Research classified by Journal of Economic Literature (JEL) codes

2007

• Kurt Brannas & Ola Simonsen, 2007, "Discretized time and conditional duration modelling for stock transaction data," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 8, pages 647-658, DOI: 10.1080/09603100600690044.
• Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007, "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 253-288, DOI: 10.1080/07474930701220352.
• Johan Parmler & Andres Gonzalez, 2007, "Is Momentum Due to Data-snooping?," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 4, pages 301-318, DOI: 10.1080/13518470600880127.
• Ovidiu V. Precup & Giulia Iori, 2007, "Cross-correlation Measures in the High-frequency Domain," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 4, pages 319-331, DOI: 10.1080/13518470600813565.
• Kais Dachraoui & Georges Dionne, 2007, "Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 5, pages 397-404, DOI: 10.1080/13518470601025326.
• Markku Lanne & Saikkonen Pentti, 2007, "Modeling Conditional Skewness in Stock Returns," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 691-704, DOI: 10.1080/13518470701538608.
• Ming-Yuan Leon Li & Her-Jiun Sheu & Lin Lin & Yu-Chi Tang, 2007, "Market Conditions and Abnormal Returns of IPO-An Empirical Study of Taiwan's High-Tech Companies," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 5, issue 1, pages 51-64, DOI: 10.1080/14765280601109329.
• Carlo Alberto Magni, 2007, "Project valuation and investment decisions: CAPM versus arbitrage," Applied Financial Economics Letters, Taylor & Francis Journals, volume 3, issue 2, pages 137-140, DOI: 10.1080/17446540500426821.
• ,, 2007, "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, volume 2, issue 2, June.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-31.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-29.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2007-013.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2007-012.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6d98ed80-6419-4144-93aa-5.
• Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007, "The Price of Ethics : Evidence from Socially Responsible Mutual Funds," Other publications TiSEM, Tilburg University, School of Economics and Management, number bf970e18-a5f6-469a-87fb-e.
• Monika Piazzesi & Martin Schneider, 2007, "Asset Prices and Asset Quantities," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 380-389, 04-05.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2007, "A Theory of Limited Liquidity and Large Investors Causing Spikes in Stock Market Volatility and Trading Volume," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 564-573, 04-05.
• Josep Pijoan-Mas, 2007, "Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets," Journal of the European Economic Association, MIT Press, volume 5, issue 5, pages 987-1015, September.
• Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 684-700, November.
• John Geweke & Gianni Amisano, 2007, "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers, University of Brescia, Department of Economics, number 0705.
• Gianni Amisano & Roberto Savona, 2007, "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers, University of Brescia, Department of Economics, number 0706.
• Tsvetanka Karagyozova, 2007, "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers, University of Connecticut, Department of Economics, number 2007-46, Nov, revised Sep 2008.
• Juan Pablo Domínguez H., 2007, "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 32, issue 23, pages 63-90, january-j.
• Brice Corgnet & Angela Sutan, 2007, "Communications in Financial Markets: a Strategy method Experiment," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/07, Aug.
• Javier Gomez Biscarri & Germán López Espinosa, 2007, "The influence of differences in accounting standards on empirical pricing models: An application to the Fama-French model," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/07, Dec.
• Francisco Peñaranda & Jón Daníelsson, 2007, "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1003, Jan, revised Mar 2010.
• Francisco Peñaranda, 2007, "Portfolio choice beyond the traditional approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1026, Mar.
• Belén Nieto & Gonzalo Rubio, 2007, "Measuring time-varying economic fears with consumption-based stochastic discount factors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1029, Apr, revised Sep 2007.
• Francisco Peñaranda & Enrique Sentana, 2007, "Duality in mean-variance frontiers with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1058, Oct.
• Daniele Marazzina, 2007, "Interest Rate Modeling: A Matlab Implementation," Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont, number 112, Apr.
• Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2007, "Interval LU-fuzzy arithmetic in the Black and Scholes option pricing," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 0704, revised 2007.
• Paul Söderlind, 2007, "Predicting Stock Price Movements: Regressions versus Economists," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-23, Jun.
• Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007, "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-29, Jul.
• Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
• Ernst Juerg Weber, 2007, "The Role of the Real Interest Rate in US Macroeconomic History," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 07-01.
• Kevin X.D. Huang & Zheng Liu & John Q. Zhu, 2007, "Temptation and Self-Control: Some Evidence and Applications," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0711, Aug.
• Benjamin Eden, 2007, "Liquidity, Equity Premium and Participation," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0715, Sep.
• Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007, "Dynamic Risk Exposure in Hedge Funds," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_17.
• Horace W. Brock, 2007, "The Ability to ''Outperform the Market'': Logical Foundations based on the Theory of Rational Beliefs," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 115, issue 3, pages 365-402.
• Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007, "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 149, Mar.
• Yeyati, Eduardo Levy & Schmukler, Sergio L. & Van Horen, Neeltje, 2007, "Emerging market liquidity and crises," Policy Research Working Paper Series, The World Bank, number 4445, Dec.
• Sven Husmann & Andreas Stephan, 2007, "On estimating an asset's implicit beta," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 10, pages 961-979, October.
• Charlotte Christiansen & Angelo Ranaldo, 2007, "Realized bond—stock correlation: Macroeconomic announcement effects," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 5, pages 439-469, May.
• 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, DOI: 10.1111/j.0022-2879.2007.00031.x.
• Rumiana Górska, 2007, "Decomposition of the realized rate of return on investment in fixed-income securities," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 3, May.
• Szymon Grabowski, 2007, "Real economic activity and state of financial markets," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 7, May.
• Chenghu Ma, 2007, "Preferences, Lévy Jumps And Option Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 01, pages 1-33, DOI: 10.1142/S2010495207500017.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2007, "Asset Bubbles without Dividends - An Experiment," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 07-01, Apr.
• Weber, Martin & Welfens, Frank, 2007, "An Individual Level Analysis of the Disposition Effect: Empirical and Experimental Evidence," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 07-45, Jun.
• Sadayuki Ono, 2007, "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers, Department of Economics, University of York, number 07/05, Mar.
• Paola Zerilli, 2007, "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers, Department of Economics, University of York, number 07/08, May.
• Peter N Smith & Steffen Sorensen & Mike Wickens, 2007, "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers, Department of Economics, University of York, number 07/11, May.
• Renatas Kizys & Peter Spencer, 2007, "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers, Department of Economics, University of York, number 07/13, Jun.
• Jacco Thijssen, 2007, "Ramsey Waits: A Computational Study on General Equilibrium Pricing of Derivative Securities," Discussion Papers, Department of Economics, University of York, number 07/16, Jun.
• Sadayuki Ono, 2007, "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers, Department of Economics, University of York, number 07/29, Oct.
• Wei Xiong & Hongjun Yan & Review Financial, 2007, "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers, Yale School of Management, number amz2614, Jan, revised 01 Jun 2009.
• Müller, Jens, 2007, "Die Fehlbewertung durch das Stuttgarter Verfahren: eine Sensitivitätsanalyse der Werttreiber von Steuer- und Marktwerten," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 25.
• Ravenna, Federico & Seppälä, Juha, 2007, "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers, Bank of Finland, number 18/2007.
• Archontakis, Theofanis & Lemke, Wolfgang, 2007, "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,02.
• Loretan, Michael Stanislaus & Kurz-Kim, Jeong-Ryeol, 2007, "A note on the coefficient of determination in regression models with infinite-variance variables," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,10.
• Lemke, Wolfgang, 2007, "An affine macro-finance term structure model for the euro area," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,13.
• Lux, Thomas, 2007, "Applications of statistical physics in finance and economics," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-05.
• Herwartz, Helmut & Golosnoy, Vasyl, 2007, "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-23.
• Kempf, Alexander & Osthoff, Peer, 2007, "The effect of socially responsible investing on portfolio performance," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 06-10.
• Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007, "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-04.
• Agarwal, Vikas & Wang, Lingling, 2007, "Transaction costs and value premium," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-06.
• Agarwal, Vikas & Kale, Jayant R., 2007, "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-11.
• Canto, Bea & Kräussl, Roman, 2007, "Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/20.
• Griebsch, Susanne & Kühn, Christoph & Wystup, Uwe, 2007, "Instalment options: a closed-form solution and the limiting case," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 5.
• Cremers, Heinz & Walzner, Jens, 2007, "Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 80.
• Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-03, May.
• Charlotte Christiansen, 2007, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-05, May.
• Charlotte Christiansen, 2007, "Decomposing European Bond and Equity Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-06, May.
• Stig V. Møller, 2007, "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-07, May.
• Viktor Todorov & Tim Bollerslev, 2007, "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-15, Aug.
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
• Tim Bollerslev & Hao Zhou, 2007, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-17, Aug.
• Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007, "Risk, Jumps, and Diversification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-19, Aug.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-24, Sep.
• 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," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-25, Sep.
• Tom Engsted & Stuart Hyde & Stig V. Møller, 2007, "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-31, Oct.
• Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007, "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-37, Nov.
• Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007, "Forward-Looking Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-39, Nov.
• Ilia D. Dichev, 2007, "What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns," American Economic Review, American Economic Association, volume 97, issue 1, pages 386-401, March, DOI: 10.1257/aer.97.1.386.
• Hanno Lustig & Adrien Verdelhan, 2007, "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, volume 97, issue 1, pages 89-117, March, DOI: 10.1257/aer.97.1.89.
• Markus K. Brunnermeier & Jonathan A. Parker & Christian Gollier, 2007, "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, American Economic Association, volume 97, issue 2, pages 159-165, May.
• Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007, "Slow Moving Capital," American Economic Review, American Economic Association, volume 97, issue 2, pages 215-220, May.
• Harald Uhlig, 2007, "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," American Economic Review, American Economic Association, volume 97, issue 2, pages 239-243, May.
• Martin L. Weitzman, 2007, "Subjective Expectations and Asset-Return Puzzles," American Economic Review, American Economic Association, volume 97, issue 4, pages 1102-1130, September, DOI: 10.1257/aer.97.4.1102.
• Monika Merz & Eran Yashiv, 2007, "Labor and the Market Value of the Firm," American Economic Review, American Economic Association, volume 97, issue 4, pages 1419-1431, September, DOI: 10.1257/aer.97.4.1419.
• Stefano DellaVigna & Joshua M. Pollet, 2007, "Demographics and Industry Returns," American Economic Review, American Economic Association, volume 97, issue 5, pages 1667-1702, December, DOI: 10.1257/aer.97.5.1667.
• Malcolm Baker & Jeffrey Wurgler, 2007, "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, volume 21, issue 2, pages 129-152, Spring.
• Collins G. Ntim & Kwaku K. Opong & Jo Danbolt, 2007, "An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market Using Variance-Ratios Tests," The African Finance Journal, Africagrowth Institute, volume 9, issue 2, pages 1-25.
• Power, Gabriel J. & Turvey, Calum G., 2007, "Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9782, DOI: 10.22004/ag.econ.9782.
• Ren, Yu & Shimotsu, Katsumi, 2007, "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273602, Jun, DOI: 10.22004/ag.econ.273602.
• Osaki, Yusuke, 2007, "Risk and Derivative Price," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151179, DOI: 10.22004/ag.econ.151179.
• Marian Florin Aitai, 2007, "The Evaluation Of Financial Instruments," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 9, pages 1-12.
• Andrea Morone, 2007, "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 0019, Oct, revised Oct 2007.
• Jordi Esteve Comas & Didac Ramirez Sarrio, 2007, "The relationship of capitalization period length with market portfolio composition and betas," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 176.
• Scott Hendry & Nadja Kamhi, 2007, "Uncollateralized Overnight Loans Settled in LVTS," Staff Working Papers, Bank of Canada, number 07-11, DOI: 10.34989/swp-2007-11.
• Fousseni Chabi-Yo & Jun Yang, 2007, "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers, Bank of Canada, number 07-21, DOI: 10.34989/swp-2007-21.
• Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007, "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers, Bank of Canada, number 07-27, DOI: 10.34989/swp-2007-27.
• Christopher Chung & Bryan Campbell & Scott Hendry, 2007, "Price Discovery in Canadian Government Bond Futures and Spot Markets," Staff Working Papers, Bank of Canada, number 07-4, DOI: 10.34989/swp-2007-4.
• Michael R. King & Eric Santor, 2007, "Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms," Staff Working Papers, Bank of Canada, number 07-40, DOI: 10.34989/swp-2007-40.
• Bryan Campbell & Scott Hendry, 2007, "Price Discovery in Canadian and U.S. 10-Year Government Bond Markets," Staff Working Papers, Bank of Canada, number 07-43, DOI: 10.34989/swp-2007-43.
• Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault, 2007, "Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing," Staff Working Papers, Bank of Canada, number 07-47, DOI: 10.34989/swp-2007-47.
• Verónica Balzarotti, 2007, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 46, pages 7-61, January -.
• Roberto Blanco & Fernando Restoy, 2007, "Have real interest rates really fallen that much in Spain?," Working Papers, Banco de España, number 0704, Feb.
• Orazio P. Attanasio & Monica Paiella, 2007, "Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 620, Apr.
• Angela Romagnoli, 2007, "Balance-sheet ratios and stock returns: An analysis for Italian banks," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 648, Nov.
• Laurent Clerc, 2007, "Understanding Asset Prices: Determinants and Policy Implications," Working papers, Banque de France, number 168.
• Alain Monfort & Fulvio Pegoraro, 2007, "Switching VARMA Term Structure Models - Extended Version," Working papers, Banque de France, number 191.
• David K. Backus & Jonathan H. Wright, 2007, "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 38, issue 1, pages 293-329.
• Robert J. Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 38, issue 2, pages 111-134.
• Ian Ayres & Colin Rowat & Nasser Zakariya, 2004, "Optimal Two Stage Committee Voting Rules," Discussion Papers, Department of Economics, University of Birmingham, number 04-23, Dec, revised Mar 2007.
• Don H Kim & Athanasios Orphanides, 2007, "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, June.
• Frank Packer & Ryan Stever & Christian Upper, 2007, "The covered bond market," BIS Quarterly Review, Bank for International Settlements, September.
• Rogér Otten & Dennis Bams, 2007, "The Performance of Local versus Foreign Mutual Fund Managers," European Financial Management, European Financial Management Association, volume 13, issue 4, pages 702-720, September, DOI: 10.1111/j.1468-036X.2007.00379.x.
• Nobuyuki Oda & Kazuo Ueda, 2007, "The Effects Of The Bank Of Japan'S Zero Interest Rate Commitment And Quantitative Monetary Easing On The Yield Curve: A Macro‐Finance Approach," The Japanese Economic Review, Japanese Economic Association, volume 58, issue 3, pages 303-328, September, DOI: 10.1111/j.1468-5876.2007.00422.x.
• Martin Lettau & Jessica A. Wachter, 2007, "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, volume 62, issue 1, pages 55-92, February, DOI: 10.1111/j.1540-6261.2007.01201.x.
• Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2007, "Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market," Journal of Finance, American Finance Association, volume 62, issue 2, pages 557-595, April, DOI: 10.1111/j.1540-6261.2007.01217.x.
• Harrison Hong & Jeremy C. Stein & Jialin Yu, 2007, "Simple Forecasts and Paradigm Shifts," Journal of Finance, American Finance Association, volume 62, issue 3, pages 1207-1242, June, DOI: 10.1111/j.1540-6261.2007.01234.x.
• S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet, 2007, "Theory And Calibration Of Swap Market Models," Mathematical Finance, Wiley Blackwell, volume 17, issue 1, pages 111-141, January, DOI: 10.1111/j.1467-9965.2007.00296.x.
• Francesca Biagini & Tomas Björk, 2007, "On The Timing Option In A Futures Contract," Mathematical Finance, Wiley Blackwell, volume 17, issue 2, pages 267-283, April, DOI: 10.1111/j.1467-9965.2006.00303.x.
• Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2007, "What captures liquidity risk? A comparison of trade and order based liquidity factors," Working Paper, Norges Bank, number 2007/03, Jun.
• Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2007, "Hvilke faktorer driver kursutviklingen på Oslo Børs?," Working Paper, Norges Bank, number 2007/08, Dec.
• Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007, "Asset pricing implications of a New Keynesian model," Bank of England Staff Working Paper series, Bank of England, number 326, Jun.
• Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007, "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England Staff Working Paper series, Bank of England, number 334, Nov.
• Yasuaki Amatatsu & Naohiko Baba, 2007, "Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis," Bank of Japan Working Paper Series, Bank of Japan, number 07-E-12, Jul.
• Nobuyuki Oda & Takashi Suzuki, 2007, "A Macro-Finance Analysis of the Term Structure and Monetary Policy in Japan: Using a Model with Time-Variant Equilibrium Rates of Real Interest and Inflation and with the Zero Lower Bound of Nominal Interest Rates," Bank of Japan Working Paper Series, Bank of Japan, number 07-E-17, Aug.
• Hibiki Ichiue & Yoichi Ueno, 2007, "Equilibrium Interest Rate and the Yield Curve in a Low Interest Rate Environment," Bank of Japan Working Paper Series, Bank of Japan, number 07-E-18, Jul.
• Chae-Shick Chung & Jong Sung Lee, 2007, "Empirical Investigation of Stochastic Volatility Interest Rate Models using the EMM: The Case of Korea (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 3, pages 41-69, September.
• Doriana Ruffino, 2007, "Resuscitating The Businessman Risk: A Rationale For Familiarity-Based Portfolios," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-037, Sep.
• Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente, 2007, "A Polynomial Term Structure Model with Macroeconomic Variables," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 1, pages 79-92.
• Pornpinun Chantapacdepong, 2007, "Determinants of the time varying risk premia," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 07/597, Mar.
• Drobetz, Wolfgang & Erdmann, Thomas & Zimmermann, Heinz, 2007, "Predictability in the cross-section of European bank stock returns," Working papers, Faculty of Business and Economics - University of Basel, number 2007/21.
• Georges Prat, 2007, "Les comportements boursiers sont-ils eulériens ?," Revue économique, Presses de Sciences-Po, volume 58, issue 2, pages 427-453.
• Corrado, L. & Miller, M. & Zhang, L., 2007, "Bulls, Bears and Excess Volatility: can currency intervention help?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0708, Jan.
• McQuinn, Kieran & O' Reilly, Gerard, 2007, "A Model of Cross-Country House Prices," Research Technical Papers, Central Bank of Ireland, number 5/RT/07, Jul.
• Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2007, "Single and joint default in a structural model with purely discontinuous assets," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 41.
• Elisa Luciano & Patrizia Semeraro, 2007, "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 42.
• Filippo Taddei, 2007, "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 67.
• Rodolfo Apreda, 2007, "Factoring governance risk into investors´expected rates of return by means of a weighted average governance index," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 356, Sep.
• José Pablo Dapena, 2007, "Sobre Burbujas De Precios De Activos, Expectativas Y Equilibrios," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 361, Dec.
• Gregory Connor & Matthias Hagmann & Oliver Linton, 2007, "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 524, Oct.
• Magdalena Morgese Borys, 2007, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp323, Mar.
• Vyacheslav Mikhed & Petr Zemcik, 2007, "Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp337, Oct.
• Vyacheslav Mikhed & Petr Zemcik, 2007, "Testing for Bubbles in Housing Markets: A Panel Data Approach," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp338, Oct.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-220, May.
• Ivan Jaccard, 2007, "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-19, Jun.
• Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007, "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-20, Jun.
• Ivan Jaccard, 2007, "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-23, Jul, revised Nov 2007.
• Gregory Connor & Matthias Hagmann & Oliver Linton, 2007, "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-26, Sep.
• Amine Jalal, 2007, "Dynamic Option-Based Strategies under Downside Loss Averse Preferences," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-34, Sep.
• Nicolas Melissas, 2007, "The Trader, the Market Maker, his Guru and her Information," Working Papers, Centro de Investigacion Economica, ITAM, number 0702, Jan.
• Virginie Coudert & Mathieu Gex, 2007, "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers, CEPII research center, number 2007-02, Jan.
• Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret, 2007, "Competition and Survival of Stock Exchanges: Lessons From Canada," CIRANO Working Papers, CIRANO, number 2007s-26, Nov.
• Cécile Carpentier & Jean-François L'Her & Stephan Smith & Jean-Marc Suret, 2007, "Risk, Timing and Overoptimism in Private Placements and Public Offerings," CIRANO Working Papers, CIRANO, number 2007s-27, Nov.
• Boyan Jovanovic, 2007, "Bubbles in Prices of Exhaustible Resources," Levine's Working Paper Archive, David K. Levine, number 122247000000001414, Aug.
• Lars Peter Hansen & Jose A Sheinkman, 2007, "Long-term Risk: An Operator Approach," Levine's Bibliography, UCLA Department of Economics, number 122247000000001669, Nov.
• Robert J Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models," Levine's Bibliography, UCLA Department of Economics, number 122247000000001682, Nov.
• Narayana R. Kocherlakota & Luigi Pistaferri, 2007, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 321307000000000701, Jan.
• Peter C.B. Phillips & Jun Yu, 2007, "Information Loss in Volatility Measurement with Flat Price Trading," Levine's Bibliography, UCLA Department of Economics, number 321307000000000805, Jan.
• Abel Elizalde, 2007, "From Basel I to Basel II: An Analysis of the Three Pillars," Working Papers, CEMFI, number wp2007_0704.
• Francisco Peñaranda & Enrique Sentana, 2007, "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers, CEMFI, number wp2007_0715.
• Ian Babetskii & Lubos Komarek & Zlatuse Komarkova, 2007, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Working Papers, Czech National Bank, Research and Statistics Department, number 2007/7, Dec.
• Esteban G�mez & sandra Rozo, 2007, "Beyond Bubbles:The role of asset prices in early-warning indicators," Borradores de Economia, Banco de la Republica, number 4050, Sep.
• Esteban G�mez & Sandra Rozo, 2007, "Beyond Bubbles: The role of asset prices in early-warning indicators," Borradores de Economia, Banco de la Republica, number 4245, Sep.
• Pedro Felipe Lega & Andr�s Murcia & Diego V�squez & Tatiana Venegas, 2007, "Volatilidad de la tasa de cambio nominal en Colombia," Borradores de Economia, Banco de la Republica, number 4390, Dec.
• Carolina Ramírez L., 2007, "Impacto de las noticias sobre el mercado de deuda pública interna en Colombia," Coyuntura Económica, Fedesarrollo.
• Ignacio Velez-Pareja & Joseph Tham, 2007, "The tyranny of rounding errors: the mismatching of APV and the DCF in perpetuities in Brealey and Myers 6th and 7th edition of Principles of Corporate," Proyecciones Financieras y Valoración, Master Consultores, number 3938, Aug.
• Ignacio Velez-Pareja, 2007, "Looking Forward Financial Ratio and Value Analysis (Valor de la firma y razones financieras para el an√°lisis financiero)," Proyecciones Financieras y Valoración, Master Consultores, number 3940, Aug.
• María Angélica Arbeláez Restrepo & Fabi�n Garc�a A. & Carlos Sandoval M., 2007, "El crédito no bancario: una alternativa para la bancarización y la reducción de la pobreza. El caso del "Crédito Fácil para Todos" de CODENSA," Coyuntura Social, Fedesarrollo, number 12867, Dec.
• Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007, "Slow Moving Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 6117, Feb.
• Michaelides, Alexander & Gomes, Francisco, 2007, "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers, Centre for Economic Policy Research, number 6136, Feb.
• Kilian, Lutz & Park, Cheolbeom, 2007, "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 6166, Mar.
• Gollier, Christian & Brunnermeier, Markus & Parker, Jonathan A, 2007, "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 6181, Mar.
• Brunnermeier, Markus & Julliard, Christian, 2007, "Money Illusion and Housing Frenzies," CEPR Discussion Papers, Centre for Economic Policy Research, number 6183, Mar.
• Timmermann, Allan & Guidolin, Massimo, 2007, "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 6188, Mar.
• Giannitsarou, Chryssi & Carceles-Poveda, Eva, 2007, "Asset Pricing with Adaptive Learning," CEPR Discussion Papers, Centre for Economic Policy Research, number 6223, Apr.
• Chernov, Mikhail & Broadie, Mark & Johannes, Michael, 2007, "Understanding Index Option Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 6239, May.
• Marín Vigueras, José Maria & Olivier, Jacques, 2007, "The Dog that Did Not Bark: Insider Trading and Crashes," CEPR Discussion Papers, Centre for Economic Policy Research, number 6244, Apr.
• Storesletten, Kjetil & Violante, Giovanni & Heathcote, Jonathan, 2007, "Consumption and Labour Supply with Partial Insurance: An Analytical Framework," CEPR Discussion Papers, Centre for Economic Policy Research, number 6280, May.
• Campbell, John Y & Schwartz, Allie, 2007, "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers, Centre for Economic Policy Research, number 6390, Jul.
• Toxvaerd, Flavio & Gershkov, Alex, 2007, "On Seller Estimates and Buyer Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 6503, Oct.
• Marcet, Albert & Nicolini, Juan Pablo & Adam, Klaus, 2007, "Stock Market Volatility and Learning," CEPR Discussion Papers, Centre for Economic Policy Research, number 6518, Oct.
• Sentana, Enrique & Peñaranda, Francisco, 2007, "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers, Centre for Economic Policy Research, number 6566, Nov.
• Albuquerque, Rui & Miao, Jianjun, 2007, "Advance Information and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 6588, Nov.
• Schaefer, Stephen & Acharya, Viral & Zhang, Yili, 2007, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," CEPR Discussion Papers, Centre for Economic Policy Research, number 6619, Dec.
• Marie Lambert, 2007, "Four-Moment Asset Pricing Model: Computation Standards and specification Tests for Moment-Related Risk Premia," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 07-14.