, June, DOI: 10.1007/s10690-007-9039-8.
• Jirô Akahori & Takahiro Tsuchiya, 2006, "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 4, pages 299-313, December, DOI: 10.1007/s10690-007-9046-9.
• R. Doeswijk & H. Hemmes & R. Venekamp, 2006, "25 Years of Dutch Ipos: An Examination of Frequently Cited Ipo Anomalies Within Main Sectors and During Hot- and Cold-Issue Periods," De Economist, Springer, volume 154, issue 3, pages 405-427, September, DOI: 10.1007/s10645-006-9017-y.
• Yakov Amihud & Haim Mendelson, 2006, "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 19-32, April, DOI: 10.1007/s11408-006-0001-y.
• Paul Söderlind, 2006, "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 49-73, April, DOI: 10.1007/s11408-006-0005-7.
• Manuel Ammann & Michael Verhofen, 2006, "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 309-337, September, DOI: 10.1007/s11408-006-0018-2.
• Shuhong Kong & Majid Taghavi, 2006, "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 3, pages 318-326, August, DOI: 10.1007/s11294-006-9020-8.
• Dragon Tang & Hong Yan, 2006, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 177-210, June, DOI: 10.1007/s10693-006-7625-y.
• Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006, "Valuation in Over-the-Counter Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5491, Feb.
• Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5519, Mar.
• Hsieh, David A & Fung, William & Naik, Narayan, 2006, "Hedge Funds: Performance, Risk and Capital Formation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5565, Mar.
• Albuquerque, Rui & Vega, Clara, 2006, "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5598, Mar.
• Pijoan-Mas, Josep, 2006, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5602, Mar.
• Uppal, Raman & Bhamra, Harjoat Singh, 2006, "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5726, Jun.
• Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5770, Jul.
• Viceira, Luis & Jurek, Jakub W, 2006, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5773, Jul.
• Basak, Suleyman & Pavlova, Anna & Cass, David & Licari, Juan Manuel, 2006, "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5804, Aug.
• Schneider, Martin & Albuquerque, Rui & ,, 2006, "Global Private Information in International Equity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5819, Sep.
• Danthine, Jean-Pierre & Jin, Xiangrong, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5897, Oct.
• Krueger, Dirk & Lustig, Hanno, 2006, "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5936, Nov.
• Bekaert, Geert & Xing, Yuhang & Engstrom, Eric, 2006, "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5947, Nov.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006, "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5951, Nov.
• Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2006, "International Stock Return Comovements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5955, Nov.
• Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006, "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5956, Nov.
• Andrea Terzi & Giovanni Verga, 2006, "Stock-bond correlation and the bond quality ratio: Removing the discount factor to generate a “deflated” stock index," DISCE - Quaderni dell'Istituto di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number ief0067, Sep.
• Iori, G. & Reno, R. & de Masi, G. & Caldarelli, G., 2006, "Trading strategies in the Italian interbank market," Working Papers, Department of Economics, City St George's, University of London, number 06/03.
• Jeannin, M. & Iori, G. & Samuel, D., 2006, "Modeling stock pinning," Working Papers, Department of Economics, City St George's, University of London, number 06/04.
• de Masi, G. & Iori, G. & Caldarelli, G., 2006, "A fitness model for the Italian interbank money market," Working Papers, Department of Economics, City St George's, University of London, number 06/08.
• Mattiussi, V. & Iori, G., 2006, "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers, Department of Economics, City St George's, University of London, number 06/09.
• Iori, G. & Precup, O. V., 2006, "Weighted network analysis of high frequency cross-correlation measures," Working Papers, Department of Economics, City St George's, University of London, number 06/10.
• Robert D. Coleman, 2006, "Asset Pricing Simultaneities: Phases and Patterns," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 49-76, May.
• Priscilla Swartz, 2006, "Global Versus Regional Systematic Risk and International Asset Allocations in Asia," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 77-89, May.
• Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006, "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 405-424, November.
• Wood, Danielle & Anderson, Kym, 2006, "What Determines the Future Value of an Icon Wine? New Evidence from Australia," Journal of Wine Economics, Cambridge University Press, volume 1, issue 2, pages 141-161, October.
• Bidarkota, Prasad V., 2006, "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 56-76, February.
• Beaubrun-Diant, Kevin E., 2006, "Spectral Properties Of Asset Pricing Models: A General Equilibrium Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 2, pages 183-205, April.
• Lansing, Kevin J., 2006, "Lock-In Of Extrapolative Expectations In An Asset Pricing Model," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 3, pages 317-348, June.
• George J. Mailath & Georg Noldeke, 2006, "Extreme Adverse Selection, Competitive Pricing, and Market Breakdown," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1573, Jul.
• Troy Davig & Jeffrey R. Gerlach, 2006, "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers, Economics Department, William & Mary, number 31, Jul.
• Entorf, Horst & Steiner, Christian, 2006, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 36782, Feb.
• Entorf, Horst & Steiner, Christian, 2009, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77415.
• Fabrice Hervé, 2006, "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1060101, Jan.
• Fabrice Hervé, 2006, "Famille de fonds de pension, performance et persistance de la performance," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1060903, Sep.
• Sven Husmann & Andreas Stephan, 2006, "On Estimating an Asset's Implicit Beta," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 640.
• Richard J. Agnello, 2006, "Do U.S. Paintings Follow the CAPM? Findings Disaggregated by Subject, Artist, and Value of the Work," Working Papers, University of Delaware, Department of Economics, number 06-02.
• Nicolas Piluso, 2006, "Création de valeur actionnariale et chômage dans un modèle WS-PS," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-15.
• Kevin Elie Beaubrun-Diant & Julien Matheron, 2006, "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-16.
• Slim Chaouachi & Fredj Jawadi, 2006, "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-20.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22075, Jan.
• Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22481, Jan.
• Hammad A. Siddiqi, 2006, "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 22279, Jan.
• Ignacio Vélez-Pareja & Antonio Burbano-Pérez, 2006, "A Practical Guide for Consistency in Valuation: Cash Flows, Terminal Value and Cost of Capital," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, volume 5, pages 1-16, June.
• Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2006, "Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06002, Feb.
• Coeurdacier, Nicolas & Guibaud, Stéphane, 2006, "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06014, Oct.
• Fernandez, Pablo & Martinez, Jon, 2006, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2005," IESE Research Papers, IESE Business School, number D/617, Mar.
• Fernandez, Pablo & Carabias, Jose M. & Aznarez, Julio & Carbonell, Oscar E., 2006, "Euro Stoxx 50: 1997-2005. Shareholder value creation in Europe," IESE Research Papers, IESE Business School, number D/626, Apr.
• Fernandez, Pablo, 2006, "The correct value of tax shields: An analysis of 23 theories," IESE Research Papers, IESE Business School, number D/628, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Telefónica," IESE Research Papers, IESE Business School, number D/635, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas del Banco Santander," IESE Research Papers, IESE Business School, number D/637, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de BBVA," IESE Research Papers, IESE Business School, number D/638, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas del Banco Popular," IESE Research Papers, IESE Business School, number D/639, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Iberdrola," IESE Research Papers, IESE Business School, number D/640, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Endesa," IESE Research Papers, IESE Business School, number D/641, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Unión Fenosa," IESE Research Papers, IESE Business School, number D/642, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Repsol," IESE Research Papers, IESE Business School, number D/643, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Bankinter," IESE Research Papers, IESE Business School, number D/646, Sep.
• Fernandez, Pablo, 2006, "The equity premium in finance and valuation textbooks," IESE Research Papers, IESE Business School, number D/657, Oct.
• Fernandez, Pablo, 2006, "Descensos memorables en las cotizaciones: Telepizza y Boston Chicken," IESE Research Papers, IESE Business School, number D/660, Dec.
• Fernandez, Pablo, 2006, "A general formula for the WACC: A correction," IESE Research Papers, IESE Business School, number D/663, Dec.
• Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006, "The impact of the euro on financial markets," Working Paper Series, European Central Bank, number 598, Mar.
• Castrén, Olli & Fitzpatrick, Trevor & Sydow, Matthias, 2006, "What drives EU banks' stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series, European Central Bank, number 677, Sep.
• Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006, "Financial integration of new EU Member States," Working Paper Series, European Central Bank, number 683, Oct.
• Jakob B Madsen & E Philip Davis, 2006, "Equity Prices, Productivity Growth and 'The New Economy'," Economic Journal, Royal Economic Society, volume 116, issue 513, pages 791-811, July.
• Kiefer, Nicholas M. & Larson, C. Erik, 2006, "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers, Cornell University, Center for Analytic Economics, number 06-10, Sep.
• Guerdjikova, Ani, 2006, "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers, Cornell University, Center for Analytic Economics, number 06-13, Aug.
• Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006, "Is There Hedge Fund Contagion?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-1, Feb.
• Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006, "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-3, Mar.
• Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006, "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 06-4, Mar.
• Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006, "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2218-2231, December.
• Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006, "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 11, pages 2217-2260, November.
• Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006, "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1729-1753.
• Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006, "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1755-1786.
• Wu, Shu & Zeng, Yong, 2006, "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, volume 93, issue 2, pages 215-221, November.
• Menkhoff, Lukas & Schmeling, Maik, 2006, "A prospect-theoretical interpretation of momentum returns," Economics Letters, Elsevier, volume 93, issue 3, pages 360-366, December.
• Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006, "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 253-284.
• Guidolin, Massimo & Timmermann, Allan, 2006, "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 285-308.
• Holger Daske & Günther Gebhardt, 2006, "Zukunftsorientierte Bestimmung von Risikoprämien und Eigenkapitalkosten für die Unternehmensbewertung," Schmalenbach Journal of Business Research, Springer, volume 58, issue 4, pages 530-551, June, DOI: 10.1007/BF03371666.
• Marc Steffen Rapp, 2006, "Die arbitragefreie Adjustierung von Diskontierungssätzen bei einfacher Gewinnsteuer," Schmalenbach Journal of Business Research, Springer, volume 58, issue 6, pages 771-806, September, DOI: 10.1007/BF03371681.
• Freddy Delbaen & Walter Schachermayer, 2006, "The Mathematics of Arbitrage," Springer Finance, Springer, number 978-3-540-31299-4, ISBN: ARRAY(0x99290f00), October, DOI: 10.1007/978-3-540-31299-4.
• C. Gourieroux, 2006, "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 177-217, DOI: 10.1080/07474930600713234.
• Jun Yu & Renate Meyer, 2006, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 361-384, DOI: 10.1080/07474930600713465.
• Elisa Luciano & Wim Schoutens, 2006, "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 5, pages 385-402, DOI: 10.1080/14697680600806275.
• Roberto Ghiselli Ricci & Carlo Alberto Magni, 2006, "Economic value added and systemic value added: symmetry, additive coherence and differences in performance," Applied Financial Economics Letters, Taylor & Francis Journals, volume 2, issue 3, pages 151-154, DOI: 10.1080/17446540500426797.
• Maurice J. Roche, 2006, "The equity premium puzzle and decreasing relative risk aversion," Applied Financial Economics Letters, Taylor & Francis Journals, volume 2, issue 3, pages 179-182, DOI: 10.1080/17446540500447611.
• Petri Mäki-Fränti, 2006, "Money and Stock Returns: Is there habit formation for holding liquid assets?," Working Papers, Tampere University, Faculty of Management and Business, Economics, number 0647, Feb.
• Mehmet Horasanli, 2006, "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 2, pages 1-10.
• Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006, "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0608.
• , & ,, 2006, "Endogenous incomplete markets, enforcement constraints, and intermediation," Theoretical Economics, Econometric Society, volume 1, issue 4, pages 439-459, December.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-99.
• Loncarski, I. & Ter Horst, J.R. & Veld, C.H., 2006, "The Convertible Arbitrage Strategy Analyzed," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-98.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-55.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-23.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Non- and Semiparametric Analysis of MS Models : Some Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-95.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2006-007.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Econometric Analysis of Microscopic Simulation Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1beb5afd-1771-4e7b-a3ea-1.