Research classified by Journal of Economic Literature (JEL) codes

2005

• Marcelo Pinheiro, 2005, "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, volume 1, issue 4, pages 395-421, October, DOI: 10.1007/s10436-005-0017-8.
• Roland Füss, 2005, "Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets," Economic Change and Restructuring, Springer, volume 38, issue 1, pages 37-62, March, DOI: 10.1007/s10644-005-4522-6.
• Jakob B Madsen & Costas Milas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/09, Jul.
• Chiaki Hara, 2005, "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 609, Dec.
• Pascal St-Amour, 2005, "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 05.04, Mar.
• Javed Iqbal & Aziz Haider, 2005, "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 10, issue 1, pages 123-139, Jan-Jun.
• Ortalo-Magné, François & Rady, Sven, 2005, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints (Revised Version)," Discussion Papers in Economics, University of Munich, Department of Economics, number 494, Jan.
• Mila Novita & Nachrowi Djalal Nachrowi, 2005, "Dynamic Analysis of the Stock Price Index and the Exchange Rate Using Vector Autoregression (VAR): An Empirical Study of the Jakarta Stock Exchange, 2001-2004," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 53, pages 263-278, December.
• Marie-Claude Beaulieu & Jean-Claude Cosset & Naceur Essaddam, 2005, "Price Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum," Cahiers de recherche, CIRPEE, number 0531.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005, "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE, number 0532.
• Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005, "House Prices in Australia - 1970 to 2003 - Facts and Explanations," Research Papers, Macquarie University, Department of Economics, number 0504, May.
• Dong Heon Kim, 2005, "Nonlinearity in the Term Structure," Economics Discussion Paper Series, Economics, The University of Manchester, number 0528.
• M. J. Roche, 2005, "The equity premium puzzle and decreasing relative risk aversion," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1510205, Feb.
• Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D., 2005, "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1580505, May.
• Engel, Charles, 2005, "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, volume 37, issue 5, pages 949-955, October.
• Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2005, "Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics," Department of Economics - Working Papers Series, The University of Melbourne, number 941.
• O.T. Henry & S. Suardi, 2005, "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series, The University of Melbourne, number 945.
• D. Beggs & C.L. Skeels, 2005, "Market Arbitrage of Cash Dividends and Franking Credits," Department of Economics - Working Papers Series, The University of Melbourne, number 947.
• Thomas Nitschka, 2005, "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 22, Sep.
• Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 24, Sep.
• Peter N Smith & S Sorensen & M R Wickens, 2005, "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 47, Sep.
• Katrin Tinn, 2005, "Optimal research in financial markets with heterogeneous private information; a rational expectations model," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 6, Sep.
• Paola Zerilli, 2005, "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 76, Sep.
• Lean Hooi Hooi & Wong Wing Keung & Russell Smyth, 2005, "Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach," Monash Economics Working Papers, Monash University, Department of Economics, number 16/05, Sep.
• Don U.A. Galagedera & Robert D. Brooks, 2005, "Is systematic downside beta risk really priced? Evidence in emerging market data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/05, May.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-04.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 04-2005.
• William Curt Hunter & George G. Kaufman & Michael Pomerleano (ed.), 2005, "Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies," MIT Press Books, The MIT Press, number 0262582538, edition 1, ISBN: ARRAY(0x66bb9130), December.
• Janet Mitchell, 2005, "Financial intermediation theory and implications for the sources of value in structured finance markets," Working Paper Document, National Bank of Belgium, number 71, Jul.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11018, Jan.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2005, "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 11021, Jan.
• Ravi Jagannathan & Yong Wang, 2005, "Consumption Risk and the Cost of Equity Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 11026, Jan.
• Michelle Hanlon & Terry Shevlin, 2005, "Bank-Tax Conformity for Corporate Income: An Introduction to the Issues," NBER Working Papers, National Bureau of Economic Research, Inc, number 11067, Jan.
• John Y. Campbell & Luis Viceira, 2005, "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers, National Bureau of Economic Research, Inc, number 11119, Feb.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11134, Feb.
• Peter Hecht & Tuomo Vuolteenaho, 2005, "Explaining Returns with Cash-Flow Proxies," NBER Working Papers, National Bureau of Economic Research, Inc, number 11169, Mar.
• Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005, "Systemic Risk and Hedge Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 11200, Mar.
• Claude B. Erb & Campbell R. Harvey, 2005, "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 11222, Mar.
• Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005, "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers, National Bureau of Economic Research, Inc, number 11243, Apr.
• Murillo Campello & Long Chen & Lu Zhang, 2005, "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 11323, May.
• Naiping Lu & Lu Zhang, 2005, "The Value Spread as a Predictor of Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11326, May.
• Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005, "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 11380, May.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11389, Jun.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005, "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11413, Jun.
• Anna Pavlova & Roberto Rigobon, 2005, "Wealth Transfers, Contagion, and Portfolio Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11440, Jun.
• Laurent E. Calvet & Adlai J. Fisher, 2005, "Multifrequency News and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11441, Jun.
• Anna Obizhaeva & Jiang Wang, 2005, "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 11444, Jun.
• Alan J. Auerbach & Kevin A. Hassett, 2005, "The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study," NBER Working Papers, National Bureau of Economic Research, Inc, number 11449, Jul.
• Evgeny Lyandres & Le Sun & Lu Zhang, 2005, "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers, National Bureau of Economic Research, Inc, number 11459, Jul.
• Sydney C. Ludvigson & Serena Ng, 2005, "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 11477, Jul.
• Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005, "Momentum Profits and Macroeconomic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11480, Jul.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005, "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 11488, Jul.
• Leonid Kogan & Dmitry Livdan & Amir Yaron, 2005, "Futures Prices in a Production Economy with Investment Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11509, Aug.
• Martin Lettau & Sydney C. Ludvigson, 2005, "Euler Equation Errors," NBER Working Papers, National Bureau of Economic Research, Inc, number 11606, Sep.
• Philipp Hartmann & Stefan Straetmans & Casper G. De Vries, 2005, "Banking System Stability: A Cross-Atlantic Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 11698, Oct.
• Sydeny C. Ludvigson & Serena Ng, 2005, "Macro Factors in Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 11703, Oct.
• Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2005, "Institutional Investors and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 11722, Nov.
• Sean D. Campbell & Francis X. Diebold, 2005, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11736, Nov.
• Clemens Sialm, 2005, "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 11756, Nov.
• Tano Santos & Pietro Veronesi, 2005, "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 11816, Dec.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11824, Dec.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Myth of Long-Horizon Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 11841, Dec.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005, "Demand-Based Option Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 11843, Dec.
• Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2005, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 11851, Dec.
• Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005, "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers, National Bureau of Economic Research, Inc, number 11864, Dec.
• Andrew Ang & Joseph Chen, 2005, "CAPM Over the Long Run: 1926-2001," NBER Working Papers, National Bureau of Economic Research, Inc, number 11903, Dec.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005, "International Stock Return Comovements," NBER Working Papers, National Bureau of Economic Research, Inc, number 11906, Dec.
• John A. Tatom, 2005, "Is Your Bubble About to Burst?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2005-WP-02, Oct.
• Klaus Abbink & Bettina Rockenbach, 2005, "Option Pricing by Students and Professional Traders: A Behavioural Investigation," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2005-12, Jul.
• Ping Zhang, 2005, "Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2005-20, Oct.
• Alonso Bonis, Susana & Vallelado González, Eleuterio & Henriques Xavier, José Manuel, 2005, "La flexibilidad como creadora de valor. El caso de una explotación forestal en Portugal," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas"., Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto, number 2005-11, Dec.
• Karl Schmedders, 2005, "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1398, Jan.
• Mariana Mazzucato & Massimiliano Tancioni, 2005, "Innovation and Idiosyncratic Risk: an Industry & Firm Level Analysis," Open Discussion Papers in Economics, The Open University, Faculty of Social Sciences, Department of Economics, number 50, Nov.
• Yusuke Osaki, 2005, "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-13, May.
• Masamitsu Ohnishi & Yusuke Osaki, 2005, "The Monotonicity of Asset Prices with Changes in Risk," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-14, May.
• Miguel A. Ferreira, 2005, "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 126-168.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 120, issue 2, pages 639-668.
• Bronwyn H. Hall, 2005, "Measuring the Returns to R&D: the Depreciation Problem," Annals of Economics and Statistics, GENES, issue 79-80, pages 341-381.
• Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005, "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, volume 95, issue 2, pages 352-359, May.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, volume 95, issue 2, pages 398-404, May.
• Markus K. Brunnermeier & Jonathan A. Parker, 2005, "Optimal Expectations," American Economic Review, American Economic Association, volume 95, issue 4, pages 1092-1118, September.
• Mathias Drehmann & Jörg Oechssler & Andreas Roider, 2005, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," American Economic Review, American Economic Association, volume 95, issue 5, pages 1403-1426, December.
• Eskandar A. Tooma, 2005, "Evaluating the Peformance of Symmetric Price Limits: Evidence from the Egyptian Stock Exchange," The African Finance Journal, Africagrowth Institute, volume 7, issue 2, pages 18-41.
• Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005, "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24702, DOI: 10.22004/ag.econ.24702.
• Allen, Jason, 2005, "Size Matters: Covariance Matrix Estimation Under the Alternative," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273567, Aug, DOI: 10.22004/ag.econ.273567.
• Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005, "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 1, issue 2, pages 1-27, DOI: 10.22004/ag.econ.49157.
• Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005, "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-12.
• Rubens Penha Cysne, 2005, "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 088.
• Elion Jani & Martin Hoesli & André Bender, 2005, "Monte Carlo Simulations for Real Estate Valuation," ERES, European Real Estate Society (ERES), number eres2005_212, Jan.
• Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0503, Jan.
• Miroslav Misina, 2005, "Risk Perceptions and Attitudes," Staff Working Papers, Bank of Canada, number 05-17, DOI: 10.34989/swp-2005-17.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers, Bank of Canada, number 05-2, DOI: 10.34989/swp-2005-2.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers, Bank of Canada, number 05-9, DOI: 10.34989/swp-2005-9.
• Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005, "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Working Papers, Banco de España, number 0504, Feb.
• Fernando Restoy & Rosa Rodríguez, 2005, "Can fundamentals explain cross-country correlations of asset returns?," Working Papers, Banco de España, number 0540, Nov.
• Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005, "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 1394-1411, December.
• Francesco Franzoni & José M. Marín, 2015, "Portable Alphas from Pension Mispricing," Working Papers, Barcelona School of Economics, number 227, Sep.
• Koresh Galil, 2005, "Ratings as Predictors of Default in the Long Term:an Empirical Investigation," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0505.
• Dean Baker & J. Bradford Delong & Paul R. Krugman, 2005, "Asset Returns and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 36, issue 1, pages 289-330.
• Patrick McGuire & Eli Remolona & Kostas Tsatsaronis, 2005, "Time-varying exposures and leverage in hedge funds," BIS Quarterly Review, Bank for International Settlements, March.
• Jeffery D Amato & Jacob Gyntelberg, 2005, "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
• Franck Packer & Haibin Zhu, 2005, "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
• Fabio Fornari, 2005, "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
• Jeffery D Amato, 2005, "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
• E. Philip Davis & Haibin Zhu, 2005, "Commercial property prices and bank performance," BIS Working Papers, Bank for International Settlements, number 175, Apr.
• Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005, "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers, Bank for International Settlements, number 181, Sep.
• Naohiko Baba & Shinichi Nishioka & Nobuyuki Oda & Masaaki Shirakawa & Kazuo Ueda & Hiroshi Ugai, 2005, "Japan's deflation, problems in the financial system and monetary policy," BIS Working Papers, Bank for International Settlements, number 188, Nov.
• Jeffery D. Amato & Eli M Remolona, 2005, "The pricing of unexpected credit losses," BIS Working Papers, Bank for International Settlements, number 190, Nov.
• Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005, "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers, Bank for International Settlements, number 191, Nov.
• Takatoshi Ito & Yuko Hashimoto, 2005, "High‐Frequency Contagion of Currency Crises in Asia," Asian Economic Journal, East Asian Economic Association, volume 19, issue 4, pages 357-381, December, DOI: 10.1111/j.1467-8381.2005.00217.x.
• Bernd Hayo & Ali M. Kutan, 2005, "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, volume 13, issue 2, pages 373-393, April, DOI: 10.1111/j.1468-0351.2005.00214.x.
• William N. Goetzmann & Ning Zhu, 2005, "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, volume 11, issue 5, pages 559-578, November, DOI: 10.1111/j.1354-7798.2005.00298.x.
• Ben S. Bernanke & Kenneth N. Kuttner, 2005, "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, volume 60, issue 3, pages 1221-1257, June, DOI: 10.1111/j.1540-6261.2005.00760.x.
• Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Ming Dong & David Hirshleifer, 2005, "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, volume 73, issue s1, pages 1-31, September, DOI: 10.1111/j.1467-9957.2005.00459.x.
• Volker Böhm & Carl Chiarella, 2005, "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, volume 15, issue 1, pages 61-97, January, DOI: 10.1111/j.0960-1627.2005.00211.x.
• Prasanna Gai & Nicholas Vause, 2005, "Measuring investors' risk appetite," Bank of England Staff Working Paper series, Bank of England, number 283, Nov.
• 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," Bank of Japan Working Paper Series, Bank of Japan, number 05-E-6, Apr.
• Jianjun Miao, 2005, "A Search Model of Centralzied and Decentralized Trade," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-144, Jan.
• Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005, "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series, Boston University - Department of Economics, number WP2005-005, Nov.
• Adrien Verdelhan & Hanno Lustig, 2005, "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-019, Jun.
• Adrien Verdelhan, 2005, "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-032, Aug.
• Hanno Lustig & Adrien Verdelhan, 2005, "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-040, Oct.
• Guilherme B. Martins & Marcos Eugênio da Silva, 2005, "A Real Option Model with Uncertain, Sequential Investment and with Time to Build," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 2, pages 141-172.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005, "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 05-09, Jun.
• Rey, David & Schmid, Markus M., 2005, "Feasible Momentum Strategies - Evidence from the Swiss Stock Market," Working papers, Faculty of Business and Economics - University of Basel, number 2005/12.
• Sancetta, A., 2005, "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0506, Jan.
• Tim W. Cogley & Thomas J. Sargent, 2005, "The Market Price of Risk and the Equity Premium," Working Papers, University of California, Davis, Department of Economics, number 55, Feb.
• Ang, Andrew & Liu, Jun, 2005, "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt1s25177n, Mar.
• Hall, Bronwyn H. & Jaffe, A & Trajtenberg, M, 2005, "Market value and patent citations," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt0cs6v2w7, Jan.
• Monika Merz & Eran Yashiv, 2005, "Labor and the Market Value of the Firm," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0690, May.
• Christian Gollier, 2005, "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series, CESifo, number 1375.
• Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005, "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series, CESifo, number 1443.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series, CESifo, number 1650.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers, CIRANO, number 2005s-03, Feb.
• Narayana R Kocherlakota & Luigi Pistaferri, 2005, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 784828000000000507, Oct.
• Nikita Ratanov, 2005, "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación, Universidad del Rosario, number 3410, Apr.
• Nikita Ratanov, 2005, "Pricing Options under Telegraph Processes," Revista de Economía del Rosario, Universidad del Rosario.
• Beaubrun-Diant, Kevin E. & Tripier, Fabien, 2005, "Asset returns and business cycles in models with investment adjustment costs," Economics Letters, Elsevier, volume 86, issue 1, pages 141-146, January.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005, "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, volume 126, issue 1, pages 201-232, May.
• Yu, Jun, 2005, "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, volume 127, issue 2, pages 165-178, August.
• Hayford, M. D. & Malliaris, A. G., 2005, "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, volume 163, issue 1, pages 20-29, May.
• Pellizzari, P., 2005, "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, volume 166, issue 2, pages 507-519, October.
• Madsen, Jakob B. & Milas, Costas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Finance Research Letters, Elsevier, volume 2, issue 4, pages 260-269, December.
• Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005, "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, volume 29, issue 6, pages 1331-1358, June.
• Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Journal of Financial Economics, Elsevier, volume 75, issue 2, pages 283-317, February.
• Bhagat, Sanjai & Dong, Ming & Hirshleifer, David & Noah, Robert, 2005, "Do tender offers create value? New methods and evidence," Journal of Financial Economics, Elsevier, volume 76, issue 1, pages 3-60, April.
• Lettau, Martin & Ludvigson, Sydney C., 2005, "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, volume 76, issue 3, pages 583-626, June.
• Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
• Jones, Christopher S. & Shanken, Jay, 2005, "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 507-552, December.
• de Jong, Frank & de Roon, Frans A., 2005, "Time-varying market integration and expected returns in emerging markets," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 583-613, December.
• Bagella, Michele & Becchetti, Leonardo & Adriani, Fabrizio, 2005, "Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe," Journal of International Money and Finance, Elsevier, volume 24, issue 4, pages 549-581, June.
• Houweling, Patrick & Vorst, Ton, 2005, "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1200-1225, December.
• Peiris, Shelton & Allen, David & Yang, Wenling, 2005, "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 68, issue 5, pages 545-552, DOI: 10.1016/j.matcom.2005.02.005.
• Adam, Christopher S. & Bevan, David L., 2005, "Fiscal deficits and growth in developing countries," Journal of Public Economics, Elsevier, volume 89, issue 4, pages 571-597, April.
• Fernandez, Pablo, 2005, "Reply to "Comment on the value of tax shields is NOT equal to the present value of tax shields"," The Quarterly Review of Economics and Finance, Elsevier, volume 45, issue 1, pages 188-192, February.

2004

• 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.
• Andrei Semenov, 2004, "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers, York University, Department of Economics, number 2004_1, Apr.
• N/A, 2004, "Stock Price Volatility in a Multiple Security Overlapping," Yale School of Management Working Papers, Yale School of Management, number ysm156, Jul.
• William N. Goetzmann & Alok Kumar, 2004, "Equity Portfolio Diversification," Yale School of Management Working Papers, Yale School of Management, number ysm17, Mar.
• William N. Goetzmann & Ning Zhu, 2004, "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers, Yale School of Management, number ysm28, Mar.
• Stephen Morris & Franklin Allen & Hyun Song Shin, 2004, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Yale School of Management Working Papers, Yale School of Management, number ysm346, Jul.
• Juan Dubra & Federico Echenique, 2004, "Monotone Preferences Over Information," Yale School of Management Working Papers, Yale School of Management, number ysm405, Jul.
• John Geanakoplos, 2004, "The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World," Yale School of Management Working Papers, Yale School of Management, number ysm406, Jul.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Yale School of Management Working Papers, Yale School of Management, number ysm425, Jul.
• Amit Goyal & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers, Yale School of Management, number amz2412, Apr, revised 01 Jan 2006.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Discussion Papers, University of Bamberg, Chair of Finance, number 26.
• Oehler, Andreas & Rummer, Marco & Smith, Peter N., 2004, "The Existence and Effectiveness of Price Support Activities in Germany: A Note," Discussion Papers, University of Bamberg, Chair of Finance, number 30.
• Fendel, Ralf, 2004, "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,24.