Research classified by Journal of Economic Literature (JEL) codes

2007

• Robert J. Shiller, 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1632, Oct.
• Yap, Chee Jin & Gannon, Gerard, 2007, "Factors affecting the credit spreads behaviour of USD Malaysian bonds," Working Papers, Deakin University, Department of Economics, number aef_2007_10, Jan.
• Camille Chaserant, 2007, "Autorité et flexibilité : quand la théorie des options interroge," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2007-28.
• Chi-Hsiou Hung, 2007, "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Department of Economics Working Papers, Durham University, Department of Economics, number 2007_02, Mar.
• Chi-Hsiou Hung, 2007, "Return Explanatory Ability and Predictability of Non-Linear Market Models," Department of Economics Working Papers, Durham University, Department of Economics, number 2007_05, Mar.
• Attiya Y. Javid, 2007, "Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms," Finance Working Papers, East Asian Bureau of Economic Research, number 22199, Jan.
• Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA, 2007, "Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â," Finance Working Papers, East Asian Bureau of Economic Research, number 22315, Jan.
• Attiya Y. Javed & Robina Iqbal, 2007, "The Relationship between Corporate Governance Indicators and Firm Value : A Case Study of Karachi Stock Exchange," Governance Working Papers, East Asian Bureau of Economic Research, number 22198, Jan.
• Ananda Jayawickrama & Tilak Abeysinghe, 2007, "Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 21925, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2006," IESE Research Papers, IESE Business School, number D/673, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de Repsol. 1991-2006," IESE Research Papers, IESE Business School, number D/675, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Rentabilidad y creación de valor de las empresas españolas en 2006 (y en el periodo 1993-2006)," IESE Research Papers, IESE Business School, number D/676, Feb.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de Bankinter (1991-2006)," IESE Research Papers, IESE Business School, number D/678, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de las eléctricas españolas (1991-2006)," IESE Research Papers, IESE Business School, number D/679, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "Creación de valor para los accionistas de bancos españoles (1991-2006)," IESE Research Papers, IESE Business School, number D/680, Mar.
• Fernandez, Pablo, 2007, "120 errores en valoraciones de empresas," IESE Research Papers, IESE Business School, number D/681, Mar.
• Fernandez, Pablo & Carabias, Jose M., 2007, "El peligro de utilizar betas calculadas," IESE Research Papers, IESE Business School, number D/685, Mar.
• Fernandez, Pablo, 2007, "Valoración de marcas e intangibles," IESE Research Papers, IESE Business School, number D/686, Mar.
• Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia, 2007, "Rentabilidad de los fondos de inversión de renta variable nacional en España (1991-2006)," IESE Research Papers, IESE Business School, number D/695, May.
• Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia, 2007, "Rentabilidad de los fondos de inversión en España. (1991-2006)," IESE Research Papers, IESE Business School, number D/696, May.
• Fernandez, Pablo & Bilan, Andrada, 2007, "110 common errors in company valuations," IESE Research Papers, IESE Business School, number D/714, Nov.
• Fernandez, Pablo, 2007, "A more realistic valuation: APV and WACC with constant book leverage ratio," IESE Research Papers, IESE Business School, number D/715, Nov.
• Cespa, Giovanni & Vives, Xavier, 2007, "Dynamic trading and asset prices: Keynes vs. Hayek," IESE Research Papers, IESE Business School, number D/716, Nov.
• Klaus Adam, 2007, "Explaining financial market puzzles with learning," Research Bulletin, European Central Bank, volume 6, pages 2-5.
• Lorenzo Cappiello & Simone Manganelli, 2007, "Financial integration and capital flows in the new EU Member States," Research Bulletin, European Central Bank, volume 6, pages 5-7.
• Manganelli, Simone & Wolswijk, Guido, 2007, "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series, European Central Bank, number 745, Apr.
• Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007, "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series, European Central Bank, number 793, Aug.
• Hilscher, Jens, 2007, "Is the corporate bond market forward looking?," Working Paper Series, European Central Bank, number 800, Aug.
• Berndt, Antje & Obreja, Iulian, 2007, "The pricing of risk in European credit and corporate bond markets," Working Paper Series, European Central Bank, number 805, Aug.
• Cappiello, Lorenzo & De Santis, Roberto A., 2007, "The uncovered return parity condition," Working Paper Series, European Central Bank, number 812, Sep.
• Ejsing, Jacob & Garcí­a, Juan Angel & Werner, Thomas, 2007, "The term structure of euro area break-even inflation rates: the impact of seasonality," Working Paper Series, European Central Bank, number 830, Nov.
• Amisano, Gianni & Geweke, John, 2007, "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series, European Central Bank, number 831, Nov.
• Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007, "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2007-16, Sep.
• Bharath, Sreedhar T. & Panchapegesan, Venky & Werner, Ingrid, 2007, "The Changing Nature of Chapter 11," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-4, Oct.
• Shiller, Robert J., 2007, "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Working Papers, Yale University, Department of Economics, number 29, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Econometrica, Econometric Society, volume 75, issue 4, pages 993-1038, July.
• Peter C. B. Phillips & Donggyu Sul, 2007, "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, volume 75, issue 6, pages 1771-1855, November.
• Jason Allen, 2007, "Size matters: covariance matrix estimation under the alternative," Econometrics Journal, Royal Economic Society, volume 10, issue 3, pages 637-644, November.
• George Bulkley & Richard W P Holt, 2007, "Forecasting Cross-Section Stock Returns using The Present Value Model," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 163, Apr.
• Gomes, Armando & Gorton, Gary & Madureira, Leonardo, 2007, "SEC Regulation Fair Disclosure, information, and the cost of capital," Journal of Corporate Finance, Elsevier, volume 13, issue 2-3, pages 300-334, June.
• Bidarkota, Prasad V. & Dupoyet, Brice V., 2007, "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 3, pages 887-905, March.
• Lux, Thomas & Kaizoji, Taisei, 2007, "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1808-1843, June.
• Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007, "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1938-1970, June.
• Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007, "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, volume 31, issue 12, pages 3604-3620, December.
• Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007, "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2517-2534, August.
• Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007, "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, volume 62, issue 3, pages 408-427, March.
• Fielding, David & Stracca, Livio, 2007, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, volume 64, issue 2, pages 250-268, October.
• Vayanos, Dimitri & Wang, Tan, 2007, "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, volume 136, issue 1, pages 66-104, September.
• Walker, Todd B., 2007, "How equilibrium prices reveal information in a time series model with disparately informed, competitive traders," Journal of Economic Theory, Elsevier, volume 137, issue 1, pages 512-537, November.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007, "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, volume 137, issue 1, pages 652-672, November.
• Ludvigson, Sydney C. & Ng, Serena, 2007, "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, volume 83, issue 1, pages 171-222, January.
• Acharya, Viral V. & Johnson, Timothy C., 2007, "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 110-141, April.
• Shanken, Jay & Zhou, Guofu, 2007, "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 40-86, April.
• Ang, Andrew & Liu, Jun, 2007, "Risk, return, and dividends," Journal of Financial Economics, Elsevier, volume 85, issue 1, pages 1-38, July.
• Calvet, Laurent E. & Fisher, Adlai J., 2007, "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, volume 86, issue 1, pages 178-212, October.
• Campbell, Rachel A. & Kraussl, Roman, 2007, "Revisiting the home bias puzzle: Downside equity risk," Journal of International Money and Finance, Elsevier, volume 26, issue 7, pages 1239-1260, November.
• Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007, "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, volume 43, issue 2, pages 201-217, February.
• Kelsey, David & Yalcin, Erkan, 2007, "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, volume 54, issue 1, pages 90-105, July.
• Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, volume 54, issue 8, pages 2251-2268, November.
• Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007, "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, volume 17, issue 2, pages 125-141, April.
• Creighton, Adam & Gower, Luke & Richards, Anthony J., 2007, "The impact of rating changes in Australian financial markets," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 1, pages 1-17, January.
• Fukuda, Shin-ichi & Koibuchi, Satoshi, 2007, "The impacts of "shock therapy" on large and small clients: Experiences from two large bank failures in Japan," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 5, pages 434-451, November.
• Iori, Giulia & Renò, Roberto & De Masi, Giulia & Caldarelli, Guido, 2007, "Trading strategies in the Italian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 376, issue C, pages 467-479, DOI: 10.1016/j.physa.2006.10.053.
• Sansone, Alessandro & Garofalo, Giuseppe, 2007, "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 382, issue 1, pages 247-257, DOI: 10.1016/j.physa.2007.02.022.
• Ehrmann, Michael & Fratzscher, Marcel, 2007, "The timing of central bank communication," European Journal of Political Economy, Elsevier, volume 23, issue 1, pages 124-145, March.
• Guillermo Sierra Juárez, 2007, "Procesos de Hurts y movimientos brownianos fraccionales en mercados fractales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 1, pages 1-21.
• Yaiza García Padrón & Juan García Boza, 2007, "Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 1, pages 63-83.
• Francisco Venegas Martínez & J. Víctor Reynoso Vendrell, 2007, "The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 2, pages 148-168.
• René Benjamín Pérez Sicairos, 2007, "Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 2, pages 169-182.
• Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007, "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1005-1033.
• Elyès Jouini & Clotilde Napp, 2007, "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1149-1174.
• Larry G. Epstein & Martin Schneider, 2007, "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1275-1303.
• Valery Polkovnichenko, 2007, "Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 1, pages 83-124, January.
• Steven L. Heston & Mark Loewenstein & Gregory A. Willard, 2007, "Options and Bubbles," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 359-390.
• Alexey Medvedev & Olivier Scaillet, 2007, "Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 427-459.
• Andrew Ang & Geert Bekaert, 2007, "Stock Return Predictability: Is it There?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 651-707.
• Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007, "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 813-857.
• Alexandre Ziegler, 2007, "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 859-904.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007, "Liquidity and Expected Returns: Lessons from Emerging Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1783-1831, November.
• Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Valuation in Over-the-Counter Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1865-1900, November.
• Raphael A. Espinoza & Dimitrios P Tsomocos & A.E. Goodhart, 2007, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," Economics Series Working Papers, University of Oxford, Department of Economics, number 2007-FE-01, Feb.
• Yochanan Shachmurove, 2007, "Geography and Industry Meets Venture Capital," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-015, Mar.
• George J. Mailath & Georg Noldeke, 2007, "Does Competitive Pricing Cause Market Breakdown under Extreme Adverse Selection?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 07-022, Jul.
• Haim Kedar-Levy, 2007, "Why Would Financial Bubbles Evolve After New Technologies?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 12, issue 1, pages 83-106, Spring.
• Attiya Y. Javed & Robina Iqbal, 2007, "The Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2007:14.
• Attiya Y. Javid, 2007, "Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2007:37.
• Ricardo Pereira, 2007, "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 1, pages 7-25.
• Francois-Éric Racicot & Raymond Théoret, 2007, "Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012007, Jan.
• Francois-Éric Racicot, 2007, "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022007, Apr.
• Vink, Dennis, 2007, "ABS, MBS and CDO compared: an empirical analysis," MPRA Paper, University Library of Munich, Germany, number 10381, Aug, revised 09 Sep 2008.
• Alexandru, Ciprian Antoniade, 2007, "Local financing through capital markets," MPRA Paper, University Library of Munich, Germany, number 12980, Sep.
• Ilya, Gikhman, 2007, "Corporate debt pricing I," MPRA Paper, University Library of Munich, Germany, number 1450, Oct.
• Magni, Carlo Alberto, 2007, "Project valuation and investment decisions: CAPM versus arbitrage," MPRA Paper, University Library of Munich, Germany, number 14525, Mar.
• Onour, Ibrahim, 2007, "Testing Efficiency Performance of an Underdeveloped Stock Market," MPRA Paper, University Library of Munich, Germany, number 15020, Jul.
• Hirshleifer, David & Jiang, Danling, 2007, "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper, University Library of Munich, Germany, number 16134, Oct, revised 08 Jul 2009.
• Olafsdottir, Katrin & Sigurdsson, Kari, 2007, "Hversu vel tekst til með verðbólguspár greiningardeilda?
  [How accurate are the inflation forecasts published by the commercial banks?]," MPRA Paper, University Library of Munich, Germany, number 18288.
• Hirshleifer, David & Jiang, Danling, 2007, "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper, University Library of Munich, Germany, number 20636, Oct, revised 10 Feb 2010.
• Javed, Attiya Y. & Iqbal, Robina, 2007, "Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 2225.
• Ozun, Alper & Cifter, Atilla, 2007, "Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets," MPRA Paper, University Library of Munich, Germany, number 2481, Feb.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007, "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper, University Library of Munich, Germany, number 25020, Oct, revised Oct 2007.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007, "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 25349, May, revised May 2007.
• Maclachlan, Iain C, 2007, "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper, University Library of Munich, Germany, number 28416, May.
• Siddiqi, Hammad, 2007, "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper, University Library of Munich, Germany, number 2984, Apr.
• Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007, "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper, University Library of Munich, Germany, number 3300.
• Meng, Ginger & Hu, Gang & Bai, Jushan, 2007, "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper, University Library of Munich, Germany, number 33183, Mar.
• Lin, William & Sun, David, 2007, "Liquidity-adjusted benchmark yield curves: a look at trading concentration and information," MPRA Paper, University Library of Munich, Germany, number 37282, Dec.
• Lanne, Markku & Luoto, Jani, 2007, "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper, University Library of Munich, Germany, number 3879.
• Nunes, Mauricio & Da Silva, Sergio, 2007, "Rational bubbles in emerging stockmarkets," MPRA Paper, University Library of Munich, Germany, number 4641, Aug.
• Perez, Marcos & Ahn, Seung Chan, 2007, "GMM Estimation of the Number of Latent Factors," MPRA Paper, University Library of Munich, Germany, number 4862, Sep.
• Ellouz, Siwar & Bellalah, Mondher, 2007, "Asset pricing and predictability of stock returns in the french market," MPRA Paper, University Library of Munich, Germany, number 4961, Mar, revised 24 Sep 2007.
• Taboga, Marco, 2007, "Structural change and the bond yield conundrum," MPRA Paper, University Library of Munich, Germany, number 4965, Jul.
• Doran, James & Jiang, Danling & Peterson, David, 2007, "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper, University Library of Munich, Germany, number 4995, Aug.
• Peroni, Chiara, 2007, "A non-parametric investigation of risk premia," MPRA Paper, University Library of Munich, Germany, number 5126, Jun, revised 01 Dec 2007.
• Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007, "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper, University Library of Munich, Germany, number 5173, Apr.
• Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007, "Accruals and Aggregate Stock Market Returns," MPRA Paper, University Library of Munich, Germany, number 5197, Sep.
• Albanese, Claudio, 2007, "Callable Swaps, Snowballs And Videogames," MPRA Paper, University Library of Munich, Germany, number 5229, Sep, revised 01 Oct 2007.
• Kovačić, Zlatko, 2007, "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper, University Library of Munich, Germany, number 5319, Oct.
• Magni, Carlo Alberto, 2007, "CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation," MPRA Paper, University Library of Munich, Germany, number 5468.
• Magni, Carlo Alberto, 2007, "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?," MPRA Paper, University Library of Munich, Germany, number 5471.
• Schoeneborn, Torsten & Schied, Alexander, 2007, "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper, University Library of Munich, Germany, number 5548, Nov.
• Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007, "Likelihood-based inference for correlated diffusions," MPRA Paper, University Library of Munich, Germany, number 5696.
• Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007, "Inference for stochastic volatility model using time change transformations," MPRA Paper, University Library of Munich, Germany, number 5697.
• Saleem, Kashif & Vaihekoski, Mika, 2007, "Time-varying global and local sources of risk in Russian stock market," MPRA Paper, University Library of Munich, Germany, number 5787, Sep.
• Magni, Carlo Alberto, 2007, "Measuring performance and valuing firms: In search of the lost capital," MPRA Paper, University Library of Munich, Germany, number 5850, Sep.
• Alpanda, Sami, 2007, "The Boom-Bust Cycle in Japanese Asset Prices," MPRA Paper, University Library of Munich, Germany, number 5895, Nov.
• Alpanda, Sami & Peralta-Alva, Adrian, 2007, "Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74," MPRA Paper, University Library of Munich, Germany, number 5896, Aug.
• Magni, Carlo Alberto, 2007, "A Sum&Discount method for appraising firms:An illustrative example," MPRA Paper, University Library of Munich, Germany, number 6114, Nov.
• Yoshida, Jiro, 2007, "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper, University Library of Munich, Germany, number 6271, Dec.
• Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007, "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper, University Library of Munich, Germany, number 6512.
• Magni, Carlo Alberto, 2007, "Residual income and value creation: An investigation into the lost-capital paradigm," MPRA Paper, University Library of Munich, Germany, number 6783, Nov.
• Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007, "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper, University Library of Munich, Germany, number 7299.
• Magni, Carlo Alberto, 2007, "Residual income and value creation: An investigation into the lost-capital paradigm," MPRA Paper, University Library of Munich, Germany, number 7335, Nov.
• Venier, Guido, 2007, "A new Model for Stock Price Movements," MPRA Paper, University Library of Munich, Germany, number 9146, Aug.
• Hyde, Stuart J, 2007, "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper, University Library of Munich, Germany, number 9679.
• Lukáš Vácha, 2007, "Fractal Properties of the Financial Market
  [Fraktální vlastnosti finančních trhů]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2007, issue 4, pages 49-55, DOI: 10.18267/j.aop.74.
• Jitka Veselá, 2007, "Some Less Known Charting Methods of Technical Analysis and Possibilities Its Using for Identification Trend Changes
  [Některé méně známé grafické metody technické analýzy a možnosti jejich využití k identifikaci změny trendu]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2007, issue 3, pages 32-40, DOI: 10.18267/j.cfuc.231.
• Jarmila Radová, 2007, "Measuring of bond price sensitivity
  [Měření citlivosti ceny dluhopisů]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2007, issue 3, pages 41-55, DOI: 10.18267/j.cfuc.232.
• Jan Frait & Luboš Komárek, 2007, "Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States?," Prague Economic Papers, Prague University of Economics and Business, volume 2007, issue 1, pages 3-23, DOI: 10.18267/j.pep.294.
• Lukáš Vácha & Miloslav Vošvrda, 2007, "Wavelet Decomposition of the Financial Market," Prague Economic Papers, Prague University of Economics and Business, volume 2007, issue 1, pages 38-54, DOI: 10.18267/j.pep.296.
• Karel Brůna, 2007, "Měnová politika, změny trendové inflace a nestabilita úrokových relací: analýza dynamiky dlouhodobých úrokových sazeb v kontextu změn repo sazby české národní banky
  [Monetary policy, trend inflation changes and volatility of interest rates relatio," Politická ekonomie, Prague University of Economics and Business, volume 2007, issue 1, pages 3-22, DOI: 10.18267/j.polek.587.
• Jiří Málek & Jarmila Radová & Filip Štěrba, 2007, "Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice
  [Vield curve construction using government bonds in the Czech republic]," Politická ekonomie, Prague University of Economics and Business, volume 2007, issue 6, pages 792-808, DOI: 10.18267/j.polek.624.
• Karel Brůna, 2007, "Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky
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• Julien Reynaud, 2007, "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, volume 87, issue 1, pages 241-246, DOI: 10.3406/ecofi.2007.4246.
• Michael Dueker & Martin Sola & Fabio Spagnolo, 2007, "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 5_2007, Apr.
• Stephen J. Taylor, 2007, "Introduction to Asset Price Dynamics, Volatility, and Prediction," Introductory Chapters, Princeton University Press, "Asset Price Dynamics, Volatility, and Prediction".
• Yu Ren & Katsumi Shimotsu, 2007, "Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test," Working Paper, Economics Department, Queen's University, number 1126, Jun.
• George Kapetanios, 2007, "Testing for Strict Stationarity," Working Papers, Queen Mary University of London, School of Economics and Finance, number 602, Jun.
• George Kapetanios, 2007, "A Test for Serial Dependence Using Neural Networks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 609, Oct.
• Giovanni Cespa, 2007, "Information Sales and Insider Trading with Long-lived Information," Working Papers, Queen Mary University of London, School of Economics and Finance, number 613, Oct.
• Chris Brooks & Xiafei Li & Joelle Miffre, 2007, "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-03, Apr.
• Carol Alexander & Aanand Venkatramanan, 2007, "Analytic Approximations for Spread Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-11, Aug.
• Xiafei Li & Chris Brooks & Jöelle Miffre, 2007, "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-12, Aug.
• Damiano Brigo & Naoufel El-Bachir, 2007, "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-14, Nov.
• Neil Crosby, 2007, "German Open Ended Funds: Was there a Valuation Problem?," Real Estate & Planning Working Papers, Henley Business School, University of Reading, number rep-wp2007-05.
• Eva Carceles-Poveda & Chryssi Giannitsarou, 2007, "Online Appendix to Asset Pricing with Adaptive Learning," Online Appendices, Review of Economic Dynamics, number carceles08, Oct.
• Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007, "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 10, issue 4, pages 519-548, October, DOI: 10.1016/j.red.2007.02.004.
• Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007, "Durability of Output and Expected Stock Returns," 2007 Meeting Papers, Society for Economic Dynamics, number 432.
• Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007, "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers, Society for Economic Dynamics, number 503.
• Juha Seppala & Federico Ravenna, 2007, "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers, Society for Economic Dynamics, number 513.
• Sydney Ludvigson & Jack Favalukus & Xiaohong Chen, 2007, "An Estimation of Economic Models with Recursive Preferences," 2007 Meeting Papers, Society for Economic Dynamics, number 543.
• Kjetil Storesletten & Gianluca Violante & Jonathan Heathcote, 2007, "Consumption and Labor Supply with Partial Insurance: An Analytical Framework," 2007 Meeting Papers, Society for Economic Dynamics, number 913.
• Harald Uhlig, 2007, "Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model," 2007 Meeting Papers, Society for Economic Dynamics, number 97.
• Kevin J. Lansing, 2007, "Rational and Near-Rational Bubbles Without Drift," 2007 Meeting Papers, Society for Economic Dynamics, number 970.
• Claudio Campanale & Rui Castro & Gian Luca Clementi, 2007, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Working Paper series, Rimini Centre for Economic Analysis, number 07_07, Jul.
• Elettra Agliardi & Rossella Agliardi, 2007, "Progressive Taxation and Corporate Liquidation: Analysis and Policy Implications," Working Paper series, Rimini Centre for Economic Analysis, number 29_07, Jul.
• Alexandre Lowenkron & Marcio Gomes Pinto Garcia, 2007, "Monetary policy credibility and inflation risk premium: a model with application to Brazilian data," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 543, Apr.
• Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007, "Modeling and predicting the CBOE market volatility index," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 548, Aug.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A reduced form model of default spreads with Markov switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 07-8, Oct.
• Angelos Kanas & Christos Ioannidis, 2007, "Stock Market and the Macroeconomy: A Regime Switching Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 60, issue 2, pages 181-206.
• Rien Wagenvoort, 2007, "Does the hedge fund industry deliver alpha?," Economic and Financial Reports, European Investment Bank, Economics Department, number 2006/2, Jun.
• Ben Marshall & Martin Young & Lawrence Rose, 2007, "Market timing with candlestick technical analysis," Journal of Financial Transformation, Capco Institute, volume 20, pages 18-25.
• Paun, Cristian & Brasoveanu, Iulian & Musetescu, Radu, 2007, "Absolute Risk Aversion on the Romanian Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 4, issue 4, pages 77-87, December.
• John Cotter & Jim Hanly, 2007, "Hedging effectiveness under conditions of asymmetry," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1186.
• Yusuke Osaki, 2007, "Risk and Derivative Price," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WP2R07, Mar.
• Luisa Corrado & Marcus Miller & Lei Zhang, 2007, "Monitoring Bands and Monitoring Rules: how currency intervention can change market composition," CEIS Research Paper, Tor Vergata University, CEIS, number 91, Feb.