Research classified by Journal of Economic Literature (JEL) codes

2005

• Jakob Madsen & Costas Milas, 2005, "The Price-Dividend Relationship In Inflationary And Deflationary Regimes," Econometrics, University Library of Munich, Germany, number 0506002, Jun.
• William A. Barnett & Jane Binner & W. Erwin Diewert, 2005, "Functional Structure and Approximation in Econometrics (book front matter)," Econometrics, University Library of Munich, Germany, number 0511006, Nov.
• Carl Plat, 2005, "A Double Auction Market with Signals of Varying Precision," Experimental, University Library of Munich, Germany, number 0508004, Aug.
• Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005, "Discount Rates in Emerging Capital Markets," Finance, University Library of Munich, Germany, number 0501013, Jan.
• Stefano d'Addona & Axel H. Kind, 2005, "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, University Library of Munich, Germany, number 0502018, Feb.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0503014, Mar, revised 17 Jan 2006.
• Ayla Ogus, 2005, "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance, University Library of Munich, Germany, number 0504005, Apr.
• Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005, "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance, University Library of Munich, Germany, number 0504011, Apr.
• Silvio John Camilleri & Christopher J. Green, 2005, "An Analysis of the Impacts of Non-Synchronous Trading On," Finance, University Library of Munich, Germany, number 0504020, Apr.
• Joao C. A. Teixeira, 2005, "An empirical analysis of structural models of corporate debt pricing," Finance, University Library of Munich, Germany, number 0505001, May.
• Santiago Budria, 2005, "An Exploration of Asset Returns in a Production Economy with Relative Habits," Finance, University Library of Munich, Germany, number 0505004, May.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0505009, May, revised 17 Jan 2006.
• Silvio John Camilleri & Christopher J. Green, 2005, "The Impact of the Suspension of Opening and Closing Call," Finance, University Library of Munich, Germany, number 0506006, Jun.
• Silvio John Camilleri, 2005, "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance, University Library of Munich, Germany, number 0507006, Jul.
• Colm Kearney & Valerio Poti, 2005, "Correlation Dynamics in European Equity Markets," Finance, University Library of Munich, Germany, number 0507008, Jul.
• Fatih Guvenen, 2005, "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance, University Library of Munich, Germany, number 0507009, Jul.
• Francis Vitek, 2005, "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance, University Library of Munich, Germany, number 0508014, Aug.
• Georg Mosburger & Paul Schneider, 2005, "Modelling International Bond Markets with Affine Term Structure Models," Finance, University Library of Munich, Germany, number 0509003, Sep.
• Shino Takayama & Han Ozsoylev, 2005, "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance, University Library of Munich, Germany, number 0509007, Sep.
• Jaime Londoño, 2005, "Dynamic State Tameness," Finance, University Library of Munich, Germany, number 0509010, Sep, revised 20 Sep 2005.
• Sascha Mergner, 2005, "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0509024, Sep.
• Alessandro Sansone & Giuseppe Garofalo, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance, University Library of Munich, Germany, number 0510026, Oct.
• Stefano Galluccio & Yann Le Cam, 2005, "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance, University Library of Munich, Germany, number 0510028, Oct.
• Sascha Mergner & Jan Bulla, 2005, "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0510029, Oct.
• Martina Nardon, 2005, "Valuing defaultable bonds: an excursion time approach," Finance, University Library of Munich, Germany, number 0511015, Nov.
• Anthony Murphy & Marwan Izzeldin, 2005, "Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)," Finance, University Library of Munich, Germany, number 0512005, Dec.
• Albert Lee Chun, 2005, "Expectations, Bond Yields and Monetary Policy," Finance, University Library of Munich, Germany, number 0512006, Dec.
• Godwin Nwaobi, 2005, "Securities Markets And Social Capital Integration In Africa: Risks And Policy Options," Finance, University Library of Munich, Germany, number 0512019, Dec.
• Marco Gallegati, 2005, "A Wavelet Analysis of MENA Stock Markets," Finance, University Library of Munich, Germany, number 0512027, Dec.
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005, "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance, University Library of Munich, Germany, number 0512028, Dec.
• Jian Wang, 2005, "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance, University Library of Munich, Germany, number 0501002, Jan.
• Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2005, "International equity flows and returns: a quantitative equilibrium approach," International Finance, University Library of Munich, Germany, number 0508006, Aug.
• Lieven Baele & Koen Inghelbrecht, 2005, "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, University Library of Munich, Germany, number 0511005, Nov.
• Balázs Romhányi, 2005, "A learning hypothesis of the term structure of interest rates," Macroeconomics, University Library of Munich, Germany, number 0503001, Mar.
• William Barnett, 2005, "Monetary Aggregation," Macroeconomics, University Library of Munich, Germany, number 0503017, Mar.
• William Barnett & Unja Chae & John Keating, 2005, "The Discounted Economic Stock of Money with VAR Forecasting," Macroeconomics, University Library of Munich, Germany, number 0508021, Aug.
• William Barnett & Unja Chae & John Keating, 2005, "Forecast Design in Monetary Capital Stock Measurement," Macroeconomics, University Library of Munich, Germany, number 0508022, Aug.
• William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005, "The Theory of Monetary Aggregation (book front matter)," Macroeconomics, University Library of Munich, Germany, number 0511008, Nov.
• Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 849.
• Allon Cohen & Haim Levy, 2005, "The Log-Normal Asset Pricing Model (Lapm)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-34, DOI: 10.1142/S2010495205500028.
• Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès, 2005, "The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-20, DOI: 10.1142/S2010495205500041.
• Don U. A. Galagedera & Robert Faff, 2005, "Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 75-95, DOI: 10.1142/S0219024905002901.
• M. Tudela & G. Young, 2005, "A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 737-761, DOI: 10.1142/S0219024905003256.
• Shu Wu & Yong Zeng, 2005, "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 07, pages 839-869, DOI: 10.1142/S0219024905003323.
• A G Malliaris, 2005, "Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5864, ISBN: ARRAY(0x6275ad88), March.
• Fwu-Ranq Chang & A. G. Malliaris, 2005, "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005, "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Mary E. Malliaris, 2005, "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Silvana Stefani, 2005, "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jerome L. Stein, 2005, "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005, "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marco Corazza & A. G. Malliaris, 2005, "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Ramaprasad Bhar & A. G. Malliaris, 2005, "Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Is The Federal Reserve Stock Market Bubble-Neutral?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• M. D. Hayford & A. G. Malliaris, 2005, "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The Impact Of The Persian Gulf Crisis On National Equity Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "Oil And World Stock Markets' Reaction To The Gulf Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Jorge Urrutia & A. G. Malliaris, 2005, "Equity And Oil Markets Under External Shocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2005, "Multinomial Lattices and Derivatives Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Michael K. Fung, 2005, "Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Anthony Kozberg, 2005, "Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Youngsik Kwak & H. James Williams, 2005, "A Teaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Sidney Leung, 2005, "Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts' Earnings Forecasts," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Van T. Nguyen & Bonnie F. Van Ness & Robert A. Van Ness, 2005, "Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2005, "The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow 30," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2005, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bing-Huei Lin & Jerry M. C. Wang, 2005, "Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2005, "Listing Switches from NASDAQ to the NYSE or AMEX: Is New Stock Issuance a Motive?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Karyl B. Leggio & Donald Lien, 2005, "Is Covered Call Investing Wise?: Evaluating the Strategy using Risk-Adjusted Performance Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Ping Hsiao & Wayne Y. Lee, 2005, "CFA Designation, Geographical Location and Analyst Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• William N. Goetzmann & Alok Kumar, 2005, "Why Do Individual Investors Hold Under-Diversified Portfolios?," Yale School of Management Working Papers, Yale School of Management, number ysm454, Apr.
• Schröder, David, 2005, "The Implied Equity Risk Premium: An Evaluation of Empirical Methods," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2005.
• Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005, "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,16.
• Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005, "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,29.
• Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005, "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,30.
• von Kalckreuth, Ulf, 2005, "A "wreckers theory" of financial distress," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,40.
• Alfarano, Simone & Lux, Thomas, 2005, "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-13.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005, "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/04.
• Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005, "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/09.
• Campbell, Sean D. & Diebold, Francis X., 2005, "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/22.
• Lüders, Erik & Franke, Günter, 2005, "Return predictability and stock market crashes in a simple rational expectations model," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 05/05.
• Becker, Christoph & Wystup, Uwe, 2005, "On the cost of delayed currency fixing announcements," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 3.
• Härdle, Wolfgang Karl & Lehmann, Heiko, 2005, "Working with the XQC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-010.
• Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005, "FFT based option pricing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-011.
• Fengler, Matthias R., 2005, "Arbitrage-free smoothing of the implied volatility surface," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-019.
• Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005, "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-020.
• Schüle, Tobias & Stadler, Manfred, 2005, "Signalling effects of a large player in a global game of creditor coordination," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 295.
• Ross Jennings & Gustavo Maturana, 2005, "The Usefulness Of Chilean Inflation Accounting," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 8, issue 1, pages 85-118.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-009, Jan.
• Sean D. Campbell & Francis X. Diebold, 2005, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-025, May, revised 16 Sep 2005.
• Olivia A. Vital & Lucia C. Laquindanum, 2005, "Asset price bubbles : implications on and approaches to, monetary policy and financial stability," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 42, issue 1, pages 89-109, June.
• Jorge Farinha & Miguel Sôro, 2005, "Ex-dividend pricing, taxes and arbitrage opportunities: the case of the Portuguese stock exchange," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0508, Dec.
• Francois-Éric Racicot & Raymond Théoret, 2005, "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0312005, Aug.
• Francois-Éric Racicot & Raymond Théoret, 2005, "De l'évaluation du risque de crédit," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0322005, Sep.
• Francois-Éric Racicot & Raymond Théoret, 2005, "L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0332005, Nov.
• Magni, Carlo Alberto, 2005, "On decomposing net final values: EVA, SVA, and shadow project," MPRA Paper, University Library of Munich, Germany, number 12357.
• Vélez-Pareja, Ignacio, 2005, "Valoración de flujos de caja en inflación. El caso de la regulación en el Banco Mundial
  [Cash Flow Valuation in an Inflationary World. The Case of World Bank for Regulated Firms]," MPRA Paper, University Library of Munich, Germany, number 12507, Feb, revised 05 Jan 2009.
• Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005, "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper, University Library of Munich, Germany, number 13586, Jul, revised 10 Oct 2008.
• Ilmolelian, Peter, 2005, "The determinants of the Harare Stock Exchange (HSE) market capitalisation," MPRA Paper, University Library of Munich, Germany, number 1418, Nov.
• ilya, gikhman, 2005, "Options valuation," MPRA Paper, University Library of Munich, Germany, number 1452.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.
• Tatom, John, 2005, "Is Your Bubble About to Burst?," MPRA Paper, University Library of Munich, Germany, number 4119, Oct.
• Simarmata, Djamester A., 2005, "Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997," MPRA Paper, University Library of Munich, Germany, number 41843, Jul.
• Marcello, Pericoli & Marco, Taboga, 2005, "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper, University Library of Munich, Germany, number 4969, Mar, revised Sep 2007.
• Carey, Alexander, 2005, "Higher-order volatility," MPRA Paper, University Library of Munich, Germany, number 4993, Dec.
• Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005, "Hedging with Foreign-listed Single Stock Futures," MPRA Paper, University Library of Munich, Germany, number 52372.
• Cebula, Richard & McGrath, Richard & Toma, Michael, 2005, "Impact of the Primary Budget Deficit on the Nominal Long Term Interest Rate Yield on Tax Free Municipal Bonds," MPRA Paper, University Library of Munich, Germany, number 61411, Aug.
• Magni, Carlo Alberto, 2005, "Theoretical Flaws In The Use Of The Capm For Investment Decisions," MPRA Paper, University Library of Munich, Germany, number 6330, Dec, revised Nov 2007.
• Han, Bing & Hirshleifer, David & Wang, Tracy, 2005, "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper, University Library of Munich, Germany, number 6497, Jun, revised Dec 2007.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 6608, Oct.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 7093, Oct.
• Magni, Carlo Alberto, 2005, "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper, University Library of Munich, Germany, number 7359, Dec, revised 27 Feb 2008.
• Camilleri, Silvio John, 2005, "Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data," MPRA Paper, University Library of Munich, Germany, number 84574, Jan.
• Gray, W, 2005, "Two Essays on Self-Tender Offers," MPRA Paper, University Library of Munich, Germany, number 8584, Nov, revised 2005.
• Iqbal, Javed & Haider, Aziz, 2005, "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper, University Library of Munich, Germany, number 8699, Apr.
• Dubra, Juan, 2005, "Interview with Kenneth Arrow," MPRA Paper, University Library of Munich, Germany, number 967, Mar.
• Alexander Ludwig & Alexander Zimper, 2012, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers, University of Pretoria, Department of Economics, number 201223, Jun.
• Dita Fuchsová, 2005, "Performance of Selected Models with Heterogeneous Expectation Formation
  [Výkonnost vybraných modelů s heterogenní tvorbou očekávání]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2005, issue 1, pages 41-45, DOI: 10.18267/j.aop.129.
• Jan Kubíček, 2005, "Rovnovážná cena fixního aktiva v rostoucí ekonomice
  [Equilibrium real price of a fixed asset in a growing economy]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 405-421, DOI: 10.18267/j.polek.513.
• Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005, "Les fondements de la rotation sectorielle des portefeuilles," Revue d'Économie Financière, Programme National Persée, volume 78, issue 1, pages 345-362, DOI: 10.3406/ecofi.2005.3960.
• François-Louis Michaud, 2005, "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 79-93, DOI: 10.3406/ecofi.2005.3971.
• Olivier Davanne & Thierry Pujol, 2005, "Allocation d’actifs, variation des primes de risque et benchmarks," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 95-111, DOI: 10.3406/ecofi.2005.3973.
• Jean Matouk & Jean-Louis Monino, 2005, "Le marché de Paris a la mémoire courte !," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 133-155, DOI: 10.3406/ecofi.2005.4016.
• Côme Segretain, 2005, "Typologie des déterminants des primes d’offres publiques et validation empirique à partir des notices d’opération," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 189-209, DOI: 10.3406/ecofi.2005.4019.
• Alberto Montagnoli & Oreste Napolitano, 2005, "Financial Condition Index And Interest Rate Settings: A Comparative Analysis," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 8_2005, Dec.
• Bagnoli, Mark & Clement, Michael & Watts, Susan G., 2005, "Around-the-Clock Media Coverage and the Timing of Earnings Announcements," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1184, Dec.
• Jason Allen, 2005, "Size Matters: Covariance Matrix Estimation Under The Alternative," Working Paper, Economics Department, Queen's University, number 1091, Aug.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2005, "Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 547, Oct.
• Stijn Van Nieuwerburgh & Hanno Lustig, 2005, "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers, Society for Economic Dynamics, number 105.
• Christopher Malloy & Tobias Moskowitz, 2005, "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers, Society for Economic Dynamics, number 123.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers, Society for Economic Dynamics, number 148.
• Andrew Ang & Sen Dong, 2005, "No-Arbitrage Taylor Rules," 2005 Meeting Papers, Society for Economic Dynamics, number 22.
• B. Ravikumar & Enchuan Shao, 2005, "Search Frictions and Asset Price Volatility," 2005 Meeting Papers, Society for Economic Dynamics, number 227.
• Alessio Caldarera & Celso Brunetti, 2005, "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers, Society for Economic Dynamics, number 288.
• Jessica Wachter & Martin Lettau, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics, number 302.
• Martin Schneider & Juan Carlos Hatchondo & Per Krusell, 2005, "A Quantitative Model of Competitive Asset Pricing Under Private Information," 2005 Meeting Papers, Society for Economic Dynamics, number 464.
• Sydney C. Ludvigson & Martin Lettau, 2005, "Euler Equation Errors," 2005 Meeting Papers, Society for Economic Dynamics, number 487.
• Enrichetta Ravina, 2005, "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers, Society for Economic Dynamics, number 557.
• Urban J. Jermann, 2005, "The Equity Premium Implied by Production," 2005 Meeting Papers, Society for Economic Dynamics, number 630.
• Pierre-Olivier Weill & Dimitri Vayanos, 2005, "A Search-Based Theory of the On-the-Run Phenomenon," 2005 Meeting Papers, Society for Economic Dynamics, number 701.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2005, "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers, Society for Economic Dynamics, number 77.
• Juha Seppala & Federico Ravenna, 2005, "Monetary Policy and the Term Structure of Interest Rates," 2005 Meeting Papers, Society for Economic Dynamics, number 804.
• Pietro Veronesi & Lubos Pastor, 2005, "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers, Society for Economic Dynamics, number 95.
• Stéphanie Lavigne, 2005, "Modeling an Artificial Stock Market. When Cognitive Institutions Influence Market Dynamic," European Journal of Economic and Social Systems, Lavoisier, volume 18, issue 2, pages 201-232.
• Parantap Basu & Matthew R. Morey, 2005, "Trade Opening and the Behavior of Emerging Stock Market Prices," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 68-92.
• Shahin Shojai & Samuel Wang, 2005, "The New Wave of Liquidity: Impact of Friction," Journal of Financial Transformation, Capco Institute, volume 14, pages 51-59.
• Kevin Lansing, 2005, "Inflation-Induced Valuation Errors in the Stock Market," Journal of Financial Transformation, Capco Institute, volume 13, pages 124-126.
• Bronwyn H. Hall & Adam Jaffe & Manuel Trajtenberg, 2005, "Market Value and Patent Citations," RAND Journal of Economics, The RAND Corporation, volume 36, issue 1, pages 16-38, Spring.
• Popescu, Nela, 2005, "Choosing Business Risk Measures," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 3, pages 59-64.
• Larry Epstein & Martin Schneider, 2005, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 519, Jul.
• Zeno Rotondi & Giacomo Vaciago, 2005, "The Fed's Reaction to Asset Prices," Rivista di Politica Economica, SIPI Spa, volume 95, issue 2, pages 221-244, March-Apr.
• John Cotter & Jim Hanly, 2005, "Re-evaluating hedging performance," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1144, Jul.
• Caterina Mendicino, 2005, "Credit Market Development, Economic Performance and Business Cycle Volatility," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0043, Mar.
• Giuseppe Garofalo & Alessandro Sansone, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 88, Oct.
• Wolfgang Drobetz & Matthias Kammermann & Urs Wälchli, 2005, "Long-Run Performance of Initial Public Offerings: The Evidence for Switzerland," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 57, issue 3, pages 253-275, July.
• Han N. Ozsoylev & Shino Takayama, 2005, "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe10.
• Han N. Ozsoylev, 2005, "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe11.
• Greg Duffee, 2005, "Term structure estimation without using latent factors," Computing in Economics and Finance 2005, Society for Computational Economics, number 103, Nov.
• Youwei Li & Xue-Zhong He, 2005, "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005, Society for Computational Economics, number 113, Nov.
• Ritirupa Samanta & Blake LeBaron, 2005, "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics, number 140, Nov.
• Hendri Adriaens & Bertrand Melenberg, 2005, "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005, Society for Computational Economics, number 163, Nov.
• Eymen Errais & Fabio Mercurio, 2005, "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 192, Nov.
• Willi Semmler & Lars Grüne, 2005, "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005, Society for Computational Economics, number 199, Nov.
• Fabio Araujo & Joao Victor Issler, 2005, "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005, Society for Computational Economics, number 202, Nov.
• Gee Kwang Randolph Tan & Xiao Qin, 2005, "Bubbles, Can We Spot Them? Crashes, Can We Predict Them?," Computing in Economics and Finance 2005, Society for Computational Economics, number 206, Nov.
• Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang, 2005, "Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?," Computing in Economics and Finance 2005, Society for Computational Economics, number 207, Nov.
• Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005, "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005, Society for Computational Economics, number 215, Nov.
• Ryuichi YAMAMOTO, 2005, "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005, Society for Computational Economics, number 228, Nov.
• Mathias Hoffmann, 2005, "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005, Society for Computational Economics, number 229, Nov.
• Sikandar Hussain & M. Shahid Ebrahim, 2005, "Financial Development and Property Valuation," Computing in Economics and Finance 2005, Society for Computational Economics, number 24, Nov.
• Youwei Li & Xue-Zhong (Tony) He, 2005, "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005, Society for Computational Economics, number 244, Nov.
• Cees Diks, 2005, "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005, Society for Computational Economics, number 290, Nov.
• Tao Wu & Glenn Rudebusch, 2005, "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005, Society for Computational Economics, number 3, Nov.
• Wolfgang Lemke, 2005, "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005, Society for Computational Economics, number 341, Nov.
• Shafiqur Rahman & M. Shahid Ebrahim, 2005, "The Futures Pricing Puzzle," Computing in Economics and Finance 2005, Society for Computational Economics, number 35, Nov.
• Neng Wang & Rui Albuquerque, 2005, "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005, Society for Computational Economics, number 351, Nov.
• Sel Dibooglu & Turalay Kenc, 2005, "Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control," Computing in Economics and Finance 2005, Society for Computational Economics, number 360, Nov.
• Min Wei & Stefania D'Amico & Don H. Kim, 2005, "TIPS: Taking Inflation Premium Seriously," Computing in Economics and Finance 2005, Society for Computational Economics, number 363, Nov.
• Nancy Wallace & Chris Downing, 2005, "Commercial Mortgage Backed Securities: How Much Subordination is Enough?," Computing in Economics and Finance 2005, Society for Computational Economics, number 37, Nov.
• Norman Ehrentreich, 2005, "The Temptation of Emergence or: Don't Rush into Economic(al) Explanations," Computing in Economics and Finance 2005, Society for Computational Economics, number 373, Nov.
• Giulio Bottazzi & Mikhail Anufriev, 2005, "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005, Society for Computational Economics, number 375, Nov.
• Xin Wang & Chris Downing, 2005, "Optimal Capital Structure and the Term Structure of Interest Rates," Computing in Economics and Finance 2005, Society for Computational Economics, number 38, Nov.
• Gorkem Ozer & Paul Beaumont, 2005, "Noisy Earnings Reports and the Equity Premium," Computing in Economics and Finance 2005, Society for Computational Economics, number 389, Nov.
• Bovorn Vichiansin, 2005, "Bond Yield Predictability and Estimation of Affine Term Structure Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 390, Nov.