Research classified by Journal of Economic Literature (JEL) codes

2006

• Reschreiter, Andreas, 2006, "Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting," Economics Series, Institute for Advanced Studies, number 193, Sep.
• Reschreiter, Andreas, 2006, "Indexed Bonds and Revisions of Inflation Expectations," Economics Series, Institute for Advanced Studies, number 199, Nov.
• Cem K. ARSLAN & Cumhur ERDEM & Meziyet Sema ERDEM, 2006, "Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 239, pages 125-135.
• M. Mete DOĞANAY & Ramazan AKTAŞ & Ünsal BAN, 2006, "Hisse senetlerinde risk ayrışımı ve İstanbul Menkul Kıymetler Borsası’nda bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 242, pages 27-33.
• Sıdıka BAŞÇI & Nildağ Başak CEYLAN, 2006, "Makroekonomik değişkenlerin borsa getirisi ve oynaklığı üzerindeki etkisi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 30-36.
• M.Mete DOĞANAY, 2006, "Fama-French üç faktör varlık fiyatlama modelinin İMKB’de uygulanması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 61-71.
• Charles P. Thomas, 2006, "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp162, Aug.
• Giuseppe Travaglini, 2006, "Irreversibility and Interest Rates," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 2, pages 173-183, August.
• Prasanna Gai & Nicholas Vause, 2006, "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Arturo Lorenzo Valdés, 2006, "Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 21, issue 1, pages 117-129, July.
• Bauwens, Luc, 2006, "Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue 1, pages 1-23, March.
• Naohiko Baba, 2006, "Financial Market Functioning and Monetary Policy: Japan's Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 39-71, December.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 83-109, December.
• Fernando Cruz Aranda, 2006, "Valuación Del Valor En Riesgo De Bonos Cupón Cero En El Mercado Financiero Mexicano A Través Del Modelo De Vasicek, Cir Y Simulación Monte Carlo Con Saltos De Poisson," 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 5, issue 1, pages 47-83, Marzo 200.
• Andoni Gárritz Cruz, 2006, "VOLATILIDAD ESTOCÁSTICA, TEORÍA DE VALORES EXTREMOS Y VALUACIÓN DE DERIVADOS: CALIBRACIÓN Y ANÁLISIS DE 3 MODELOS DE PROCESOS ESTOCÁSTICOS PARA EL ÍNDICE DE LA BMV DE 1990 a 2005," 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 5, issue 1, pages 85-110, Marzo 200.
• Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2006, "Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2006-010, Sep.
• Todd B. Walker, 2006, "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2006-011, Sep.
• Paulo Brito & Rui Dilao, 2006, "Equilibrium price dynamics in an overlapping-generations exchange economy," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2006/27.
• Juan A. Lafuente & Manuel Illueca Muñoz, 2006, "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-05, Feb.
• Matiur Rahman & Muhammad Mustafa & Anisul Islam & Kishor Kumar Guru-Gharana, 2006, "Growth and employment empirics of Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, volume 40, issue 1, pages 99-114, September.
• Johann Burgstaller, 2006, "Financial predictors of real activity and the propagation of aggregate shocks," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2006-16, Sep.
• Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006, "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 49-75, DOI: 10.1002/for.974.
• William Barnett & Ousmane Seck, 2006, "Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200605, Feb.
• William Barnett, 2006, "Divisia Monetary Index," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200606, Apr.
• William Barnett, 2006, "Supply of Money," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200607, Jul.
• Dan Bernhardt & Bart Taub, 2006, "Kyle v. Kyle (’85 v. ’89)," Annals of Finance, Springer, volume 2, issue 1, pages 23-38, January, DOI: 10.1007/s10436-005-0031-x.
• Robert Fernholz & Ioannis Karatzas, 2006, "The implied liquidity premium for equities," Annals of Finance, Springer, volume 2, issue 1, pages 87-99, January, DOI: 10.1007/s10436-005-0026-7.
• Xun Li & Zhenyu Wu, 2006, "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, volume 2, issue 2, pages 179-205, March, DOI: 10.1007/s10436-005-0034-7.
• William Barnett & John Keating & Unja Chae, 2006, "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, volume 2, issue 3, pages 229-258, July, DOI: 10.1007/s10436-006-0038-y.
• Min Fan, 2006, "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, volume 2, issue 3, pages 259-285, July, DOI: 10.1007/s10436-006-0039-x.
• M. Dempster & I. Evstigneev & M. Taksar, 2006, "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, volume 2, issue 4, pages 327-355, October, DOI: 10.1007/s10436-006-0042-2.
• Duffee, Gregory R., 2006, "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, volume 79, issue 3, pages 507-536, March.
• Basak, Suleyman & Croitoru, Benjamin, 2006, "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 143-173, July.
• Cooper, Ian A. & Nyborg, Kjell G., 2006, "The value of tax shields IS equal to the present value of tax shields," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 215-225, July.
• Pastor, Lubos & Veronesi, Pietro, 2006, "Was there a Nasdaq bubble in the late 1990s?," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 61-100, July.
• Lewellen, Jonathan & Nagel, Stefan, 2006, "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, volume 82, issue 2, pages 289-314, November.
• Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006, "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, volume 82, issue 3, pages 519-550, December.
• Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006, "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, volume 25, issue 4, pages 551-579, June.
• Hens, Thorsten & Jean-Jacques Herings, P. & Predtetchinskii, Arkadi, 2006, "Limits to arbitrage when market participation is restricted," Journal of Mathematical Economics, Elsevier, volume 42, issue 4-5, pages 556-564, August.
• Jouini, E. & Napp, C., 2006, "Aggregation of heterogeneous beliefs," Journal of Mathematical Economics, Elsevier, volume 42, issue 6, pages 752-770, September.
• Aguiar, Mark & Broner, Fernando A., 2006, "Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?," Journal of Monetary Economics, Elsevier, volume 53, issue 4, pages 699-724, May.
• Beber, Alessandro & Brandt, Michael W., 2006, "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, volume 53, issue 8, pages 1997-2039, November.
• Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006, "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, volume 16, issue 3, pages 269-290, July.
• Dopke, Jorg & Pierdzioch, Christian, 2006, "Politics and the stock market: Evidence from Germany," European Journal of Political Economy, Elsevier, volume 22, issue 4, pages 925-943, December.
• Kearney, Colm & Poti, Valerio, 2006, "Correlation dynamics in European equity markets," Research in International Business and Finance, Elsevier, volume 20, issue 3, pages 305-321, September.
• P.N. Smith & S. Sorensen & M.R. Wickens, 2006, "The Asymmetric Effect of the Business Cycle on the Relation Between Stock Market Returns and Their Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2006-05, Jan.
• Danielsson, Jon & Zigrand, Jean-Pierre, 2006, "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24515, May.
• Connor, Gregory & Linton, Oliver, 2006, "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4424, Sep.
• Brunnermeier, Markus K. & Julliard, Christian, 2006, "Money illusion and housing frenzies," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4806, Jul.
• Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006, "Nonparametric estimation betas in the Market Model," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Ansgar Belke & Thorsten Polleit, 2006, "Dividend Yields for Forecasting Stock Market Returns. An ARDL Cointegration Analysis for Germany," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 9, issue 1, pages 86-116, Summer.
• Fuentes S.M., Rodrigo & Gregoire C., Jorge & Zurita L., Salvador, 2006, "Factores macroeconómicos en rendimientos accionarios chilenos," El Trimestre Económico, Fondo de Cultura Económica, volume 73, issue 289, pages 125-138, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v73i.
• Berneburg, Marian, 2006, "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 16/2006.
• Nitschka, Thomas, 2006, "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,11.
• Nitschka, Thomas, 2006, "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,12.
• Hoffmann, Mathias, 2006, "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,14.
• Detlefsen, Kai & Härdle, Wolfgang Karl, 2006, "Calibration risk for exotic options," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-001.
• Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006, "Time dependent relative risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-020.
• Belomestny, Denis & Schoenmakers, John G. M., 2006, "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-037.
• Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006, "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-051.
• Fest, Martin & Gürtler, Marc & Heithecker, Dirk, 2006, "Einflussfaktoren von Immobilienpreisen bei Renditeobjekten," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW23V1.
• Siebe, Wilfried & Milde, Hellmuth & Broll, Udo & Bieta, Volker, 2006, "A Strategic Approach to Financial Options," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 01/06.
• Schöbel, Rainer & Veith, Jochen, 2006, "An overreaction implementation of the coherent market hypothesis and option pricing," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 306.
• Dolzer, Armin & Nietert, Bernhard, 2006, "Portfolio selection with time constraints and a rational explanation of insufficient diversification and excessive trading," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 12.
• Grammig, Joachim G. & Schrimpf, Andreas, 2006, "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-032.
• Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006, "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-043.
• Ullrich, Katrin, 2006, "Market discipline and the use of government bonds as collateral in the EMU," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-046.
• Oberndorfer, Ulrich & Ziegler, Andreas, 2006, "Environmentally oriented energy policy and stock returns: an empirical analysis," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-079.
• Wu, Shu & Zeng, Yong, 2006, "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, volume 93, issue 2, pages 215-221, November.
• Menkhoff, Lukas & Schmeling, Maik, 2006, "A prospect-theoretical interpretation of momentum returns," Economics Letters, Elsevier, volume 93, issue 3, pages 360-366, December.
• Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006, "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 253-284.
• Guidolin, Massimo & Timmermann, Allan, 2006, "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 285-308.
• Dvorak, Tomas & Podpiera, Richard, 2006, "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, volume 7, issue 2, pages 129-146, June.
• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Realdon, Marco, 2006, "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, volume 3, issue 4, pages 277-289, December.
• Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006, "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, volume 2, issue 1, pages 28-54, April.
• Basher, Syed A. & Sadorsky, Perry, 2006, "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, volume 17, issue 2, pages 224-251, December.
• d'Addona, Stefano & Kind, Axel H., 2006, "International stock-bond correlations in a simple affine asset pricing model," Journal of Banking & Finance, Elsevier, volume 30, issue 10, pages 2747-2765, October.
• Post, Thierry & van Vliet, Pim, 2006, "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, volume 30, issue 3, pages 823-849, March.
• Alan J. Auerbach & Kevin A. Hassett, 2006, "Dividend Taxes and Firm Valuation: New Evidence," American Economic Review, American Economic Association, volume 96, issue 2, pages 119-123, May, DOI: 10.1257/000282806777212495.
• Laura L. Veldkamp, 2006, "Media Frenzies in Markets for Financial Information," American Economic Review, American Economic Association, volume 96, issue 3, pages 577-601, June.
• Raj Chetty, 2006, "A New Method of Estimating Risk Aversion," American Economic Review, American Economic Association, volume 96, issue 5, pages 1821-1834, December, DOI: 10.1257/aer.96.5.1821.
• Sunil K. Bundoo, 2006, "An Investigation of the Size and Value Premium on the Stock Exchange of Mauritius," The African Finance Journal, Africagrowth Institute, volume 8, issue 1, pages 14-25.
• Kofi A. Osei, 2006, "Macroeconomic Factors and the Ghana Stock Market," The African Finance Journal, Africagrowth Institute, volume 8, issue 1, pages 26-38.
• Sunil Bundoo, 2006, "An Examination of the Time Variation in Systematic Risk on the Stock Exchange of Mauritius," The African Finance Journal, Africagrowth Institute, volume 8, issue 2, pages 52-66.
• Bogan, Vicki, 2006, "Bubbles or Convenience Yields? A Theoretical Explanation with Evidence from Technology Company Equity Carve-Outs," Working Papers, Cornell University, Department of Applied Economics and Management, number 127045, DOI: 10.22004/ag.econ.127045.
• Wilson, Christine A. & Featherstone, Allen M., 2006, "Adjusting The Capm For Threshold Effects: An Application To Food And Agribusiness Stocks," Staff Papers, Purdue University, Department of Agricultural Economics, number 28619, DOI: 10.22004/ag.econ.28619.
• Milne, Frank & Jin, Xing, 2006, "Taxation and Transaction Costs in a General Equilibrium Asset Economy," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273587, Oct, DOI: 10.22004/ag.econ.273587.
• Liu, Ying & Papakirykos, Eli & Yuan, Mingwei, 2006, "Market Valuation and Risk Assessment of Canadian Banks," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 2, issue 01, pages 1-18, DOI: 10.22004/ag.econ.50281.
• Nandha, Mohan & Faff, Robert, 2006, "Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 2, issue 2, pages 1-16, DOI: 10.22004/ag.econ.50370.
• Frait, Jan & Komarek, Lubos, 2006, "Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States?," Economic Research Papers, University of Warwick - Department of Economics, number 269631, DOI: 10.22004/ag.econ.269631.
• Daniela Zapodeanu & Dorina Popa, 2006, "Moving Averages In Technical Analysis Of Listed Financial Instruments," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 8, pages 1-57.
• G. De Masi & G. Iori & G. Caldarelli, 2006, "A fitness model for the Italian Interbank Money Market," Papers, arXiv.org, number physics/0610108, Oct.
• Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli, 2006, "Trading strategies in the Italian interbank market," Papers, arXiv.org, number physics/0611023, Nov.
• Alvaro Cartea & Thomas Williams, 2006, "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0608, Sep.
• Miroslav Misina, 2006, "Benchmark Index of Risk Appetite," Staff Working Papers, Bank of Canada, number 06-16, DOI: 10.34989/swp-2006-16.
• Antonio Diez de los Rios, 2006, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers, Bank of Canada, number 06-27, DOI: 10.34989/swp-2006-27.
• Fousseni Chabi-Yo, 2006, "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers, Bank of Canada, number 06-38, DOI: 10.34989/swp-2006-38.
• Alexander Melnikov & Yuliya Romanyuk, 2006, "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Staff Working Papers, Bank of Canada, number 06-43, DOI: 10.34989/swp-2006-43.
• Michael R. King & Dan Segal, 2006, "The Long-Term Effects of Cross-Listing Investor Recognition, and Ownership Structure on Valuation," Staff Working Papers, Bank of Canada, number 06-44, DOI: 10.34989/swp-2006-44.
• Abdelaziz Rouabah, 2006, "L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers," BCL working papers, Central Bank of Luxembourg, number 18, Jan.
• Christophe Blot, 2006, "Peut-on parler de bulle sur le marché immobilier au Luxembourg ?," BCL working papers, Central Bank of Luxembourg, number 20, May.
• Pedro Elosegui & Paula Español & Demian Panigo & Juan Sotes Paladino, 2006, "Methodological Alternatives for the Analysis of Financial Constraints in Argentina," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200602, Apr.
• Verónica Balzarotti, 2006, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200606, Dec.
• Juan Ayuso & Roberto Blanco & Fernando Restoy, 2006, "House prices and real interest rates in Spain," Occasional Papers, Banco de España, number 0608, Dec.
• Juan Ayuso & Fernando Restoy, 2006, "House prices and rents in Spain: does the discount factor matter?," Working Papers, Banco de España, number 0609, Apr.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006, "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers, Banco de España, number 0630, Nov.
• Ricardo Gimeno & Juan M. Nave, 2006, "Genetic algorithm estimation of interest rate term structure," Working Papers, Banco de España, number 0634, Dec.
• Marcello Pericoli & Massimo Sbracia, 2006, "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 586, Mar.
• Hanno Lustig & Adrien Verdelhan, 2006, "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers, Banque de France, number 155.
• Moëc, G., 2006, "La soutenabilité des prix de l’immobilier aux États-Unis et en Europe," Bulletin de la Banque de France, Banque de France, issue 148, pages 21-38.
• Lagerblom, A. & Levy-Rueff, G., 2006, "La gestion des réserves de change et ses conséquences pour les marchés," Bulletin de la Banque de France, Banque de France, issue 148, pages 39-50.
• Daniel, L. & Manas, A., 2006, "Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement," Bulletin de la Banque de France, Banque de France, issue 152, pages 45-56.
• Moëc, G., 2006, "Are house prices in the USA and Europe sustainable?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 05, pages 57-77, Autumn.
• Jacques Olivier & José M. Marín, 2015, "The Dog That Did Not Bark: Insider Trading and Crashes," Working Papers, Barcelona School of Economics, number 241, Sep.
• Margaret Hwang Smith & Gary Smith, 2006, "Bubble, Bubble, Where's the Housing Bubble?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 37, issue 1, pages 1-68.
• Nikola Tarashev & Kostas Tsatsaronis, 2006, "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.
• Christian Upper, 2006, "Derivatives activity and monetary policy," BIS Quarterly Review, Bank for International Settlements, September.
• Haibin Zhu, 2006, "The structure of housing finance markets and house prices in Asia," BIS Quarterly Review, Bank for International Settlements, December.
• Maurizio Luisi & Jeffery D. Amato, 2006, "Macro factors in the term structure of credit spreads," BIS Working Papers, Bank for International Settlements, number 203, Mar.
• Hyun Song Shin, 2006, "Risk and liquidity in a system context," BIS Working Papers, Bank for International Settlements, number 212, Aug.
• Claudio E. V. Borio & Kostas Tsatsaronis, 2006, "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers, Bank for International Settlements, number 213, Aug.
• Rob Bauer & Rogér Otten & Alireza Tourani Rad, 2006, "New Zealand mutual funds: measuring performance and persistence in performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 46, issue 3, pages 347-363, September, DOI: 10.1111/j.1467-629X.2006.00171.x.
• Simon Grant & John Quiggin, 2006, "The Risk Premium For Equity: Implications For Resource Allocation, Welfare And Policy," Australian Economic Papers, Wiley Blackwell, volume 45, issue 3, pages 253-268, September, DOI: 10.1111/j.1467-8454.2006.00291.x.
• David J. Beggs & Christopher L. Skeels, 2006, "Market Arbitrage of Cash Dividends and Franking Credits," The Economic Record, The Economic Society of Australia, volume 82, issue 258, pages 239-252, September, DOI: 10.1111/j.1475-4932.2006.00337.x.
• Eric Jondeau & Michael Rockinger, 2006, "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, volume 12, issue 1, pages 29-55, January, DOI: 10.1111/j.1354-7798.2006.00309.x.
• Pilar Abad‐Romero & M. Dolores Robles‐Fernandez, 2006, "Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market," Journal of Business Finance & Accounting, Wiley Blackwell, volume 33, issue 5‐6, pages 885-908, June, DOI: 10.1111/j.1468-5957.2006.00608.x.
• Chiaki Hara, 2006, "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, volume 57, issue 3, pages 377-405, September, DOI: 10.1111/j.1468-5876.2006.00377.x.
• Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006, "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, volume 61, issue 1, pages 195-229, February, DOI: 10.1111/j.1540-6261.2006.00834.x.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006, "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, volume 61, issue 1, pages 259-299, February, DOI: 10.1111/j.1540-6261.2006.00836.x.
• Francesco Franzoni & José M. Marín, 2006, "Pension Plan Funding and Stock Market Efficiency," Journal of Finance, American Finance Association, volume 61, issue 2, pages 921-956, April, DOI: 10.1111/j.1540-6261.2006.00859.x.
• John Y. Campbell, 2006, "Household Finance," Journal of Finance, American Finance Association, volume 61, issue 4, pages 1553-1604, August, DOI: 10.1111/j.1540-6261.2006.00883.x.
• Malcolm Baker & Jeffrey Wurgler, 2006, "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, volume 61, issue 4, pages 1645-1680, August, DOI: 10.1111/j.1540-6261.2006.00885.x.
• Thomas H. Noe & Michael J. Rebello & Jun Wang, 2006, "The Evolution of Security Designs," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2103-2135, October, DOI: 10.1111/j.1540-6261.2006.01052.x.
• Jan Ericsson & Olivier Renault, 2006, "Liquidity and Credit Risk," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2219-2250, October, DOI: 10.1111/j.1540-6261.2006.01056.x.
• Andrew W. Lo & Jiang Wang, 2006, "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, volume 61, issue 6, pages 2805-2840, December, DOI: 10.1111/j.1540-6261.2006.01005.x.
• Laurian Lungu & Patrick Minford, 2006, "Explaining The Equity Risk Premium," Manchester School, University of Manchester, volume 74, issue 6, pages 670-700, December, DOI: 10.1111/j.1467-9957.2006.00522.x.
• George A. Christodoulakis & Stephen E Satchell, 2006, "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers, Bank of Greece, number 32, Jan.
• Yoichi Ueno & Naohiko Baba & Yuji Sakurai, 2006, "The Use of the Black Model of Interest Rates as Options for Monitoring the JGB Market Expectations," Bank of Japan Working Paper Series, Bank of Japan, number 06-E-15, Sep.
• Yoichi Ueno & Naohiko Baba, 2006, "Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market," Bank of Japan Working Paper Series, Bank of Japan, number 06-E-4, Mar.
• Naohiko Baba & Hiromichi Goko, 2006, "Survival Analysis of Hedge Funds," Bank of Japan Working Paper Series, Bank of Japan, number 06-E-5, Mar.
• François Gourio, 2006, "Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-005, Feb.
• Hanno Lustig & Adrien Verdelhan, 2006, "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 WP2006-045, Feb.
• Adrien Verdelhan, 2006, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-047, Jun.
• Alan De Genaro Dario, 2006, "Pricing Volatility Referenced Assets," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 2, pages 203-228.
• Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006, "Threshold Random Walks in the U.S. Stock Market," Working Papers, Brock University, Department of Economics, number 0602, May, revised May 2006.
• Mailath, George J. & Nöldeke, Georg, 2006, "Extreme Adverse Selection, Competitive Pricing, and Market Breakdown," Working papers, Faculty of Business and Economics - University of Basel, number 2006/09.
• Pensa, Pascal, 2006, "Nomen est Omen: How Company Names Influence Short- and Long-Run Stock Market Performance," Working papers, Faculty of Business and Economics - University of Basel, number 2006/13.
• Mariana Mazzucato, 2006, "Innovation and Stock Prices: a Review of some Recent Work," Revue de l'OFCE, Presses de Sciences-Po, volume 97, issue 5, pages 159-179.
• Lionel Nesta & Pier-Paolo Saviotti, 2006, "Intégration technologique et valeur boursière des firmes de biotechnologies," Revue de l'OFCE, Presses de Sciences-Po, volume 96, issue 1, pages 211-233.
• Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006, "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0602, Jan.
• Whelan, Karl, 2006, "Consumption and Expected Asset Returns Without Assumptions About Unobservables," Research Technical Papers, Central Bank of Ireland, number 4/RT/06, May.
• Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2006, "Ambiguity in Asset Markets: Theory and Experiment," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 27, revised 2009.
• Elisa Luciano & Wim Schoutens, 2006, "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 29.
• Auerbach, Alan J. & Hassett, Kevin A., 2006, "Dividend Taxes and Firm Valuation: New Evidence," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt2nt4k6vj, Jan.
• Auerbach, Alan J. & Hassett, Kevin A., 2006, "Dividend Taxes and Firm Valuation: New Evidence," Berkeley Olin Program in Law & Economics, Working Paper Series, Berkeley Olin Program in Law & Economics, number qt2nt4k6vj, Jan.
• Gregory Connor & Oliver Linton, 2006, "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 506, Sep.
• Lubos Briatka, 2006, "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp308, Sep.
• Matthias Hagmann & Joachim Loebb, 2006, "Model Combination and Stock Return Predictability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-05, Mar.
• Maria Semenova, 2006, "What Jump Process to use to Model S&P500 Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-06, Mar.
• Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-15, Mar, revised Jun 2006.
• Jean-Pierre Danthine & Xiangrong JIN, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-18, Sep.
• Frederik Lundtofte, 2006, "The Quality of Public Information and The Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-24, Feb, revised Sep 2006.
• Eric Jondeau & Michael Rockinger, 2006, "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-28, Nov.
• Ivan Jaccard, 2006, "House Prices, Real Estate Returns and the Business Cycle," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-37, Dec.
• Anne Epaulard & Aude Pommeret, 2007, "Bankcruptcy Law and Firms’ Behavior," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-08, Feb.
• Pascal St-Amour, 2007, "Benchmarks in Aggregate Household Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-09, Jan.
• Francesco A. Franzoni, 2008, "Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-22, May.
• Charles Ka Yui Leung & Peiling Wei & Siu Kei Wong, 2006, "Are the markets for factories and offices integrated? Evidence from Hong Kong?," Discussion Papers, Chinese University of Hong Kong, Department of Economics, number 00018, Feb.
• Charles Ka Yui Leung & Peiling Wei & Siu Kei Wong, 2006, "Are the markets for factories and offices integrated? Evidence from Hong Kong?," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics, number _179, Feb.
• George J. Mailath & Georg Nöldeke, 2006, "Extreme Adverse Selection, Competitive Pricing, and Market Breakdown," Levine's Bibliography, UCLA Department of Economics, number 321307000000000267, Jul.
• Yaiza García Padrón & Juan García Boza, 2006, "Revisión bibliográfica de la evidencia empírica de los modelos multifactoriales de valoración de activos financieros," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Ignacio Vélez-Pareja & Julián Benavides-Franco, 2006, "There exists circularity between WACC and value? Another solution," Estudios Gerenciales, Universidad Icesi.
• Rubén Darío Álvarez García & Karina Isabel Garc�a Monsalve & Andr�s Felipe Borr�ez �lvarez, 2006, "Las razones para valorar una empresa y los métodos empleados," Revista Semestre Económico, Universidad de Medellín.
• Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006, "Valuation in Over-the-Counter Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5491, Feb.
• Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5519, Mar.
• Hsieh, David A & Fung, William & Naik, Narayan, 2006, "Hedge Funds: Performance, Risk and Capital Formation," CEPR Discussion Papers, Centre for Economic Policy Research, number 5565, Mar.
• Albuquerque, Rui & Vega, Clara, 2006, "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers, Centre for Economic Policy Research, number 5598, Mar.
• Pijoan-Mas, Josep, 2006, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5602, Mar.
• Uppal, Raman & Bhamra, Harjoat Singh, 2006, "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5726, Jun.
• Bacchetta, Philippe & van Wincoop, Eric & Mertens, Elmar, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5770, Jul.
• Viceira, Luis & Jurek, Jakub W, 2006, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 5773, Jul.
• Basak, Suleyman & Pavlova, Anna & Cass, David & Licari, Juan Manuel, 2006, "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 5804, Aug.
• Schneider, Martin & Albuquerque, Rui & ,, 2006, "Global Private Information in International Equity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5819, Sep.
• Danthine, Jean-Pierre & Jin, Xiangrong, 2006, "Intangible Capital, Corporate Valuation and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 5897, Oct.