Research classified by Journal of Economic Literature (JEL) codes

2005

• 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.
• Péter Kondor, 2005, "Rational Trader Risk," FMG Discussion Papers, Financial Markets Group, number dp533, Apr.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2077.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2082.
• Ulrich Hege & Pierre Mella-Barral, 2005, "Repeated Dilution of Diffusely Held Debt," Post-Print, HAL, number hal-00459921, May, DOI: 10.1086/429643.
• Roland Gillet & Ariane Szafarz, 2005, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Post-Print, HAL, number hal-03928565.
• Dominique Guegan, 2005, "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL, number halshs-00179343.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers, HAL, number halshs-00590775, Aug.
• Edouard Challe & Xavier Ragot, 2005, "Bubbles and self fullfilling crisis," Sciences Po Economics Publications (main), HAL, number hal-03462262, Jan.
• Francesco Franzoni & Tobias Adrian, 2005, "Learning about Beta: Time-varying factor loadings, expected returns, and the Conditional CAPM," Working Papers, HAL, number hal-00587579, Sep.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Edouard Challe & Xavier Ragot, 2005, "Bubbles and self fullfilling crisis," Working Papers, HAL, number hal-03462262, Jan.
• Nicolas Coeurdacier & Stéphane Guibaud, 2005, "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers, HAL, number halshs-00590775, Aug.
• Christiansen, Charlotte, 2005, "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2004-01, Sep.
• Christiansen, Charlotte, 2005, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-03, Sep.
• Christiansen, Charlotte & Ranaldo, Angelo, 2005, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-05, Sep.
• Hjalmarsson, Erik, 2005, "On the Predictability of Global Stock Returns," Working Papers in Economics, University of Gothenburg, Department of Economics, number 161, Feb.
• Gaspar, Raquel M. & Slinko, Irina, 2005, "Correlation Between Intensity and Recovery in Credit Risk Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 614, Nov.
• Gaspar, Raquel M. & Schmidt, Thorsten, 2005, "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 616, Dec.
• Björk, Tomas & Biagini, Francesca, 2005, "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 619, Nov.
• Lundtofte, Frederik, 2005, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers, Lund University, Department of Economics, number 2005:17, Feb.
• Lundtofte, Frederik, 2005, "Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?," Working Papers, Lund University, Department of Economics, number 2005:18, Feb.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2005, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/13, Dec.
• Cooper, Ian A. & Nyborg, Kjell G., 2005, "The value of tax shields IS equal to the present value of tax shields," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/14, Dec.
• Cooper, Ian A. & Nyborg, Kjell G., 2005, "Tax-adjusted discount rates with investor taxes and risky debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/15, Dec, revised 20 Sep 2007.
• Amilon, Henrik, 2005, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 177, Jan.
• Söderlind, Paul, 2005, "C-CAPM without Ex Post Data," SIFR Research Report Series, Institute for Financial Research, number 39, Dec.
• Quoreshi, Shahiduzzaman, 2005, "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 655, Apr.
• Quoreshi, Shahiduzzaman, 2005, "Modelling High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 656, Apr.
• Zhijun Zhao & Yue Ma & Yuhui Liu, 2005, "Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium," Working Papers, Hong Kong Institute for Monetary Research, number 142005, Aug.
• Mladen Mirko Tepuš, 2005, "An Analysis of Housing Finance Models in the Republic of Croatia," Surveys, The Croatian National Bank, Croatia, number 12, Apr.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Scholarly Articles, Harvard University Department of Economics, number 27867240.
• Karoline Terán Matamoros & Oscar Molina Tejerina, 2005, "Simulación eficiente del valor de riesgo de un portafolio de acciones del IPSA: Un análisis de componentes principales," Investigación & Desarrollo, Universidad Privada Boliviana, number 0205.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-01, Nov.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-12, Nov.
• Elisa Luciano, 2005, "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 12-2005, May.
• Elisa Luciano & Wim Schoutens, 2005, "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2005, Apr.
• Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005, "Predictability and Habit Persistence," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 339, Jan.
• Belén Nieto & Rosa Rodriguez, 2005, "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, volume 29, issue 1, pages 33-71, January.
• Elena Márquez de la Cruz, 2005, "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, volume 29, issue 3, pages 455-481, September.
• Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005, "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, volume 29, issue 3, pages 483-523, September.
• Carlo Favero, 2005, "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 291.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps," Economics Series, Institute for Advanced Studies, number 164, Jan.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options," Economics Series, Institute for Advanced Studies, number 165, Jan.
• Jaeun Shin, 2005, "Stock Returns and Volatility in Emerging Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 4, issue 1, pages 31-43, April.
• Richard Podpiera & Tomás Dvorák, 2005, "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers, International Monetary Fund, number 2005/182, Sep.
• Humberto Banda Ortiz & Orestes Gámez Díaz, 2005, "Aproximación A La Valoración De Opciones Bajo El Análisis De La Teoría De Juegos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 1, pages 33-40, Marzo 200.
• Venegas-Martínez, Francisco, 2005, "De Bachelier a Merton: 100 años del movimiento Browniano en economía y finanzas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 1, pages 9-64, primer se.
• Giovanni Cespa, 2005, "Giffen goods and market making," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 25, issue 4, pages 983-997, June, DOI: 10.1007/s00199-003-0461-5.
• Giulio Bottazzi & Giovanna Devetag, 2005, "Expectations Structure in Asset Pricing Experiments," Lecture Notes in Economics and Mathematical Systems, Springer, in: Thomas Lux & Eleni Samanidou & Stefan Reitz, "Nonlinear Dynamics and Heterogeneous Interacting Agents", DOI: 10.1007/3-540-27296-8_2.
• Partha S. Mohanram, 2005, "Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis," Review of Accounting Studies, Springer, volume 10, issue 2, pages 133-170, September, DOI: 10.1007/s11142-005-1526-4.
• Guohua Jiang & Charles M. C. Lee & Yi Zhang, 2005, "Information Uncertainty and Expected Returns," Review of Accounting Studies, Springer, volume 10, issue 2, pages 185-221, September, DOI: 10.1007/s11142-005-1528-2.
• Paul Schultz, 2005, "Discussion of “Information Uncertainty and Expected Returns”," Review of Accounting Studies, Springer, volume 10, issue 2, pages 223-226, September, DOI: 10.1007/s11142-005-1529-1.
• Steven J. Monahan, 2005, "Conservatism, Growth and the Role of Accounting Numbers in the Fundamental Analysis Process," Review of Accounting Studies, Springer, volume 10, issue 2, pages 227-260, September, DOI: 10.1007/s11142-005-1530-8.
• Xiao-Jun Zhang, 2005, "Discussion of “Conservatism, Growth and the Role of Accounting Numbers in Fundamental Analysis Process”," Review of Accounting Studies, Springer, volume 10, issue 2, pages 261-267, September, DOI: 10.1007/s11142-005-1531-7.
• James A. Ohlson, 2005, "On Accounting-Based Valuation Formulae," Review of Accounting Studies, Springer, volume 10, issue 2, pages 323-347, September, DOI: 10.1007/s11142-005-1534-4.
• James A. Ohlson & Beate E. Juettner-Nauroth, 2005, "Expected EPS and EPS Growth as Determinantsof Value," Review of Accounting Studies, Springer, volume 10, issue 2, pages 349-365, September, DOI: 10.1007/s11142-005-1535-3.
• Peter F. Pope & Pengguo Wang, 2005, "Earnings Components, Accounting Bias and Equity Valuation," Review of Accounting Studies, Springer, volume 10, issue 4, pages 387-407, December, DOI: 10.1007/s11142-005-4207-4.
• Jeffrey L. Callen & Dan Segal, 2005, "Empirical Tests of the Feltham–Ohlson (1995) Model," Review of Accounting Studies, Springer, volume 10, issue 4, pages 409-429, December, DOI: 10.1007/s11142-005-4208-3.
• 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.