Research classified by Journal of Economic Literature (JEL) codes

2004

• Édouard Challe, 2004, "Une décomposition du cycle boursier," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 395-405.
• Sophie Pardo & Robert Kast & André Lapied, 2004, "Construction d'un portefeuille sous-jacent virtuel," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 407-418.
• Hara, C. & Christoph Kuzmics, 2004, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0452, Jul.
• Mc Quinn, Kieran, 2004, "A Model of the Irish Housing Sector," Research Technical Papers, Central Bank of Ireland, number 1/RT/04, Apr.
• Martine Quinzii & Michael Magill, 2004, "Which Improves Welfare More: Nominal Or Indexed Bond?," Working Papers, University of California, Davis, Department of Economics, number 230, Jul.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2004, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt9878h0kn, Feb.
• Rodolfo Apreda, 2004, "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 256, Feb.
• Trino-Manuel Niguez & Javier Perote, 2004, "Forecasting the density of asset returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 479, Oct.
• Evzen Kocenda & Lubos Briatka, 2004, "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp235, Sep.
• M. Hashem Pesaran, 2000, "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," CESifo Working Paper Series, CESifo, number 346.
• Sjur Didrik Flåm, 2002, "Pooling, Pricing and Trading of Risks," CESifo Working Paper Series, CESifo, number 672.
• Michael Berlemann, 2004, "Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 57, issue 16, pages 21-29, August.
• Alexey Medvedev, 2008, "Implied Volatility at Expiration," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-04, Jan.
• Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2010, "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-07, Mar.
• Pascal St-Amour, 2004, "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers, CIRANO, number 2004s-11, Mar.
• Peter Christoffersen & Silvia Gonçalves, 2004, "Estimation Risk in Financial Risk Management," CIRANO Working Papers, CIRANO, number 2004s-15, Apr.
• Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004, "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers, CIRANO, number 2004s-54, Nov.
• Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004, "The Determinants of Credit Default Swap Premia," CIRANO Working Papers, CIRANO, number 2004s-55, Nov.
• Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004, "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers, CIRANO, number 2004s-56, Nov.
• Narayana R. Kocherlakota & Luigi Pistaferri, 2004, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 122247000000000508, Sep.
• Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
• Guillaume Plantin & Bruno Biais & Thomas Mariotti & Jean-Charles Rochet, 2004, "Dynamic Security Design," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2005-E5, Nov.
• Andr√©s Zambrano & Hern√°n Jaramillo Salazar & Clemente Forero, 2004, "Recuento Cr√≠tico de la Literatura sobre los Impactos de la Investigaci√≥n y sus Indicadores," Borradores de Investigación, Universidad del Rosario, number 3420, Nov.
• Alfonso Pedraza Martínez, 2004, "Impacto de las catástrofes en el valor de las acciones. El caso latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Cecilia Maya, 2004, "Valuation of financial assets using montecarlo: when the world is not so normal," Revista de Economía del Rosario, Universidad del Rosario.
• Sebastian Edwards, 2004, "The Economics of Latin American Art: Creativity Patterns and Rates of Return," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 1-35.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "EVA(c) Made Simple: Is it Possible?," Proyecciones Financieras y Valoración, Master Consultores, number 1895, Feb.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Consistency in Chocolate. A Fresh Look at Copeland‚Äôs Hershey Foods & Co Case," Proyecciones Financieras y Valoración, Master Consultores, number 2191, Jan.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Hershey Chocolate in Two Flavors: Kd and Ku," Proyecciones Financieras y Valoración, Master Consultores, number 2788, Feb.
• Ignacio V√©lez-Pareja, 2004, "Modeling the Financial Impact of Regulatory Policy: Practical Recommendations and Suggestions. The Case of World Bank," Proyecciones Financieras y Valoración, Master Consultores, number 3228, Aug.
• Ignacio V√©lez-Pareja, 2004, "Tasas de inter√©s efectivas y nominales: el calvario de los estudiantes de finanzas," Proyecciones Financieras y Valoración, Master Consultores, number 3541, Feb.
• Ignacio V√©lez-Pareja, 2004, "The Correct Definition for the Cash Flows to Value a Firm (Free Cash Flow and Cash Flow to Equity)," Proyecciones Financieras y Valoración, Master Consultores, number 3577, Aug.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "Timanco S. A.: Impuestos por pagar, p√©rdidas amortizadas, deuda en divisas, renta presuntiva y ajustes por inflaci√≥n. Su tratamiento con Flu," Proyecciones Financieras y Valoración, Master Consultores, number 3643, Jan.
• Joseph Tham & Ignacio V√©lez Pareja, 2004, "Top 9 (Unnecessary and Avoidable) Mistakes in Cash Flow Valuation," Proyecciones Financieras y Valoración, Master Consultores, number 3648, Feb.

2003

• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, volume 93, issue 2, pages 376-382, May.
• Yoshino, Joe Akira, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 2, pages 1-19, November, DOI: 10.22004/ag.econ.44000.
• Dapena, Jose Pablo, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 01, pages 1-24, May, DOI: 10.22004/ag.econ.44040.
• Milne, Frank & Neave, Edwin, 2003, "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273558, Sep, DOI: 10.22004/ag.econ.273558.
• Chambers, Robert G. & Quiggin, John, 2003, "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 150346, Oct, DOI: 10.22004/ag.econ.150346.
• Diks, C.G.H. & Weide, R. van der, 2003, "Heterogeneity as a natural source of randomness," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-05.
• Ariadna Dumitrescu, 2003, "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 591.03, Oct.
• Joseph Atta-Mensah, 2003, "Collateral and Credit Supply," Staff Working Papers, Bank of Canada, number 03-11, DOI: 10.34989/swp-2003-11.
• Miroslav Misina, 2003, "What Does the Risk-Appetite Index Measure?," Staff Working Papers, Bank of Canada, number 03-23, DOI: 10.34989/swp-2003-23.
• Michael R. King, 2003, "Income Trusts--Understanding the Issues," Staff Working Papers, Bank of Canada, number 03-25, DOI: 10.34989/swp-2003-25.
• Miroslav Misina, 2003, "Are Distorted Beliefs Too Good to be True?," Staff Working Papers, Bank of Canada, number 03-4, DOI: 10.34989/swp-2003-4.
• Michael R. King & Dan Segal, 2003, "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers, Bank of Canada, number 03-6, DOI: 10.34989/swp-2003-6.
• Antonio Díez de los Ríos & Alicia García Herrero, 2003, "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers, Banco de España, number 0317, Dec.
• Paolo Zaffaroni, 2003, "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 472, Jun.
• Monica Paiella, 2003, "Revisiting the Implications of Heterogeneity in Financial Market Participation for the C-CAPM," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 473, Jun.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• José S. Penalva, 2015, "Implications of Dynamic Trading for Insurance Markets," Working Papers, Barcelona School of Economics, number 83, Sep.
• Peter Temin & Hans-Joachim Voth, 2015, "Riding the South Sea Bubble," Working Papers, Barcelona School of Economics, number 91, Sep.
• Jeffery D Amato & Eli M Remolona, 2003, "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
• Patrick McGuire & Martijn A Schrijvers, 2003, "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
• Frank Packer & Chamaree Suthiphongchai, 2003, "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
• Anthony Richards & Mark Gugiatti, 2003, "Do Collective Action Clauses Influence Bond Yields? New Evidence from Emerging Markets," International Finance, Wiley Blackwell, volume 6, issue 3, pages 415-447, November, DOI: 10.1111/j.1367-0271.2003.00124.x.
• Alain Venditti, 2003, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," The Japanese Economic Review, Japanese Economic Association, volume 54, issue 2, pages 179-202, June, DOI: 10.1111/1468-5876.t01-1-00253.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Value Spread," Journal of Finance, American Finance Association, volume 58, issue 2, pages 609-641, April, DOI: 10.1111/1540-6261.00539.
• Peter Carr & Liuren Wu, 2003, "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, volume 58, issue 2, pages 753-777, April, DOI: 10.1111/1540-6261.00544.
• Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003, "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1393-1413, August, DOI: 10.1111/1540-6261.00571.
• Ľuboš Pástor & Veronesi Pietro, 2003, "Stock Valuation and Learning about Profitability," Journal of Finance, American Finance Association, volume 58, issue 5, pages 1749-1789, October, DOI: 10.1111/1540-6261.00587.
• John Y. Campbell & Glen B. Taksler, 2003, "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2321-2350, December, DOI: 10.1046/j.1540-6261.2003.00607.x.
• Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Merxe Tudela & Garry Young, 2003, "A Merton-model approach to assessing the default risk of UK public companies," Bank of England working papers, Bank of England, number 194, Jun.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et trading de volatilité," Revue économique, Presses de Sciences-Po, volume 54, issue 3, pages 663-673.
• Yang, J-H.S. & Satchell, S.E., 2003, "Endogenous Correlation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0321, Mar.
• Darsinos, T. & Satchell, S.E., 2003, "Bayesian Estimation of Risk-Premia in an APT Context," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0329, May.
• Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003, "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0338, Aug.
• Kelly, David L. & Steigerwald, Douglas G, 2003, "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt00n4h4mw, Aug.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Rodolfo Apreda, 2003, "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 233, Mar.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• José Pablo Dapena Fernandez, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 49-72, May.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 385-403, November.
• Oliver Linton & Enno Mammen, 2003, "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 453, May.
• Tony Berrada, 2006, "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-07, Jun.
• Frederik Lundtofte, 2006, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-23, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-05, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003, "Option Valuation with Conditional Skewness," CIRANO Working Papers, CIRANO, number 2003s-50, Aug.
• Kris Jacobs & Xiaofei Li, 2003, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers, CIRANO, number 2003s-51, Aug.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• John H Cochrane, 2003, "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive, David K. Levine, number 618897000000000762, Apr.
• John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003, "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography, UCLA Department of Economics, number 666156000000000355, Nov.
• Atsushi Kajii & Chiaki Hara, 2003, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Levine's Bibliography, UCLA Department of Economics, number 666156000000000383, Nov.
• Franklin Allen & Stephen Morris & Hyun Song Shin, 2003, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews, www.najecon.org, number 391749000000000553, Apr.
• Josep Pijoan-Mas, 2003, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Working Papers, CEMFI, number wp2003_0305.
• Alexander Campos Osorio, 2003, "El Ver: Herramienta Para La Medición De Riesgos De Mercado," Apuntes de Banca y Finanzas, Asobancaria, number 2567, Jul.
• María Ángeles Ortega & María Ángeles Sánchez & Francisco Gonzáles, 2003, "Privatization, deregulation and competition: evidence from Spain," Revista de Economía del Rosario, Universidad del Rosario.
• Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio V�squez, 2003, "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, volume 33, issue 1, pages 51-76.
• Ignacio V√©lez Pareja & Antonio Burbano P√©rez, 2003, "A Practical Guide for Consistency in Valuation: Cash Flows, Terminal Value and Cost of Capital," Proyecciones Financieras y Valoración, Master Consultores, number 1927, Dec.
• Ignacio Velez-Pareja, 2003, "Cost of Capital for Non-Traded Firms," Proyecciones Financieras y Valoración, Master Consultores, number 2205, Oct.
• Ignacio Velez-Pareja, 2003, "Valoraci√≥n de intangibles," Proyecciones Financieras y Valoración, Master Consultores, number 3745, Oct.
• Ignacio V√©lez Pareja & Joseph Tham, 2003, "¬øCoinciden EVA(R) y Utilidad Economica (UE) con los metodos de Flujo de Caja Descontado en valoracion de empresas?," Proyecciones Financieras y Valoración, Master Consultores, number 3788, Aug.
• Kamihigashi, Takashi, 2003, "Necessity of transversality conditions for stochastic problems," Journal of Economic Theory, Elsevier, volume 109, issue 1, pages 140-149, March.
• Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, volume 67, issue 1, pages 41-80, January.
• Gromb, Denis & Vayanos, Dimitri, 2003, "Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]," Journal of Financial Economics, Elsevier, volume 67, issue 3, pages 531-531, March.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Journal of Financial Economics, Elsevier, volume 68, issue 2, pages 161-199, May.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
• Ono, Yukako, 2003, "Outsourcing business services and the role of central administrative offices," Journal of Urban Economics, Elsevier, volume 53, issue 3, pages 377-395, May.
• Engstrom, Stefan, 2003, "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 463-482, September.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Robert Pollin & Dean Baker & Marc Schaberg, 2003, "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 527-558, Fall.
• G. Glenn Baigent, 2003, "Competitive Markets and Aggregate Information," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 593-606, Fall.
• Linton, Oliver & Mammen, Enno, 2003, "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2187, May.
• Olivier Scaillet., 2003, "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-29.
• Hipòlit Torró & Vicente Meneu & Enric Valor, 2003, "Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 4, pages 6-17, March, DOI: 10.1108/eb022969.
• Bali, Turan G. & Neftci, Salih N., 2003, "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, volume 10, issue 4, pages 455-477, September.
• Dybvig, Philip H. & Ross, Stephen A., 2003, "Arbitrage, state prices and portfolio theory," Handbook of the Economics of Finance, Elsevier, chapter 10, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Duffie, Darrell, 2003, "Intertemporal asset pricing theory," Handbook of the Economics of Finance, Elsevier, chapter 11, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Ferson, Wayne E., 2003, "Tests of multifactor pricing models, volatility bounds and portfolio performance," Handbook of the Economics of Finance, Elsevier, chapter 12, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Campbell, John Y., 2003, "Consumption-based asset pricing," Handbook of the Economics of Finance, Elsevier, chapter 13, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Mehra, Rajnish & Prescott, Edward C., 2003, "The equity premium in retrospect," Handbook of the Economics of Finance, Elsevier, chapter 14, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Schwert, G. William, 2003, "Anomalies and market efficiency," Handbook of the Economics of Finance, Elsevier, chapter 15, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Karolyi, G. Andrew & Stulz, Rene M., 2003, "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, Elsevier, chapter 16, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Easley, David & O'Hara, Maureen, 2003, "Microstructure and asset pricing," Handbook of the Economics of Finance, Elsevier, chapter 17, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Barberis, Nicholas & Thaler, Richard, 2003, "A survey of behavioral finance," Handbook of the Economics of Finance, Elsevier, chapter 18, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Whaley, Robert E., 2003, "Derivatives," Handbook of the Economics of Finance, Elsevier, chapter 19, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Dai, Qiang & Singleton, Kenneth J., 2003, "Fixed-income pricing," Handbook of the Economics of Finance, Elsevier, chapter 20, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2, edition 1, March.
• Caballe, Jordi & Sakovics, Jozsef, 2003, "Speculating against an overconfident market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 199-225, April.
• Head, Allen C. & Smith, Gregor W., 2003, "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, volume 59, issue 2, pages 349-366, March.
• Bams, Dennis & Wolff, Christian C. P., 2003, "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 13, issue 3, pages 211-236, July.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Soderlind, Paul, 2003, "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, volume 55, issue 4, pages 321-330.
• Fabio Canova & Gianni De Nicoló, 2003, "The Properties of the Equity Premium and the Risk-Free Rate: An Investigation Across Time and Countries," IMF Staff Papers, Palgrave Macmillan, volume 50, issue 2, pages 1-4.
• Cetin Ciner, 2003, "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 1, pages 87-102, Spring.
• Junbo Wang & Sheen Liu & Chunchi Wu, 2003, "Does Underwriter Reputation Affect the Performance of IPO Issues?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 3, pages 17-41, Fall.
• Bengi Ertuna & Metin Ercan & Vedat Akgiray, 2003, "The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 3, pages 43-55, Fall.
• Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003, "Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 13879.
• Christophe, Faugere, 2003, "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper, University Library of Munich, Germany, number 15579, Jun, revised 04 Jun 2009.
• Fleten, Stein-Erik & Näsäkkälä, Erkka, 2003, "Gas fired power plants: Investment timing, operating flexibility and abandonment," MPRA Paper, University Library of Munich, Germany, number 217, Mar, revised Jun 2006.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk And Expected Stock Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 144, Jan.
• Karine Michalon, 2003, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Revue d'Économie Financière, Programme National Persée, volume 70, issue 1, pages 253-259, DOI: 10.3406/ecofi.2003.4838.
• Christophe Boucher, 2003, "La valorisation des sociétés de la Nouvelle économie par les options réelles : vertiges et controverses d’une analogie," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 299-315, DOI: 10.3406/ecofi.2003.4885.
• Daoud Barkat Daoud, 2003, "Quelle réglementation du capital bancaire pour les pays en développement ?," Revue d'Économie Financière, Programme National Persée, volume 73, issue 4, pages 311-323, DOI: 10.3406/ecofi.2003.5024.
• Frank Milne & Edwin H. Neave, 2003, "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper, Economics Department, Queen's University, number 1082, Sep.
• Elias Tzavalis & Shijun Wang, 2003, "Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary," Working Papers, Queen Mary University of London, School of Economics and Finance, number 488, Feb.
• Mark Gugiatti & Anthony Richards, 2003, "Do Collective Action Clauses Influence Bond Yields? New Evidence from Emerging Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2003-02, Mar.
• Jaideep Bedi & Anthony Richards & Paul Tennant, 2003, "The Characteristics and Trading Behaviour of Dual-listed Companies," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2003-06, Jun.
• Carol Alexander & Dimitri Lvov, 2003, "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-03, Jan.
• Carol Alexandra & Andrew Scourse, 2003, "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-15, Dec.
• Thorsten Beck, 2003, "Stock markets, banks, and economic development:theory and evidence," EIB Papers, European Investment Bank, Economics Department, number 2/2003, Jun.
• Usha R. Mittoo & Robert W. Faff, 2003, "Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 18, pages 433-465.
• Shahin Shojai & George Feiger, 2003, "Market Credibility and Other Dietary Fads," Journal of Financial Transformation, Capco Institute, volume 7, pages 63-70.
• Damir Tokic, 2003, "Why interest rate cuts may be ineffective in the new economy," Journal of Financial Transformation, Capco Institute, volume 7, pages 13-16.
• Haim Kedar-Levy, 2003, "Technology shocks and financial bubbles," Journal of Financial Transformation, Capco Institute, volume 7, pages 53-62.
• Andrew Chen & James Conover & John Kensinger, 2003, "How can management deliver value for shareholders?," Journal of Financial Transformation, Capco Institute, volume 7, pages 93-101.
• M. Fatih Guvenen, 2003, "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 499, Mar.
• Leonardo Becchetti & Michele Bagella & Fabrizio Adriani, 2003, "Observed and 'Fundamental' Price Earning Ratios: A Comparative Analysis of High-tech Stock Evaluation in the US and in Europe," CEIS Research Paper, Tor Vergata University, CEIS, number 34, Sep.
• Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003, "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper, Tor Vergata University, CEIS, number 8, Apr.
• L. Baele, 2003, "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/189, Aug.
• Markus Glaser & Martin Weber, 2003, "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 2, pages 108-135, April.
• Sandra Peterson & Richard C. Stapleton, 2003, "The Pricing Of Options On Credit-Sensitive Bonds," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 3, pages 178-193, July.
• Volker Herrmann & Frank Richter, 2003, "Pricing With Performance-Controlled Multiples," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 3, pages 194-219, July.
• Chia-Hsuan Yeh, 2003, "Tick Size and Market Performance," Computing in Economics and Finance 2003, Society for Computational Economics, number 112, Aug.
• Thomas Lux, 2003, "The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting," Computing in Economics and Finance 2003, Society for Computational Economics, number 14, Aug.
• Leonardo Souza & Gustavo Raposo, 2003, "Valuing Interest Rates Derivatives," Computing in Economics and Finance 2003, Society for Computational Economics, number 179, Aug.
• Turalay Kenc & Sel Dibooglu, 2003, "How does the spirit of capitalism affect stock market prices in a small-open economy," Computing in Economics and Finance 2003, Society for Computational Economics, number 196, Aug.
• Christopher Rude, 2003, "Security Prices as Probabilities," Computing in Economics and Finance 2003, Society for Computational Economics, number 198, Aug.
• Tao Wu & Glenn Rudebusch, 2003, "Macroeconomics and the Yield Curve," Computing in Economics and Finance 2003, Society for Computational Economics, number 206, Aug.
• Eva Carceles-Poveda & Arpad Abraham, 2003, "Endogenous Trading Constraints in Asset Markets," Computing in Economics and Finance 2003, Society for Computational Economics, number 211, Aug.
• Emre Berk & Ulku Gurler, 2003, "On Optimal Dynamic Pricing of Perishable Assets with Menu Costs - Monotone Price Changes," Computing in Economics and Finance 2003, Society for Computational Economics, number 218, Aug.
• Eva Carceles-Poveda, 2003, "Capital Ownership under Market Incompleteness: Does it matter?," Computing in Economics and Finance 2003, Society for Computational Economics, number 228, Aug.
• Stefan Weber & Kay Giesecke, 2003, "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003, Society for Computational Economics, number 246, Aug.
• Kay Giesecke, 2003, "Successive Correlated Defaults: Pricing Trends and Simulation," Computing in Economics and Finance 2003, Society for Computational Economics, number 247, Aug.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003, "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003, Society for Computational Economics, number 252, Aug.
• Martin Sola & John Driffil & Turalay Kenc, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Computing in Economics and Finance 2003, Society for Computational Economics, number 65, Aug.
• Frank Westerhoff, 2003, "Multi-Asset Market Dynamics," Computing in Economics and Finance 2003, Society for Computational Economics, number 88, Aug.
• Giovanni Cespa, 2003, "A Comparison of Stock Market Mechanism," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 94, Apr.
• Giovanni Cespa, 2003, "Giffen Goods and Market Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 97, May.
• Rolando F. Peláez, 2003, "Ten-year forecasts of real stock price changes," Empirical Economics, Springer, volume 28, issue 2, pages 417-429, April, DOI: 10.1007/s001810200139.
• Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov, 2003, "Random step functions model for interest rates," Finance and Stochastics, Springer, volume 7, issue 1, pages 123-143.
• Kyung-Ha Cho, 2003, "Continuous auctions and insider trading: uniqueness and risk aversion," Finance and Stochastics, Springer, volume 7, issue 1, pages 47-71.
• Eduardo L. Giménez, 2003, "Complete and incomplete markets with short-sale constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 1, pages 195-204, January, DOI: 10.1007/s00199-001-0244-9.
• Ho-Mou Wu & Wen-Chung Guo, 2003, "Speculative trading with rational beliefs and endogenous uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 2, pages 263-292, March, DOI: 10.1007/s00199-002-0303-x.
• Danthine, Jean-Pierre & Donaldson, John B & Giannikos, Chrisos & Guirguis, Hany, 2003, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3697, Jan.
• Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3749, Feb.
• Koren, Miklós & Szeidl, Adam, 2003, "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3795, Feb.
• Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3832, Mar.