Research classified by Journal of Economic Literature (JEL) codes

2005

• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.
• Tatom, John, 2005, "Is Your Bubble About to Burst?," MPRA Paper, University Library of Munich, Germany, number 4119, Oct.
• Simarmata, Djamester A., 2005, "Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997," MPRA Paper, University Library of Munich, Germany, number 41843, Jul.
• Marcello, Pericoli & Marco, Taboga, 2005, "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper, University Library of Munich, Germany, number 4969, Mar, revised Sep 2007.
• Carey, Alexander, 2005, "Higher-order volatility," MPRA Paper, University Library of Munich, Germany, number 4993, Dec.
• Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005, "Hedging with Foreign-listed Single Stock Futures," MPRA Paper, University Library of Munich, Germany, number 52372.
• Cebula, Richard & McGrath, Richard & Toma, Michael, 2005, "Impact of the Primary Budget Deficit on the Nominal Long Term Interest Rate Yield on Tax Free Municipal Bonds," MPRA Paper, University Library of Munich, Germany, number 61411, Aug.
• Magni, Carlo Alberto, 2005, "Theoretical Flaws In The Use Of The Capm For Investment Decisions," MPRA Paper, University Library of Munich, Germany, number 6330, Dec, revised Nov 2007.
• Han, Bing & Hirshleifer, David & Wang, Tracy, 2005, "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper, University Library of Munich, Germany, number 6497, Jun, revised Dec 2007.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 6608, Oct.
• Magni, Carlo Alberto, 2005, "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper, University Library of Munich, Germany, number 7093, Oct.
• Magni, Carlo Alberto, 2005, "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper, University Library of Munich, Germany, number 7359, Dec, revised 27 Feb 2008.
• Camilleri, Silvio John, 2005, "Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data," MPRA Paper, University Library of Munich, Germany, number 84574, Jan.
• Gray, W, 2005, "Two Essays on Self-Tender Offers," MPRA Paper, University Library of Munich, Germany, number 8584, Nov, revised 2005.
• Iqbal, Javed & Haider, Aziz, 2005, "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper, University Library of Munich, Germany, number 8699, Apr.
• Dubra, Juan, 2005, "Interview with Kenneth Arrow," MPRA Paper, University Library of Munich, Germany, number 967, Mar.
• Alexander Ludwig & Alexander Zimper, 2012, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers, University of Pretoria, Department of Economics, number 201223, Jun.
• Dita Fuchsová, 2005, "Performance of Selected Models with Heterogeneous Expectation Formation
  [Výkonnost vybraných modelů s heterogenní tvorbou očekávání]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2005, issue 1, pages 41-45, DOI: 10.18267/j.aop.129.
• Jan Kubíček, 2005, "Rovnovážná cena fixního aktiva v rostoucí ekonomice
  [Equilibrium real price of a fixed asset in a growing economy]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 405-421, DOI: 10.18267/j.polek.513.
• Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005, "Les fondements de la rotation sectorielle des portefeuilles," Revue d'Économie Financière, Programme National Persée, volume 78, issue 1, pages 345-362, DOI: 10.3406/ecofi.2005.3960.
• François-Louis Michaud, 2005, "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 79-93, DOI: 10.3406/ecofi.2005.3971.
• Olivier Davanne & Thierry Pujol, 2005, "Allocation d’actifs, variation des primes de risque et benchmarks," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 95-111, DOI: 10.3406/ecofi.2005.3973.
• Jean Matouk & Jean-Louis Monino, 2005, "Le marché de Paris a la mémoire courte !," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 133-155, DOI: 10.3406/ecofi.2005.4016.
• Côme Segretain, 2005, "Typologie des déterminants des primes d’offres publiques et validation empirique à partir des notices d’opération," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 189-209, DOI: 10.3406/ecofi.2005.4019.
• Alberto Montagnoli & Oreste Napolitano, 2005, "Financial Condition Index And Interest Rate Settings: A Comparative Analysis," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 8_2005, Dec.
• Bagnoli, Mark & Clement, Michael & Watts, Susan G., 2005, "Around-the-Clock Media Coverage and the Timing of Earnings Announcements," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1184, Dec.
• Jason Allen, 2005, "Size Matters: Covariance Matrix Estimation Under The Alternative," Working Paper, Economics Department, Queen's University, number 1091, Aug.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2005, "Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 547, Oct.
• Stijn Van Nieuwerburgh & Hanno Lustig, 2005, "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers, Society for Economic Dynamics, number 105.
• Christopher Malloy & Tobias Moskowitz, 2005, "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers, Society for Economic Dynamics, number 123.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," 2005 Meeting Papers, Society for Economic Dynamics, number 148.
• Andrew Ang & Sen Dong, 2005, "No-Arbitrage Taylor Rules," 2005 Meeting Papers, Society for Economic Dynamics, number 22.
• B. Ravikumar & Enchuan Shao, 2005, "Search Frictions and Asset Price Volatility," 2005 Meeting Papers, Society for Economic Dynamics, number 227.
• Alessio Caldarera & Celso Brunetti, 2005, "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers, Society for Economic Dynamics, number 288.
• Jessica Wachter & Martin Lettau, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics, number 302.
• Martin Schneider & Juan Carlos Hatchondo & Per Krusell, 2005, "A Quantitative Model of Competitive Asset Pricing Under Private Information," 2005 Meeting Papers, Society for Economic Dynamics, number 464.
• Sydney C. Ludvigson & Martin Lettau, 2005, "Euler Equation Errors," 2005 Meeting Papers, Society for Economic Dynamics, number 487.
• Enrichetta Ravina, 2005, "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers, Society for Economic Dynamics, number 557.
• Urban J. Jermann, 2005, "The Equity Premium Implied by Production," 2005 Meeting Papers, Society for Economic Dynamics, number 630.
• Pierre-Olivier Weill & Dimitri Vayanos, 2005, "A Search-Based Theory of the On-the-Run Phenomenon," 2005 Meeting Papers, Society for Economic Dynamics, number 701.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2005, "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers, Society for Economic Dynamics, number 77.
• Juha Seppala & Federico Ravenna, 2005, "Monetary Policy and the Term Structure of Interest Rates," 2005 Meeting Papers, Society for Economic Dynamics, number 804.
• Pietro Veronesi & Lubos Pastor, 2005, "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers, Society for Economic Dynamics, number 95.
• Stéphanie Lavigne, 2005, "Modeling an Artificial Stock Market. When Cognitive Institutions Influence Market Dynamic," European Journal of Economic and Social Systems, Lavoisier, volume 18, issue 2, pages 201-232.
• Parantap Basu & Matthew R. Morey, 2005, "Trade Opening and the Behavior of Emerging Stock Market Prices," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 68-92.
• Shahin Shojai & Samuel Wang, 2005, "The New Wave of Liquidity: Impact of Friction," Journal of Financial Transformation, Capco Institute, volume 14, pages 51-59.
• Kevin Lansing, 2005, "Inflation-Induced Valuation Errors in the Stock Market," Journal of Financial Transformation, Capco Institute, volume 13, pages 124-126.
• Bronwyn H. Hall & Adam Jaffe & Manuel Trajtenberg, 2005, "Market Value and Patent Citations," RAND Journal of Economics, The RAND Corporation, volume 36, issue 1, pages 16-38, Spring.
• Popescu, Nela, 2005, "Choosing Business Risk Measures," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 3, pages 59-64.
• Larry Epstein & Martin Schneider, 2005, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 519, Jul.
• Zeno Rotondi & Giacomo Vaciago, 2005, "The Fed's Reaction to Asset Prices," Rivista di Politica Economica, SIPI Spa, volume 95, issue 2, pages 221-244, March-Apr.
• John Cotter & Jim Hanly, 2005, "Re-evaluating hedging performance," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1144, Jul.
• Caterina Mendicino, 2005, "Credit Market Development, Economic Performance and Business Cycle Volatility," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0043, Mar.
• Giuseppe Garofalo & Alessandro Sansone, 2005, "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 88, Oct.
• Wolfgang Drobetz & Matthias Kammermann & Urs Wälchli, 2005, "Long-Run Performance of Initial Public Offerings: The Evidence for Switzerland," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 57, issue 3, pages 253-275, July.
• Han N. Ozsoylev & Shino Takayama, 2005, "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe10.
• Han N. Ozsoylev, 2005, "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe11.
• Greg Duffee, 2005, "Term structure estimation without using latent factors," Computing in Economics and Finance 2005, Society for Computational Economics, number 103, Nov.
• Youwei Li & Xue-Zhong He, 2005, "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005, Society for Computational Economics, number 113, Nov.
• Ritirupa Samanta & Blake LeBaron, 2005, "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics, number 140, Nov.
• Hendri Adriaens & Bertrand Melenberg, 2005, "Multi-period CAPM with Heterogeneous Agents," Computing in Economics and Finance 2005, Society for Computational Economics, number 163, Nov.
• Eymen Errais & Fabio Mercurio, 2005, "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 192, Nov.
• Willi Semmler & Lars Grüne, 2005, "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005, Society for Computational Economics, number 199, Nov.
• Fabio Araujo & Joao Victor Issler, 2005, "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005, Society for Computational Economics, number 202, Nov.
• Gee Kwang Randolph Tan & Xiao Qin, 2005, "Bubbles, Can We Spot Them? Crashes, Can We Predict Them?," Computing in Economics and Finance 2005, Society for Computational Economics, number 206, Nov.
• Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang, 2005, "Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?," Computing in Economics and Finance 2005, Society for Computational Economics, number 207, Nov.
• Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005, "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005, Society for Computational Economics, number 215, Nov.
• Ryuichi YAMAMOTO, 2005, "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005, Society for Computational Economics, number 228, Nov.
• Mathias Hoffmann, 2005, "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005, Society for Computational Economics, number 229, Nov.
• Sikandar Hussain & M. Shahid Ebrahim, 2005, "Financial Development and Property Valuation," Computing in Economics and Finance 2005, Society for Computational Economics, number 24, Nov.
• Youwei Li & Xue-Zhong (Tony) He, 2005, "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005, Society for Computational Economics, number 244, Nov.
• Cees Diks, 2005, "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005, Society for Computational Economics, number 290, Nov.
• Tao Wu & Glenn Rudebusch, 2005, "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005, Society for Computational Economics, number 3, Nov.
• Wolfgang Lemke, 2005, "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005, Society for Computational Economics, number 341, Nov.
• Shafiqur Rahman & M. Shahid Ebrahim, 2005, "The Futures Pricing Puzzle," Computing in Economics and Finance 2005, Society for Computational Economics, number 35, Nov.
• Neng Wang & Rui Albuquerque, 2005, "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005, Society for Computational Economics, number 351, Nov.
• Sel Dibooglu & Turalay Kenc, 2005, "Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control," Computing in Economics and Finance 2005, Society for Computational Economics, number 360, Nov.
• Min Wei & Stefania D'Amico & Don H. Kim, 2005, "TIPS: Taking Inflation Premium Seriously," Computing in Economics and Finance 2005, Society for Computational Economics, number 363, Nov.
• Nancy Wallace & Chris Downing, 2005, "Commercial Mortgage Backed Securities: How Much Subordination is Enough?," Computing in Economics and Finance 2005, Society for Computational Economics, number 37, Nov.
• Norman Ehrentreich, 2005, "The Temptation of Emergence or: Don't Rush into Economic(al) Explanations," Computing in Economics and Finance 2005, Society for Computational Economics, number 373, Nov.
• Giulio Bottazzi & Mikhail Anufriev, 2005, "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005, Society for Computational Economics, number 375, Nov.
• Xin Wang & Chris Downing, 2005, "Optimal Capital Structure and the Term Structure of Interest Rates," Computing in Economics and Finance 2005, Society for Computational Economics, number 38, Nov.
• Gorkem Ozer & Paul Beaumont, 2005, "Noisy Earnings Reports and the Equity Premium," Computing in Economics and Finance 2005, Society for Computational Economics, number 389, Nov.
• Bovorn Vichiansin, 2005, "Bond Yield Predictability and Estimation of Affine Term Structure Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 390, Nov.
• 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.
• William Barnett, 2005, "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200510, Mar, revised Mar 2005.
• William Barnett & Unja Chae & John Keating, 2005, "The Discounted Economic Stock of Money with VAR Forecasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200515, Aug, revised Aug 2005.
• William Barnett & Unja Chae & John Keating, 2005, "Forecast Design in Monetary Capital Stock Measurement," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200516, Aug, revised Aug 2005.
• Shu Wu, 2005, "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200519, Oct, revised Oct 2005.
• Shu Wu & Yong Zeng, 2005, "The Term Structure of Interest Rates under Regime Shifts and Jumps," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200520, Oct, revised Oct 2005.
• William A. Barnett & Shu Wu, 2005, "On user costs of risky monetary assets," Annals of Finance, Springer, volume 1, issue 1, pages 35-50, January, DOI: 10.1007/s10436-004-0003-6.
• Jamsheed Shorish & Stephen E. Spear, 2005, "Shaking the tree: an agency-theoretic model of asset pricing," Annals of Finance, Springer, volume 1, issue 1, pages 51-72, January, DOI: 10.1007/s10436-004-0001-8.
• Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005, "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, volume 1, issue 2, pages 109-147, July, DOI: 10.1007/s10436-004-0004-5.
• Mark Bagnoli & Stanley Levine & Susan G. Watts, 2005, "Analyst estimation revision clusters and corporate events, Part I," Annals of Finance, Springer, volume 1, issue 3, pages 245-265, August, DOI: 10.1007/s10436-005-0014-y.
• Svetlana Boyarchenko & Sergei Levendorskii, 2005, "American options: the EPV pricing model," Annals of Finance, Springer, volume 1, issue 3, pages 267-292, August, DOI: 10.1007/s10436-004-0010-7.
• Mark Bagnoli & Stanley Levine & Susan G. Watts, 2005, "Analyst estimation revision clusters and corporate events, Part II," Annals of Finance, Springer, volume 1, issue 4, pages 379-393, October, DOI: 10.1007/s10436-005-0015-x.
• Marcelo Pinheiro, 2005, "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, volume 1, issue 4, pages 395-421, October, DOI: 10.1007/s10436-005-0017-8.
• Roland Füss, 2005, "Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets," Economic Change and Restructuring, Springer, volume 38, issue 1, pages 37-62, March, DOI: 10.1007/s10644-005-4522-6.
• Jakob B Madsen & Costas Milas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/09, Jul.
• Chiaki Hara, 2005, "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 609, Dec.
• Pascal St-Amour, 2005, "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 05.04, Mar.
• Javed Iqbal & Aziz Haider, 2005, "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 10, issue 1, pages 123-139, Jan-Jun.
• Ortalo-Magné, François & Rady, Sven, 2005, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints (Revised Version)," Discussion Papers in Economics, University of Munich, Department of Economics, number 494, Jan.
• Mila Novita & Nachrowi Djalal Nachrowi, 2005, "Dynamic Analysis of the Stock Price Index and the Exchange Rate Using Vector Autoregression (VAR): An Empirical Study of the Jakarta Stock Exchange, 2001-2004," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 53, pages 263-278, December.
• Marie-Claude Beaulieu & Jean-Claude Cosset & Naceur Essaddam, 2005, "Price Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum," Cahiers de recherche, CIRPEE, number 0531.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005, "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE, number 0532.
• Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005, "House Prices in Australia - 1970 to 2003 - Facts and Explanations," Research Papers, Macquarie University, Department of Economics, number 0504, May.
• Dong Heon Kim, 2005, "Nonlinearity in the Term Structure," Economics Discussion Paper Series, Economics, The University of Manchester, number 0528.
• M. J. Roche, 2005, "The equity premium puzzle and decreasing relative risk aversion," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1510205, Feb.
• Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D., 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1580505, May.
• Engel, Charles, 2005, "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, volume 37, issue 5, pages 949-955, October.
• Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2005, "Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics," Department of Economics - Working Papers Series, The University of Melbourne, number 941.
• O.T. Henry & S. Suardi, 2005, "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series, The University of Melbourne, number 945.
• D. Beggs & C.L. Skeels, 2005, "Market Arbitrage of Cash Dividends and Franking Credits," Department of Economics - Working Papers Series, The University of Melbourne, number 947.
• Thomas Nitschka, 2005, "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 22, Sep.
• Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 24, Sep.
• Peter N Smith & S Sorensen & M R Wickens, 2005, "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 47, Sep.
• Katrin Tinn, 2005, "Optimal research in financial markets with heterogeneous private information; a rational expectations model," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 6, Sep.
• Paola Zerilli, 2005, "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 76, Sep.
• Lean Hooi Hooi & Wong Wing Keung & Russell Smyth, 2005, "Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach," Monash Economics Working Papers, Monash University, Department of Economics, number 16/05, Sep.
• Don U.A. Galagedera & Robert D. Brooks, 2005, "Is systematic downside beta risk really priced? Evidence in emerging market data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/05, May.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-04.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 04-2005.
• William Curt Hunter & George G. Kaufman & Michael Pomerleano (ed.), 2005, "Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies," MIT Press Books, The MIT Press, number 0262582538, edition 1, ISBN: ARRAY(0x82bf5bb8), December.
• Janet Mitchell, 2005, "Financial intermediation theory and implications for the sources of value in structured finance markets," Working Paper Document, National Bank of Belgium, number 71, Jul.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11018, Jan.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2005, "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 11021, Jan.
• Ravi Jagannathan & Yong Wang, 2005, "Consumption Risk and the Cost of Equity Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 11026, Jan.
• Michelle Hanlon & Terry Shevlin, 2005, "Bank-Tax Conformity for Corporate Income: An Introduction to the Issues," NBER Working Papers, National Bureau of Economic Research, Inc, number 11067, Jan.
• John Y. Campbell & Luis Viceira, 2005, "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers, National Bureau of Economic Research, Inc, number 11119, Feb.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11134, Feb.
• Peter Hecht & Tuomo Vuolteenaho, 2005, "Explaining Returns with Cash-Flow Proxies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11169, Mar.
• Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005, "Systemic Risk and Hedge Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 11200, Mar.
• Claude B. Erb & Campbell R. Harvey, 2005, "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 11222, Mar.
• Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005, "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 11243, Apr.
• Murillo Campello & Long Chen & Lu Zhang, 2005, "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 11323, May.
• Naiping Lu & Lu Zhang, 2005, "The Value Spread as a Predictor of Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11326, May.
• Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005, "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 11380, May.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11389, Jun.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005, "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11413, Jun.
• Anna Pavlova & Roberto Rigobon, 2005, "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11440, Jun.
• Laurent E. Calvet & Adlai J. Fisher, 2005, "Multifrequency News and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11441, Jun.
• Anna Obizhaeva & Jiang Wang, 2005, "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 11444, Jun.
• Alan J. Auerbach & Kevin A. Hassett, 2005, "The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study," NBER Working Papers, National Bureau of Economic Research, Inc, number 11449, Jul.
• Evgeny Lyandres & Le Sun & Lu Zhang, 2005, "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers, National Bureau of Economic Research, Inc, number 11459, Jul.
• Sydney C. Ludvigson & Serena Ng, 2005, "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 11477, Jul.
• Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005, "Momentum Profits and Macroeconomic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11480, Jul.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 11488, Jul.
• Leonid Kogan & Dmitry Livdan & Amir Yaron, 2005, "Futures Prices in a Production Economy with Investment Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11509, Aug.
• Martin Lettau & Sydney C. Ludvigson, 2005, "Euler Equation Errors," NBER Working Papers, National Bureau of Economic Research, Inc, number 11606, Sep.
• Philipp Hartmann & Stefan Straetmans & Casper G. De Vries, 2005, "Banking System Stability: A Cross-Atlantic Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 11698, Oct.
• Sydeny C. Ludvigson & Serena Ng, 2005, "Macro Factors in Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 11703, Oct.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2005, "Institutional Investors and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11722, Nov.
• Sean D. Campbell & Francis X. Diebold, 2005, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11736, Nov.
• Clemens Sialm, 2005, "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11756, Nov.
• Tano Santos & Pietro Veronesi, 2005, "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 11816, Dec.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11824, Dec.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Myth of Long-Horizon Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 11841, Dec.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005, "Demand-Based Option Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 11843, Dec.
• Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2005, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 11851, Dec.
• Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005, "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers, National Bureau of Economic Research, Inc, number 11864, Dec.
• Andrew Ang & Joseph Chen, 2005, "CAPM Over the Long Run: 1926-2001," NBER Working Papers, National Bureau of Economic Research, Inc, number 11903, Dec.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005, "International Stock Return Comovements," NBER Working Papers, National Bureau of Economic Research, Inc, number 11906, Dec.
• John A. Tatom, 2005, "Is Your Bubble About to Burst?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2005-WP-02, Oct.
• Klaus Abbink & Bettina Rockenbach, 2005, "Option Pricing by Students and Professional Traders: A Behavioural Investigation," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2005-12, Jul.
• Ping Zhang, 2005, "Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2005-20, Oct.
• Alonso Bonis, Susana & Vallelado González, Eleuterio & Henriques Xavier, José Manuel, 2005, "La flexibilidad como creadora de valor. El caso de una explotación forestal en Portugal," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas"., Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto, number 2005-11, Dec.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1398, Jan.
• Mariana Mazzucato & Massimiliano Tancioni, 2005, "Innovation and Idiosyncratic Risk: an Industry & Firm Level Analysis," Open Discussion Papers in Economics, The Open University, Faculty of Social Sciences, Department of Economics, number 50, Nov.
• Yusuke Osaki, 2005, "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-13, May.
• Masamitsu Ohnishi & Yusuke Osaki, 2005, "The Monotonicity of Asset Prices with Changes in Risk," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-14, May.
• Miguel A. Ferreira, 2005, "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 126-168.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 120, issue 2, pages 639-668.
• 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.