Research classified by Journal of Economic Literature (JEL) codes

2004

• Al-Rjoub, S. & Hassan, M.K., 2004, "Transaction Cost and the Small Stock Puzzle: The Impact of Outliers in the NYSE, 1970-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 3, pages 103-114.
• Maghyereh, A., 2004, "Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 27-40.
• Fernandez, Pablo, 2004, "Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1992-2003," IESE Research Papers, IESE Business School, number D/541, Mar.
• Fernandez, Pablo, 2004, "Value of tax shields and the risk of the net increase of debt, The. Year 2004," IESE Research Papers, IESE Business School, number D/544, Mar.
• Fernandez, Pablo & Reinoso, Laura, 2004, "Shareholder value creators in the S&P 500: Year 2003," IESE Research Papers, IESE Business School, number D/545, Mar.
• Fernandez, Pablo & Villanueva, Alvaro, 2004, "Shareholder value creation in Europe. Eurostoxx 50: 1997-2003," IESE Research Papers, IESE Business School, number D/547, Mar.
• Fernandez, Pablo, 2004, "On the instability of betas: The case of Spain," IESE Research Papers, IESE Business School, number D/548, Mar.
• Fernandez, Pablo, 2004, "Equivalence of ten different discounted cash flow valuation methods," IESE Research Papers, IESE Business School, number D/549, Mar.
• Fernandez, Pablo, 2004, "80 common and uncommon errors in company valuation," IESE Research Papers, IESE Business School, number D/550, Mar.
• Fernandez, Pablo, 2004, "Are calculated betas good for anything?," IESE Research Papers, IESE Business School, number D/555, Apr.
• Fernandez, Pablo, 2004, "Shareholder value creation of microsoft and GE," IESE Research Papers, IESE Business School, number D/564, Jul.
• Fernandez, Pablo, 2004, "Most common errors in company valuation," IESE Research Papers, IESE Business School, number D/565, Jul.
• Fernandez, Pablo, 2004, "Market risk premium: Required, historical and expected," IESE Research Papers, IESE Business School, number D/574, Oct.
• Fernandez, Pablo, 2004, "Reply to "The value of tax shields is equal to the present value of tax shields"," IESE Research Papers, IESE Business School, number D/576, Nov.
• Fernandez, Pablo, 2004, "Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten," IESE Research Papers, IESE Business School, number D/578, Nov.
• Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004, "Measuring financial integration in the euro area," Occasional Paper Series, European Central Bank, number 14, May.
• Albuquerque, Rui & Bauer, Gregory H. & Schneider, Martin, 2004, "International equity flows and returns: a quantative equilibrium approach," Working Paper Series, European Central Bank, number 310, Feb.
• Derviz, Alexis, 2004, "Exchange rate risks and asset prices in a small open economy," Working Paper Series, European Central Bank, number 314, Mar.
• Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2004, "Fundamentals and joint currency crises," Working Paper Series, European Central Bank, number 324, Mar.
• Schuknecht, Ludger & von Hagen, Jürgen & Bernoth, Kerstin, 2004, "Sovereign risk premia in the European government bond market," Working Paper Series, European Central Bank, number 369, Jun.
• Bhagat, Sanjai & Dong, Ming & Hirsheifer, David & Noah, Noah, 2004, "Do Tender Offers Create Value? New Methods and Evidence," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-4, Mar.
• Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 2004, "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-6, Mar.
• Don U.A. Galagedera & Roland G. Shami, 2004, "Beta Risk and Regime Shift in Market Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 126, Aug.
• Keith R. McLaren & H. Youn Kim & Russel J. Cooper, 2004, "Intertemporal Consumption and Consumer Demand," Econometric Society 2004 Australasian Meetings, Econometric Society, number 152, Aug.
• Minxian Yang, 2004, "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings, Econometric Society, number 186, Aug.
• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• Daniel R. Smith & Christophe Parignon, 2004, "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 307, Aug.
• Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004, "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings, Econometric Society, number 331, Aug.
• Francis X. Diebold, 2004, "Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 352, Aug.
• Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004, "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings, Econometric Society, number 62, Aug.
• Dong Heon Kim, 2004, "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 440, Aug.
• Jaesun Noh, 2004, "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 444, Aug.
• Jun Yu, 2004, "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 497, Aug.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 506, Aug.
• Koichi Maekawa & Ken-ichi Kawai, 2004, "Option pricing under NIG distribution: --- The empirical analysis of Nikkei 225 option ----," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 607, Aug.
• Towa Tachibana & Sekine & Toshitaka, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 631, Aug.
• Haim Kedar-Levy, 2004, "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 775, Aug.
• J-H Steffi Yang, 2004, "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 797, Aug.
• Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004, "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings, Econometric Society, number 134, Aug.
• Wright, Brian D. & Bobenrieth & Eugenio S. A., 2004, "Prognoses for a Non-Predictable Discounted Commodity Price Process," Econometric Society 2004 Latin American Meetings, Econometric Society, number 19, Aug.
• Jeffrey R. Russell & Federico M. Bandi, 2004, "Microstructure noise, realized volatility, and optimal sampling," Econometric Society 2004 Latin American Meetings, Econometric Society, number 220, Aug.
• Alberto Naudon & Matías Tapia, 2004, "Ignorance, Fixed Costs, and the Stock Market Participation Puzzle," Econometric Society 2004 Latin American Meetings, Econometric Society, number 252, Aug.
• L.A. Gil-Alana & G.M. caporale, 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings, Econometric Society, number 344, Aug.
• Antonio Mele, 2004, "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 223, Aug.
• Tack Yun & Wooheon Rhee, 2004, "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 243, Aug.
• Yong Zeng & Shu Wu, 2004, "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 304, Aug.
• Olivier Vigneron, & Xavier Gabaix & Arvind Krishnamurthy, 2004, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 430, Aug.
• Pentti Saikkonen & Markku Lanne, 2004, "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 469, Aug.
• Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004, "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 477, Aug.
• Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 487, Aug.
• Bedri Kamil Onur Tas, 2004, "Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 490, Aug.
• Duane Seppi & Michael Gallmeyer & Burton Hollifield, 2004, "Liquidity Discovery and Asset Pricing," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 525, Aug.
• Michael R Roberts & Michael Bradley, 2004, "Are Bond Covenants Priced?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 7, Aug.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 130, Aug.
• Ernesto Mordecki & José Fajardo, 2004, "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 139, Aug.
• Robin Brooks, 2004, "The Equity Premium and the Baby Boom," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 155, Aug.
• Marcin Kacperczyk; Paul Damien; Stephen Walker, 2004, "A Bayesian semiparametric approach to pricing the S&P 500 index options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 202, Aug.
• Paul Ehling, 2004, "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 311, Aug.
• Sydney C. Ludvigson & Xiaohong Chen, 2004, "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 332, Aug.
• Laura Veldkamp, 2004, "Media Frenzies in Markets for Financial Information," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 4, Aug.
• Jing-zhi Huang & Liuren Wu, 2004, "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 405, Aug.
• Sergei Levendorskii, 2004, "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 413, Aug.
• Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
• Jaehun Chung & Yongmiao Hong, 2004, "Are the directions of stock price changes predictable? A generalized cross-spectral approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 469, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Patrick Cheridito & Damir Filipovic, 2004, "Market Price of Risk Specifications for Affine Models: Theory and Evidence," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 536, Aug.
• Yacine Ait-Sahalia, 2004, "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 575, Aug.
• duffie, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 633, Aug.
• duffie, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 634, Aug.
• dvayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 635, Aug.
• Dmitrios Vayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 647, Aug.
• Pierre-Olivier Weill, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 648, Aug.
• Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 649, Aug.
• Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004, "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 10, pages 1925-1954, September.
• Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004, "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2195-2214, October.
• Gutierrez, Maria-Jose & Vazquez, Jesus, 2004, "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2297-2325, October.
• Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004, "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1079-1113, March.
• Magni, Carlo Alberto, 2004, "Modelling excess profit," Economic Modelling, Elsevier, volume 21, issue 3, pages 595-617, May.
• Kassar, Ilhem & Lasserre, Pierre, 2004, "Species preservation and biodiversity value: a real options approach," Journal of Environmental Economics and Management, Elsevier, volume 48, issue 2, pages 857-879, September.
• Challe, Edouard, 2004, "Sunspots and predictable asset returns," Journal of Economic Theory, Elsevier, volume 115, issue 1, pages 182-190, March.
• Carr, Peter & Wu, Liuren, 2004, "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 113-141, January.
• Christoffersen, Peter & Jacobs, Kris, 2004, "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, volume 72, issue 2, pages 291-318, May.
• Ng, David T., 2004, "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, volume 23, issue 2, pages 189-230, March.
• Block, Steven A. & Vaaler, Paul M., 2004, "The price of democracy: sovereign risk ratings, bond spreads and political business cycles in developing countries," Journal of International Money and Finance, Elsevier, volume 23, issue 6, pages 917-946, October.
• Aaronson, Daniel & Bostic, Raphael W. & Huck, Paul & Townsend, Robert, 2004, "Supplier relationships and small business use of trade credit," Journal of Urban Economics, Elsevier, volume 55, issue 1, pages 46-67, January.
• Ross, Stephen L. & Tootell, Geoffrey M. B., 2004, "Redlining, the Community Reinvestment Act, and private mortgage insurance," Journal of Urban Economics, Elsevier, volume 55, issue 2, pages 278-297, March.
• Chen, Shyh-Wei & Shen, Chung-Hua, 2004, "GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 67, issue 3, pages 201-216, DOI: 10.1016/j.matcom.2004.06.006.
• Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004, "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, volume 12, issue 5, pages 503-523, November.
• Gardeazabal, Javier & Regulez, Marta, 2004, "A factor model of seasonality in stock returns," The Quarterly Review of Economics and Finance, Elsevier, volume 44, issue 2, pages 224-236, May.
• Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004, "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, volume 13, issue 2, pages 167-185.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Edwards, Sebastian, 2004, "The economics of Latin American art: creativity patterns and rates of return," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123098, Apr.
• Kondor, Peter, 2004, "The more we know, the less we agree: public announcements and higher-order expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24645, Dec.
• Kondor, Peter, 2004, "Rational trader risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24646, May.
• Altissimo, Filippo & Mele, Antonio, 2004, "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24674, Jan.
• Mele, Antonio, 2004, "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24701, Apr.
• Muñoz, Sònia, 2004, "Real effects of regional house prices: dynamic panel estimation with heterogeneity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24704, Apr.
• Linton, Oliver & Mammen, Enno & Nielsen, J. & Taanggard, C., 2004, "Yield curve estimation by kernel smoothing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24772, Apr.
• Niguez, Trino-Manuel & Perote, Javier, 2004, "Forecasting the density of asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6845, Oct.
• Dionysios Chionis & Panagiotis Liargovas, 2004, "Exchange Rate Intervention, Market Efficiency and Asset Market Returns: The Greek Experience," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 42-55, Summer.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Andros Gregoriou & Christos Ioannidis, 2004, "Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 139-151, Winter.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, Springer, volume 8, issue 1, pages 1-18.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, Springer, volume 8, issue 1, pages 109-127.
• Peter Bossaerts & Charles Plott, 2004, "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, volume 8, issue 2, pages 135-169.
• Luis Angel Medrano & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, Springer, volume 8, issue 2, pages 199-277.
• Takashi Kamihigashi, 2004, "Necessity of the Transversality Condition for Stochastic Models with Bounded or CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 152, Mar.
• Takashi Kamihigashi, 2004, "Necessity of the Transversality Condition for Stochastic Models with Bounded or CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 162, Aug, revised Oct 2004.
• Naszódi, Anna, 2004, "A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között
  [Target-zone rearrangement and exchange-rate behaviour in an options-based model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 638-658.
• Jakob B. Madsen & E. Philip Davis, 2004, "Equity Prices, Productivity Growth, and the 'New Economy'," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 04-05, Feb.
• Jacob Gyntelberg & Frank Hansen, 2004, "Expected utility theory with ”small worlds”," Discussion Papers, University of Copenhagen. Department of Economics, number 04-20, Aug, revised Jan 2005.
• Jacob Gyntelberg & Frank Hansen, 2004, "Subjective Expected Utility Theory with “Small Worlds”," Discussion Papers, University of Copenhagen. Department of Economics, number 09-26, Aug, revised Dec 2009.
• Jacob Gyntelberg & Frank Hansen, 2004, "Expected Utility Theory with “Small Worlds”," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/04, Aug.
• Jakob B. Madsen, 2004, "Pitfalls in Estimates of Relationship between Share Returns and Inflation," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/07, Oct.
• Jakob B. Madsen & E. Philip Davis, 2004, "Equity Prices, Productivity Growth and 'The New Economy," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/11, Oct.
• Chaiki Hara & Atsushi Kajii, 2004, "Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs," KIER Working Papers, Kyoto University, Institute of Economic Research, number 590, May.
• Cecilia Maya Ochoa, 2004, "Monte Carlo Option Pricing," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 61, pages 53-70, Julio-Dic.
• Sourafel Girma & Kevin Amess, 2004, "Do Stock Markets Value Firm-Level Technical Efficiency? Some UK Evidence," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/23, Aug.
• Wiese, Jörg, 2004, "Unternehmensbewertung mit dem Nachsteuer-CAPM?," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 1894, Feb.
• Kaïs Dachraoui & Georges Dionne, 2004, "Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors," Cahiers de recherche, CIRPEE, number 0411.
• Basak, Suleyman & Pavlova, Anna, 2004, "A Dynamic Model with Import Quota Constraints," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4230-02, Jul.
• Olan T. Henry & Sandy Suardi, 2004, "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series, The University of Melbourne, number 924.
• Bedri Tas, 2004, "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 100, Sep.
• Martin Cincibuch & David Vavra, 2004, "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 16, Sep.
• David McMillan, 2004, "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 63, Sep.
• Andreas Reschreiter, 2004, "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 79, Sep.
• Christian Schlag & Nicole Branger, 2004, "Why is the index smile so steep?," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 84, Sep.
• Alberto Montagnoli & Oreste Napolitano, 2004, "Financial Condition Index and interest rate settings: a comparative analysis," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 1, Sep.
• Marco Rummer & Andreas Oehler & Peter N. Smith, 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 62, Sep.
• Norbert Kiss M., 2004, "The Effects of Macroeconomic News on Money Markets," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/30.
• Anna Naszódi, 2004, "Target zone rearrangements and exchange rate behavior in an options-based model," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/2.
• Guerdjikova, Ani, 2004, "Evolution of wealth and asset prices in markets with case-based investors," Papers, Sonderforschungsbreich 504, number 04-49.
• Guerdjikova, Ani, 2004, "Asset price in an overlapping generations model with case-based decision makers with short memory," Papers, Sonderforschungsbreich 504, number 04-44.
• Don U.A. Galagedera & Elizabeth A. Maharaj, 2004, "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/04, Oct.
• Don U.A. Galagedera & Robert Faff, 2004, "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/04, Apr.
• Susan E. Woodward & Robert E. Hall, 2004, "Benchmarking the Returns to Venture," NBER Working Papers, National Bureau of Economic Research, Inc, number 10202, Jan.
• Casey B. Mulligan, 2004, "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 10210, Jan.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 10218, Jan.
• Jeremy C. Stein, 2004, "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 10259, Feb.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10263, Feb.
• Charles Engel & Kenneth D. West, 2004, "Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 10267, Feb.
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10270, Feb.
• Alan J. Auerbach, 2004, "How Much Equity Does the Government Hold?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10291, Feb.
• Kenneth A. Froot & Melvyn Teo, 2004, "Equity Style Returns and Institutional Investor Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 10355, Mar.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004, "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10402, Apr.
• Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004, "New Forecasts of the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 10406, Apr.
• Tano Santos & Pietro Veronesi, 2004, "Conditional Betas," NBER Working Papers, National Bureau of Economic Research, Inc, number 10413, Apr.
• Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004, "Short Interest and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10434, Apr.
• Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004, "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers, National Bureau of Economic Research, Inc, number 10447, Apr.
• Yuko Hashimoto & Takatoshi Ito, 2004, "High-Frequency Contagion Between the Exchange Rates and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10448, Apr.
• Malcolm Baker & Jeffrey Wurgler, 2004, "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10449, Apr.
• Li Jin & Stewart C. Myers, 2004, "R-Squared Around the World: New Theory and New Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 10453, Apr.
• Marjorie Flavin & Shinobu Nakagawa, 2004, "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers, National Bureau of Economic Research, Inc, number 10458, May.
• William N. Goetzmann & Vicente Pons-Sanz & S. Abraham Ravid, 2004, "Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property," NBER Working Papers, National Bureau of Economic Research, Inc, number 10468, May.
• Amit Goval & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers, National Bureau of Economic Research, Inc, number 10483, May.
• Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2004, "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," NBER Working Papers, National Bureau of Economic Research, Inc, number 10502, May.
• Armando Gomes & Gary Gorton & Leonardo Madureira, 2004, "SEC Regulation Fair Disclosure, Information, and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 10567, Jun.
• Michael D. Bordo & David C. Wheelock, 2004, "Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms," NBER Working Papers, National Bureau of Economic Research, Inc, number 10704, Aug.
• Charles Engel & Kenneth D. West, 2004, "Exchange Rates and Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 10723, Aug.
• Lily Qiu & Ivo Welch, 2004, "Investor Sentiment Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 10794, Sep.
• Viral V. Acharya & Lasse Heje Pedersen, 2004, "Asset Pricing with Liquidity Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10814, Oct.
• Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004, "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 10820, Oct.
• Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004, "Pseudo Market Timing and Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10823, Oct.
• Edward J. Kane, 2004, "Charles Kindleberger," NBER Working Papers, National Bureau of Economic Research, Inc, number 10847, Oct.
• William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004, "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers, National Bureau of Economic Research, Inc, number 10850, Oct.
• James Poterba, 2004, "The Impact of Population Aging on Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10851, Oct.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004, "The Cross-Section of Volatility and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10852, Oct.
• Raj Chetty & Adam Szeidl, 2004, "Consumption Commitments and Habit Formation," NBER Working Papers, National Bureau of Economic Research, Inc, number 10970, Dec.
• Charles Engel, 2004, "Some New Variance Bounds for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10981, Dec.
• Anthony W. Lynch & Sinan Tan, 2004, "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 10994, Dec.
• Anthony W. Lynch & Sinan Tan, 2004, "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 11010, Dec.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
• Masamitsu Ohnishi & Yusuke Osaki, 2004, "The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-10, May.
• Masamitsu Ohnishi & Yusuke Osaki, 2004, "The Comparative Statics of Equilibrium Derivative Prices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-19, Nov.
• Michael R. Darby & Qiao Liu & Lynne G. Zucker, 2004, "High Stakes in High Technology: High-Tech Market Values as Options," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 351-369, July.
• Marc D. Hayford & A. G. Malliaris, 2004, "Monetary Policy and the U.S. Stock Market," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 387-401, July.
• Pierdzioch, Christian & Döpke, Jörg, 2004, "Politics and the Stock Market: Evidence from Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1203.
• Stolpe, Michael, 2004, "Non-market interaction in primary equity markets: evidence from France and Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1211.
• Gürtler, Marc & Hartmann, Nora, 2004, "The equity premium puzzle and emotional asset pricing," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW10V3.
• Wilhelm, Jochen & Nietert, Bernhard, 2004, "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 11.
• Schmidt, Robert & Leitner, Johannes, 2004, "A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 49.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004, "Sovereign risk premia in the European government bond market," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 26-2003.
• Lüders, Erik & Schröder, Michael, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19.
• Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004, "The Power Law and Dividend Yields," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-51.
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