Research classified by Journal of Economic Literature (JEL) codes

2003

• Bisin, Alberto & Acharya, Viral, 2003, "Optimal Financial Market Integration and Security Design," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3852, Mar.
• Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003, "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3900, May.
• Vredin, Anders & Söderlind, Paul & Söderström, Ulf, 2003, "Taylor Rules and the Predictability of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3934, May.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2003, "Stock Prices and IPO Waves," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4002, Aug.
• Timmermann, Allan & Kapur, Sandeep, 2003, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4038, Sep.
• Basak, Suleyman & Croitoru, Benjamin, 2003, "International Good Market Segmentation and Financial Market Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4060, Sep.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4067, Sep.
• Söderlind, Paul & Giordani, Paolo, 2003, "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4068, Sep.
• Wickens, Michael R., 2003, "Microeconomic Sources of Equity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4070, Sep.
• Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003, "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4098, Oct.
• Campbell, John Y & Viceira, Luis & Rodriguez, Jorge & Chacko, George, 2003, "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4160, Dec.
• Madsen, J. B. & Milas, C., 2003, "The price-dividend relationship in inflationary and deflationary regimes," Working Papers, Department of Economics, City St George's, University of London, number 03/05.
• Ning Sun & Zaifu Yang, 2003, "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 51-71, May.
• Chenghu Ma, 2003, "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 401-426, November.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2003, "Corporate Governance and the Home Bias," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 1, pages 87-110, March.
• Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 3, pages 635-672, September.
• Franklin Allen & Stephen Morris & Hyun Song Shin, 2003, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1406, Mar.
• Michael R. Powers & David M. Schizer & Martin Shubik, 2003, "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1413, Apr.
• John Geanakoplos, 2003, "The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1429, Jul.
• Stephen Morris & Hyun Song Shin, 2003, "Liquidity Black Holes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1434, Sep.
• John Geanakoplos & Felix Kubler, 2003, "Dollar Denominated Debt and Optimal Security Design," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1449, Dec.
• Entorf, Horst & Jamin, Gösta, 2003, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 20146, Dec.
• Entorf, Horst & Jamin, Gösta, 2008, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77453.
• Fabrice Hervé, 2003, "La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 3, pages 41-77, September.
• Gangadhar Darbha & Sudipta Dutta Roy & Vardhana Pawaskar, 2003, "Term Structure of Interest Rates in India: Issues in Estimation and Pricing," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 1, pages 1-19, January.
• Cazavan-Jeny, Anne, 2003, "Value-relevance of expensed and capitalized intangibles - a French survey," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03022, Jul.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2001," IESE Research Papers, IESE Business School, number D/485, Jan.
• Fernandez, Pablo, 2003, "Three residual income valuation methods and discounted cash flow valuation," IESE Research Papers, IESE Business School, number D/487, Jan.
• Fernandez, Pablo, 2003, "Levered and unlevered Beta," IESE Research Papers, IESE Business School, number D/488, Jan.
• Estrada, Javier, 2003, "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers, IESE Business School, number D/491, Feb.
• Estada, Javier, 2003, "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers, IESE Business School, number D/492, Feb.
• Estrada, Javier, 2003, "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers, IESE Business School, number D/493, Feb.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2002," IESE Research Papers, IESE Business School, number D/501, Apr.
• Fernandez, Pablo, 2003, "How to value a seasonal company by discounting cash flows," IESE Research Papers, IESE Business School, number D/511, Jul.
• Fernandez, Pablo & Villanueva, Alvaro, 2003, "Shareholder value creators and shareholder value destroyers in Europe. Year 2002," IESE Research Papers, IESE Business School, number D/514, Aug.
• Fernandez, Pablo, 2003, "Equivalence of ten different methods for valuing companies by cash flow discounting," IESE Research Papers, IESE Business School, number D/524, Nov.
• Fernandez, Pablo, 2003, "75 common and uncommon errors in company valuation," IESE Research Papers, IESE Business School, number Db/515, Aug.
• Stracca, Livio & Fielding, David, 2003, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series, European Central Bank, number 203, Jan.
• Ang, Andrew & Maddaloni, Angela, 2003, "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series, European Central Bank, number 208, Jan.
• Engel, Charles & West, Kenneth D., 2003, "Exchange rates and fundamentals," Working Paper Series, European Central Bank, number 248, Aug.
• Barnett, William A., 2003, "Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous," Working Paper Series, European Central Bank, number 260, Sep.
• Vestin, David & Hördahl, Peter, 2003, "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series, European Central Bank, number 274, Sep.
• Kenc, Turalay & John Driffill & Martin Sola, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 119, Jun.
• Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 177, Jun.
• To, Thuy Duong & Carl Chiarella, 2003, "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 205, Jun.
• Tudela, Merxe & Garry Young, 2003, "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 207, Jun.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003, "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, volume 113, issue 486, pages 1-25, March.
• Martin D. D. Evans, 2003, "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 345-389, April.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Hyun Song Shin, 2003, "Disclosures and Asset Returns," Econometrica, Econometric Society, volume 71, issue 1, pages 105-133, January.
• Yacine Ait--Sahalia & Per A. Mykland, 2003, "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, volume 71, issue 2, pages 483-549, March.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11-12, pages 2095-2114, September.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2095-2114, DOI: 10.1016/S0165-1889(02)00117-3.
• Guidolin, Massimo & Timmermann, Allan, 2003, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 5, pages 717-769, March.
• Lioui, Abraham & Poncet, Patrice, 2003, "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1163-1180, May.
• Epstein, Larry G. & Miao, Jianjun, 2003, "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1253-1288, May.
• Paul, Satya & Mallik, Girijasankar, 2003, "Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience," Economic Analysis and Policy, Elsevier, volume 33, issue 1, pages 23-30, March.
• Jouini, Elyes & Napp, Clotilde, 2003, "A class of models satisfying a dynamical version of the CAPM," Economics Letters, Elsevier, volume 79, issue 3, pages 299-304, June.
• Zaffaroni, Paolo & d'Italia, Banca, 2003, "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 199-258, August.
• Ait-Sahalia, Yacine & Duarte, Jefferson, 2003, "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 9-47.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-49, Aug.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Valuing Euro rating-triggered step-up telecom bonds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-50, Aug.
• Houweling, P. & Vorst, A.C.F., 2003, "Pricing default swaps: empirical evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-51, Aug.
• Post, G.T., 2003, "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," 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-2003-017-F&A, Mar.
• Post, G.T., 2003, "Asset prices and omitted moments; A stochastic dominance analysis of market 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-2003-017-F&A, Jun.
• Roosenboom, P.G.J. & van der Goot, T., 2003, "Takeover defenses and IPO firm value in the Netherlands," 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-2003-049-ORG, Jun.
• Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003, "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp54, May.
• Dušan Isakov & Frédéric Sonney, 2003, "Are practitioners right? On the relative importance of industrial factors in international stock returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp72, Feb.
• Pascal BOTTERON & Jean-François CASANOVA, 2003, "Start-ups Defined as Portfolios of Embedded Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp85, May.
• Kjell G. Nyborg & Ilya A. Strebulaev, 2003, "Multiple Unit Auctions and Short Squeezes," Working Papers, Fondazione Eni Enrico Mattei, number 2003.27, Mar.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Charles Engel & Kenneth D. West, 2003, "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Glenn D. Rudebusch & Tao Wu, 2003, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-17, Dec, DOI: 10.24148/wp2003-17.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports, Federal Reserve Bank of New York, number 174.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 110.
• Harrison Hong & Jeremy C. Stein, 2003, "Simple Forecasts and Paradigm Shifts," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2007.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2016.
• Owen A. Lamont & Jeremy C. Stein, 2003, "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2027.
• Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003, "Inventory Information," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-33, Mar.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00265674.
• Jacques Olivier & José M. Marin, 2003, "On the impact of leverage constraints on asset prices and trading volume," Post-Print, HAL, number hal-00460077, Jun, DOI: 10.1007/s101080300063.
• Fabrice Hervé, 2003, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print, HAL, number hal-00488374.
• Elyès Jouini & Clotilde Napp, 2003, "A class of models satisfying a dynamical version of the CAPM," Post-Print, HAL, number halshs-00167159.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Post-Print, HAL, number halshs-00265674.
• Niehaus, Frank, 2003, "Heterogeneous Preferences and the Representative Investor," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-291, Dec.
• Christiansen, Charlotte & Nielsen, Helena Skyt, 2003, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-9, May.
• Ericsson, Johan & Karlsson, Sune, 2003, "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 524, Apr, revised 12 Feb 2004.
• Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Working Paper Series, Research Institute of Industrial Economics, number 588, Jan.
• Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003, "Taylor Rules and the Predictability of Interest Rates," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 147, Apr.
• Ericsson, Jan & Reneby, Joel, 2003, "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research, number 15, Jun.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series, Institute for Financial Research, number 18, Aug.
• Giordani, Paolo & Söderlind, Paul, 2003, "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series, Institute for Financial Research, number 19, Aug.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Research Papers in Economics, Stockholm University, Department of Economics, number 2003:1, Jan.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Scholarly Articles, Harvard University Department of Economics, number 30747193.
• Viceira, Luis & Campbell, John & White, Joshua, 2003, "Foreign Currency for Long-Term Investors," Scholarly Articles, Harvard University Department of Economics, number 3128708.
• Campbell, John & Taksler, Glen, 2003, "Equity Volatility and Corporate Bond Yields," Scholarly Articles, Harvard University Department of Economics, number 3153307.
• Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003, "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles, Harvard University Department of Economics, number 3163263.
• Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
• Arie Melnik & Doron Nissim, 2003, "Debt issue costs and issue characteristics in the Eurobond market," ICER Working Papers, ICER - International Centre for Economic Research, number 09-2003, Mar.
• Claudio Mattalia, 2003, "Existence of solutions and asset pricing bubbles in general equilibrium models," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 02-2003, Jan.
• Gollier, Christian & Schlee, Edward, 2003, "Information and the Equity Premium," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 251, revised 2011.
• Michel Normandin, 2003, "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-08, Nov.
• J. Carlos Gómez Sala & Jorge Yzaguirre, 2003, "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 491-531, September.
• Oliver Kubertin & Michael H. Breitner, 2003, "WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options," IWI Discussion Paper Series, Institut für Wirtschaftsinformatik, Universität Hannover, number 5, May.
• Amit Goyal & Ivo Welch, 2003, "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, volume 49, issue 5, pages 639-654, May, DOI: 10.1287/mnsc.49.5.639.15149.
• Felipe Zurita, 2003, "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 725-727.
• Carlos Forner & Joaquín Marhuenda, 2003, "El Efecto Momentum En El Mercado Español De Acciones," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-14, Jul.
• Merz, Monika & Yashiv, Eran, 2003, "Labor and the Market Value of the Firm," IZA Discussion Papers, Institute of Labor Economics (IZA), number 965, Dec.
• Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003, "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 2, pages 213-223, October, DOI: 10.1023/A:1026137931041.
• Tom Dahlstr–:m & Pierre Mella-Barral, 2003, "Corporate Walkout Decisions and the Value of Default," Review of Finance, Springer, volume 7, issue 3, pages 325-360.
• Takashi Kamihigashi, 2003, "Necessity of the Transversality Condition for Stochastic Models with CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 137, May.
• Zsembery, Levente, 2003, "A volatilitás előrejelzése és a visszaszámított modellek
  [Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 519-542.
• Jakob B. Madsen, 2003, "The Equity Risk Premium and the Required Share Returns in a Tobin’s q Model," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-10, Sep.
• Jakob B. Madsen, 2003, "The Macroeconomics of Share Prices in the Medium Term and in the Long Run," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-11, Sep.
• Jakob B. Madsen, 2003, "The Dynamic Interaction between Equity Prices and Supply Shocks," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-12, Sep.
• Frank Hansen, 2003, "A General Theory of Decision Making," Discussion Papers, University of Copenhagen. Department of Economics, number 03-38, Oct, revised Aug 2005.
• Frank Hansen, 2003, "A General Theory of Decision Making," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/02, Oct.
• Chiaki Hara & Atsushi Kajii, 2003, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 577, Nov.
• Gordon, Stephen & St-Amour, Pascal, 2003, "Asset Returns and State-Dependent Risk Preferences," Cahiers de recherche, CIRPEE, number 0316.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0306.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, GREEN, number 0306.
• Basak, Suleyman & Pavlova, Anna, 2003, "A Dynamic Model With Import Quota Constraints," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4230-02, Jan.
• Basak, Suleyman & Pavlova, Anna, 2003, "Monopoly Power And The Firm'S Valuation: A Dynamic Analysis Of Short Versus Long-Term Policies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4234-01, Jan.
• Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003, "The Price Impact and Survival of Irrational Traders," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4293-03, Mar.
• Lewellen, Jonathan & Nagel, Stefan, 2003, "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4427-03, Sep.
• Jean-Pierre Galavielle, 2003, "Y a-t-il une théorie des marchés financiers ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number r04029, Dec.
• Don U.A. Galagedera & Roland Shami, 2003, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/03, Dec.
• George Woodward & Heather Anderson, 2003, "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/03, Apr.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-08.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2003.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2003.
• Harrison Hong & Jeremy C. Stein, 2003, "Simple Forecasts and Paradigm Shifts," NBER Working Papers, National Bureau of Economic Research, Inc, number 10013, Oct.
• Andrew Ang & Jun Liu, 2003, "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10042, Oct.
• Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003, "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10111, Nov.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Price is (Almost) Right," NBER Working Papers, National Bureau of Economic Research, Inc, number 10131, Dec.
• Steven D. Levitt, 2003, "How Do Markets Function? An Empirical Analysis of Gambling on the National Football League," NBER Working Papers, National Bureau of Economic Research, Inc, number 9422, Jan.
• William N. Goetzmann & Ning Zhu, 2003, "Rain or Shine: Where is the Weather Effect?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9465, Feb.
• Steven R. Grenadier, 2003, "An Equilibrium Analysis of Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 9475, Feb.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," NBER Working Papers, National Bureau of Economic Research, Inc, number 9509, Feb.
• Geert Bekaert & Campbell R. Harvey, 2003, "Market Integration and Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 9510, Feb.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk and Cross-Sectional Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9538, Mar.
• Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 2003, "Analysts' Conflict of Interest and Biases in Earnings Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 9544, Mar.
• John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003, "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 9547, Mar.
• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9548, Mar.
• Martin Lettau & Sydney Ludvigson, 2003, "Expected Returns and Expected Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 9605, Apr.
• Yacine Ait-Sahalia & Per A. Mykland, 2003, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 9611, Apr.
• Richard J. Rendleman, Jr. & Douglas A. Shackelford, 2003, "Diversification and the Taxation of Capital Gains and Losses," NBER Working Papers, National Bureau of Economic Research, Inc, number 9674, May.
• Andrew Ang & Angela Maddaloni, 2003, "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 9677, May.
• James Dow & Gary Gorton & Arvind Krishnamurthy, 2003, "Equilibrium Asset Prices Under Imperfect Corporate Control," NBER Working Papers, National Bureau of Economic Research, Inc, number 9758, Jun.
• Steven Kaplan & Antoinette Schoar, 2003, "Private Equity Performance: Returns, Persistence and Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 9807, Jun.
• Martin Lettau & Sydney Ludvigson, 2003, "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers, National Bureau of Economic Research, Inc, number 9848, Jul.
• Lubos Pastor & Pietro Veronesi, 2003, "Stock Prices and IPO Waves," NBER Working Papers, National Bureau of Economic Research, Inc, number 9858, Jul.
• H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003, "Inventory Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 9893, Aug.
• Patric H. Hendershott & Bryan D. MacGregor, 2003, "Investor Rationality: Evidence from UK Property Capitalization Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 9894, Aug.
• Yacine Ait-Sahalia, 2003, "Disentangling Volatility from Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 9915, Aug.
• Jonathan Lewellen & Stefan Nagel, 2003, "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers, National Bureau of Economic Research, Inc, number 9974, Sep.
• Raj Chetty, 2003, "A New Method of Estimating Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 9988, Sep.
• David Feldman, 2003, "The Term Structure of Interest Rates: Bounded or Falling?," Review of Finance, European Finance Association, volume 7, issue 1, pages 103-113.
• Markus Leippold & Liuren Wu, 2003, "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, volume 7, issue 1, pages 47-73.
• Marco Schulmerich & Siegfried Trautmann, 2003, "Local Expected Shortfall-Hedging in Discrete Time," Review of Finance, European Finance Association, volume 7, issue 1, pages 75-102.