Research classified by Journal of Economic Literature (JEL) codes

2008

• Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008, "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 1, pages 71-91, July, DOI: 10.1007/s11146-007-9060-8.
• Brent Ambrose & Yildiray Yildirim, 2008, "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 281-298, October, DOI: 10.1007/s11146-008-9119-1.
• Partha Dasgupta, 2008, "Discounting climate change," Journal of Risk and Uncertainty, Springer, volume 37, issue 2, pages 141-169, December, DOI: 10.1007/s11166-008-9049-6.
• Christian Gollier, 2008, "Discounting with fat-tailed economic growth," Journal of Risk and Uncertainty, Springer, volume 37, issue 2, pages 171-186, December, DOI: 10.1007/s11166-008-9050-0.
• Roland Füss & Michael Bechtel, 2008, "Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election," Public Choice, Springer, volume 135, issue 3, pages 131-150, June, DOI: 10.1007/s11127-007-9250-1.
• Mark Hallerberg & Guntram Wolff, 2008, "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," Public Choice, Springer, volume 136, issue 3, pages 379-396, September, DOI: 10.1007/s11127-008-9301-2.
• Rani Hoitash & Murugappa (Murgie) Krishnan, 2008, "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 1, pages 25-47, January, DOI: 10.1007/s11156-007-0042-y.
• Mark Cassano & Bing Han, 2008, "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 1, pages 49-67, January, DOI: 10.1007/s11156-007-0041-z.
• Bharat Kolluri & Mahmoud Wahab, 2008, "Stock returns and expected inflation: evidence from an asymmetric test specification," Review of Quantitative Finance and Accounting, Springer, volume 30, issue 4, pages 371-395, May, DOI: 10.1007/s11156-007-0060-9.
• Yaw Mensah & Robert Werner, 2008, "The capital market implications of the frequency of interim financial reporting: an international analysis," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 1, pages 71-104, July, DOI: 10.1007/s11156-007-0069-0.
• John Maher & Robert Brown & Raman Kumar, 2008, "Firm valuation, abnormal earnings, and mutual funds flow," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 2, pages 167-189, August, DOI: 10.1007/s11156-007-0065-4.
• Ben Marshall & Martin Young & Rochester Cahan, 2008, "Are candlestick technical trading strategies profitable in the Japanese equity market?," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 2, pages 191-207, August, DOI: 10.1007/s11156-007-0068-1.
• Aldo Montesano, 2008, "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, volume 65, issue 2, pages 97-123, September, DOI: 10.1007/s11238-007-9095-6.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2008, "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," KIER Working Papers, Kyoto University, Institute of Economic Research, number 654, Jun.
• GOLLIER Christian, 2008, "Ecological Discounting," LERNA Working Papers, LERNA, University of Toulouse, number 08.18.262, Jul.
• GOLLIER Christian, 2008, "Discounting with fat-tailed economic growth," LERNA Working Papers, LERNA, University of Toulouse, number 08.19.263, Jul.
• GOLLIER Christian, 2008, "Should we discount the far-distant future at its lowest possible rate?," LERNA Working Papers, LERNA, University of Toulouse, number 08.30.274, Nov.
• Nawazish Mirza & Saima Shahid, 2008, "Size and Value Premium inKarachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 1-26, Jul-Dec.
• Nawazish Mirza, 2008, "Size and value premium in Karachi stock exchange," CREB Working papers, Centre for Research in Economics and Business, The Lahore School of Economics, number 1-2008, revised 2008.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4151, May.
• Gann, Philipp & Laut, Amelie, 2008, "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4231, Jun.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 4482, May.
• Schaber, Albert, 2008, "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 7956, May.
• Kajuth, Florian & Watzka, Sebastian, 2008, "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics, University of Munich, Department of Economics, number 4858, Jul.
• Abul Shamsuddin & Jae H. Kim, 2008, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 1837-2198/978-0-9807041-0.
• David Büttner & Bernd Hayo, 2008, "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 200815.
• Philippe Bacchetta & Eric Van Wincoop, 2008, "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 5, pages 837-866, August.
• Catherine Kyrtsou & Michel Terraza, 2008, "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_09, Sep, revised Sep 2008.
• Naoto Isaka & Hiroshi Yoshikawa, 2008, "The Effect of Reductions in Minimum Trading Units on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 10, Jan.
• Joelle Miffre, 2008, "Conditional Risk Premia in International Government Bond Markets," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 3-4, pages 185-204, September.
• Marc Steffen Rapp & Bernhard Schwetzler, 2008, "Equilibrium Security Prices with Capital Income Taxes and an Exogenous Interest Rate," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 64, issue 3, pages 334-351, September, DOI: 10.1628/001522108X374160.
• Giorgio PIZZUTTO, 2008, "Rischio di lungo periodo e premio a termine," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-003, Feb.
• Giorgio PIZZUTTO, 2008, "Tassi di interesse reali, rischio di lungo periodo e cicli economici," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-005, Feb.
• Giorgio PIZZUTTO, 2008, "Rischio di lungo periodo e premio a termine," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-03, Feb.
• Giorgio PIZZUTTO, 2008, "Tassi di interesse reali, rischio di lungo periodo e cicli economici," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2008-05, Feb.
• Zoltán Reppa, 2008, "Interest rate expectations and macroeconomic shocks affecting the yield curve," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 3, issue 3, pages 26-32, December.
• Csaba Csávás & Lóránt Varga & Csaba Balogh, 2008, "The forint interest rate swap market and the main drivers of swap spreads," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/64.
• Zoltán Reppa, 2008, "Estimating yield curves from swap, BUBOR and FRA data," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/73.
• Jaime Andrés Correa García & Fernando Jaramillo Betancur & Leidy Johana Ramírez Bedoya & Carlos Eduardo Castaño Rios, 2008, "Es factible en las pymes la valoración y la creación de valor Patterns in Neighboring Areas Colombia," Lúmina. Revista iberoamericana de Contabilidad, Administración y Economía, Facultad de Ciencias Contables, Económicas y Administrativas, Universidad de Manizales., volume 0, issue 9, pages 20-46, Diciembre.
• Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008, "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp08044, May.
• Mathieu Gatumel & Dominique Guegan, 2008, "Towards an understanding approach of the insurance linked securities market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08006, Jan.
• Moez Abouda, 2008, "Decreasing absolute risk aversion: some clarification," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08024, Mar.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08026, Mar.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08049, Sep.
• Mathieu Gatumel, 2008, "Relevancy of the cost-of-capital rate for the insurance companies," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08094, Nov.
• Emmanuel F. Jurczenko & Bertrand Maillet & Paul M. Merlin, 2008, "Efficient frontier for robust higher-order moment portfolio selection," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number bla08062, Oct.
• Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008, "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/08, Apr.
• Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008, "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research, National Bank of Belgium, number 150, Oct.
• Marek Rozkrut, 2008, "It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication," NBP Working Papers, Narodowy Bank Polski, number 47, Apr.
• Xavier Gabaix, 2008, "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 13724, Jan.
• Julia Coronado & Olivia S. Mitchell & Steven A. Sharpe & S. Blake Nesbitt, 2008, "Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values," NBER Working Papers, National Bureau of Economic Research, Inc, number 13726, Jan.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008, "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 13739, Jan.
• Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008, "Catering Through Nominal Share Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13762, Jan.
• Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008, "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13786, Feb.
• Lubos Pastor & Robert F. Stambaugh, 2008, "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13804, Feb.
• Emmanuel Farhi & Xavier Gabaix, 2008, "Rare Disasters and Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 13805, Feb.
• Yacine Ait-Sahalia & Jialin Yu, 2008, "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 13825, Feb.
• Bruce Lehmann, 2008, "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 13848, Mar.
• Efraim Benmelech & Nittai K. Bergman, 2008, "Collateral Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 13874, Mar.
• Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008, "The Wealth-Consumption Ratio," NBER Working Papers, National Bureau of Economic Research, Inc, number 13896, Mar.
• Robert J. Barro & José F. Ursúa, 2008, "Macroeconomic Crises since 1870," NBER Working Papers, National Bureau of Economic Research, Inc, number 13940, Apr.
• Andrew Ang & Matthew Rhodes-Kropf & Rui Zhao, 2008, "Do Funds-of-Funds Deserve Their Fees-on-Fees?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13944, Apr.
• Jennifer Huang & Jiang Wang, 2008, "Liquidity and Market Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14013, May.
• Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008, "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 14019, May.
• Jennifer Huang & Jiang Wang, 2008, "Market Liquidity, Asset Prices and Welfare," NBER Working Papers, National Bureau of Economic Research, Inc, number 14058, Jun.
• Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008, "Hedge Fund Contagion and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 14068, Jun.
• Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008, "Common Risk Factors in Currency Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14082, Jun.
• Joost Driessen & Tse-Chun Lin & Ludovic Phalippou, 2008, "A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14144, Jun.
• Paul Asquith & Rebecca Oman & Christopher Safaya, 2008, "Short Sales and Trade Classification Algorithms," NBER Working Papers, National Bureau of Economic Research, Inc, number 14158, Jul.
• Edward L. Glaeser & Joseph Gyourko & Albert Saiz, 2008, "Housing Supply and Housing Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 14193, Jul.
• Robert E. Hall & Susan E. Woodward, 2008, "The Burden of the Nondiversifiable Risk of Entrepreneurship," NBER Working Papers, National Bureau of Economic Research, Inc, number 14219, Aug.
• Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008, "Asset Management, Human Capital, and the Market for Risky Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14340, Sep.
• Dongmei Li & Lu Zhang, 2008, "Costly External Finance: Implications for Capital Markets Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 14342, Sep.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2008, "Costly Financial Intermediation in Neoclassical Growth Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 14351, Sep.
• Zhiguo He & Arvind Krishnamurthy, 2008, "A Model of Capital and Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 14366, Sep.
• Jessica Wachter, 2008, "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14386, Oct.
• Anthony W. Lynch & Jessica A. Wachter, 2008, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14411, Oct.
• Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008, "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers, National Bureau of Economic Research, Inc, number 14424, Oct.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008, "The True Cost of Social Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 14427, Oct.
• Nicholas C. Barberis & Wei Xiong, 2008, "Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14440, Oct.
• Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 14463, Nov.
• Amir E. Khandani & Andrew W. Lo, 2008, "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14465, Nov.
• Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14473, Nov.
• Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008, "Taxes on Tax-Exempt Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14496, Nov.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008, "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 14500, Nov.
• Thomas J. Brennan & Andrew W. Lo, 2008, "Impossible Frontiers," NBER Working Papers, National Bureau of Economic Research, Inc, number 14525, Dec.
• George M. Constantinides & Anisha Ghosh, 2008, "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 14543, Dec.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008, "Mispricing of S&P 500 Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 14544, Dec.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008, "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14609, Dec.
• Bernard Dumas & Andrew Lyasoff, 2008, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers, National Bureau of Economic Research, Inc, number 14629, Dec.
• Kurt Dew, 2008, "The Definition of Bank and the Subprime Mortgage Crisis: Tying Bank Regulation to Banks’ Risk-Return Trade-offs in the 21st Century," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2007-WP-17B, Feb.
• Ping Zhang, 2008, "Uniform Price Auctions and Fixed Price Offerings in IPOs: An Experimental Comparison," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2008-05, Apr.
• Clive G. Bowsher & Roland Meeks, 2008, "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W05, 04.
• H. Bertholon & A. Monfort & F. Pegoraro, 2008, "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 407-458, Fall.

2007

• Maria Rosa Borges, 2007, "An Arbitrage Model for the Stock Price Adjustment in the Dividend Period," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2007/09.
• Alfredo Juan Grau Grau & Begoña Font Belaire, 2007, "Ume Y La Integración De Los Mercados De Capitales Europeos: Relevancia Del Tipo De Cambio Y La Inflación," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2007-14, Dec.
• Thomas A. Knetsch, 2007, "Forecasting the price of crude oil via convenience yield predictions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 7, pages 527-549, DOI: 10.1002/for.1040.
• Paul Kupiec, 2007, "Financial stability and Basel II," Annals of Finance, Springer, volume 3, issue 1, pages 107-130, January, DOI: 10.1007/s10436-006-0059-6.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2007, "Industry and time specific deviations from fundamental values in a random coefficient model," Annals of Finance, Springer, volume 3, issue 2, pages 257-276, March, DOI: 10.1007/s10436-006-0047-x.
• Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor, 2007, "Correlation and the pricing of risks," Annals of Finance, Springer, volume 3, issue 4, pages 411-453, October, DOI: 10.1007/s10436-006-0063-x.
• Eduardo Giménez, 2007, "On the positive fundamental value of money with short-sale constraints," Annals of Finance, Springer, volume 3, issue 4, pages 455-469, October, DOI: 10.1007/s10436-006-0060-0.
• Oh Kwon, 2007, "Duration, factor sensitivities, and interest rate Greeks," Annals of Finance, Springer, volume 3, issue 4, pages 471-486, October, DOI: 10.1007/s10436-006-0055-x.
• Cyrus Ramezani & Yong Zeng, 2007, "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, volume 3, issue 4, pages 487-507, October, DOI: 10.1007/s10436-006-0062-y.
• Jianxin Wang, 2007, "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 3, pages 201-210, September, DOI: 10.1007/s10690-007-9059-4.
• Jason Childs, 2007, "Rate of Return Parity with Robot Asset Traders," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 1, pages 1-12, February, DOI: 10.1007/s10614-006-9060-4.
• P. Herings & Felix Kubler, 2007, "Approximate CAPM When Preferences are CRRA," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 1, pages 13-31, February, DOI: 10.1007/s10614-006-9061-3.
• Lars Grüne & Willi Semmler, 2007, "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 233-265, May, DOI: 10.1007/s10614-006-9063-1.
• Chia-Hsuan Yeh, 2007, "The role of intelligence in time series properties," Computational Economics, Springer;Society for Computational Economics, volume 30, issue 2, pages 95-123, September, DOI: 10.1007/s10614-007-9089-z.
• Andreas Ziegler & Michael Schröder & Klaus Rennings, 2007, "The effect of environmental and social performance on the stock performance of european corporations," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 37, issue 4, pages 661-680, August, DOI: 10.1007/s10640-007-9082-y.
• Maria Sandsmark & Haakon Vennemo, 2007, "A portfolio approach to climate investments: CAPM and endogenous risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 37, issue 4, pages 681-695, August, DOI: 10.1007/s10640-006-9049-4.
• David Rey & Markus Schmid, 2007, "Feasible momentum strategies: Evidence from the Swiss stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 21, issue 3, pages 325-352, September, DOI: 10.1007/s11408-007-0051-9.
• Juan Rendon & William Ziemba, 2007, "Is the January effect still alive in the futures markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 21, issue 3, pages 381-396, September, DOI: 10.1007/s11408-007-0049-3.
• Maria Borges, 2007, "Underpricing of Initial Public Offerings: The Case of Portugal," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 13, issue 1, pages 65-80, February, DOI: 10.1007/s11294-006-9064-9.
• Anthony Herbst, 2007, "Lunacy in the Stock Market—What is the Evidence?," Journal of Bioeconomics, Springer, volume 9, issue 1, pages 1-18, April, DOI: 10.1007/s10818-007-9016-3.
• Rob Bauer & Jeroen Derwall & Rogér Otten, 2007, "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, volume 70, issue 2, pages 111-124, January, DOI: 10.1007/s10551-006-9099-0.
• Paul Kupiec, 2007, "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, volume 32, issue 1, pages 103-122, October, DOI: 10.1007/s10693-007-0013-4.
• YongQiang Chu & Tien Sing, 2007, "Optimal Timing of Real Estate Investment under an Asymmetric Duopoly," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 3, pages 327-345, April, DOI: 10.1007/s11146-007-9016-z.
• Brian Ciochetti & James Shilling, 2007, "Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 4, pages 425-445, May, DOI: 10.1007/s11146-007-9021-2.
• Toshitaka Sekine & Towa Tachibana, 2007, "Land as Production Input and Collateral: Land Investment by Japanese Firms," The Journal of Real Estate Finance and Economics, Springer, volume 35, issue 4, pages 497-526, November, DOI: 10.1007/s11146-007-9051-9.
• Charles Cao & Jing-Zhi Huang, 2007, "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, volume 10, issue 1, pages 1-38, January, DOI: 10.1007/s11147-007-9015-5.
• Jan Seifert & Marliese Uhrig-Homburg, 2007, "Modelling jumps in electricity prices: theory and empirical evidence," Review of Derivatives Research, Springer, volume 10, issue 1, pages 59-85, January, DOI: 10.1007/s11147-007-9011-9.
• Howard Chan & Robert Faff & Philip Gharghori & Yew Ho, 2007, "The relation between R&D intensity and future market returns: does expensing versus capitalization matter?," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 1, pages 25-51, July, DOI: 10.1007/s11156-007-0023-1.
• Yuenan Wang & Amalia Di Iorio, 2007, "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 2, pages 181-203, August, DOI: 10.1007/s11156-007-0026-y.
• William Terando & Wayne Shaw & David Smith, 2007, "Valuation and classification of company issued cash and share-puts," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 3, pages 223-240, October, DOI: 10.1007/s11156-007-0033-z.
• Guangsug Hahn & Dong Chul Won, 2007, "Equilibrium in Financial Markets with Market Frictions," Korean Economic Review, Korean Economic Association, volume 23, pages 267-302.
• Chiaki Hara, 2007, "Complete Monotonicity of the Representative Consumer's Discount Factor," KIER Working Papers, Kyoto University, Institute of Economic Research, number 636, Jul.
• Pascal ST-AMOUR, 2007, "Benchmarks in Aggregate Household Portfolios," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 07.07, Jan.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 0741.
• Maurice J. Roche & Michael J. Moore, 2007, "Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1750507.
• Patarick Leoni, 2007, "A market microstructure explanation of IPOs underpricing," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1770807.
• Shu Wu, 2007, "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, volume 39, issue 2-3, pages 423-442, March.
• Antonis Demos & George Vasillelis, 2007, "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 1-2, pages 97-122, March-Jun.
• Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So, 2007, "Asymmetric Return and Volatility Responses to Composite News from Stock Markets," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 179-210, September.
• Ahmad Naimzada & Giorgio Ricchiuti, 2007, "Dynamic Effects of Increasing Heterogeneity in Financial Markets," Working Papers, University of Milano-Bicocca, Department of Economics, number 111, revised 2007.
• Michael McKenzie & Olan T. Henry, 2007, "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series, The University of Melbourne, number 1001.
• Paulo Maio, 2007, "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 111, Feb.
• Jens Hilscher & Yves Nosbusch, 2007, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 114, Feb, revised 24 Apr 2007.
• Burcu Hacibedel & Jos van Bommel, 2007, "Do emerging markets benefit from index inclusion?," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 128, Feb.
• Renatas Kizys & Peter Spencer, 2007, "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 140, Feb.
• Luisa Corrado & Marcus Miller & Lei Zhang, 2007, "Exchange Rate Monitoring Bands: Theory and Policy," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 146, Feb.
• Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007, "Asset pricing implications for a New Keynesian model," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 156, Feb.
• Parantap Basu, 2007, "Understanding Labour Market Frictions: A Tobin’s Q Approach," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 35, Feb.
• Mario Cerrato & Kan Kwok Cheung, 2007, "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 49, Feb.
• Weber, Martin & Welfens, Frank, 2007, "An individual level analysis of the disposition effect : empirical and experimental evidence," Papers, Sonderforschungsbreich 504, number 07-45.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2007, "Asset bubbles without dividends : an experiment," Papers, Sonderforschungsbreich 504, number 07-01.
• Carlo Alberto Magni, 2007, "A Sum&Discount Method for Appraising Firms: An Illustrative Example," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0572, Nov.
• Carlo Alberto Magni, 2007, "A Sum&Discount Method for Appraising Firms: An Illustrative Example," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 572, Nov.
• Marianna Brunetti & Costanza Torricelli, 2007, "The role of demographic variables in explaining financial returns in Italy," Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica, number 0701, Jan.
• Dominique Guegan, 2007, "Global and local stationary modelling in finance: theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07053, Apr.
• Dominique Guegan & Jing Zhang, 2007, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b07057, Nov, DOI: 10.1080/13518470902895344.
• Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007, "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/07, Aug.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2007, "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/07, Jun.
• Qin Xiao & Weihong Huang, 2007, "Risk and Predictability of Singapore’s Direct Residential Real Estate Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0702, Feb.
• M. Collin, 2007, "The flattening of the yield curve : causes and economic policy implications," Economic Review, National Bank of Belgium, issue i, pages 47-60, June.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007, "The determinants of stock and bond return comovements," Working Paper Research, National Bank of Belgium, number 119, Oct.
• Monika Piazzesi & Martin Schneider, 2007, "Equilibrium Yield Curves," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2006, Volume 21".
• Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007, "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
• Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007, "Systemic Risk and Hedge Funds," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
• Andrew Ang & Jun Liu, 2007, "Risk, Return and Dividends," NBER Working Papers, National Bureau of Economic Research, Inc, number 12843, Jan.
• Borja Larrain & Motohiro Yogo, 2007, "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12847, Jan.
• Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007, "Slow Moving Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 12877, Jan.
• Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007, "The Demand for Treasury Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 12881, Jan.
• Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007, "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12912, Feb.
• Charles W. Calomiris & Doron Nissim, 2007, "Activity-Based Valuation of Bank Holding Companies," NBER Working Papers, National Bureau of Economic Research, Inc, number 12918, Feb.
• Andrew Ang & Geert Bekaert & Min Wei, 2007, "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12930, Feb.
• Nicholas Barberis & Ming Huang, 2007, "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12936, Feb.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2007, "Market Liquidity and Funding Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12939, Feb.
• Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007, "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12940, Feb.
• Lars Peter Hansen, 2007, "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12948, Mar.
• Torben G. Andersen & Luca Benzoni, 2007, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12962, Mar.
• Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007, "Durability of Output and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12986, Mar.
• Laura X. L. Liu & Toni Whited & Lu Zhang, 2007, "Regularities," NBER Working Papers, National Bureau of Economic Research, Inc, number 13024, Apr.
• Jonathan B. Berk & Ian Tonks, 2007, "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 13042, Apr.
• Robert E. Hall & Susan E. Woodward, 2007, "The Incentives to Start New Companies: Evidence from Venture Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 13056, Apr.
• John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007, "Global Currency Hedging," NBER Working Papers, National Bureau of Economic Research, Inc, number 13088, May.
• Owen Lamont & Andrea Frazzini, 2007, "The Earnings Announcement Premium and Trading Volume," NBER Working Papers, National Bureau of Economic Research, Inc, number 13090, May.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13107, May.
• Ravi Bansal & Robert Dittmar & Dana Kiku, 2007, "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 13108, May.
• Ulrike Malmendier & Devin Shanthikumar, 2007, "Do Security Analysts Speak in Two Tongues?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13124, May.
• Craig Burnside, 2007, "The Forward Premium is Still a Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 13129, May.
• Martin D. D. Evans & Richard K. Lyons, 2007, "Exchange Rate Fundamentals and Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 13151, Jun.
• Malcolm Baker & Jeffrey Wurgler, 2007, "Investor Sentiment in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 13189, Jun.