Research classified by Journal of Economic Literature (JEL) codes

2006

• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Other publications TiSEM, Tilburg University, School of Economics and Management, number 65f6d007-95f0-427f-8922-a.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Other publications TiSEM, Tilburg University, School of Economics and Management, number 760257ae-6086-414d-9ace-5.
• Luis H. R. Alvarez E., 2006, "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers, Aboa Centre for Economics, number 12, Nov.
• Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006, "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers, Aboa Centre for Economics, number 9, Oct.
• Qiang Zhang, 2006, "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-428, Jun.
• Shin-ichi Fukuda & Satoshi Koibuchi, 2006, "The Impacts of "Shock Therapy" on Large and Small Clients:Experiences from Two Large Bank Failures in Japan," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-439, Oct.
• Andreas Park & Hamid Sabourian, 2006, "Herd Behavior in Efficient Financial Markets," Working Papers, University of Toronto, Department of Economics, number tecipa-249, Jul.
• Fatih Guvenen & Burhanettin Kuruscu, 2006, "Does Market Incompleteness Matter for Asset Prices?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 484-492, 04-05.
• Hanno Lustig & Adrien Verdelhan, 2006, "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 644-655, 04-05.
• Gershkov, Alex & Toxvaerd, Flavio, 2006, "On Seller Estimates and Buyer Returns," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 143, Feb.
• Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006, "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 151, May.
• Karl Whelan, 2006, "Consumption and expected asset returns without assumptions about unobservables," Open Access publications, School of Economics, University College Dublin, number 10197/219, May.
• H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006, "Inventory Information," The Journal of Business, University of Chicago Press, volume 79, issue 1, pages 325-364, January, DOI: 10.1086/497413.
• Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006, "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, volume 79, issue 1, pages 365-392, January, DOI: 10.1086/497414.
• Yaiza García Padrón & Juan García Boza, 2006, "¿Cómo valorar los planes de pensiones del sistema individual en España?," Estudios de Economia, University of Chile, Department of Economics, volume 33, issue 1 Year 20, pages 21-43, June.
• J.Marcelo Ochoa, 2006, "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, volume 33, issue 2 Year 20, pages 155-184, December.
• Michael Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2006-04, Apr.
• Marie Obidzinski & Bruno Deffains, 2006, "Real Options Theory for Law Maker," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2006-04.
• Csóka, P. & Herings, P.J.J. & Kóczy, L.Á., 2006, "Coherent measures of risk from a general equilibrium perspective," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 016, Jan, DOI: 10.26481/umamet.2006016.
• Ville, Simon, 2006, "The Equity Premium Puzzle: Australia and the United States in Comparative Perspective," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-25.
• José M. Marín & Jacques Olivier, 2006, "The dog that did not bark: Insider trading and crashes," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 948, Mar.
• Elisa Alòs & Jorge A. León & Josep Vives, 2006, "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 968, Jun.
• José M. Marín & Antoni Sureda-Gomila, 2006, "Firms vs. insiders as traders of last resort," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 999, Nov.
• Paul Söderlind, 2006, "C-CAPM Refinements and the Cross-Section of Returns," University of St. Gallen Department of Economics working paper series 2006, Department of Economics, University of St. Gallen, number 2006-07, Mar.
• Paul Söderlind, 2006, "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006, Department of Economics, University of St. Gallen, number 2006-22, Sep.
• Paul Söderlind, 2006, "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006, Department of Economics, University of St. Gallen, number 2006-26, Nov.
• Gunduz Caginalp & Vladimira Ilieva, 2006, "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena, University of Siena, number 008, Aug.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 186, Oct.
• Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006, "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_54.
• Lucy Amigo Dobaño, 2006, "Anomalías de los Mercados Financieros. Análisis de las Empresas Gallegas que cotizan en el Mercado de Renta Variable," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0602, Mar.
• Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006, "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0005.
• John Cotter & Jim Hanly, 2006, "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 7, pages 677-702, July.
• M. Illueca & J. A. LaFuente, 2006, "New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 9, pages 923-938, September.
• Klaus Abbink & Bettina Rockenbach, 2006, "Option pricing by students and professional traders: a behavioural investigation," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 497-510, DOI: 10.1002/mde.1284.
• Frait, Jan & Komarek, Lubos, 2006, "Monetary Policy and Asset Prices : What Role for Central Banks in New EU Member States?," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 738.
• Monika Witkowska, 2006, "Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 11, May.
• Slawomir Sklinda, 2006, "Application of fundamental multiples in capital asset pricing. An empirical verification on the Polish market (1998-2004)," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 9, May.
• Xiao-Ming Li & Lawrence C Rose, 2006, "The Impact Of Evolving Market Integration On Apec Emerging Stock Markets' World Betas," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-17, DOI: 10.1142/S2010495206500011.
• Carlo Alberto Magni & Stefano Malagoli & Giovanni Mastroleo, 2006, "An Alternative Approach To Firms' Evaluation: Expert Systems And Fuzzy Logic," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 195-225, DOI: 10.1142/S0219622006001812.
• Enlin Pan & Liuren Wu, 2006, "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting".
• Marco Realdon, 2006, "Quadratic Term Structure Models in Discrete Time," Discussion Papers, Department of Economics, University of York, number 06/01, Jan.
• P N Smith & S Sorensen & M R Wickens, 2006, "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers, Department of Economics, University of York, number 06/04, Jan.
• Adriana Breccia, 2006, "Sequential Restructuring of Debt Classes, Absolute Priority Violation and Spread Reversals Under Chapter 11," Discussion Papers, Department of Economics, University of York, number 06/09, May.
• Marco Realdon, 2006, "Equity Valuation Under Stochastic Interest Rates," Discussion Papers, Department of Economics, University of York, number 06/12, Jun.
• Hasan, Iftekhar & Zazzara, Cristiano, 2006, "Pricing risky bank loans in the new Basel II environment," Bank of Finland Research Discussion Papers, Bank of Finland, number 3/2006.
• Bask, Mikael, 2006, "Announcement effects on exchange rate movements: continuity as a selection criterion among the REE," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2006.
• Bask, Mikael, 2006, "Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE," Bank of Finland Research Discussion Papers, Bank of Finland, number 7/2006.
• Jokipii, Terhi, 2006, "Forecasting market crashes: further international evidence," Bank of Finland Research Discussion Papers, Bank of Finland, number 22/2006.
• Ravenna, Federico & Seppälä, Juha, 2006, "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers, Bank of Finland, number 25/2006.
• Taipalus, Katja, 2006, "A global house price pubble? Evaluation based on a new rent-price approach," Bank of Finland Research Discussion Papers, Bank of Finland, number 29/2006.
• Marsh, Ian W., 2006, "The effect of lenders' credit risk transfer activities on borrowing firms' equity returns," Bank of Finland Research Discussion Papers, Bank of Finland, number 31/2006.
• Lemke, Wolfgang & Archontakis, Theofanis, 2006, "Bond pricing when the short term interest rate follows a threshold process," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,06.
• Knetsch, Thomas A., 2006, "Forecasting the price of crude oil via convenience yield predictions," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,12.
• Bernoth, Kerstin & Wolff, Guntram B., 2006, "Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,19.
• Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006, "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,27.
• Hallerberg, Mark & Wolff, Guntram B., 2006, "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,35.
• Alfarano, Simone & Lux, Thomas, 2006, "A minimal noise trader model with realistic time series properties," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-11.
• Lux, Thomas & Kaizoji, Taisei, 2006, "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-13.
• Lux, Thomas, 2006, "The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-17.
• von Lilienfeld-Toal, Ulf & Ruenzi, Stefan, 2006, "Why managers hold shares of their firm: An empirical analysis," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 06-11.
• Krueger, Dirk & Lustig, Hanno & Perri, Fabrizio, 2006, "Evaluation asset pricing models with limited commitment using household consumption data," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/22.
• Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006, "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/23.
• Campbell, Rachel A. & Kräussl, Roman, 2006, "Revisiting the home bias puzzle: Downside equity risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/31.
• Franke, Günter & Lüders, Erik, 2006, "Return predictability and stock market crashes in a simple rational expectation models," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 06/05.
• Franke, Günter & Weber, Thomas, 2006, "Wieweit tragen rationale Modelle in der Finanzmarktforschung?," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 06/09.
• Entorf, Horst & Steiner, Christian, 2006, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 159.
• Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006, "Stock Market Volatility around National Elections," Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe, number 2006,2.
• Berneburg, Marian, 2006, "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 16/2006.
• Nitschka, Thomas, 2006, "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,11.
• Nitschka, Thomas, 2006, "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,12.
• Hoffmann, Mathias, 2006, "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,14.
• Detlefsen, Kai & Härdle, Wolfgang Karl, 2006, "Calibration risk for exotic options," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-001.
• Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006, "Time dependent relative risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-020.
• Belomestny, Denis & Schoenmakers, John G. M., 2006, "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-037.
• Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006, "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-051.
• Fest, Martin & Gürtler, Marc & Heithecker, Dirk, 2006, "Einflussfaktoren von Immobilienpreisen bei Renditeobjekten," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW23V1.
• Siebe, Wilfried & Milde, Hellmuth & Broll, Udo & Bieta, Volker, 2006, "A Strategic Approach to Financial Options," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 01/06.
• Schöbel, Rainer & Veith, Jochen, 2006, "An overreaction implementation of the coherent market hypothesis and option pricing," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 306.
• Dolzer, Armin & Nietert, Bernhard, 2006, "Portfolio selection with time constraints and a rational explanation of insufficient diversification and excessive trading," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 12.
• Grammig, Joachim G. & Schrimpf, Andreas, 2006, "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-032.
• Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006, "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-043.
• Ullrich, Katrin, 2006, "Market discipline and the use of government bonds as collateral in the EMU," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-046.
• Oberndorfer, Ulrich & Ziegler, Andreas, 2006, "Environmentally oriented energy policy and stock returns: an empirical analysis," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-079.
• Anna Ilyina, 2006, "Portfolio Constraints and Contagion in Emerging Markets," IMF Staff Papers, Palgrave Macmillan, volume 53, issue 3, pages 1-1.
• Luis Felipe Varas Greene, 2006, "Eleccion De Portafolio En Presencia De Mercados Iliquidos," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 9, issue 2, pages 79-97.
• Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006, "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-012, Jun.
• 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," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-016, Feb.
• Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006, "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-020, Mar, revised 17 Jul 2006.
• Jorge Farinha & Nuno Filipe Basílio, 2006, "Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0608, Oct.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Les modèles HJM et LMM revisités," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp042006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp052006, Apr.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp122006, Jun.
• Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006, "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp132006, Mar.
• Alain Coen & Francois-Éric Racicot, 2006, "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp142006, May.
• Juan Marcelo, Ochoa, 2006, "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper, University Library of Munich, Germany, number 1072, Nov.
• Verbic, Miroslav, 2006, "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper, University Library of Munich, Germany, number 1261, Aug.
• ilya, gikhman, 2006, "Fixed-income instrument pricing," MPRA Paper, University Library of Munich, Germany, number 1449, Oct.
• ilya, gikhman, 2006, "Some critical comments on credit risk modeling," MPRA Paper, University Library of Munich, Germany, number 1451, Jul, revised Jul 2006.
• Claudio, Ferrarese, 2006, "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper, University Library of Munich, Germany, number 1668, Sep.
• Kurz, Mordecai, 2006, "Beauty contests under private information and diverse beliefs: how different?," MPRA Paper, University Library of Munich, Germany, number 233, Aug, revised Apr 2006.
• Kurz, Mordecai & Motolese, Maurizio, 2006, "Risk Premia, diverse belief and beauty contests," MPRA Paper, University Library of Munich, Germany, number 247, Sep.
• Nuttall, John, 2006, "Asset allocation approach to understanding stock market dynamics," MPRA Paper, University Library of Munich, Germany, number 2504, Aug.
• Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006, "Stock market volatiltity around national elections," MPRA Paper, University Library of Munich, Germany, number 302, Jan, revised Nov 2006.
• Hirshleifer, David & Lim, Sonya Seongyeon & Teoh, Siew Hong, 2006, "Driven to distraction: Extraneous events and underreaction to earnings news," MPRA Paper, University Library of Munich, Germany, number 3110, Mar, revised 16 Apr 2007.
• Ielpo, Florian & Guégan, Dominique, 2006, "Further evidence on the impact of economic news on interest rates," MPRA Paper, University Library of Munich, Germany, number 3425, Dec, revised Jun 2007.
• Barnett, William A., 2006, "Divisia Monetary Index," MPRA Paper, University Library of Munich, Germany, number 418, Apr.
• Barnett, William A., 2006, "Supply of Money," MPRA Paper, University Library of Munich, Germany, number 419, Jul.
• Mattarocci, Gianluca, 2006, "Market characteristics and chaos dynamics in stock markets: an international comparison," MPRA Paper, University Library of Munich, Germany, number 4296, Jun, revised Jun 2006.
• Andraž, Grum, 2006, "Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti," MPRA Paper, University Library of Munich, Germany, number 4876, May.
• Grum, Andraž, 2006, "The effect of parallel OTC-DVP bond market introduction on yield curve volatility," MPRA Paper, University Library of Munich, Germany, number 4950, Apr.
• Carey, Alexander, 2006, "Path-conditional forward volatility," MPRA Paper, University Library of Munich, Germany, number 4964, Feb.
• Carey, Alexander, 2006, "Higher-order volatility: dynamics and sensitivities," MPRA Paper, University Library of Munich, Germany, number 5009, Aug.
• Han, Heejoon & Park, Joon Y., 2006, "Time series properties of ARCH processes with persistent covariates," MPRA Paper, University Library of Munich, Germany, number 5199, May.
• Chang, Yanqin, 2006, "How a small open economy's asset are priced by heterogeneous international investors," MPRA Paper, University Library of Munich, Germany, number 551, Aug.
• magni, Carlo Alberto, 2006, "Zelig and the Art of Measuring Excess Profit," MPRA Paper, University Library of Munich, Germany, number 5663, Jun.
• Whelan, Karl, 2006, "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper, University Library of Munich, Germany, number 5891, May.
• Camilleri, Silvio John, 2006, "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 62490.
• Brito, Paulo & Dilao, Rui, 2006, "Equilibrium price dynamics in an overlapping-generations exchange economy," MPRA Paper, University Library of Munich, Germany, number 699, Oct.
• Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno, 2006, "The exact value for European options on a stock paying a discrete dividend," MPRA Paper, University Library of Munich, Germany, number 701, Jan.
• Zhang, Dayong & Dickinson, David & Barassi, Marco, 2006, "Structural breaks, cointegration and B share discount in Chinese stock market," MPRA Paper, University Library of Munich, Germany, number 70353.
• Magni, Carlo Alberto, 2006, "CAPM-based capital budgeting and nonadditivity," MPRA Paper, University Library of Munich, Germany, number 7290, Mar.
• Rose, Martin & Zitouni, Loubna, 2006, "Modélisation d'actifs à volatilité stochastique et pricing d'options européennes
  [Modeling asset prices in a stochastic volatility environment and determining prices for European options]," MPRA Paper, University Library of Munich, Germany, number 81153, Jun.
• Bohumil Král, 2006, "Manažerské účetnictví: vývoj ve světle změn podnikatelského prostředí a manažerských potřeb
  [Management accounting: development in the light of changes of undertaking enviroment and managerial need," Politická ekonomie, Prague University of Economics and Business, volume 2006, issue 1, pages 108-123, DOI: 10.18267/j.polek.549.
• Alan S. Blinder, 2006, "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 73, Jul.
• Jean-Pierre Berdot & Jacques Léonard & Sophie Nivoix, 2006, "Valeurs de croissance contre valeurs de rendement : l’impossible stratégie," Revue d'Économie Financière, Programme National Persée, volume 86, issue 5, pages 363-373, DOI: 10.3406/ecofi.2006.4217.
• Alberto Montagnoli & Oreste Napolitano, 2006, "Financial Condition Index and interest rate settings: a comparative analysis," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 2_2006, Jan.
• Frank Milne & Xing Jin, 2006, "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper, Economics Department, Queen's University, number 1111, Oct.
• Marcelo Fernandes & Marco Aurélio dos Santos Rocha, 2006, "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers, Queen Mary University of London, School of Economics and Finance, number 579, Nov.
• Sergey Belousov, 2006, "Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)," Quantile, Quantile, issue 1, pages 101-110, September.
• James Hansen, 2006, "Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-03, May.
• Nalini Prasad & Anthony Richards, 2006, "Measuring Housing Price Growth – Using Stratification to Improve Median-based Measures," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-04, May.
• Chris Brooks & Apostolos Katsaris, 2006, "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-07, Jul.
• Carol Alexander & Andreas Kaeck, 2006, "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-08, Sep.
• Xiafei Li & Chris Brooks & Joelle Miffre, 2006, "Momentum Profits and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-09, Aug, revised Sep 2006.
• Damiano Brigo & Naoufel El-Bachir, 2006, "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-13, Dec.
• Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006, "The Inflation Hedging Characteristics of US and UK Investments:Â A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2006-01.
• Jianjun Miao, 2006, "A search model of centralized and decentralized trade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 9, issue 1, pages 68-92, January, DOI: 10.1016/j.red.2005.10.003.
• Jessica A. Wachter & Missaka Warusawitharana, 2006, "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers, Society for Economic Dynamics, number 22.
• Ulrich Horst & Jan Wezelburger, 2006, "Non-ergodic Behavior in a Financial Market with Interacting Investors," 2006 Meeting Papers, Society for Economic Dynamics, number 229.
• Sydney Ludvigson & Serena Ng, 2006, "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers, Society for Economic Dynamics, number 236.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2006, "Business Cycles under Generalized Disappointment Aversion," 2006 Meeting Papers, Society for Economic Dynamics, number 24.
• Edouard Challe & Xavier Ragot, 2006, "Bubbles and Self-fulfilling Crises," 2006 Meeting Papers, Society for Economic Dynamics, number 254.
• A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006, "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers, Society for Economic Dynamics, number 263.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," 2006 Meeting Papers, Society for Economic Dynamics, number 29.
• Toni M. Whited & Lu Zhang, 2006, "Testing the q-Theory of Anomalies," 2006 Meeting Papers, Society for Economic Dynamics, number 380.
• Ivan Jaccard, 2006, "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," 2006 Meeting Papers, Society for Economic Dynamics, number 574.
• Mariano M. Croce, 2006, "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers, Society for Economic Dynamics, number 582.
• Andrea Finicelli, 2006, "Consumption, wealth, and expected asset returns in the United States. Implications of housing wealth and housing consumption," 2006 Meeting Papers, Society for Economic Dynamics, number 597.
• Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006, "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers, Society for Economic Dynamics, number 628.
• Satyajit Chatterjee & Dean Corbae & Jose-Victor Rios-Rull, 2006, "Finite-Life, Private-Information Theory of Unsecured Debt," 2006 Meeting Papers, Society for Economic Dynamics, number 781.
• Monika Piazzesi & Martin Schneider, 2006, "Expectations and Asset Prices with Heterogeneous Households," 2006 Meeting Papers, Society for Economic Dynamics, number 828.
• Robert F. Martin, 2006, "The Baby Boom: Predictability in House Prices and Interest Rates," 2006 Meeting Papers, Society for Economic Dynamics, number 84.
• Francois Gourio, 2006, "Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," 2006 Meeting Papers, Society for Economic Dynamics, number 846.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," 2006 Meeting Papers, Society for Economic Dynamics, number 864.
• Urban Jermann & Vivian Z. Yue, 2006, "Interest Rate Swap and Corporate Default," 2006 Meeting Papers, Society for Economic Dynamics, number 866.
• Ricardo Lagos & Guillaume Rocheteau, 2006, "Search in Asset Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 869.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers, Society for Economic Dynamics, number 872.
• Stavros Panageas & Jianfeng Yu, 2006, "Technological Growth, Asset Pricing, and Consumption Risk over Long Horizons," 2006 Meeting Papers, Society for Economic Dynamics, number 93.
• Khaïs Dachraoui & Georges Dionne, 2006, "Conditions ensuring the decomposition of asset demand for all risk-averse investors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-1, Jul.
• Joachim Zietz, 2006, "Stock Price Bubble and Trade Deficit in the Wake of a Large Technology Shock: The Case of the U.S," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 2, pages 247-267.
• Pankaj Jain, 2006, "Improving liquidity through efficient stock market structure and operational design," Journal of Financial Transformation, Capco Institute, volume 18, pages 151-159.
• Lupu, Radu, 2006, "Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 3, issue 2, pages 58-71, June.
• Larry Epstein & Martin Schneider, 2006, "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 527, Apr.
• Alessandro Ludovici, 2006, "The Application of Neural Networks to the Pricing of Credit Derivatives," Rivista di Politica Economica, SIPI Spa, volume 96, issue 6, pages 187-221, November-.
• John Cotter & François Longin, 2006, "Implied correlation from VaR," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1156.
• Leonardo Becchetti & Rocco Ciciretti, 2006, "Corporate Social Responsibility and Stock Market Performance," CEIS Research Paper, Tor Vergata University, CEIS, number 79, Mar, revised 22 Mar 2006.
• L. Baele & K. Inghelbrecht, 2006, "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/413, Sep.
• Bruce Mizrach & Chris Neely, 2006, "The Transition to Electronic Trading in the Secondary Treasury Market," Departmental Working Papers, Rutgers University, Department of Economics, number 200603, Jan.
• Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006, "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 2, pages 135-149, August, DOI: 10.1177/097265270600500202.
• Hee Seong Kim & Sang-Bum Park, 2006, "The Dynamic Relationship between Main Investors' Net Long Position and the Trading Volume of KTB Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 3, pages 217-233, December, DOI: 10.1177/097265270600500302.
• Holger Daske & Günther Gebhardt & Stefan Klein, 2006, "Estimating the Expected Cost of Equity Capital Usind Analysts’ Consensus Forecasts," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 1, pages 2-36, January.
• Christian Koziol, 2006, "Optimal Debt Service: Straight vs. Convertible Debt," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 2, pages 124-151, April.
• Gunther Friedl, 2006, "Discussion of "Optimal Debt Service: Straight vs. Convertible Debt"," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 2, pages 152-156, April.
• Clive G. Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe11.
• Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe15.
• Geraldine Ryan, 2006, "The predictive power of the present value model of stock prices," Computing in Economics and Finance 2006, Society for Computational Economics, number 102, Jul.
• Carl Chiarella & Roberto Dieci & Tony He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 108, Jul.
• Emmanuel Haven, 2006, "Private information and the use of a so called 'information function'," Computing in Economics and Finance 2006, Society for Computational Economics, number 113, Jul.
• Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006, "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 197, Jul.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 217, Jul.
• David Colliings & Nicola Baxter, 2006, "Computational Finance Techniques for Valuing Customers," Computing in Economics and Finance 2006, Society for Computational Economics, number 220, Jul.
• Mikhail Anufriev & Giulio Bottazzi, 2006, "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006, Society for Computational Economics, number 225, Jul.
• Eva Carceles Poveda & Chryssi Giannitsarou, 2006, "Asset pricing with adaptive learning," Computing in Economics and Finance 2006, Society for Computational Economics, number 25, Jul.
• Pilar Grau-Carles, 2006, "Extreme observations in developed and emerging equity markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 254, Jul.
• Lars Grüne & Willi Semmler & Lucas Bernard, 2006, "Firm Value and Default Correlation," Computing in Economics and Finance 2006, Society for Computational Economics, number 275, Jul.
• Ricardo Gimeno & Juan M. Nave, 2006, "Using genetic algorithms to improve the term structure of interest rates fitting," Computing in Economics and Finance 2006, Society for Computational Economics, number 276, Jul.
• Arpad Abraham & Eva Carceles-Poveda, 2006, "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006, Society for Computational Economics, number 320, Jul.