Research classified by Journal of Economic Literature (JEL) codes

2004

• Cornelis A. Los, 2004, "Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments," Finance, University Library of Munich, Germany, number 0409039, Sep.
• Cornelis A. Los, 2004, "Galton's Error and the Under-Representation of Systematic Risk," Finance, University Library of Munich, Germany, number 0409041, Sep.
• Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004, "Persistence Characteristics of Latin American Financial Markets," Finance, University Library of Munich, Germany, number 0409048, Sep.
• Orlando Gomes, 2004, "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance, University Library of Munich, Germany, number 0409055, Sep.
• Don U.A. Galagedera & Elizabeth A. Maharaj, 2004, "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance, University Library of Munich, Germany, number 0409056, Sep.
• David S. Bieri & Ludwig B. Chincarini, 2004, "Riding the Yield Curve: Diversification of Strategies," Finance, University Library of Munich, Germany, number 0410002, Oct.
• Hassan Naqvi, 2004, "The Valuation of Corporate Debt with Default Risk," Finance, University Library of Munich, Germany, number 0410010, Oct.
• Fernando Rubio, 2004, "Data Mining Sobre El Beta En España," Finance, University Library of Munich, Germany, number 0410011, Oct.
• Svetlana Boyarchenko & Sergey Levendorskiy, 2004, "Optimal stopping made easy," Finance, University Library of Munich, Germany, number 0410016, Oct.
• Charlotte S. Hansen & Bjorn E. Tuypens, 2004, "Long-Run Regressions: Theory and Application to US Asset Markets," Finance, University Library of Munich, Germany, number 0410018, Oct.
• Charlotte S. Hansen & Bjorn E. Tuypens, 2004, "Proxying for Expected Returns with Price Earnings Ratios," Finance, University Library of Munich, Germany, number 0410019, Oct.
• Silvio John Camilleri & Christopher J. Green, 2004, "The Impact of the Suspension of Opening and Closing Call," Finance, University Library of Munich, Germany, number 0411012, Nov.
• Reint Gropp & Vesala Jukka & Giuseppe Vulpes, 2004, "Market Indicators, Bank Fragility, and Indirect Market Discipline," Finance, University Library of Munich, Germany, number 0411015, Nov.
• Goetz von Peter, 2004, "Asset Prices and Banking Distress: A Macroeconomic Approach," Finance, University Library of Munich, Germany, number 0411034, Nov.
• Akash Gupta & Samik Metia & Prashant Trivedi, 2004, "The Effects of Option Expiration on NSE volume and prices," Finance, University Library of Munich, Germany, number 0411035, Nov.
• Cornelis A. Los, 2004, "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance, University Library of Munich, Germany, number 0411037, Nov.
• Zhiwu Chen & Ming Dong, 2004, "Stock Valuation and Investment Strategies," Finance, University Library of Munich, Germany, number 0412007, Dec.
• Ming Dong & David Hirshleifer, 2004, "A Generalized Earnings-Based Stock Valuation Model," Finance, University Library of Munich, Germany, number 0412008, Dec.
• Sanjai Bhagat & Ming Dong & David A. Hirshleifer & Robert B. Noah, 2004, "Do Tender Offers Create Value? New Methods and Evidence," Finance, University Library of Munich, Germany, number 0412011, Dec.
• Ian Ayres & Colin Rowat & Nasser Zakariya, 2004, "Optimal two stage committee voting rules," Game Theory and Information, University Library of Munich, Germany, number 0412006, Dec.
• David Kelsey & Erkan Yalcin, 2004, "The Arbitrage Pricing Theorem with Incomplete Preferences," GE, Growth, Math methods, University Library of Munich, Germany, number 0401002, Jan.
• Ahmed A. El-Masry, 2004, "The Exchange Rate Exposure of UK Nonfinancial Companies: Industry-Level Analysis," International Finance, University Library of Munich, Germany, number 0401001, Jan.
• Alicia Garcia Herrero & Antonio Diez de los Rios, 2004, "Contagion And Portfolio Shift In Emerging Countries´ Sovereign Bonds," International Finance, University Library of Munich, Germany, number 0403002, Mar.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "Characterizing Asymmetric Information in International Equity Markets," International Finance, University Library of Munich, Germany, number 0405005, May.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance, University Library of Munich, Germany, number 0405006, May.
• Syed A. Basher & Perry Sadorsky, 2004, "Oil price risk and emerging stock markets," International Finance, University Library of Munich, Germany, number 0410003, Oct.
• Junning Cai, 2004, "Baby Boom, Asset Market Meltdown and Liquidity Trap," Macroeconomics, University Library of Munich, Germany, number 0401002, Jan.
• Junning Cai, 2004, "Liquidity Trap Prevention and Escape: A Simple Proposition," Macroeconomics, University Library of Munich, Germany, number 0402033, Feb.
• William A. Barnett & Shu Wu, 2004, "On User Costs of Risky Monetary Assets," Macroeconomics, University Library of Munich, Germany, number 0406009, Jun.
• William A. Barnett & Shu Wu, 2004, "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics, University Library of Munich, Germany, number 0406010, Jun.
• Erdem Basci & Mehmet Fatih Ekinci, 2004, "Bond Premium in Turkey," Macroeconomics, University Library of Munich, Germany, number 0409007, Sep.
• William A. Barnett, 2004, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," Macroeconomics, University Library of Munich, Germany, number 0412009, Dec.
• Steven Gjerstad, 2004, "Risk Aversion, Beliefs, and Prediction Market Equilibrium," Microeconomics, University Library of Munich, Germany, number 0411002, Nov.
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2004, "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".
• Andrei Semenov, 2004, "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers, York University, Department of Economics, number 2004_1, Apr.
• N/A, 2004, "Stock Price Volatility in a Multiple Security Overlapping," Yale School of Management Working Papers, Yale School of Management, number ysm156, Jul.
• William N. Goetzmann & Alok Kumar, 2004, "Equity Portfolio Diversification," Yale School of Management Working Papers, Yale School of Management, number ysm17, Mar.
• William N. Goetzmann & Ning Zhu, 2004, "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers, Yale School of Management, number ysm28, Mar.
• Stephen Morris & Franklin Allen & Hyun Song Shin, 2004, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Yale School of Management Working Papers, Yale School of Management, number ysm346, Jul.
• Juan Dubra & Federico Echenique, 2004, "Monotone Preferences Over Information," Yale School of Management Working Papers, Yale School of Management, number ysm405, Jul.
• John Geanakoplos, 2004, "The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World," Yale School of Management Working Papers, Yale School of Management, number ysm406, Jul.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Yale School of Management Working Papers, Yale School of Management, number ysm425, Jul.
• Amit Goyal & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers, Yale School of Management, number amz2412, Apr, revised 01 Jan 2006.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Discussion Papers, University of Bamberg, Chair of Finance, number 26.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "The Existence and Effectiveness of Price Support Activities in Germany: A Note," Discussion Papers, University of Bamberg, Chair of Finance, number 30.
• Fendel, Ralf, 2004, "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,24.
• Härdle, Wolfgang Karl & Chen, Ying & Schulz, Rainer, 2004, "Prognose mit nichtparametrischen Verfahren," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,07.
• Lux, Thomas & Kaizoji, Taisei, 2004, "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-05.
• Lux, Thomas, 2004, "The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-11.
• Franke, Günter & Lüders, Erik, 2004, "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 04/05.
• Heidorn, Thomas & Gerhold, Mirko, 2004, "Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 50.
• Heidorn, Thomas & Siragusano, Tindaro, 2004, "Die Anwendbarkeit der Behavioral Finance im Devisenmarkt," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 52.
• Pierdzioch, Christian & Döpke, Jörg, 2004, "Politics and the Stock Market: Evidence from Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1203.
• Stolpe, Michael, 2004, "Non-market interaction in primary equity markets: evidence from France and Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1211.
• Gürtler, Marc & Hartmann, Nora, 2004, "The equity premium puzzle and emotional asset pricing," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW10V3.
• Wilhelm, Jochen & Nietert, Bernhard, 2004, "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 11.
• Schmidt, Robert & Leitner, Johannes, 2004, "A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 49.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004, "Sovereign risk premia in the European government bond market," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 26-2003.
• Lüders, Erik & Schröder, Michael, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19.
• Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004, "The Power Law and Dividend Yields," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-51.
• Schröder, Michael & Lüders, Erik, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19 [rev.].
• Post, G.T. & van Vliet, P., 2004, "Downside Risk and Asset Pricing," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-018-F&A, Jul.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Post, G.T. & Versijp, P.J.P.M., 2004, "A GMM Test for SSD Efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-024-F&A, Jul.
• Erich Kirchler & Boris Maciejovsky & Martin Weber, 2004, "Framing Effects, Selective Information and Market Behavior ­ An Experimental Analysis ­," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2004-16, Feb.
• Alessandro BEBER & Michael W. BRANDT, 2004, "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp105, Jan.
• Henry Schellhorn & Didier Cossin, 2004, "Credit Risk in a Network Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp106, Mar.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "Higher Order Expectations in Asset Pricing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp110, May.
• Séverine CAUCHIE & Martin HOESLI, 2004, "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp111, Jun.
• Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
• Julien Hugonnier & Erwan Morellec, 2004, "Investment under Uncertainty and Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp122, May.
• Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2004, "Capital Structure, Credit Risk, and Macroeconomic Conditions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp125, May.
• Li JIN & Stewart C. MYERS, 2004, "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp158, Feb.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2004, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp73, Jun.
• Alexey MEDVEDEV & Olivier SCAILLET, 2004, "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp93, Oct.
• Vladimír Gazda & Karel Koøený & Tomáš Výrost, 2004, "Defection of Traditional Standard Deviation Scaling of Capital Asset Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 325-334, July.
• Gema Pastor Agustin, Manuel Espitia Escuer, 2004, "Real Options, Uncertainty and Firm Value," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 116-140, December.
• Kevin J. Lansing, 2004, "Inflation-induced valuation errors in the stock market," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct29.
• Andrew Ang & Geert Bekaert, 2004, "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Glenn D. Rudebusch & Tao Wu, 2004, "A macro-finance model of the term structure, monetary policy, and the economy," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Miguel A. Ferreira & Jose A. Lopez, 2004, "Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-03, Mar, DOI: 10.24148/wp2004-03.
• Glenn D. Rudebusch & Tao Wu, 2005, "Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-25, Nov, DOI: 10.24148/wp2004-25.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004, "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-16.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Takeshi Kimura & David H. Small, 2004, "Quantitative monetary easing and risk in financial asset markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-57.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004, "The Performance of International Equity Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 817.
• James M. Poterba, 2004, "The impact of population aging on financial markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 163-216.
• Michael D. Bordo & David C. Wheelock, 2004, "Monetary policy and asset prices: a look back at past U.S. stock market booms," Review, Federal Reserve Bank of St. Louis, volume 86, issue Nov, pages 19-44.
• Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2004, "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 53-62.
• Domenico Colucci & Vincenzo Valori, 2004, "Adaptive learning in the Cobweb with an endogenous gain sequence," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2004-01, Sep.
• Antonio Mele & Filippo Altissimo, 2004, "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers, Financial Markets Group, number dp476, Jan.
• Antonio Mele, 2004, "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers, Financial Markets Group, number dp489, Apr.
• Enrique Sentana & Francisco Penaranda, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers, Financial Markets Group, number dp497, May.
• Enno Mammen & Oliver Linton, 2004, "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers, Financial Markets Group, number dp511, Sep.
• Benoit Perron & Oliver Linton, 2004, "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers, Financial Markets Group, number dp514, Sep.
• C Taanggard & J Nielsen & Enno Mammen & Oliver Linton, 2004, "Yield Curve Estimation by Kernel Smoothing," FMG Discussion Papers, Financial Markets Group, number dp515, Sep.
• Jean-Pierre Zigrand & Rohit Rahi, 2004, "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group, number dp520, Oct.
• Nicole Branger & Christian Schlag, 2004, "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 140, Oct.
• Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS), 2004, "Modelling an artificial stock market: When cognitive institutions influence market dynamics," Cahiers du GRES (2002-2009), Groupement de Recherches Economiques et Sociales, number 2004-04.
• Philippe Martin & Helene Rey, 2004, "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00176904, DOI: 10.1016/j.jinteco.2003.12.001.
• Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Post-Print, HAL, number hal-00478480, Sep, DOI: 10.1017/S0022109000003975.
• Edouard Challe, 2004, "Sunspots and predictable asset returns," Post-Print, HAL, number halshs-00069375, Mar.
• Edouard Challe, 2004, "Une décomposition du cycle boursier," Post-Print, HAL, number halshs-00151481, May.
• Elyès Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print, HAL, number halshs-00176465, Jan.
• Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004, "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-309, Dec.
• Lando, David & Mortensen, Allan, 2004, "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers, Copenhagen Business School, Department of Finance, number 2004-9, Nov.
• Engström, Stefan, 2004, "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 553, Jan.
• Engström, Stefan, 2004, "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 554, Jan.
• Björk, Tomas & Slinko, Irina, 2004, "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 595, Feb.
• Olovsson, Conny, 2004, "Social Security and the Equity Premium Puzzle," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 729, Mar.
• Asgharian, Hossein, 2004, "A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors," Working Papers, Lund University, Department of Economics, number 2004:10, Mar.
• Nilsson, Birger & Hansson, Björn, 2004, "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers, Lund University, Department of Economics, number 2004:28, Dec.
• Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2004, "The Market Pricing of Accruals Quality," SIFR Research Report Series, Institute for Financial Research, number 22, Mar.
• Noe, Thomas H. & Rebello, Michael J. & Wang, Jun, 2004, "The Evolution of Security Designs," SIFR Research Report Series, Institute for Financial Research, number 26, Sep.
• Bansal, Ravi & Dahlquist, Magnus & Harvey, Campbell R., 2004, "Dynamic Trading Strategies and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 31, Oct.
• Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004, "The Determinants of Credit Default Swap Premia," SIFR Research Report Series, Institute for Financial Research, number 32, Sep.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Ansgar Belke & Thorsten Polleit, 2004, "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 244/2004.
• Campbell, John & Vuolteenaho, Tuomo, 2004, "Bad Beta, Good Beta," Scholarly Articles, Harvard University Department of Economics, number 3122489.
• Vuolteenaho, Tuomo & Campbell, John, 2004, "Inflation Illusion and Stock Prices," Scholarly Articles, Harvard University Department of Economics, number 3196090.
• Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004, "Strategic Asset Allocation in a Continuous-Time VAR Model," Scholarly Articles, Harvard University Department of Economics, number 3294738.
• Shumei Gao & Jihe Song, 2004, "Quota Use under VERs: A theoretical framework and some evidence on MFA quota use," Working Papers, Department of Economics, School of Management and Languages, Heriot Watt University, number E03.
• Fajardo, J. & Mordeckiz, E., 2004, "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_71, Oct.
• José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004, "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, volume 28, issue 2, pages 349-376, May.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Mele, Antonio, 2004, "General Properties of Rational Stock-Market Fluctuations," Economics Series, Institute for Advanced Studies, number 153, Mar.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series, Institute for Advanced Studies, number 155, May.
• Ramaprasad Bhar & Shigeyuki Hamori, 2004, "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 45-56, April.
• Natalia Gershun, 2004, "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 67-81, April.
• Sheng-Yung Yang & Shuh-Chyi Doong, 2004, "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 139-153, August.
• Mirela Malin & Madhu Veeraraghavan, 2004, "On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 155-176, August.
• Baba, Naohiko & Inamura, Yasunari, 2004, "The Japanese Repo Market: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 1, pages 65-90, March.
• Rose, Andrew-K, 2004, "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 2, pages 1-17, May.
• Okina, Kunio & Shiratsuka, Shigenori, 2004, "Asset Price Fluctuations, Structural Adjustments, and Sustained Economic Growth: Lessons from Japan's Experience since the Late 1980s," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue S1, pages 143-167, December.
• Rosa María Cáceres Apolinario & Juan García Boza, 2004, "Análisis Del Riesgo Beta En El Mercado Bursátil Español," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 2, pages 145-168, Junio 200.
• Andrés D. Fundia & Francisco Venegas-Martínez, 2004, "Probabilistic Greeks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 3, pages 303-311, Septiembr.
• Arturo Lorenzo Valdés, 2004, "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 4, pages 333-341, Diciembre.
• Eduardo Sandoval & Rodrigo Saens, 2004, "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 41, issue 122, pages 65-89.
• Alberto Naudon & Matías Tapia & Felipe Zurita, 2004, "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 262.
• Ángel León & Gonzalo Rubio & Gregorio Serna, 2004, "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-13, Mar.
• Carlos Forner & Joaquín Marhuenda, 2004, "Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-20, Oct.
• Chulsoo Kim, 2004, "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 29, issue 2, pages 65-80, December.
• Spiwoks Markus, 2004, "Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 5, pages 557-578, October, DOI: 10.1515/jbnst-2004-0503.
• William Barnett & Shu Wu, 2004, "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200404, Jun, revised Jun 2004.
• William Barnett & Shu Wu, 2004, "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200405, Jun, revised Jun 2004.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, Springer, volume 8, issue 1, pages 1-18.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, Springer, volume 8, issue 1, pages 109-127.
• Peter Bossaerts & Charles Plott, 2004, "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, volume 8, issue 2, pages 135-169.
• Luis Angel Medrano & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, Springer, volume 8, issue 2, pages 199-277.
• Martin Lettau & Sydney C. Ludvigson, 2004, "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, volume 94, issue 1, pages 276-299, March.
• Alan Auerbach, 2004, "How Much Equity Does the Government Hold?," American Economic Review, American Economic Association, volume 94, issue 2, pages 155-160, May, DOI: 10.1257/0002828041301489.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, volume 94, issue 2, pages 19-23, May, DOI: 10.1257/0002828041301533.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 29-32, May, DOI: 10.1257/0002828041301759.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Bad Beta, Good Beta," American Economic Review, American Economic Association, volume 94, issue 5, pages 1249-1275, December.
• Peter Temin & Hans-Joachim Voth, 2004, "Riding the South Sea Bubble," American Economic Review, American Economic Association, volume 94, issue 5, pages 1654-1668, December.
• Arne Feddersen & Wolfgang Maennig, 2004, "Sporting Success and Capital Market Performance: An Event Study of Borussia Dortmund," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 124, issue 2, pages 282-303.
• Bellver, Jeronimo Aznar & Martinez, Francisco Guijarro, 2004, "Modelos de valoracion en ambiente de incertidumbre," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 4, issue 07, pages 1-19, DOI: 10.22004/ag.econ.28731.
• Grant, Simon & Quiggin, John, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151167, Aug, DOI: 10.22004/ag.econ.151167.
• Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004, "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-14.
• Severine Cauchie & Martin Hoesli, 2004, "The integration of securitized real estate and financial assets," ERES, European Real Estate Society (ERES), number eres2004_574, Jun.
• Michael R. King & Dan Segal, 2004, "International Cross-Listing and the Bonding Hypothesis," Staff Working Papers, Bank of Canada, number 04-17, DOI: 10.34989/swp-2004-17.
• Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004, "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers, Bank of Canada, number 04-34, DOI: 10.34989/swp-2004-34.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
• Stuart Turnbull & Jun Yang, 2004, "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers, Bank of Canada, number 04-45, DOI: 10.34989/swp-2004-45.
• Gregory Bauer & Clara Vega, 2004, "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers, Bank of Canada, number 04-47, DOI: 10.34989/swp-2004-47.
• Antonio Di Cesare, 2004, "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 506, Jul.
• Paolo Guasoni, 2004, "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 507, Jul.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Gordon S. & St-Amour P., 2004, "Asset Returns and State-Dependent Risk Preferences," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 241-252, July.
• Eric Jondeau & Michael Rockinger, 2004, "The Bank Bias: Segmentation of French Fund Families," Working papers, Banque de France, number 107.
• Eric Jondeau & Michael Rockinger, 2004, "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France, number 108.
• Mark Aguiar & Fernando Broner, 2004, "Determining Underlying Macroeconomic Fundamentals during Emerging Market Crises: Are conditions as bad as they seem?," Working Papers, Barcelona School of Economics, number 197, Aug.
• Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004, "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 35, issue 1, pages 241-326.
• Kostas Tsatsaronis & Haibin Zhu, 2004, "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
• Marco Sorge, 2004, "The nature of credit risk in project finance," BIS Quarterly Review, Bank for International Settlements, December.
• E. Philip Davis & Haibin Zhu, 2004, "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers, Bank for International Settlements, number 150, Mar.
• Marco Sorge & Blaise Gadanecz, 2004, "The term structure of credit spreads in project finance," BIS Working Papers, Bank for International Settlements, number 159, Aug.
• Serdat Dinc & Patrick M. McGuire, 2004, "Did investors regard real estate as 'safe' during the 'Japanese Bubble' in the 1980s?," BIS Working Papers, Bank for International Settlements, number 164, Nov.
• Goetz von Peter, 2004, "Asset prices and banking distress: a macroeconomic approach," BIS Working Papers, Bank for International Settlements, number 167, Dec.
• Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004, "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, volume 14, issue 2, pages 201-221, April, DOI: 10.1111/j.0960-1627.2004.00189.x.
• Toshitaka Sekine & Towa Tachibana, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-2, Mar.
• Takashi Nagahata & Yumi Saita & Toshitaka Sekine & Towa Tachibana, 2004, "Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-9, Jul.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga, 2004, "Forward Volatility Contract Pricing in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 1-21.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo, 2004, "Credit Derivatives Pricing in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 159-182.
• Luciano Martin Rostagno & Gilberto de Oliveira Kloeckner & João Luiz Becker, 2004, "Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 183-206.
• E Philip Davis & Haibin Zhu, 2004, "Commercial property prices and bank performance," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• E Philip DaviS & Haibin Zhu, 2004, "Commercial property prices and bank performance," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• Zimmermann, Heinz & Beiner, Stefan & Drobetz, Wolfgang & Schmid, Markus, 2004, "Corporate Governance, Unternehmensbewertung und Wettbewerb : eine Untersuchung für die Schweiz," Working papers, Faculty of Business and Economics - University of Basel, number 2004/01.
• Kugler, Peter & Weder, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Working papers, Faculty of Business and Economics - University of Basel, number 2004/04.
• Drobetz, Wolfgang & Gugler, Klaus & Hirschvogl, Simone, 2004, "The Determinants of the German Corporate Governance Rating," Working papers, Faculty of Business and Economics - University of Basel, number 2004/06.
• Dominique Pépin, 2004, "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, volume 55, issue 2, pages 207-226.