Research classified by Journal of Economic Literature (JEL) codes

2005

• Matt Pritsker, 2005, "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005, Society for Computational Economics, number 414, Nov.
• Thomas Mertens, 2005, "Option pricing with sparse grids," Computing in Economics and Finance 2005, Society for Computational Economics, number 449, Nov.
• Yang Yu, 2005, "Fundamental Uncertainties and Firm-level Stock Volatilities," Computing in Economics and Finance 2005, Society for Computational Economics, number 466, Nov.
• Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005, "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005, Society for Computational Economics, number 47, Nov.
• Eymen Errais & Jeffrey Sadowsky, 2005, "Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 73, Nov.
• Mariana Mazzucato & Massimiliano Tancioni, 2005, "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005, Society for Computational Economics, number 81, Nov.
• Albert Lee Chun, 2005, "Expectations, Bond Yields and Monetary Policy," Discussion Papers, Stanford Institute for Economic Policy Research, number 04-023, Jun, revised Nov 2010.
• Giovanni Cespa, 2005, "Giffen goods and market making," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 25, issue 4, pages 983-997, June, DOI: 10.1007/s00199-003-0461-5.
• Giulio Bottazzi & Giovanna Devetag, 2005, "Expectations Structure in Asset Pricing Experiments," Lecture Notes in Economics and Mathematical Systems, Springer, in: Thomas Lux & Eleni Samanidou & Stefan Reitz, "Nonlinear Dynamics and Heterogeneous Interacting Agents", DOI: 10.1007/3-540-27296-8_2.
• Partha S. Mohanram, 2005, "Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis," Review of Accounting Studies, Springer, volume 10, issue 2, pages 133-170, September, DOI: 10.1007/s11142-005-1526-4.
• Guohua Jiang & Charles M. C. Lee & Yi Zhang, 2005, "Information Uncertainty and Expected Returns," Review of Accounting Studies, Springer, volume 10, issue 2, pages 185-221, September, DOI: 10.1007/s11142-005-1528-2.
• Paul Schultz, 2005, "Discussion of “Information Uncertainty and Expected Returns”," Review of Accounting Studies, Springer, volume 10, issue 2, pages 223-226, September, DOI: 10.1007/s11142-005-1529-1.
• Steven J. Monahan, 2005, "Conservatism, Growth and the Role of Accounting Numbers in the Fundamental Analysis Process," Review of Accounting Studies, Springer, volume 10, issue 2, pages 227-260, September, DOI: 10.1007/s11142-005-1530-8.
• Xiao-Jun Zhang, 2005, "Discussion of “Conservatism, Growth and the Role of Accounting Numbers in Fundamental Analysis Process”," Review of Accounting Studies, Springer, volume 10, issue 2, pages 261-267, September, DOI: 10.1007/s11142-005-1531-7.
• James A. Ohlson, 2005, "On Accounting-Based Valuation Formulae," Review of Accounting Studies, Springer, volume 10, issue 2, pages 323-347, September, DOI: 10.1007/s11142-005-1534-4.
• James A. Ohlson & Beate E. Juettner-Nauroth, 2005, "Expected EPS and EPS Growth as Determinantsof Value," Review of Accounting Studies, Springer, volume 10, issue 2, pages 349-365, September, DOI: 10.1007/s11142-005-1535-3.
• Peter F. Pope & Pengguo Wang, 2005, "Earnings Components, Accounting Bias and Equity Valuation," Review of Accounting Studies, Springer, volume 10, issue 4, pages 387-407, December, DOI: 10.1007/s11142-005-4207-4.
• Jeffrey L. Callen & Dan Segal, 2005, "Empirical Tests of the Feltham–Ohlson (1995) Model," Review of Accounting Studies, Springer, volume 10, issue 4, pages 409-429, December, DOI: 10.1007/s11142-005-4208-3.

2004

• Yochanan Shachmurove, 2004, "The Reality of IPO Performance: An Empirical Study of Venture-Backed Public Companies," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-030, Jul.
• Emanuel Shachmurove & Yochanan Shachmurove, 2004, "What One Can Learn From the Initial Public Offering of Google? A Twenty-Year Excursion to the Venture Capital Industry," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-041, Oct.
• Amir Shachmurove & Yochanan Shachmurove, 2004, "Choosing Between Promising and Crowded Industries: How Does the Venture Capital Industry Fare in Each?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-044, Dec.
• Li, Nan, 2004, "The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds," MPRA Paper, University Library of Munich, Germany, number 10014.
• Bacha, Obiyathulla I., 2004, "Pricing Hybrid Securities: The Case of Malaysian ICULS," MPRA Paper, University Library of Munich, Germany, number 12764, revised Jun 2004.
• Douch, Mohamed, 2004, "Equity Premiums In Small Open Economy," MPRA Paper, University Library of Munich, Germany, number 14613, Jun.
• Ulibarri, Carlos A., 2004, "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper, University Library of Munich, Germany, number 14821.
• Fiorani, Filo, 2004, "Option Pricing Under the Variance Gamma Process," MPRA Paper, University Library of Munich, Germany, number 15395, Apr.
• Pakos, Michal, 2004, "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper, University Library of Munich, Germany, number 26167, Oct.
• Magni, Carlo Alberto, 2004, "An alternative approach to firms’ evaluation: expert systems and fuzzy logic," MPRA Paper, University Library of Munich, Germany, number 7879, Apr.
• Jonathan A. Parker & Christian Julliard, 2004, "Consumption Risk and the Cross-Section of Expected Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 138, Mar.
• Édouard Challe, 2004, "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 105-123, DOI: 10.3406/ecofi.2004.5034.
• Elyes Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 125-137, DOI: 10.3406/ecofi.2004.5035.
• Jean-Paul Pollin, 2004, "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 139-156, DOI: 10.3406/ecofi.2004.5036.
• Olivier Davanne, 2004, "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 177-201, DOI: 10.3406/ecofi.2004.5038.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Alain Leclair & Carlos Pardo, 2004, "La volatilité, conséquence ou cause de l'instabilité des marchés financiers ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 245-252, DOI: 10.3406/ecofi.2004.5043.
• Andrea Cipollini & George Kapetanios, 2004, "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 506, Feb.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004, "Modelling the Yield Curve: A Two Components Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 519, Sep.
• Adam Creighton & Luke Gower & Anthony Richards, 2004, "The Impact of Rating Changes in Australian Financial Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-02, Mar.
• Anthony Richards, 2004, "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-05, Jun.
• Carol Alexander & Leonardo M. Nogueira, 2004, "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-10, Jul, revised Dec 2004.
• Olivier Allais, 2004, "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 7, issue 2, pages 265-296, April, DOI: 10.1016/j.red.2003.09.004.
• Tao Wu & Glenn Rudebusch, 2004, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers, Society for Economic Dynamics, number 104.
• John H. Cochrane & Francis Longstaff, 2004, "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers, Society for Economic Dynamics, number 126.
• Amir Yaron & Leonid Kogan & Dmitry Livdan, 2004, "Futures Prices in a Production Economy with Investment Constraints," 2004 Meeting Papers, Society for Economic Dynamics, number 128.
• Edward Prescott & Ellen McGrattan, 2004, "Predictions of the Price of Capital," 2004 Meeting Papers, Society for Economic Dynamics, number 136.
• Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004, "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 136a.
• Hanno Lustig & Adrien Verdelhan, 2004, "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers, Society for Economic Dynamics, number 136c.
• Pietro Veronesi & Tano Santos, 2004, "Conditional Betas," 2004 Meeting Papers, Society for Economic Dynamics, number 24.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 334.
• Leonid Kogan & Stephen Ross, 2004, "The Price Impact and Survival of Irrational Traders," 2004 Meeting Papers, Society for Economic Dynamics, number 35.
• Adam Szeidl & Raj Chetty, 2004, "Consumption Commitments and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 354.
• Laura Veldkamp, 2004, "Information Markets and the Comovement of Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 539.
• Martin Lettau & Sydney C. Ludvigson, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers, Society for Economic Dynamics, number 644.
• Claudio Campanale, 2004, "Learning and the Return to Private Equity," 2004 Meeting Papers, Society for Economic Dynamics, number 650.
• Eva Carceles Poveda & Arpad Abraham, 2004, "Endogenous Trading Constraints with Incomplete Asset Markets," 2004 Meeting Papers, Society for Economic Dynamics, number 667.
• Sydney Ludvigson & Xiaohong Chen, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers, Society for Economic Dynamics, number 692.
• Ron Giammarino & Murray Carlson & Adlai Fisher, 2004, "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers, Society for Economic Dynamics, number 812.
• Georges Dionne, 2004, "Book review of: Credit risk: Pricing, measurement, and management," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-6, Oct.
• James Hedges, 2004, "Size versus performance in the hedge fund industry," Journal of Financial Transformation, Capco Institute, volume 10, pages 14-17.
• Ruud van Frederikslust & Roy van der Geest, 2004, "Initial returns and long-run performance of private equity-backed initial public offerings on the Amsterdam Stock Exchange," Journal of Financial Transformation, Capco Institute, volume 10, pages 121-127.
• Alexandri, Cecilia, 2004, "Farm Consolidation In Romania – Options And Opportunities," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 1, pages 52-71, February.
• Larry Epstein & Martin Schneider, 2004, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 507, May.
• Simon Grant & John Quiggin, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WPR04_8, Aug.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004, "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper, Tor Vergata University, CEIS, number 52, Apr.
• Bruce Mizrach & Filippo Occhino, 2004, "The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach," Departmental Working Papers, Rutgers University, Department of Economics, number 200402, Jan.
• Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.
• Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Working Papers, Universidad de San Andres, Departamento de Economia, number 76, Sep, revised Sep 2004.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe19.
• Chia-Hsuan Yeh, 2004, "Can Intelligence Help Improve Market Performance?," Computing in Economics and Finance 2004, Society for Computational Economics, number 106, Aug.
• Taisei Kaizoji & Thomas Lux, 2004, "Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 158, Aug.
• Haven Emmanuel, 2004, "Option Pricing under different uncertainty regimes," Computing in Economics and Finance 2004, Society for Computational Economics, number 159, Aug.
• Youwei Li & Bas Donkers, 2004, "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 195, Aug.
• Jan Wenzelburger & Xihao Li, 2004, "Price Formation and Asset Allocations of the Electronic Trading System Xetra," Computing in Economics and Finance 2004, Society for Computational Economics, number 198, Aug.
• Hendri Adriaens & Bas Donkers, 2004, "Extending the CAPM model," Computing in Economics and Finance 2004, Society for Computational Economics, number 204, Aug.
• Giulio Bottazzi & Mikhail Anoufriev, 2004, "Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies," Computing in Economics and Finance 2004, Society for Computational Economics, number 227, Aug.
• Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004, "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004, Society for Computational Economics, number 238, Aug.
• Serge Hayward, 2004, "Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model," Computing in Economics and Finance 2004, Society for Computational Economics, number 241, Aug.
• Marten Hillebrand, 2004, "The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 259, Aug.
• Carl Chiarella & Roberto Dieci, 2004, "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004, Society for Computational Economics, number 261, Aug.
• Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004, "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004, Society for Computational Economics, number 27, Aug.
• Taisei KAIZOJI, 2004, "Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation," Computing in Economics and Finance 2004, Society for Computational Economics, number 305, Aug.
• Simone Alfarano & Friedrich Wagner, 2004, "Critical behaviour and system size in agent-based models: an explanation," Computing in Economics and Finance 2004, Society for Computational Economics, number 315, Aug.
• Brice Dupoyet, 2004, "Asymmetric Jump Processes: Option Pricing Implications," Computing in Economics and Finance 2004, Society for Computational Economics, number 40, Aug.
• J. Barkley Rosser, Jr. & Honggang Li, 2004, "Market Dynamics and Stock Price Volatility," Computing in Economics and Finance 2004, Society for Computational Economics, number 91, Aug.
• Florian Wagener & William Brock & Cars Hommes, 2004, "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004, Society for Computational Economics, number 94, Aug.
• Miroslav Matteev, 2004, "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 1, pages 35-58.
• Jedrzej Bialkowski, 2004, "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 2, pages 81-100.
• Peter Kugler & Beatrice Weder, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 301-325, September.
• Dusan Isakov & Frédéric Sonney, 2004, "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 355-379, September.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004, "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers, Singapore Management University, School of Economics, number 02-2005, Jul, revised Jan 2005.
• Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004, "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers, Singapore Management University, School of Economics, number 09-2004, Mar.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Working Papers, Singapore Management University, School of Economics, number 13-2004, Apr.
• Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
• Jun Yu, 2004, "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers, Singapore Management University, School of Economics, number 24-2004, Sep.
• Roland Gillet & Ariane Szafarz, 2004, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-004.RS, Feb.
• Ahmed Loulit, 2004, "Approximating equity volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-028.RS.
• Ahmed Loulit, 2004, "Asymptotic approximation of the hitting-time and evaluation of a risky bond," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-029.RS.
• Angelos Kanas, 2004, "Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios," Empirical Economics, Springer, volume 29, issue 3, pages 575-592, September, DOI: 10.1007/s00181-004-0199-3.
• Yvette Harman & Thomas Zuehlke, 2004, "Duration dependence testing for speculative bubbles," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 147-154, June, DOI: 10.1007/BF02761607.
• Farooq Malik & Syed Hassan, 2004, "Modeling volatility in sector index returns with GARCH models using an iterated algorithm," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 211-225, June, DOI: 10.1007/BF02761612.
• Suleyman Basak & Anna Pavlova, 2004, "Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 24, issue 3, pages 503-530, October, DOI: 10.1007/s00199-004-0499-z.
• ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004, "Evaluating style analysis," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 29-53, January.
• Capocci, Daniel & Hubner, Georges, 2004, "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 55-89, January.
• Hwang, Soosung & Salmon, Mark, 2004, "Market stress and herding," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 585-616, September.
• Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany, 2004, "On the consequences of state dependent preferences for the pricing of financial assets," Finance Research Letters, Elsevier, volume 1, issue 3, pages 143-153, September.
• Baker, Malcolm & Stein, Jeremy C., 2004, "Market liquidity as a sentiment indicator," Journal of Financial Markets, Elsevier, volume 7, issue 3, pages 271-299, June.
• Martin, Philippe & Rey, Helene, 2004, "Financial super-markets: size matters for asset trade," Journal of International Economics, Elsevier, volume 64, issue 2, pages 335-361, December.
• Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004, "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4165, Jan.
• Yashiv, Eran & Merz, Monika, 2004, "Labour and the Market Value of the Firm," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4184, Jan.
• Temin, Peter & Voth, Hans-Joachim, 2004, "Riding the South Sea Bubble," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4221, Jan.
• Bofinger, Peter & Schmidt, Robert & Leitner, Johannes, 2004, "Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4230, Feb.
• Bofinger, Peter & Schmidt, Robert, 2004, "Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the ?/US$ Rate," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4235, Feb.
• Basak, Suleyman, 2004, "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4256, Feb.
• de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2004, "Fundamentals and Joint Currency Crises," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4338, Mar.
• Salmon, Mark & Hwang, Soosung, 2004, "Market Stress and Herding," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4340, Apr.
• Hardouvelis, Gikas & Priestley, Richard & Malliaropoulos, Dimitrios, 2004, "The Impact of Globalization on the Equity Cost of Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4346, Apr.
• Nyborg, Kjell & Strebulaev, Ilya & Bindseil, Ulrich, 2004, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4367, Apr.
• Sentana, Enrique & Peñaranda, Francisco, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4422, Jun.
• von Hagen, Jurgen & Schuknecht, Ludger & Bernoth, Kerstin, 2004, "Sovereign Risk Premia in the European Bond Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4465, Jul.
• Kugler, Peter & Weder di Mauro, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4467, Jul.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2004, "Was There A Nasdaq Bubble in the Late 1990s?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4485, Jul.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004, "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4501, Jul.
• Bekaert, Geert & Ang, Andrew, 2004, "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4518, Aug.
• Brunnermeier, Markus & Pedersen, Lasse Heje, 2004, "Predatory Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4639, Sep.
• Timmermann, Allan & Guidolin, Massimo, 2004, "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4645, Sep.
• Brunnermeier, Markus & Parker, Jonathan A, 2004, "Optimal Expectation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4656, Oct.
• Cespa, Giovanni, 2004, "Information Sales and Insider Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4667, Oct.
• Bossaerts, Peter, 2004, "Equilibrium of Real Financial Markets: Theory and Experimental Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4673, Oct.
• Acharya, Viral & Pedersen, Lasse Heje, 2004, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4718, Oct.
• Rochet, Jean Charles & Biais, Bruno & Mariotti, Thomas & Plantin, Guillaume, 2004, "Dynamic Security Design," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4753, Nov.
• Basak, Suleyman & Croitoru, Benjamin, 2004, "On the Role of Arbitrageurs in Rational Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4768, Dec.
• Massa, Massimo, 2004, "Mutual Fund Competition and Stock Market Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4787, Dec.
• Massa, Massimo & Gaspar, José-Miguel, 2004, "Idiosyncratic Volatility and Product Market Competition," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4812, Dec.
• Massa, Massimo & Phalippou, Ludovic, 2004, "Mutual Funds and the Market for Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4818, Dec.
• Kandel, Eugene & Massa, Massimo & Simonov, Andrei & Bodnaruk, Andriy, 2004, "Shareholder Diversification and IPOs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4820, Dec.
• Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2004, "Efficient Derivative Pricing by Extended Method of Moments," Working Papers, Center for Research in Economics and Statistics, number 2004-30.
• Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004, "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 3, pages 431-459, September.
• Westerhoff, Frank H., 2004, "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, volume 8, issue 5, pages 596-616, November.
• Al-Rjoub, S. & Hassan, M.K., 2004, "Transaction Cost and the Small Stock Puzzle: The Impact of Outliers in the NYSE, 1970-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 3, pages 103-114.
• Maghyereh, A., 2004, "Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 27-40.
• Fernandez, Pablo, 2004, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1992-2003," IESE Research Papers, IESE Business School, number D/541, Mar.
• Fernandez, Pablo, 2004, "Value of tax shields and the risk of the net increase of debt, The. Year 2004," IESE Research Papers, IESE Business School, number D/544, Mar.
• Fernandez, Pablo & Reinoso, Laura, 2004, "Shareholder value creators in the S&P 500: Year 2003," IESE Research Papers, IESE Business School, number D/545, Mar.
• Fernandez, Pablo & Villanueva, Alvaro, 2004, "Shareholder value creation in Europe. Eurostoxx 50: 1997-2003," IESE Research Papers, IESE Business School, number D/547, Mar.
• Fernandez, Pablo, 2004, "On the instability of betas: The case of Spain," IESE Research Papers, IESE Business School, number D/548, Mar.
• Fernandez, Pablo, 2004, "Equivalence of ten different discounted cash flow valuation methods," IESE Research Papers, IESE Business School, number D/549, Mar.
• Fernandez, Pablo, 2004, "80 common and uncommon errors in company valuation," IESE Research Papers, IESE Business School, number D/550, Mar.
• Fernandez, Pablo, 2004, "Are calculated betas good for anything?," IESE Research Papers, IESE Business School, number D/555, Apr.
• Fernandez, Pablo, 2004, "Shareholder value creation of microsoft and GE," IESE Research Papers, IESE Business School, number D/564, Jul.
• Fernandez, Pablo, 2004, "Most common errors in company valuation," IESE Research Papers, IESE Business School, number D/565, Jul.
• Fernandez, Pablo, 2004, "Market risk premium: Required, historical and expected," IESE Research Papers, IESE Business School, number D/574, Oct.
• Fernandez, Pablo, 2004, "Reply to "The value of tax shields is equal to the present value of tax shields"," IESE Research Papers, IESE Business School, number D/576, Nov.
• Fernandez, Pablo, 2004, "Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten," IESE Research Papers, IESE Business School, number D/578, Nov.
• Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004, "Measuring financial integration in the euro area," Occasional Paper Series, European Central Bank, number 14, May.
• Albuquerque, Rui & Bauer, Gregory H. & Schneider, Martin, 2004, "International equity flows and returns: a quantative equilibrium approach," Working Paper Series, European Central Bank, number 310, Feb.
• Derviz, Alexis, 2004, "Exchange rate risks and asset prices in a small open economy," Working Paper Series, European Central Bank, number 314, Mar.
• Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2004, "Fundamentals and joint currency crises," Working Paper Series, European Central Bank, number 324, Mar.
• Schuknecht, Ludger & von Hagen, Jürgen & Bernoth, Kerstin, 2004, "Sovereign risk premia in the European government bond market," Working Paper Series, European Central Bank, number 369, Jun.
• Bhagat, Sanjai & Dong, Ming & Hirsheifer, David & Noah, Noah, 2004, "Do Tender Offers Create Value? New Methods and Evidence," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-4, Mar.
• Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 2004, "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-6, Mar.
• Don U.A. Galagedera & Roland G. Shami, 2004, "Beta Risk and Regime Shift in Market Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 126, Aug.
• Keith R. McLaren & H. Youn Kim & Russel J. Cooper, 2004, "Intertemporal Consumption and Consumer Demand," Econometric Society 2004 Australasian Meetings, Econometric Society, number 152, Aug.
• Minxian Yang, 2004, "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings, Econometric Society, number 186, Aug.
• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• Daniel R. Smith & Christophe Parignon, 2004, "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 307, Aug.
• Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004, "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings, Econometric Society, number 331, Aug.
• Francis X. Diebold, 2004, "Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 352, Aug.
• Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004, "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings, Econometric Society, number 62, Aug.
• Dong Heon Kim, 2004, "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 440, Aug.
• Jaesun Noh, 2004, "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 444, Aug.
• Jun Yu, 2004, "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 497, Aug.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 506, Aug.
• Koichi Maekawa & Ken-ichi Kawai, 2004, "Option pricing under NIG distribution: --- The empirical analysis of Nikkei 225 option ----," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 607, Aug.
• Towa Tachibana & Sekine & Toshitaka, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 631, Aug.
• Haim Kedar-Levy, 2004, "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 775, Aug.
• J-H Steffi Yang, 2004, "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 797, Aug.