Research classified by Journal of Economic Literature (JEL) codes

2006

• R. Doeswijk & H. Hemmes & R. Venekamp, 2006, "25 Years of Dutch Ipos: An Examination of Frequently Cited Ipo Anomalies Within Main Sectors and During Hot- and Cold-Issue Periods," De Economist, Springer, volume 154, issue 3, pages 405-427, September, DOI: 10.1007/s10645-006-9017-y.
• Yakov Amihud & Haim Mendelson, 2006, "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 19-32, April, DOI: 10.1007/s11408-006-0001-y.
• Paul Söderlind, 2006, "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 49-73, April, DOI: 10.1007/s11408-006-0005-7.
• Manuel Ammann & Michael Verhofen, 2006, "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 309-337, September, DOI: 10.1007/s11408-006-0018-2.
• Shuhong Kong & Majid Taghavi, 2006, "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 3, pages 318-326, August, DOI: 10.1007/s11294-006-9020-8.
• Dragon Tang & Hong Yan, 2006, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 177-210, June, DOI: 10.1007/s10693-006-7625-y.
• Guangsug Hahn & Dongchul Won, 2006, "Competitive Equilibrium with Short-selling and Nontransitivie Preferences," Korean Economic Review, Korean Economic Association, volume 22, pages 25-67.
• Móricz, Dániel, 2006, "Vállalati nyugdíjkötelezettségek és a részvények kockázata - tőkeáttétel és kereszttulajdonlás
  [Corporate pension liabilities and risk of stocks - leverage and cross-holding]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 144-157.
• Frank Hansen, 2006, "Decreasing Relative Risk Premium," Discussion Papers, University of Copenhagen. Department of Economics, number 06-21, Nov.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers, Kyoto University, Institute of Economic Research, number 620, May.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 621, May.
• Jean-Pierre DANTHINE & Xiangrong JIN, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 06.05, Sep.
• CHATON Corinne & CRETI Anna & VILLENEUVE Bertrand, 2006, "The Economics of Seasonal Gas Storage," LERNA Working Papers, LERNA, University of Toulouse, number 06.01.194, Aug.
• Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006, "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 11, issue 2, pages 123-139, Jul-Dec.
• Rossella Bisignani & Giovanni Masala & Marco Micocci, 2006, "Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, volume 0, issue 3.
• Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006, "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 2, pages 399-428, March, DOI: 10.1353/mcb.2006.0032.
• Eric Girard & Amit Sinha, 2006, "Does Total Risk Matter? The Case of Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 117-151, March-Jun.
• Liliana Gonzalez & Philip Hoang & John G. Powell Massey & Jing Shi, 2006, "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 1-2, pages 81-116, March-Jun.
• Ahmad Naimzada & Giorgio Ricchiuti, 2006, "Heterogeneous Fundamentalists and Imitative Processes," Working Papers, University of Milano-Bicocca, Department of Economics, number 104, Nov, revised Nov 2006.
• Péter Banczúr & Cosmin Ilut, 2006, "Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/1.
• Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky, 2006, "The wedge of arbitrage free prices: anything goes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06070, Nov.
• Dominique Guégan & Jing Zhang, 2006, "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b06090, Jul, DOI: 10.1080/14697680902933041.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2006, "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/06.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0601, Jan.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0602, Feb.
• V. Baugnet & G. Wuyts, 2006, "The role of equities in corporate finance in Belgium," Economic Review, National Bank of Belgium, issue ii, pages 35-47, September.
• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006, "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research, National Bank of Belgium, number 83, May.
• Marina Emiris, 2006, "The term structure of interest rates in a DSGE model," Working Paper Research, National Bank of Belgium, number 88, Jul.
• Alan J. Auerbach & Kevin A. Hassett, 2006, "Dividend Taxes and Firm Valuation: New Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11959, Jan.
• Leora Friedberg & Anthony Webb, 2006, "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11984, Jan.
• Jakub W. Jurek & Luis M. Viceira, 2006, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12017, Feb.
• Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006, "Valuation in Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12020, Feb.
• Jay Shanken & Guofu Zhou, 2006, "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers, National Bureau of Economic Research, Inc, number 12055, Feb.
• Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006, "Is There Hedge Fund Contagion?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12090, Mar.
• Wayne E. Ferson & Andrew F. Siegel, 2006, "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 12098, Mar.
• Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
• Clemens Sialm, 2006, "Investment Taxes and Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12146, Apr.
• John Y. Campbell, 2006, "Household Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 12149, Apr.
• Andrew Ang & Li Gu & Yael V. Hochberg, 2006, "Is IPO Underperformance a Peso Problem?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12203, May.
• Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006, "Stock and Bond Returns with Moody Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 12247, May.
• Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006, "Risk, Uncertainty and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 12248, May.
• James Dow & Gary Gorton, 2006, "Noise Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 12256, May.
• Andrew B. Abel, 2006, "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers, National Bureau of Economic Research, Inc, number 12290, Jun.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006, "The Performance of International Equity Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 12346, Jul.
• Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006, "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 12360, Jul.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006, "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 12376, Jul.
• Nicholas Barberis & Ming Huang, 2006, "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 12378, Jul.
• Nicholas Barberis & Wei Xiong, 2006, "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12397, Jul.
• Orazio P. Attanasio & Monica Paiella, 2006, "Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 12412, Aug.
• Rajnish Mehra, 2006, "Recursive Competitive Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 12433, Aug.
• Rajnish Mehra, 2006, "The Equity Premium in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 12434, Aug.
• Josef Lakonishok & Louis Chan & Stephen G. Dimmock, 2006, "Benchmarking Money Manager Performance: Issues and Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12461, Aug.
• Urban Jermann, 2006, "The Equity Premium Implied by Production," NBER Working Papers, National Bureau of Economic Research, Inc, number 12487, Aug.
• Michael W. Brandt & David A. Chapman, 2006, "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12513, Sep.
• Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006, "Financially Constrained Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 12555, Oct.
• Monika Piazzesi & Martin Schneider, 2006, "Equilibrium Yield Curves," NBER Working Papers, National Bureau of Economic Research, Inc, number 12609, Oct.
• Lars Peter Hansen & Jose Scheinkman, 2006, "Long Term Risk: An Operator Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12650, Oct.
• Robert J. Barro, 2006, "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 12763, Dec.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2006, "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12766, Dec.
• Wei Xiong & Hongjun Yan, 2006, "Heterogeneous Expectations and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12781, Dec.
• Laurent E. Calvet & Adlai J. Fisher, 2006, "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12797, Dec.
• Markus K. Brunnermeier & Christian Julliard, 2006, "Money Illusion and Housing Frenzies," NBER Working Papers, National Bureau of Economic Research, Inc, number 12810, Dec.
• Ping Zhang, 2006, "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 2006-05, Apr.
• Ping Zhang, 2006, "A Complete Characterization of Pure Strategy Equilibrium in Uniform Price IPO Auctions," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2006-06, Apr.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006, "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, volume 1, issue 4, pages 269-364, February, DOI: 10.1561/0500000003.
• Clive G. Bowsher & Roland Meeks, 2006, "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W05, Jun.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W12, Oct.
• Rudiger Ahrend & Pietro Catte & Robert Price, 2006, "Interactions Between Monetary and Fiscal Policy: How Monetary Conditions Affect Fiscal Consolidation," OECD Economics Department Working Papers, OECD Publishing, number 521, Nov, DOI: 10.1787/414663503428.
• Mariana Mazzucato & Massimiliano Tancioni, 2006, "Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry," Open Discussion Papers in Economics, The Open University, Faculty of Social Sciences, Department of Economics, number 55, Dec, revised Sep 2007.
• George W. Evans & Avik Chakraborty, 2006, "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2006-8, Jun, revised 20 Aug 2006.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006, "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 121, issue 2, pages 461-504.
• François Ortalo-Magné & Sven Rady, 2006, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints ," The Review of Economic Studies, Review of Economic Studies Ltd, volume 73, issue 2, pages 459-485.
• Laura L. Veldkamp, 2006, "Information Markets and the Comovement of Asset Prices," The Review of Economic Studies, Review of Economic Studies Ltd, volume 73, issue 3, pages 823-845.
• Tomas Björk & Irina Slinko, 2006, "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, volume 10, issue 2, pages 221-260.
• Robert J. Elliott & Carlton-James U. Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Robert Elliott & Carlton-James Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Peter Carr & Vadim Linetsky, 2006, "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, volume 10, issue 3, pages 303-330, September, DOI: 10.1007/s00780-006-0012-6.
• A. Cherny, 2006, "Weighted V@R and its Properties," Finance and Stochastics, Springer, volume 10, issue 3, pages 367-393, September, DOI: 10.1007/s00780-006-0009-1.
• Marc Chesney & Laurent Gauthier, 2006, "American Parisian options," Finance and Stochastics, Springer, volume 10, issue 4, pages 475-506, December, DOI: 10.1007/s00780-006-0015-3.
• Baosheng Yuan & Kan Chen, 2006, "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 1, issue 2, pages 189-214, November, DOI: 10.1007/s11403-006-0011-x.
• Puja Padhi, 2006, "Persistence and Asymmetry Volatility in Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 4, issue 2, pages 103-113, July, DOI: 10.1007/BF03546451.
• Chris Armstrong & Antonio Davila & George Foster, 2006, "Venture-backed Private Equity Valuation and Financial Statement Information," Review of Accounting Studies, Springer, volume 11, issue 1, pages 119-154, March, DOI: 10.1007/s11142-006-6398-8.
• Holger Daske & Günther Gebhardt, 2006, "Zukunftsorientierte Bestimmung von Risikoprämien und Eigenkapitalkosten für die Unternehmensbewertung," Schmalenbach Journal of Business Research, Springer, volume 58, issue 4, pages 530-551, June, DOI: 10.1007/BF03371666.
• Marc Steffen Rapp, 2006, "Die arbitragefreie Adjustierung von Diskontierungssätzen bei einfacher Gewinnsteuer," Schmalenbach Journal of Business Research, Springer, volume 58, issue 6, pages 771-806, September, DOI: 10.1007/BF03371681.
• Freddy Delbaen & Walter Schachermayer, 2006, "The Mathematics of Arbitrage," Springer Finance, Springer, number 978-3-540-31299-4, ISBN: ARRAY(0x6a8b51d0), March, DOI: 10.1007/978-3-540-31299-4.
• C. Gourieroux, 2006, "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 177-217, DOI: 10.1080/07474930600713234.
• Jun Yu & Renate Meyer, 2006, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 361-384, DOI: 10.1080/07474930600713465.
• Elisa Luciano & Wim Schoutens, 2006, "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 5, pages 385-402, DOI: 10.1080/14697680600806275.
• Roberto Ghiselli Ricci & Carlo Alberto Magni, 2006, "Economic value added and systemic value added: symmetry, additive coherence and differences in performance," Applied Financial Economics Letters, Taylor & Francis Journals, volume 2, issue 3, pages 151-154, DOI: 10.1080/17446540500426797.
• Maurice J. Roche, 2006, "The equity premium puzzle and decreasing relative risk aversion," Applied Financial Economics Letters, Taylor & Francis Journals, volume 2, issue 3, pages 179-182, DOI: 10.1080/17446540500447611.
• Petri Mäki-Fränti, 2006, "Money and Stock Returns: Is there habit formation for holding liquid assets?," Working Papers, Tampere University, Faculty of Management and Business, Economics, number 0647, Feb.
• Mehmet Horasanli, 2006, "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 2, pages 1-10.
• Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006, "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0608.
• , & ,, 2006, "Endogenous incomplete markets, enforcement constraints, and intermediation," Theoretical Economics, Econometric Society, volume 1, issue 4, pages 439-459, December.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Econometric Analysis of Microscopic Simulation Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-99.
• Loncarski, I. & Ter Horst, J.R. & Veld, C.H., 2006, "The Convertible Arbitrage Strategy Analyzed," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-98.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-55.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-23.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Non- and Semiparametric Analysis of MS Models : Some Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-95.
• Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2006-007.
• Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006, "The Econometric Analysis of Microscopic Simulation Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1beb5afd-1771-4e7b-a3ea-1.
• 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.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2006, "Downside Risk," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1191-1239.
• Doron Avramov & Tarun Chordia & Amit Goyal, 2006, "The Impact of Trades on Daily Volatility," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1241-1277.
• Joel M. Vanden, 2006, "Option Coskewness and Capital Asset Pricing," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1279-1320.
• João F. Gomes & Amir Yaron & Lu Zhang, 2006, "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1321-1356.
• Michael Lemmon & Evgenia Portniaguina, 2006, "Consumer Confidence and Asset Prices: Some Empirical Evidence," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1499-1529.
• Meir Statman & Steven Thorley & Keith Vorkink, 2006, "Investor Overconfidence and Trading Volume," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1531-1565.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Series Working Papers, University of Oxford, Department of Economics, number 2006-FE-11, Oct.
• Christine Wilson & Allen Featherstone, 2006, "Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 06-08.
• Samuel Mongrut & Dídac Ramírez, 2006, "Discount Rates in Emerging Capital Markets," Working Papers, Centro de Investigación, Universidad del Pacífico, number 06-03, Jan.
• 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.