Research classified by Journal of Economic Literature (JEL) codes

2005

• Massimo Guidolin & Allan Timmerman, 2005, "Term structure of risk under alternative econometric specifications," Working Papers, Federal Reserve Bank of St. Louis, number 2005-001, DOI: 10.20955/wp.2005.001.
• Péter Kondor, 2005, "The more we know, the less we agree: public announcements and higher-order expectations," FMG Discussion Papers, Financial Markets Group, number dp532, Apr.
• Péter Kondor, 2005, "Rational Trader Risk," FMG Discussion Papers, Financial Markets Group, number dp533, Apr.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2077.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2082.
• Ulrich Hege & Pierre Mella-Barral, 2005, "Repeated Dilution of Diffusely Held Debt," Post-Print, HAL, number hal-00459921, May, DOI: 10.1086/429643.
• Roland Gillet & Ariane Szafarz, 2005, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Post-Print, HAL, number hal-03928565.
• Dominique Guegan, 2005, "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL, number halshs-00179343.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers, HAL, number halshs-00590775, Aug.
• Edouard Challe & Xavier Ragot, 2005, "Bubbles and self fullfilling crisis," Sciences Po Economics Publications (main), HAL, number hal-03462262, Jan.
• Francesco Franzoni & Tobias Adrian, 2005, "Learning about Beta: Time-varying factor loadings, expected returns, and the Conditional CAPM," Working Papers, HAL, number hal-00587579, Sep.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Edouard Challe & Xavier Ragot, 2005, "Bubbles and self fullfilling crisis," Working Papers, HAL, number hal-03462262, Jan.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers, HAL, number halshs-00590775, Aug.
• Christiansen, Charlotte, 2005, "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2004-01, Sep.
• Christiansen, Charlotte, 2005, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-03, Sep.
• Christiansen, Charlotte & Ranaldo, Angelo, 2005, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-05, Sep.
• Hjalmarsson, Erik, 2005, "On the Predictability of Global Stock Returns," Working Papers in Economics, University of Gothenburg, Department of Economics, number 161, Feb.
• Gaspar, Raquel M. & Slinko, Irina, 2005, "Correlation Between Intensity and Recovery in Credit Risk Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 614, Nov.
• Gaspar, Raquel M. & Schmidt, Thorsten, 2005, "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 616, Dec.
• Björk, Tomas & Biagini, Francesca, 2005, "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 619, Nov.
• Lundtofte, Frederik, 2005, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers, Lund University, Department of Economics, number 2005:17, Feb.
• Lundtofte, Frederik, 2005, "Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?," Working Papers, Lund University, Department of Economics, number 2005:18, Feb.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2005, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/13, Dec.
• Cooper, Ian A. & Nyborg, Kjell G., 2005, "The value of tax shields IS equal to the present value of tax shields," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/14, Dec.
• Cooper, Ian A. & Nyborg, Kjell G., 2005, "Tax-adjusted discount rates with investor taxes and risky debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/15, Dec, revised 20 Sep 2007.
• Amilon, Henrik, 2005, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 177, Jan.
• Söderlind, Paul, 2005, "C-CAPM without Ex Post Data," SIFR Research Report Series, Institute for Financial Research, number 39, Dec.
• Quoreshi, Shahiduzzaman, 2005, "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 655, Apr.
• Quoreshi, Shahiduzzaman, 2005, "Modelling High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 656, Apr.
• Zhijun Zhao & Yue Ma & Yuhui Liu, 2005, "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers, Hong Kong Institute for Monetary Research, number 142005, Aug.
• Mladen Mirko Tepuš, 2005, "An Analysis of Housing Finance Models in the Republic of Croatia," Surveys, The Croatian National Bank, Croatia, number 12, Apr.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Scholarly Articles, Harvard University Department of Economics, number 27867240.
• Karoline Terán Matamoros & Oscar Molina Tejerina, 2005, "Simulación eficiente del valor de riesgo de un portafolio de acciones del IPSA: Un análisis de componentes principales," Investigación & Desarrollo, Universidad Privada Boliviana, volume 1, issue 5, pages 32-46.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-01, Nov.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-12, Nov.
• Elisa Luciano, 2005, "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 12-2005, May.
• Elisa Luciano & Wim Schoutens, 2005, "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2005, Apr.
• Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005, "Predictability and Habit Persistence," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 339, Jan.
• Belén Nieto & Rosa Rodriguez, 2005, "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, volume 29, issue 1, pages 33-71, January.
• Elena Márquez de la Cruz, 2005, "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, volume 29, issue 3, pages 455-481, September.
• Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005, "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, volume 29, issue 3, pages 483-523, September.
• Carlo Favero, 2005, "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 291.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps," Economics Series, Institute for Advanced Studies, number 164, Jan.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options," Economics Series, Institute for Advanced Studies, number 165, Jan.
• Jaeun Shin, 2005, "Stock Returns and Volatility in Emerging Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 4, issue 1, pages 31-43, April.
• Richard Podpiera & Tomás Dvorák, 2005, "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers, International Monetary Fund, number 2005/182, Sep.
• Humberto Banda Ortiz & Orestes Gámez Díaz, 2005, "Aproximación A La Valoración De Opciones Bajo El Análisis De La Teoría De Juegos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 1, pages 33-40, Marzo 200.
• Venegas-Martínez, Francisco, 2005, "De Bachelier a Merton: 100 años del movimiento Browniano en economía y finanzas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 1, pages 9-64, primer se.
• Begoña Herrero & Ana María Ibáñez & Constantino José García, 2005, "Estudio Del Efecto Informativo Del Anuncio De Beneficios Trimestrales," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-05, Feb.
• William Barnett, 2005, "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200510, Mar, revised Mar 2005.
• William Barnett & Unja Chae & John Keating, 2005, "The Discounted Economic Stock of Money with VAR Forecasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200515, Aug, revised Aug 2005.
• William Barnett & Unja Chae & John Keating, 2005, "Forecast Design in Monetary Capital Stock Measurement," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200516, Aug, revised Aug 2005.
• Shu Wu, 2005, "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200519, Oct, revised Oct 2005.
• Shu Wu & Yong Zeng, 2005, "The Term Structure of Interest Rates under Regime Shifts and Jumps," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200520, Oct, revised Oct 2005.
• William A. Barnett & Shu Wu, 2005, "On user costs of risky monetary assets," Annals of Finance, Springer, volume 1, issue 1, pages 35-50, January, DOI: 10.1007/s10436-004-0003-6.
• Jamsheed Shorish & Stephen E. Spear, 2005, "Shaking the tree: an agency-theoretic model of asset pricing," Annals of Finance, Springer, volume 1, issue 1, pages 51-72, January, DOI: 10.1007/s10436-004-0001-8.
• Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005, "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, volume 1, issue 2, pages 109-147, July, DOI: 10.1007/s10436-004-0004-5.
• Mark Bagnoli & Stanley Levine & Susan G. Watts, 2005, "Analyst estimation revision clusters and corporate events, Part I," Annals of Finance, Springer, volume 1, issue 3, pages 245-265, August, DOI: 10.1007/s10436-005-0014-y.
• Svetlana Boyarchenko & Sergei Levendorskii, 2005, "American options: the EPV pricing model," Annals of Finance, Springer, volume 1, issue 3, pages 267-292, August, DOI: 10.1007/s10436-004-0010-7.
• Mark Bagnoli & Stanley Levine & Susan G. Watts, 2005, "Analyst estimation revision clusters and corporate events, Part II," Annals of Finance, Springer, volume 1, issue 4, pages 379-393, October, DOI: 10.1007/s10436-005-0015-x.
• Marcelo Pinheiro, 2005, "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, volume 1, issue 4, pages 395-421, October, DOI: 10.1007/s10436-005-0017-8.
• Roland Füss, 2005, "Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets," Economic Change and Restructuring, Springer, volume 38, issue 1, pages 37-62, March, DOI: 10.1007/s10644-005-4522-6.
• Bronwyn H. Hall, 2005, "Measuring the Returns to R&D: the Depreciation Problem," Annals of Economics and Statistics, GENES, issue 79-80, pages 341-381.
• Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005, "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, volume 95, issue 2, pages 352-359, May.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, volume 95, issue 2, pages 398-404, May.
• Markus K. Brunnermeier & Jonathan A. Parker, 2005, "Optimal Expectations," American Economic Review, American Economic Association, volume 95, issue 4, pages 1092-1118, September.
• Mathias Drehmann & Jörg Oechssler & Andreas Roider, 2005, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," American Economic Review, American Economic Association, volume 95, issue 5, pages 1403-1426, December.
• Eskandar A. Tooma, 2005, "Evaluating the Peformance of Symmetric Price Limits: Evidence from the Egyptian Stock Exchange," The African Finance Journal, Africagrowth Institute, volume 7, issue 2, pages 18-41.
• Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005, "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24702, DOI: 10.22004/ag.econ.24702.
• Allen, Jason, 2005, "Size Matters: Covariance Matrix Estimation Under the Alternative," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273567, Aug, DOI: 10.22004/ag.econ.273567.
• Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005, "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 1, issue 2, pages 1-27, DOI: 10.22004/ag.econ.49157.
• Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005, "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-12.
• Rubens Penha Cysne, 2005, "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 088.
• Elion Jani & Martin Hoesli & André Bender, 2005, "Monte Carlo Simulations for Real Estate Valuation," ERES, European Real Estate Society (ERES), number eres2005_212, Jan.
• Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0503, Jan.
• Miroslav Misina, 2005, "Risk Perceptions and Attitudes," Staff Working Papers, Bank of Canada, number 05-17, DOI: 10.34989/swp-2005-17.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers, Bank of Canada, number 05-2, DOI: 10.34989/swp-2005-2.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers, Bank of Canada, number 05-9, DOI: 10.34989/swp-2005-9.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005, "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Working Papers, Banco de España, number 0504, Feb.
• Fernando Restoy & Rosa Rodríguez, 2005, "Can fundamentals explain cross-country correlations of asset returns?," Working Papers, Banco de España, number 0540, Nov.
• Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005, "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 1394-1411, December.
• Francesco Franzoni & José M. Marín, 2015, "Portable Alphas from Pension Mispricing," Working Papers, Barcelona School of Economics, number 227, Sep.
• Koresh Galil, 2005, "Ratings as Predictors of Default in the Long Term:an Empirical Investigation," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0505.
• Dean Baker & J. Bradford Delong & Paul R. Krugman, 2005, "Asset Returns and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 36, issue 1, pages 289-330.
• Patrick McGuire & Eli Remolona & Kostas Tsatsaronis, 2005, "Time-varying exposures and leverage in hedge funds," BIS Quarterly Review, Bank for International Settlements, March.
• Jeffery D Amato & Jacob Gyntelberg, 2005, "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
• Franck Packer & Haibin Zhu, 2005, "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
• Fabio Fornari, 2005, "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
• Jeffery D Amato, 2005, "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
• E. Philip Davis & Haibin Zhu, 2005, "Commercial property prices and bank performance," BIS Working Papers, Bank for International Settlements, number 175, Apr.
• Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005, "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers, Bank for International Settlements, number 181, Sep.
• Naohiko Baba & Shinichi Nishioka & Nobuyuki Oda & Masaaki Shirakawa & Kazuo Ueda & Hiroshi Ugai, 2005, "Japan's deflation, problems in the financial system and monetary policy," BIS Working Papers, Bank for International Settlements, number 188, Nov.
• Jeffery D. Amato & Eli M Remolona, 2005, "The pricing of unexpected credit losses," BIS Working Papers, Bank for International Settlements, number 190, Nov.
• Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005, "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers, Bank for International Settlements, number 191, Nov.
• Takatoshi Ito & Yuko Hashimoto, 2005, "High‐Frequency Contagion of Currency Crises in Asia," Asian Economic Journal, East Asian Economic Association, volume 19, issue 4, pages 357-381, December, DOI: 10.1111/j.1467-8381.2005.00217.x.
• Bernd Hayo & Ali M. Kutan, 2005, "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, volume 13, issue 2, pages 373-393, April, DOI: 10.1111/j.1468-0351.2005.00214.x.
• William N. Goetzmann & Ning Zhu, 2005, "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, volume 11, issue 5, pages 559-578, November, DOI: 10.1111/j.1354-7798.2005.00298.x.
• Ben S. Bernanke & Kenneth N. Kuttner, 2005, "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, volume 60, issue 3, pages 1221-1257, June, DOI: 10.1111/j.1540-6261.2005.00760.x.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Ming Dong & David Hirshleifer, 2005, "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, volume 73, issue s1, pages 1-31, September, DOI: 10.1111/j.1467-9957.2005.00459.x.
• Volker Böhm & Carl Chiarella, 2005, "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, volume 15, issue 1, pages 61-97, January, DOI: 10.1111/j.0960-1627.2005.00211.x.
• Prasanna Gai & Nicholas Vause, 2005, "Measuring investors' risk appetite," Bank of England working papers, Bank of England, number 283, Nov.
• Nobuyuki Oda & Kazuo Ueda, 2005, "The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach," Bank of Japan Working Paper Series, Bank of Japan, number 05-E-6, Apr.
• Jianjun Miao, 2005, "A Search Model of Centralzied and Decentralized Trade," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-144, Jan.
• Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005, "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series, Boston University - Department of Economics, number WP2005-005, Nov.
• Adrien Verdelhan & Hanno Lustig, 2005, "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-019, Jun.
• Adrien Verdelhan, 2005, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-032, Aug.
• Hanno Lustig & Adrien Verdelhan, 2005, "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-040, Oct.
• Guilherme B. Martins & Marcos Eugênio da Silva, 2005, "A Real Option Model with Uncertain, Sequential Investment and with Time to Build," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 2, pages 141-172.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005, "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 05-09, Jun.
• Rey, David & Schmid, Markus M., 2005, "Feasible Momentum Strategies - Evidence from the Swiss Stock Market," Working papers, Faculty of Business and Economics - University of Basel, number 2005/12.
• Sancetta, A., 2005, "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0506, Jan.
• Tim W. Cogley & Thomas J. Sargent, 2005, "The Market Price of Risk and the Equity Premium," Working Papers, University of California, Davis, Department of Economics, number 55, Feb.
• Ang, Andrew & Liu, Jun, 2005, "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt1s25177n, Mar.
• Hall, Bronwyn H. & Jaffe, A & Trajtenberg, M, 2005, "Market value and patent citations," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt0cs6v2w7, Jan.
• Monika Merz & Eran Yashiv, 2005, "Labor and the Market Value of the Firm," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0690, May.
• Christian Gollier, 2005, "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series, CESifo, number 1375.
• Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005, "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series, CESifo, number 1443.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series, CESifo, number 1650.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers, CIRANO, number 2005s-03, Feb.
• Narayana R Kocherlakota & Luigi Pistaferri, 2005, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 784828000000000507, Oct.
• Nikita Ratanov, 2005, "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación, Universidad del Rosario, number 3410, Apr.
• Nikita Ratanov, 2005, "Pricing Options under Telegraph Processes," Revista de Economía del Rosario, Universidad del Rosario.
• Bernhard Schwetzler, 2005, "EBIT-Vollausschüttung und DCF-WACC-Bewertung?," Schmalenbach Journal of Business Research, Springer, volume 57, issue 2, pages 155-162, March, DOI: 10.1007/BF03371631.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Springer Books, Springer, chapter 0, in: Michèle Breton & Hatem Ben-Ameur, "Numerical Methods in Finance", DOI: 10.1007/0-387-25118-9_9.
• Suleyman Basak & Anna Pavlova, 2005, "Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies," Studies in Economic Theory, Springer, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear, "Essays in Dynamic General Equilibrium Theory", DOI: 10.1007/3-540-27192-9_1.
• Jamsheed Shorish & Stephen E. Spear, 2005, "Shaking the Tree: An Agency-Theoretic Model of Asset Pricing," Studies in Economic Theory, Springer, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear, "Essays in Dynamic General Equilibrium Theory", DOI: 10.1007/3-540-27192-9_10.
• Dominique Guegan, 2005, "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 2, pages 113-149, DOI: 10.1081/ETC-200067887.
• Evzen Kocenda & Lubos Briatka, 2005, "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 3, pages 265-296, DOI: 10.1080/07474930500243001.
• David McMillan, 2005, "Time variation in the cointegrating relationship between stock prices and economic activity," International Review of Applied Economics, Taylor & Francis Journals, volume 19, issue 3, pages 359-368, DOI: 10.1080/02692170500119862.
• John Y. Campbell & Luis M. Viceira, 2005, "The Term Structure of the Risk–Return Trade-Off," Financial Analysts Journal, Taylor & Francis Journals, volume 61, issue 1, pages 34-44, January, DOI: 10.2469/faj.v61.n1.2682.
• Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005, "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-052/1, May.
• Cars Hommes, 2005, "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-055/1, May.
• Cars H. Hommes, 2005, "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-056/1, May.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-62.
• Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005, "Assessing Credit with Equity : A CEV Model with Jump to Default," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-27.
• Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005, "Labor Income and the Demand for Long-term Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-95.
• Magis, P. & Sbuelz, A., 2005, "The Value of Fighting Irreversible Demise by Softening the Irreversible Cost," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-26.
• Campi, L. & Sbuelz, A., 2005, "Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-28.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2005-016.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 059428e3-2ed6-42e2-8d3c-2.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1deb12a0-54a3-47f7-9626-5.
• Nobuyuki Oda & Kazuo Ueda, 2005, "The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-336, Apr.
• Kathy Yuan, 2005, "The Liquidity Service Of Benchmark Securities," Journal of the European Economic Association, MIT Press, volume 3, issue 5, pages 1156-1180, September.
• Ortalo-Magné, François & Rady, Sven, 2005, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraint," 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 50, May.
• Giulio Bottazzi & Giovanna Devetag, 2005, "Expectations structure in asset pricing experiments," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 0503.
• Benjamin Ford & Karen Taylor, 2005, "Recent developments in Australian bond yields," Economic Roundup, The Treasury, Australian Government, issue 4, pages 111-120, December.
• Alar Kein, 2005, "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 120.
• Pilar Abad Romero & M. Dolores Robles Fernández, 2005, "Risk and returns around bond rating changes: New evidence from the Spanish Stock Market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0505.
• Andrew Ang & Angela Maddaloni, 2005, "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 341-380, January, DOI: 10.1086/426528.
• Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005, "Market Integration and Contagion," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 39-70, January, DOI: 10.1086/426519.
• Ulrich Hege & Pierre Mella-Barral, 2005, "Repeated Dilution of Diffusely Held Debt," The Journal of Business, University of Chicago Press, volume 78, issue 3, pages 737-786, May, DOI: 10.1086/429643.
• Viral V. Acharya & Alberto Bisin, 2005, "Optimal Financial-Market Integration and Security Design," The Journal of Business, University of Chicago Press, volume 78, issue 6, pages 2397-2434, November, DOI: 10.1086/497041.
• Jonathan A. Parker & Christian Julliard, 2005, "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, volume 113, issue 1, pages 185-222, February, DOI: 10.1086/426042.
• Charles Engel & Kenneth D. West, 2005, "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, volume 113, issue 3, pages 485-517, June, DOI: 10.1086/429137.
• Roland Gillet & Ariane Szafarz, 2005, "L'efficience informationnelle des marchés: une hypothèse, et au-delà?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/14397.
• Roland Gillet & Ariane Szafarz, 2005, "L’efficience informationnelle des marchés. Une hypothèse, et au-delà ?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/669.
• Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005, "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/05, Apr.
• Graciela L. Kaminsky, 2005, "International Capital Flows, Financial Stability and Growth," Working Papers, United Nations, Department of Economics and Social Affairs, number 10, Dec.
• Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005, "The weekend trading profitability: evidence from international mutual funds," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-10, Jan.
• Francesco Franzoni & José M. Marín, 2005, "Pension plan funding and stock market efficiency," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 871, Jun.
• Elisa Alòs & Christian-Olivier Ewald, 2005, "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 880, Aug.
• José M. Marín & Francesco Franzoni, 2005, "Portable alphas from pension mispricing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 894, Oct.
• Patrick Gagliardini & C. Gourieroux & E. Renault, 2005, "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-05, Jan.
• Frode Brevik & Stefano d'Addona, 2005, "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-24, Dec.
• Xue-Zhong He & Youwei Li, 2005, "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 148, Jan.
• Carl Chiarella & Hing Hung & Thuy-Duong To, 2005, "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 151, Jan.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005, "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 166, Sep.
• Flynn, Sean M., 2005, "Noise-trading, Costly Arbitrage, and Asset Prices: Evidence from US Closed-end Funds," Vassar College Department of Economics Working Paper Series, Vassar College Department of Economics, number 71, Sep.
• Luciano Campi & Simon Polbennikov & Sbuelz, 2005, "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers, University of Verona, Department of Economics, number 24/2005, Sep.
• Leo Krippner, 2005, "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, number 05/01, Jan.
• Leo Krippner, 2005, "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics, University of Waikato, number 05/03, Mar.