Research classified by Journal of Economic Literature (JEL) codes

2005

• 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.
• Bernhard Schwetzler, 2005, "EBIT-Vollausschüttung und DCF-WACC-Bewertung?," Schmalenbach Journal of Business Research, Springer, volume 57, issue 2, pages 155-162, March, DOI: 10.1007/BF03371631.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Springer Books, Springer, chapter 0, in: Michèle Breton & Hatem Ben-Ameur, "Numerical Methods in Finance", DOI: 10.1007/0-387-25118-9_9.
• Suleyman Basak & Anna Pavlova, 2005, "Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies," Studies in Economic Theory, Springer, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear, "Essays in Dynamic General Equilibrium Theory", DOI: 10.1007/3-540-27192-9_1.
• Jamsheed Shorish & Stephen E. Spear, 2005, "Shaking the Tree: An Agency-Theoretic Model of Asset Pricing," Studies in Economic Theory, Springer, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear, "Essays in Dynamic General Equilibrium Theory", DOI: 10.1007/3-540-27192-9_10.
• Dominique Guegan, 2005, "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 2, pages 113-149, DOI: 10.1081/ETC-200067887.
• Evzen Kocenda & Lubos Briatka, 2005, "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 3, pages 265-296, DOI: 10.1080/07474930500243001.
• David McMillan, 2005, "Time variation in the cointegrating relationship between stock prices and economic activity," International Review of Applied Economics, Taylor & Francis Journals, volume 19, issue 3, pages 359-368, DOI: 10.1080/02692170500119862.
• John Y. Campbell & Luis M. Viceira, 2005, "The Term Structure of the Risk–Return Trade-Off," Financial Analysts Journal, Taylor & Francis Journals, volume 61, issue 1, pages 34-44, January, DOI: 10.2469/faj.v61.n1.2682.
• Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005, "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-052/1, May.
• Cars Hommes, 2005, "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-055/1, May.
• Cars H. Hommes, 2005, "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-056/1, May.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-62.
• Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005, "Assessing Credit with Equity : A CEV Model with Jump to Default," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-27.
• Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005, "Labor Income and the Demand for Long-term Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-95.
• Magis, P. & Sbuelz, A., 2005, "The Value of Fighting Irreversible Demise by Softening the Irreversible Cost," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-26.
• Campi, L. & Sbuelz, A., 2005, "Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-28.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2005-016.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 059428e3-2ed6-42e2-8d3c-2.
• Palomino, F.A. & Renneboog, L.D.R. & Zhang, C., 2005, "Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1deb12a0-54a3-47f7-9626-5.
• Nobuyuki Oda & Kazuo Ueda, 2005, "The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-336, Apr.
• Kathy Yuan, 2005, "The Liquidity Service Of Benchmark Securities," Journal of the European Economic Association, MIT Press, volume 3, issue 5, pages 1156-1180, September.
• Ortalo-Magné, François & Rady, Sven, 2005, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraint," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 50, May.
• Giulio Bottazzi & Giovanna Devetag, 2005, "Expectations structure in asset pricing experiments," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 0503.
• Benjamin Ford & Karen Taylor, 2005, "Recent developments in Australian bond yields," Economic Roundup, The Treasury, Australian Government, issue 4, pages 111-120, December.
• Alar Kein, 2005, "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 120.
• Pilar Abad Romero & M. Dolores Robles Fernández, 2005, "Risk and returns around bond rating changes: New evidence from the Spanish Stock Market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0505.
• Andrew Ang & Angela Maddaloni, 2005, "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 341-380, January, DOI: 10.1086/426528.
• Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005, "Market Integration and Contagion," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 39-70, January, DOI: 10.1086/426519.
• Ulrich Hege & Pierre Mella-Barral, 2005, "Repeated Dilution of Diffusely Held Debt," The Journal of Business, University of Chicago Press, volume 78, issue 3, pages 737-786, May, DOI: 10.1086/429643.
• Viral V. Acharya & Alberto Bisin, 2005, "Optimal Financial-Market Integration and Security Design," The Journal of Business, University of Chicago Press, volume 78, issue 6, pages 2397-2434, November, DOI: 10.1086/497041.
• Jonathan A. Parker & Christian Julliard, 2005, "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, volume 113, issue 1, pages 185-222, February, DOI: 10.1086/426042.
• Charles Engel & Kenneth D. West, 2005, "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, volume 113, issue 3, pages 485-517, June, DOI: 10.1086/429137.
• Roland Gillet & Ariane Szafarz, 2005, "L'efficience informationnelle des marchés: une hypothèse, et au-delà?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/14397.
• Roland Gillet & Ariane Szafarz, 2005, "L’efficience informationnelle des marchés. Une hypothèse, et au-delà ?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/669.
• Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005, "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/05, Apr.
• Graciela L. Kaminsky, 2005, "International Capital Flows, Financial Stability and Growth," Working Papers, United Nations, Department of Economics and Social Affairs, number 10, Dec.
• Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005, "The weekend trading profitability: evidence from international mutual funds," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-10, Jan.
• Francesco Franzoni & José M. Marín, 2005, "Pension plan funding and stock market efficiency," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 871, Jun.
• Elisa Alòs & Christian-Olivier Ewald, 2005, "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 880, Aug.
• José M. Marín & Francesco Franzoni, 2005, "Portable alphas from pension mispricing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 894, Oct.
• Patrick Gagliardini & C. Gourieroux & E. Renault, 2005, "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-05, Jan.
• Frode Brevik & Stefano d'Addona, 2005, "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-24, Dec.
• Xue-Zhong He & Youwei Li, 2005, "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 148, Jan.
• Carl Chiarella & Hing Hung & Thuy-Duong To, 2005, "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 151, Jan.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005, "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 166, Sep.
• Flynn, Sean M., 2005, "Noise-trading, Costly Arbitrage, and Asset Prices: Evidence from US Closed-end Funds," Vassar College Department of Economics Working Paper Series, Vassar College Department of Economics, number 71, Sep.
• Luciano Campi & Simon Polbennikov & Sbuelz, 2005, "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers, University of Verona, Department of Economics, number 24/2005, Sep.
• Leo Krippner, 2005, "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, number 05/01, Jan.
• Leo Krippner, 2005, "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics, University of Waikato, number 05/03, Mar.
• Jakob Madsen & Costas Milas, 2005, "The Price-Dividend Relationship In Inflationary And Deflationary Regimes," Econometrics, University Library of Munich, Germany, number 0506002, Jun.
• William A. Barnett & Jane Binner & W. Erwin Diewert, 2005, "Functional Structure and Approximation in Econometrics (book front matter)," Econometrics, University Library of Munich, Germany, number 0511006, Nov.
• Carl Plat, 2005, "A Double Auction Market with Signals of Varying Precision," Experimental, University Library of Munich, Germany, number 0508004, Aug.
• Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005, "Discount Rates in Emerging Capital Markets," Finance, University Library of Munich, Germany, number 0501013, Jan.
• Stefano d'Addona & Axel H. Kind, 2005, "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, University Library of Munich, Germany, number 0502018, Feb.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0503014, Mar, revised 17 Jan 2006.
• Ayla Ogus, 2005, "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance, University Library of Munich, Germany, number 0504005, Apr.
• Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005, "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance, University Library of Munich, Germany, number 0504011, Apr.
• Silvio John Camilleri & Christopher J. Green, 2005, "An Analysis of the Impacts of Non-Synchronous Trading On," Finance, University Library of Munich, Germany, number 0504020, Apr.
• Joao C. A. Teixeira, 2005, "An empirical analysis of structural models of corporate debt pricing," Finance, University Library of Munich, Germany, number 0505001, May.
• Santiago Budria, 2005, "An Exploration of Asset Returns in a Production Economy with Relative Habits," Finance, University Library of Munich, Germany, number 0505004, May.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance, University Library of Munich, Germany, number 0505009, May, revised 17 Jan 2006.
• Silvio John Camilleri & Christopher J. Green, 2005, "The Impact of the Suspension of Opening and Closing Call," Finance, University Library of Munich, Germany, number 0506006, Jun.
• Silvio John Camilleri, 2005, "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance, University Library of Munich, Germany, number 0507006, Jul.
• Colm Kearney & Valerio Poti, 2005, "Correlation Dynamics in European Equity Markets," Finance, University Library of Munich, Germany, number 0507008, Jul.
• Fatih Guvenen, 2005, "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?," Finance, University Library of Munich, Germany, number 0507009, Jul.
• Francis Vitek, 2005, "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance, University Library of Munich, Germany, number 0508014, Aug.
• Georg Mosburger & Paul Schneider, 2005, "Modelling International Bond Markets with Affine Term Structure Models," Finance, University Library of Munich, Germany, number 0509003, Sep.
• Shino Takayama & Han Ozsoylev, 2005, "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance, University Library of Munich, Germany, number 0509007, Sep.
• Jaime Londoño, 2005, "Dynamic State Tameness," Finance, University Library of Munich, Germany, number 0509010, Sep, revised 20 Sep 2005.
• Sascha Mergner, 2005, "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0509024, Sep.
• Alessandro Sansone & Giuseppe Garofalo, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance, University Library of Munich, Germany, number 0510026, Oct.
• Stefano Galluccio & Yann Le Cam, 2005, "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance, University Library of Munich, Germany, number 0510028, Oct.
• Sascha Mergner & Jan Bulla, 2005, "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0510029, Oct.
• Martina Nardon, 2005, "Valuing defaultable bonds: an excursion time approach," Finance, University Library of Munich, Germany, number 0511015, Nov.
• Anthony Murphy & Marwan Izzeldin, 2005, "Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)," Finance, University Library of Munich, Germany, number 0512005, Dec.
• Albert Lee Chun, 2005, "Expectations, Bond Yields and Monetary Policy," Finance, University Library of Munich, Germany, number 0512006, Dec.
• Godwin Nwaobi, 2005, "Securities Markets And Social Capital Integration In Africa: Risks And Policy Options," Finance, University Library of Munich, Germany, number 0512019, Dec.
• Marco Gallegati, 2005, "A Wavelet Analysis of MENA Stock Markets," Finance, University Library of Munich, Germany, number 0512027, Dec.
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005, "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance, University Library of Munich, Germany, number 0512028, Dec.
• Jian Wang, 2005, "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance, University Library of Munich, Germany, number 0501002, Jan.
• Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2005, "International equity flows and returns: a quantitative equilibrium approach," International Finance, University Library of Munich, Germany, number 0508006, Aug.
• Lieven Baele & Koen Inghelbrecht, 2005, "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, University Library of Munich, Germany, number 0511005, Nov.
• Balázs Romhányi, 2005, "A learning hypothesis of the term structure of interest rates," Macroeconomics, University Library of Munich, Germany, number 0503001, Mar.
• William Barnett, 2005, "Monetary Aggregation," Macroeconomics, University Library of Munich, Germany, number 0503017, Mar.
• William Barnett & Unja Chae & John Keating, 2005, "The Discounted Economic Stock of Money with VAR Forecasting," Macroeconomics, University Library of Munich, Germany, number 0508021, Aug.
• William Barnett & Unja Chae & John Keating, 2005, "Forecast Design in Monetary Capital Stock Measurement," Macroeconomics, University Library of Munich, Germany, number 0508022, Aug.
• William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005, "The Theory of Monetary Aggregation (book front matter)," Macroeconomics, University Library of Munich, Germany, number 0511008, Nov.
• Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008, "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 849.
• Allon Cohen & Haim Levy, 2005, "The Log-Normal Asset Pricing Model (Lapm)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-34, DOI: 10.1142/S2010495205500028.
• Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès, 2005, "The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-20, DOI: 10.1142/S2010495205500041.
• Don U. A. Galagedera & Robert Faff, 2005, "Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 75-95, DOI: 10.1142/S0219024905002901.
• M. Tudela & G. Young, 2005, "A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 737-761, DOI: 10.1142/S0219024905003256.
• Shu Wu & Yong Zeng, 2005, "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 07, pages 839-869, DOI: 10.1142/S0219024905003323.
• A G Malliaris, 2005, "Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5864, ISBN: ARRAY(0x760ce1c0), September.
• Fwu-Ranq Chang & A. G. Malliaris, 2005, "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005, "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Mary E. Malliaris, 2005, "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Silvana Stefani, 2005, "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jerome L. Stein, 2005, "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005, "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marco Corazza & A. G. Malliaris, 2005, "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Ramaprasad Bhar & A. G. Malliaris, 2005, "Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Is The Federal Reserve Stock Market Bubble-Neutral?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• M. D. Hayford & A. G. Malliaris, 2005, "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The Impact Of The Persian Gulf Crisis On National Equity Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "Oil And World Stock Markets' Reaction To The Gulf Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Jorge Urrutia & A. G. Malliaris, 2005, "Equity And Oil Markets Under External Shocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2005, "Multinomial Lattices and Derivatives Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Michael K. Fung, 2005, "Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Anthony Kozberg, 2005, "Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Youngsik Kwak & H. James Williams, 2005, "A Teaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Sidney Leung, 2005, "Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts' Earnings Forecasts," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Van T. Nguyen & Bonnie F. Van Ness & Robert A. Van Ness, 2005, "Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2005, "The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow 30," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2005, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bing-Huei Lin & Jerry M. C. Wang, 2005, "Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2005, "Listing Switches from NASDAQ to the NYSE or AMEX: Is New Stock Issuance a Motive?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Karyl B. Leggio & Donald Lien, 2005, "Is Covered Call Investing Wise?: Evaluating the Strategy using Risk-Adjusted Performance Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Ping Hsiao & Wayne Y. Lee, 2005, "CFA Designation, Geographical Location and Analyst Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• William N. Goetzmann & Alok Kumar, 2005, "Why Do Individual Investors Hold Under-Diversified Portfolios?," Yale School of Management Working Papers, Yale School of Management, number ysm454, Apr.
• Donald Brown & Rustam Ibragimov, 2005, "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers, Yale School of Management, number amz2581, Jun, revised 01 Jul 2005.
• Schröder, David, 2005, "The Implied Equity Risk Premium: An Evaluation of Empirical Methods," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2005.
• Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005, "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,16.
• Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005, "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,29.
• Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005, "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,30.
• von Kalckreuth, Ulf, 2005, "A "wreckers theory" of financial distress," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,40.
• Alfarano, Simone & Lux, Thomas, 2005, "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-13.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005, "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/04.
• Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005, "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/09.
• Campbell, Sean D. & Diebold, Francis X., 2005, "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/22.
• Lüders, Erik & Franke, Günter, 2005, "Return predictability and stock market crashes in a simple rational expectations model," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 05/05.
• Becker, Christoph & Wystup, Uwe, 2005, "On the cost of delayed currency fixing announcements," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 3.
• Moerman, G.A., 2005, "How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area," 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-2005-035-F&A, Jun.
• Post, G.T. & Linton, O. & Whang, Y-J., 2005, "Testing for Stochastic Dominance 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-2005-033-F&A, Jun.
• Post, G.T., 2005, "Wanted: A Test for FSD Optimality of a Given Portfolio," 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-2005-034-F&A, Jun.
• Post, G.T., 2005, "A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions," 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-2005-032-F&A, Jun.
• Michael Glezakos & Dr. George Gotzageorgis, 2005, "An empirical investigation of underpricing in Greek IPO’s: 1990-2003," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 3-20.
• Andrea Morone, 2005, "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2005-20, Jul.
• Markku Lanne & Pentti Saikkonen, 2005, "Modeling Conditional Skewness in Stock Returns," Economics Working Papers, European University Institute, number ECO2005/14.
• Ramiro Sosa Navarro, 2005, "Default Recovery Values and Implied Default Probabilities Estimations: Evidence from the Argentinean Crisis," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-21.
• S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005, "Theory and Calibration of Swap Market Models," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp107, Jun.
• Eric Jondeau & Michael Rockinger, 2005, "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp132, Feb.
• Didier Cossin & Hongze Lu, 2005, "Are European Corporate Bond and Default Swap Markets Segmented?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp133, Mar.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005, "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp135, Mar.
• Pascal St-Amour, 2005, "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp136, Mar.
• Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005, "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp138, Mar.
• Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005, "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp139, Mar.
• Martin Hoesli & Elion Jani & André Bender, 2005, "Monte Carlo Simulations for Real Estate Valuation," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp148, Jun.
• Michael Rockinger & Maria Semenova, 2005, "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp150, Jun.
• Helena Horská, 2005, "The Czech Equity Market - Its Effectiveness and Macroeconomic Consequences," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 5-6, pages 283-301, May.
• Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005, "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 9-10, pages 460-470, September.
• Lionel Nesta, 2005, "Knowledge and Productivity in the World's Largest Manufacturing Corporations Level:Panel Data analysis on Compustat and Patent data," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2005-17.
• Kjell G. Nyborg & Ulrich Bindseil & Ilya A. Strebulaev, 2005, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," Working Papers, Fondazione Eni Enrico Mattei, number 2005.92, Jul.
• Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005, "Estimating the stochastic discount factor without a utility function," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 583, Mar.
• Cysne, Rubens Penha, 2005, "Equity-premium puzzle: evidence from Brazilian data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 586, Apr.
• Borja Larrain & Motohiro Yogo, 2005, "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers, Federal Reserve Bank of Boston, number 05-18.
• Andrew Ang & Sen Dong & Monika Piazzesi, 2005, "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
• Kevin J. Lansing, 2005, "Lock-in of Extrapolative Expectations in an Asset Pricing Model," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-06, Oct, DOI: 10.24148/wp2000-06.
• John Krainer & Mark M. Spiegel & Nobuyoshi Yamori, 2005, "Asset Price Declines and Real Estate Market Illiquidity: Evidence from Japanese Land Values," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-16, Jan, DOI: 10.24148/wp2004-16.
• Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005, "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-40.
• Don H. Kim & Athanasios Orphanides, 2005, "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-48.
• Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005, "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-63.
• Robert F. Martin, 2005, "The baby boom: predictability in house prices and interest rates," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 847.
• Murillo Campello & Long Chen & Lu Zhang, 2005, "Expected returns, yield spreads, and asset pricing tests," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005, "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Sean D. Campbell & Francis X. Diebold, 2005, "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Massimo Guidolin & Allan Timmerman, 2005, "Term structure of risk under alternative econometric specifications," Working Papers, Federal Reserve Bank of St. Louis, number 2005-001, DOI: 10.20955/wp.2005.001.
• Péter Kondor, 2005, "The more we know, the less we agree: public announcements and higher-order expectations," FMG Discussion Papers, Financial Markets Group, number dp532, Apr.