Research classified by Journal of Economic Literature (JEL) codes

2003

• Joseph Atta-Mensah, 2003, "Collateral and Credit Supply," Staff Working Papers, Bank of Canada, number 03-11, DOI: 10.34989/swp-2003-11.
• Miroslav Misina, 2003, "What Does the Risk-Appetite Index Measure?," Staff Working Papers, Bank of Canada, number 03-23, DOI: 10.34989/swp-2003-23.
• Michael R. King, 2003, "Income Trusts--Understanding the Issues," Staff Working Papers, Bank of Canada, number 03-25, DOI: 10.34989/swp-2003-25.
• Miroslav Misina, 2003, "Are Distorted Beliefs Too Good to be True?," Staff Working Papers, Bank of Canada, number 03-4, DOI: 10.34989/swp-2003-4.
• Michael R. King & Dan Segal, 2003, "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers, Bank of Canada, number 03-6, DOI: 10.34989/swp-2003-6.
• Antonio Díez de los Ríos & Alicia García Herrero, 2003, "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers, Banco de España, number 0317, Dec.
• Paolo Zaffaroni, 2003, "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 472, Jun.
• Monica Paiella, 2003, "Revisiting the Implications of Heterogeneity in Financial Market Participation for the C-CAPM," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 473, Jun.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• José S. Penalva, 2015, "Implications of Dynamic Trading for Insurance Markets," Working Papers, Barcelona School of Economics, number 83, Sep.
• Peter Temin & Hans-Joachim Voth, 2015, "Riding the South Sea Bubble," Working Papers, Barcelona School of Economics, number 91, Sep.
• Jeffery D Amato & Eli M Remolona, 2003, "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
• Patrick McGuire & Martijn A Schrijvers, 2003, "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
• Frank Packer & Chamaree Suthiphongchai, 2003, "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
• Anthony Richards & Mark Gugiatti, 2003, "Do Collective Action Clauses Influence Bond Yields? New Evidence from Emerging Markets," International Finance, Wiley Blackwell, volume 6, issue 3, pages 415-447, November, DOI: 10.1111/j.1367-0271.2003.00124.x.
• Alain Venditti, 2003, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," The Japanese Economic Review, Japanese Economic Association, volume 54, issue 2, pages 179-202, June, DOI: 10.1111/1468-5876.t01-1-00253.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Value Spread," Journal of Finance, American Finance Association, volume 58, issue 2, pages 609-641, April, DOI: 10.1111/1540-6261.00539.
• Peter Carr & Liuren Wu, 2003, "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, volume 58, issue 2, pages 753-777, April, DOI: 10.1111/1540-6261.00544.
• Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003, "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1393-1413, August, DOI: 10.1111/1540-6261.00571.
• Ľuboš Pástor & Veronesi Pietro, 2003, "Stock Valuation and Learning about Profitability," Journal of Finance, American Finance Association, volume 58, issue 5, pages 1749-1789, October, DOI: 10.1111/1540-6261.00587.
• John Y. Campbell & Glen B. Taksler, 2003, "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2321-2350, December, DOI: 10.1046/j.1540-6261.2003.00607.x.
• Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Merxe Tudela & Garry Young, 2003, "A Merton-model approach to assessing the default risk of UK public companies," Bank of England working papers, Bank of England, number 194, Jun.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et trading de volatilité," Revue économique, Presses de Sciences-Po, volume 54, issue 3, pages 663-673.
• Yang, J-H.S. & Satchell, S.E., 2003, "Endogenous Correlation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0321, Mar.
• Darsinos, T. & Satchell, S.E., 2003, "Bayesian Estimation of Risk-Premia in an APT Context," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0329, May.
• Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003, "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0338, Aug.
• Kelly, David L. & Steigerwald, Douglas G, 2003, "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt00n4h4mw, Aug.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Rodolfo Apreda, 2003, "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 233, Mar.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• José Pablo Dapena Fernandez, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 49-72, May.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 385-403, November.
• Oliver Linton & Enno Mammen, 2003, "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 453, May.
• Tony Berrada, 2006, "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-07, Jun.
• Frederik Lundtofte, 2006, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-23, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-05, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003, "Option Valuation with Conditional Skewness," CIRANO Working Papers, CIRANO, number 2003s-50, Aug.
• Kris Jacobs & Xiaofei Li, 2003, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers, CIRANO, number 2003s-51, Aug.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• John H Cochrane, 2003, "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive, David K. Levine, number 618897000000000762, Apr.
• John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003, "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography, UCLA Department of Economics, number 666156000000000355, Nov.
• Atsushi Kajii & Chiaki Hara, 2003, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Levine's Bibliography, UCLA Department of Economics, number 666156000000000383, Nov.
• Franklin Allen & Stephen Morris & Hyun Song Shin, 2003, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews, www.najecon.org, number 391749000000000553, Apr.
• Josep Pijoan-Mas, 2003, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Working Papers, CEMFI, number wp2003_0305.
• Alexander Campos Osorio, 2003, "El Ver: Herramienta Para La Medición De Riesgos De Mercado," Apuntes de Banca y Finanzas, Asobancaria, number 2567, Jul.
• María Ángeles Ortega & María Ángeles Sánchez & Francisco Gonzáles, 2003, "Privatization, deregulation and competition: evidence from Spain," Revista de Economía del Rosario, Universidad del Rosario.
• Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio V�squez, 2003, "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, volume 33, issue 1, pages 51-76.
• Ignacio V√©lez Pareja & Antonio Burbano P√©rez, 2003, "A Practical Guide for Consistency in Valuation: Cash Flows, Terminal Value and Cost of Capital," Proyecciones Financieras y Valoración, Master Consultores, number 1927, Dec.
• Ignacio Velez-Pareja, 2003, "Cost of Capital for Non-Traded Firms," Proyecciones Financieras y Valoración, Master Consultores, number 2205, Oct.
• Ignacio Velez-Pareja, 2003, "Valoraci√≥n de intangibles," Proyecciones Financieras y Valoración, Master Consultores, number 3745, Oct.
• Ignacio V√©lez Pareja & Joseph Tham, 2003, "¬øCoinciden EVA(R) y Utilidad Economica (UE) con los metodos de Flujo de Caja Descontado en valoracion de empresas?," Proyecciones Financieras y Valoración, Master Consultores, number 3788, Aug.
• 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.
• Bali, Turan G. & Neftci, Salih N., 2003, "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, volume 10, issue 4, pages 455-477, September.
• Dybvig, Philip H. & Ross, Stephen A., 2003, "Arbitrage, state prices and portfolio theory," Handbook of the Economics of Finance, Elsevier, chapter 10, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Duffie, Darrell, 2003, "Intertemporal asset pricing theory," Handbook of the Economics of Finance, Elsevier, chapter 11, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Ferson, Wayne E., 2003, "Tests of multifactor pricing models, volatility bounds and portfolio performance," Handbook of the Economics of Finance, Elsevier, chapter 12, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Campbell, John Y., 2003, "Consumption-based asset pricing," Handbook of the Economics of Finance, Elsevier, chapter 13, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Mehra, Rajnish & Prescott, Edward C., 2003, "The equity premium in retrospect," Handbook of the Economics of Finance, Elsevier, chapter 14, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Schwert, G. William, 2003, "Anomalies and market efficiency," Handbook of the Economics of Finance, Elsevier, chapter 15, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Karolyi, G. Andrew & Stulz, Rene M., 2003, "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, Elsevier, chapter 16, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Easley, David & O'Hara, Maureen, 2003, "Microstructure and asset pricing," Handbook of the Economics of Finance, Elsevier, chapter 17, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Barberis, Nicholas & Thaler, Richard, 2003, "A survey of behavioral finance," Handbook of the Economics of Finance, Elsevier, chapter 18, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Whaley, Robert E., 2003, "Derivatives," Handbook of the Economics of Finance, Elsevier, chapter 19, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• Dai, Qiang & Singleton, Kenneth J., 2003, "Fixed-income pricing," Handbook of the Economics of Finance, Elsevier, chapter 20, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance".
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2, edition 1, March.
• Caballe, Jordi & Sakovics, Jozsef, 2003, "Speculating against an overconfident market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 199-225, April.
• Head, Allen C. & Smith, Gregor W., 2003, "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, volume 59, issue 2, pages 349-366, March.
• Bams, Dennis & Wolff, Christian C. P., 2003, "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 13, issue 3, pages 211-236, July.
• 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.
• Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
• Aleš Černý, 2003, "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, volume 7, issue 2, pages 191-233.
• Arie Melnik & Doron Nissim, 2003, "Debt Issue Costs and Issue Characteristics in the Market for U.S. Dollar Denominated International Bonds," Review of Finance, European Finance Association, volume 7, issue 2, pages 277-296.
• Tom Dahlström & Pierre Mella-Barral, 2003, "Corporate Walkout Decisions and the Value of Default," Review of Finance, European Finance Association, volume 7, issue 3, pages 325-360.
• Siim Kallast & Andi Kivinukk, 2003, "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, European Finance Association, volume 7, issue 3, pages 361-383.
• Wayne E. Ferson & Andrew F. Siegel, 2003, "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 567-595.
• Antonio Mele, 2003, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 679-716, July.
• Danthine, Jean-Pierre & Donaldson, John B & Giannikos, Chrisos & Guirguis, Hany, 2003, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3697, Jan.
• Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3749, Feb.
• Koren, Miklós & Szeidl, Adam, 2003, "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3795, Feb.
• Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, Centre for Economic Policy Research, number 3832, Mar.
• Bisin, Alberto & Acharya, Viral, 2003, "Optimal Financial Market Integration and Security Design," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 3900, May.
• Vredin, Anders & Söderlind, Paul & Söderström, Ulf, 2003, "Taylor Rules and the Predictability of Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 3934, May.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2003, "Stock Prices and IPO Waves," CEPR Discussion Papers, Centre for Economic Policy Research, number 4002, Aug.
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