Research classified by Journal of Economic Literature (JEL) codes

2006

• Krueger, Dirk & Lustig, Hanno, 2006, "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 5936, Nov.
• Bekaert, Geert & Xing, Yuhang & Engstrom, Eric, 2006, "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 5947, Nov.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006, "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 5951, Nov.
• Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2006, "International Stock Return Comovements," CEPR Discussion Papers, Centre for Economic Policy Research, number 5955, Nov.
• Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006, "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers, Centre for Economic Policy Research, number 5956, Nov.
• Andrea Terzi & Giovanni Verga, 2006, "Stock-bond correlation and the bond quality ratio: Removing the discount factor to generate a “deflated” stock index," DISCE - Quaderni dell'Istituto di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number ief0067, Sep.
• Iori, G. & Reno, R. & de Masi, G. & Caldarelli, G., 2006, "Trading strategies in the Italian interbank market," Working Papers, Department of Economics, City St George's, University of London, number 06/03.
• Jeannin, M. & Iori, G. & Samuel, D., 2006, "Modeling stock pinning," Working Papers, Department of Economics, City St George's, University of London, number 06/04.
• de Masi, G. & Iori, G. & Caldarelli, G., 2006, "A fitness model for the Italian interbank money market," Working Papers, Department of Economics, City St George's, University of London, number 06/08.
• Mattiussi, V. & Iori, G., 2006, "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers, Department of Economics, City St George's, University of London, number 06/09.
• Iori, G. & Precup, O. V., 2006, "Weighted network analysis of high frequency cross-correlation measures," Working Papers, Department of Economics, City St George's, University of London, number 06/10.
• Robert D. Coleman, 2006, "Asset Pricing Simultaneities: Phases and Patterns," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 49-76, May.
• Priscilla Swartz, 2006, "Global Versus Regional Systematic Risk and International Asset Allocations in Asia," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 77-89, May.
• Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006, "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 405-424, November.
• Wood, Danielle & Anderson, Kym, 2006, "What Determines the Future Value of an Icon Wine? New Evidence from Australia," Journal of Wine Economics, Cambridge University Press, volume 1, issue 2, pages 141-161, October.
• Bidarkota, Prasad V., 2006, "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 56-76, February.
• Beaubrun-Diant, Kevin E., 2006, "Spectral Properties Of Asset Pricing Models: A General Equilibrium Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 2, pages 183-205, April.
• Lansing, Kevin J., 2006, "Lock-In Of Extrapolative Expectations In An Asset Pricing Model," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 3, pages 317-348, June.
• George J. Mailath & Georg Noldeke, 2006, "Extreme Adverse Selection, Competitive Pricing, and Market Breakdown," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1573, Jul.
• Troy Davig & Jeffrey R. Gerlach, 2006, "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers, Economics Department, William & Mary, number 31, Jul.
• Entorf, Horst & Steiner, Christian, 2006, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 36782, Feb.
• Entorf, Horst & Steiner, Christian, 2009, "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77415.
• Fabrice Hervé, 2006, "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1060101, Jan.
• Fabrice Hervé, 2006, "Famille de fonds de pension, performance et persistance de la performance," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1060903, Sep.
• Sven Husmann & Andreas Stephan, 2006, "On Estimating an Asset's Implicit Beta," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 640.
• Richard J. Agnello, 2006, "Do U.S. Paintings Follow the CAPM? Findings Disaggregated by Subject, Artist, and Value of the Work," Working Papers, University of Delaware, Department of Economics, number 06-02.
• Nicolas Piluso, 2006, "Création de valeur actionnariale et chômage dans un modèle WS-PS," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-15.
• Kevin Elie Beaubrun-Diant & Julien Matheron, 2006, "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-16.
• Slim Chaouachi & Fredj Jawadi, 2006, "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-20.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22075, Jan.
• Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers, East Asian Bureau of Economic Research, number 22481, Jan.
• Hammad A. Siddiqi, 2006, "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 22279, Jan.
• Ignacio Vélez-Pareja & Antonio Burbano-Pérez, 2006, "A Practical Guide for Consistency in Valuation: Cash Flows, Terminal Value and Cost of Capital," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, volume 5, pages 1-16, June.
• Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2006, "Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06002, Feb.
• Coeurdacier, Nicolas & Guibaud, Stéphane, 2006, "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06014, Oct.
• Fernandez, Pablo & Martinez, Jon, 2006, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2005," IESE Research Papers, IESE Business School, number D/617, Mar.
• Fernandez, Pablo & Carabias, Jose M. & Aznarez, Julio & Carbonell, Oscar E., 2006, "Euro Stoxx 50: 1997-2005. Shareholder value creation in Europe," IESE Research Papers, IESE Business School, number D/626, Apr.
• Fernandez, Pablo, 2006, "The correct value of tax shields: An analysis of 23 theories," IESE Research Papers, IESE Business School, number D/628, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Telefónica," IESE Research Papers, IESE Business School, number D/635, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas del Banco Santander," IESE Research Papers, IESE Business School, number D/637, May.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de BBVA," IESE Research Papers, IESE Business School, number D/638, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas del Banco Popular," IESE Research Papers, IESE Business School, number D/639, Jun.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Iberdrola," IESE Research Papers, IESE Business School, number D/640, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Endesa," IESE Research Papers, IESE Business School, number D/641, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Unión Fenosa," IESE Research Papers, IESE Business School, number D/642, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Repsol," IESE Research Papers, IESE Business School, number D/643, Jul.
• Fernandez, Pablo & Carabias, Jose M., 2006, "Creación de valor para los accionistas de Bankinter," IESE Research Papers, IESE Business School, number D/646, Sep.
• Fernandez, Pablo, 2006, "The equity premium in finance and valuation textbooks," IESE Research Papers, IESE Business School, number D/657, Oct.
• Fernandez, Pablo, 2006, "Descensos memorables en las cotizaciones: Telepizza y Boston Chicken," IESE Research Papers, IESE Business School, number D/660, Dec.
• Fernandez, Pablo, 2006, "A general formula for the WACC: A correction," IESE Research Papers, IESE Business School, number D/663, Dec.
• Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006, "The impact of the euro on financial markets," Working Paper Series, European Central Bank, number 598, Mar.
• Castrén, Olli & Fitzpatrick, Trevor & Sydow, Matthias, 2006, "What drives EU banks' stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series, European Central Bank, number 677, Sep.
• Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006, "Financial integration of new EU Member States," Working Paper Series, European Central Bank, number 683, Oct.
• Jakob B Madsen & E Philip Davis, 2006, "Equity Prices, Productivity Growth and 'The New Economy'," Economic Journal, Royal Economic Society, volume 116, issue 513, pages 791-811, July.
• Kiefer, Nicholas M. & Larson, C. Erik, 2006, "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers, Cornell University, Center for Analytic Economics, number 06-10, Sep.
• Guerdjikova, Ani, 2006, "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers, Cornell University, Center for Analytic Economics, number 06-13, Aug.
• Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006, "Is There Hedge Fund Contagion?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-1, Feb.
• Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006, "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-3, Mar.
• Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006, "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 06-4, Mar.
• Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006, "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2218-2231, December.
• Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006, "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 11, pages 2217-2260, November.
• Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006, "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1729-1753.
• Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006, "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1755-1786.

2005

• Massa, Massimo & Locarno, Alberto, 2005, "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 4828, Jan.
• Eckbo, B Espen & Norli, Øyvind, 2005, "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 4832, Jan.
• Massa, Massimo & Hau, Harald & Peress, Joël, 2005, "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers, Centre for Economic Policy Research, number 4862, Jan.
• Viceira, Luis & Chacko, George, 2005, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 4913, Feb.
• Campbell, John Y & Viceira, Luis, 2005, "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers, Centre for Economic Policy Research, number 4914, Feb.
• Lettau, Martin & Wachter, Jessica, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 4921, Feb.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 4922, Feb.
• Pistaferri, Luigi & Kocherlakota, Narayana, 2005, "Asset Pricing Implications of Pareto Optimality with Private Information," CEPR Discussion Papers, Centre for Economic Policy Research, number 4930, Feb.
• Albuquerque, Rui & Wang, Neng, 2005, "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 4955, Mar.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2005, "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers, Centre for Economic Policy Research, number 4960, Mar.
• Minford, Patrick & Lungu, Laurian, 2005, "Explaining The Equity Risk Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 5017, Apr.
• Anderson, Kym & Wood, Danielle, 2005, "What Determines the Future Value of an Icon Wine? New Evidence from Australia," CEPR Discussion Papers, Centre for Economic Policy Research, number 5044, May.
• Favero, Carlo A., 2005, "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5110, Jun.
• Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005, "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers, Centre for Economic Policy Research, number 5114, Jun.
• Rigobon, Roberto & Pavlova, Anna, 2005, "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 5117, Jul.
• Schneider, Martin & Albuquerque, Rui & Bauer, Gregory, 2005, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 5159, Aug.
• Acharya, Viral & Johnson, Tim, 2005, "Insider Trading in Credit Derivatives," CEPR Discussion Papers, Centre for Economic Policy Research, number 5180, Aug.
• Kandel, Shmuel & Wohl, Avi & Braverman, Oded, 2005, "The (Bad?) Timing of Mutual Fund Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 5243, Sep.
• Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 5245, Sep.
• Orphanides, Athanasios & Kim, Don H., 2005, "Term Structure Estimation with Survey Data on Interest Rate Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 5341, Nov.
• Buiter, Willem & Sibert, Anne, 2005, "How the Eurosystem?s Treatment of Collateral in its Open Market Operations Weakens Fiscal Discipline in the Eurozone (and what," CEPR Discussion Papers, Centre for Economic Policy Research, number 5387, Dec.
• Söderlind, Paul, 2005, "C-CAPM Without Ex Post Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 5407, Dec.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 5420, Dec.
• Leora Friedburg & Anthony Webb, 2005, "Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research, number wp2005-13, Oct, revised Oct 2005.
• Pamina Koenig, 2005, "Agglomeration and the Export Decision of French Firms," Working Papers, Center for Research in Economics and Statistics, number 2005-02.
• Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2005, "Efficient Derivative Pricing by Extended Method of Moments," Working Papers, Center for Research in Economics and Statistics, number 2005-40.
• Corinne Chaton & Anna Creti & Bertrand Villeneuve, 2005, "The Economics of Seasonal Gas Storage," Working Papers, Center for Research in Economics and Statistics, number 2005-52.
• Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers, University of Crete, Department of Economics, number 0501, Jan.
• Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005, "Regime Switching and Artificial Neural Network Forecasting," Working Papers, University of Crete, Department of Economics, number 0502, Jan.
• Precup, O. V. & Iori, G., 2005, "Cross-correlation measures in the high-frequency domain," Working Papers, Department of Economics, City St George's, University of London, number 05/04.
• Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005, "A network analysis of the Italian overnight money market," Working Papers, Department of Economics, City St George's, University of London, number 05/05.
• Liang Zou, 2005, "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, volume 6, issue 1, pages 185-207, May.
• Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2005, "Capital Structure, Credit Risk, and Macroeconomic Conditions," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 439, Nov.
• Richards, Anthony, 2005, "Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 1, pages 1-27, March.
• Baele, Lieven, 2005, "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 2, pages 373-401, June.
• Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005, "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 3, pages 493-517, September.
• Donald J. Brown & Rustam Ibragimov, 2005, "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1518, Jun.
• Entorf, Horst & Jamin, Gösta, 2005, "The Dollar and the German Stock Market : determination of exposure to and pricing of exchange rate risk using APT-Modeling," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 5509.
• John S. Ying & Joel S. Sternberg, 2005, "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers, University of Delaware, Department of Economics, number 05-12.
• Franzoni, Francesco & Adrian, Tobias, 2005, "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," HEC Research Papers Series, HEC Paris, number 828, Sep.
• Fernandez, Pablo, 2005, "Reply to "Comment on the value of tax shields is NOT equal to the present value of tax shields"," IESE Research Papers, IESE Business School, number D/579, Jan.
• Fernandez, Pablo & Villanueva, Alvaro, 2005, "Shareholder value creators in the S&P 500: Year 2004," IESE Research Papers, IESE Business School, number D/580, Feb.
• Fernandez, Pablo, 2005, "The value of tax shields is not equal to the present value of tax shields: A correction," IESE Research Papers, IESE Business School, number D/581, Feb.
• Fernandez, Pablo & Villanueva, Alvaro, 2005, "EuroStoxx 50: 1997-2004. Shareholder value creation in Europe," IESE Research Papers, IESE Business School, number D/583, Feb.
• Fernandez, Pablo, 2005, "La prima de riesgo del mercado (market risk premium)," IESE Research Papers, IESE Business School, number D/585, Mar.
• Fernandez, Pablo & Villanueva, Alvaro, 2005, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del Ibex 35. 1992-2004," IESE Research Papers, IESE Business School, number D/587, Mar.
• Fernandez, Pablo, 2005, "Discounted cash flow valuation methods: Examples of perpetuities, constant growth and general case," IESE Research Papers, IESE Business School, number D/604, Jul.
• Fernandez, Pablo, 2005, "Financial literature about discounted cash flow valuation," IESE Research Papers, IESE Business School, number D/606, Jun.
• Fernandez, Pablo, 2005, "The value of tax shields with a fixed book-value leverage ratio," IESE Research Papers, IESE Business School, number D/612, Oct.
• Fernandez, Pablo, 2005, "The value of tax shields depends only on the net increases of debt," IESE Research Papers, IESE Business School, number D/613, Oct.
• Fernandez, Pablo, 2005, "Valuing companies with a fixed book-value leverage ratio," IESE Research Papers, IESE Business School, number D/614, Nov.
• Cappiello, Lorenzo & Guéné, Stéphane, 2005, "Measuring market and inflation risk premia in France and in Germany," Working Paper Series, European Central Bank, number 436, Feb.
• Ehrmann, Michael & Fratzscher, Marcel, 2005, "Transparency, disclosure and the federal reserve," Working Paper Series, European Central Bank, number 457, Mar.
• Ehrmann, Michael & Fratzscher, Marcel, 2005, "Communication and decision-making by central bank committees: different strategies, same effectiveness?," Working Paper Series, European Central Bank, number 488, May.
• Tinn, Katrin, 2005, "Optimal research in financial markets with heterogeneous private information: a rational expectations model," Working Paper Series, European Central Bank, number 493, Jun.
• Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2005, "Banking system stability: a cross-Atlantic perspective," Working Paper Series, European Central Bank, number 527, Sep.
• Dvorak, Tomas & Podpiera, Richard, 2005, "European Union enlargement and equity markets in accession countries," Working Paper Series, European Central Bank, number 552, Nov.
• Ehrmann, Michael & Fratzscher, Marcel, 2005, "How should central banks communicate?," Working Paper Series, European Central Bank, number 557, Nov.
• Ehrmann, Michael & Fratzscher, Marcel, 2005, "The timing of central bank communication," Working Paper Series, European Central Bank, number 565, Dec.
• Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Economic Journal, Royal Economic Society, volume 115, issue 506, pages 1077-1102, October.
• Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005, "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-21, Oct.
• Hirshleifer, David & Teoh, Siew Hong, 2005, "Limited Investor Attention and Stock Market Misreactions to Accounting Information," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-24, Nov.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005, "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-4, Feb.
• Eckbo, B. Espen & Norli, Oyvind, 2005, "Liquidity risk, leverage and long-run IPO returns," Journal of Corporate Finance, Elsevier, volume 11, issue 1-2, pages 1-35, March.
• Kamihigashi, Takashi, 2005, "Necessity of the transversality condition for stochastic models with bounded or CRRA utility," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 8, pages 1313-1329, August.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Journal of Financial Economics, Elsevier, volume 75, issue 2, pages 283-317, February.
• Bhagat, Sanjai & Dong, Ming & Hirshleifer, David & Noah, Robert, 2005, "Do tender offers create value? New methods and evidence," Journal of Financial Economics, Elsevier, volume 76, issue 1, pages 3-60, April.
• Lettau, Martin & Ludvigson, Sydney C., 2005, "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, volume 76, issue 3, pages 583-626, June.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Jones, Christopher S. & Shanken, Jay, 2005, "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 507-552, December.
• de Jong, Frank & de Roon, Frans A., 2005, "Time-varying market integration and expected returns in emerging markets," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 583-613, December.
• Bagella, Michele & Becchetti, Leonardo & Adriani, Fabrizio, 2005, "Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe," Journal of International Money and Finance, Elsevier, volume 24, issue 4, pages 549-581, June.
• Houweling, Patrick & Vorst, Ton, 2005, "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1200-1225, December.
• Peiris, Shelton & Allen, David & Yang, Wenling, 2005, "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 68, issue 5, pages 545-552, DOI: 10.1016/j.matcom.2005.02.005.
• Adam, Christopher S. & Bevan, David L., 2005, "Fiscal deficits and growth in developing countries," Journal of Public Economics, Elsevier, volume 89, issue 4, pages 571-597, April.
• Fernandez, Pablo, 2005, "Reply to "Comment on the value of tax shields is NOT equal to the present value of tax shields"," The Quarterly Review of Economics and Finance, Elsevier, volume 45, issue 1, pages 188-192, February.
• Merz, Monika & Yashiv, Eran, 2005, "Labor and the market value of the firm," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 19891, May.
• Altissimo, Filippo & Mele, Antonio, 2005, "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24658, May.
• Farinós Viñas, José Emilio & García, C. José & Ibáñez, Ana M.ª, 2005, "El componente de selección adversa de la horquilla de precios cotizada: una revisión de los modelos de estimación," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• León, Angel & Nave, Juan & Rubio Irigoyen, Gonzalo, 2005, "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
• Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005, "Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
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