Research classified by Journal of Economic Literature (JEL) codes

2004

• Post, G.T. & van Vliet, P., 2004, "Downside Risk and Asset Pricing," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-018-F&A, Jul.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Post, G.T. & Versijp, P.J.P.M., 2004, "A GMM Test for SSD Efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-024-F&A, Jul.
• Erich Kirchler & Boris Maciejovsky & Martin Weber, 2004, "Framing Effects, Selective Information and Market Behavior ­ An Experimental Analysis ­," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2004-16, Feb.
• Alessandro BEBER & Michael W. BRANDT, 2004, "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp105, Jan.
• Henry Schellhorn & Didier Cossin, 2004, "Credit Risk in a Network Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp106, Mar.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "Higher Order Expectations in Asset Pricing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp110, May.
• Séverine CAUCHIE & Martin HOESLI, 2004, "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp111, Jun.
• Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
• Julien Hugonnier & Erwan Morellec, 2004, "Investment under Uncertainty and Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp122, May.
• Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2004, "Capital Structure, Credit Risk, and Macroeconomic Conditions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp125, May.
• Li JIN & Stewart C. MYERS, 2004, "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp158, Feb.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2004, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp73, Jun.
• Alexey MEDVEDEV & Olivier SCAILLET, 2004, "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp93, Oct.
• Vladimír Gazda & Karel Koøený & Tomáš Výrost, 2004, "Defection of Traditional Standard Deviation Scaling of Capital Asset Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 325-334, July.
• Gema Pastor Agustin, Manuel Espitia Escuer, 2004, "Real Options, Uncertainty and Firm Value," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 116-140, December.
• Kevin J. Lansing, 2004, "Inflation-induced valuation errors in the stock market," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct29.
• Andrew Ang & Geert Bekaert, 2004, "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Glenn D. Rudebusch & Tao Wu, 2004, "A macro-finance model of the term structure, monetary policy, and the economy," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Miguel A. Ferreira & Jose A. Lopez, 2004, "Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-03, Mar, DOI: 10.24148/wp2004-03.
• Glenn D. Rudebusch & Tao Wu, 2005, "Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-25, Nov, DOI: 10.24148/wp2004-25.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004, "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-16.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Takeshi Kimura & David H. Small, 2004, "Quantitative monetary easing and risk in financial asset markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-57.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004, "The Performance of International Equity Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 817.
• James M. Poterba, 2004, "The impact of population aging on financial markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 163-216.
• Michael D. Bordo & David C. Wheelock, 2004, "Monetary policy and asset prices: a look back at past U.S. stock market booms," Review, Federal Reserve Bank of St. Louis, volume 86, issue Nov, pages 19-44.
• Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2004, "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 53-62.
• Domenico Colucci & Vincenzo Valori, 2004, "Adaptive learning in the Cobweb with an endogenous gain sequence," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2004-01, Sep.
• Antonio Mele & Filippo Altissimo, 2004, "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers, Financial Markets Group, number dp476, Jan.
• Antonio Mele, 2004, "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers, Financial Markets Group, number dp489, Apr.
• Enrique Sentana & Francisco Penaranda, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers, Financial Markets Group, number dp497, May.
• Enno Mammen & Oliver Linton, 2004, "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers, Financial Markets Group, number dp511, Sep.
• Benoit Perron & Oliver Linton, 2004, "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers, Financial Markets Group, number dp514, Sep.
• C Taanggard & J Nielsen & Enno Mammen & Oliver Linton, 2004, "Yield Curve Estimation by Kernel Smoothing," FMG Discussion Papers, Financial Markets Group, number dp515, Sep.
• Jean-Pierre Zigrand & Rohit Rahi, 2004, "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group, number dp520, Oct.
• Nicole Branger & Christian Schlag, 2004, "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 140, Oct.
• Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS), 2004, "Modelling an artificial stock market: When cognitive institutions influence market dynamics," Cahiers du GRES (2002-2009), Groupement de Recherches Economiques et Sociales, number 2004-04.
• Philippe Martin & Helene Rey, 2004, "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00176904, DOI: 10.1016/j.jinteco.2003.12.001.
• Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Post-Print, HAL, number hal-00478480, Sep, DOI: 10.1017/S0022109000003975.
• Edouard Challe, 2004, "Sunspots and predictable asset returns," Post-Print, HAL, number halshs-00069375, Mar.
• Edouard Challe, 2004, "Une décomposition du cycle boursier," Post-Print, HAL, number halshs-00151481, May.
• Elyès Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print, HAL, number halshs-00176465, Jan.
• Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004, "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-309, Dec.
• Lando, David & Mortensen, Allan, 2004, "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers, Copenhagen Business School, Department of Finance, number 2004-9, Nov.
• Engström, Stefan, 2004, "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 553, Jan.
• Engström, Stefan, 2004, "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 554, Jan.
• Björk, Tomas & Slinko, Irina, 2004, "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 595, Feb.
• Olovsson, Conny, 2004, "Social Security and the Equity Premium Puzzle," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 729, Mar.
• Asgharian, Hossein, 2004, "A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors," Working Papers, Lund University, Department of Economics, number 2004:10, Mar.
• Nilsson, Birger & Hansson, Björn, 2004, "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers, Lund University, Department of Economics, number 2004:28, Dec.
• Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2004, "The Market Pricing of Accruals Quality," SIFR Research Report Series, Institute for Financial Research, number 22, Mar.
• Noe, Thomas H. & Rebello, Michael J. & Wang, Jun, 2004, "The Evolution of Security Designs," SIFR Research Report Series, Institute for Financial Research, number 26, Sep.
• Bansal, Ravi & Dahlquist, Magnus & Harvey, Campbell R., 2004, "Dynamic Trading Strategies and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 31, Oct.
• Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004, "The Determinants of Credit Default Swap Premia," SIFR Research Report Series, Institute for Financial Research, number 32, Sep.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Ansgar Belke & Thorsten Polleit, 2004, "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 244/2004.
• Campbell, John & Vuolteenaho, Tuomo, 2004, "Bad Beta, Good Beta," Scholarly Articles, Harvard University Department of Economics, number 3122489.
• Vuolteenaho, Tuomo & Campbell, John, 2004, "Inflation Illusion and Stock Prices," Scholarly Articles, Harvard University Department of Economics, number 3196090.
• Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004, "Strategic Asset Allocation in a Continuous-Time VAR Model," Scholarly Articles, Harvard University Department of Economics, number 3294738.
• Shumei Gao & Jihe Song, 2004, "Quota Use under VERs: A theoretical framework and some evidence on MFA quota use," Working Papers, Department of Economics, School of Management and Languages, Heriot Watt University, number E03.
• Fajardo, J. & Mordeckiz, E., 2004, "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_71, Oct.
• José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004, "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, volume 28, issue 2, pages 349-376, May.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Mele, Antonio, 2004, "General Properties of Rational Stock-Market Fluctuations," Economics Series, Institute for Advanced Studies, number 153, Mar.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series, Institute for Advanced Studies, number 155, May.
• Ramaprasad Bhar & Shigeyuki Hamori, 2004, "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 45-56, April.
• Natalia Gershun, 2004, "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 67-81, April.
• Sheng-Yung Yang & Shuh-Chyi Doong, 2004, "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 139-153, August.
• Mirela Malin & Madhu Veeraraghavan, 2004, "On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 155-176, August.
• Baba, Naohiko & Inamura, Yasunari, 2004, "The Japanese Repo Market: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 1, pages 65-90, March.
• Rose, Andrew-K, 2004, "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 2, pages 1-17, May.
• Okina, Kunio & Shiratsuka, Shigenori, 2004, "Asset Price Fluctuations, Structural Adjustments, and Sustained Economic Growth: Lessons from Japan's Experience since the Late 1980s," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue S1, pages 143-167, December.
• Rosa María Cáceres Apolinario & Juan García Boza, 2004, "Análisis Del Riesgo Beta En El Mercado Bursátil Español," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 2, pages 145-168, Junio 200.
• Andrés D. Fundia & Francisco Venegas-Martínez, 2004, "Probabilistic Greeks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 3, pages 303-311, Septiembr.
• Arturo Lorenzo Valdés, 2004, "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 4, pages 333-341, Diciembre.
• Eduardo Sandoval & Rodrigo Saens, 2004, "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 41, issue 122, pages 65-89.
• Alberto Naudon & Matías Tapia & Felipe Zurita, 2004, "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 262.
• Ángel León & Gonzalo Rubio & Gregorio Serna, 2004, "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-13, Mar.
• Carlos Forner & Joaquín Marhuenda, 2004, "Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-20, Oct.
• Chulsoo Kim, 2004, "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 29, issue 2, pages 65-80, December.
• Spiwoks Markus, 2004, "Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 5, pages 557-578, October, DOI: 10.1515/jbnst-2004-0503.
• William Barnett & Shu Wu, 2004, "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200404, Jun, revised Jun 2004.
• William Barnett & Shu Wu, 2004, "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200405, Jun, revised Jun 2004.
• Martin Lettau & Sydney C. Ludvigson, 2004, "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, volume 94, issue 1, pages 276-299, March.
• Alan Auerbach, 2004, "How Much Equity Does the Government Hold?," American Economic Review, American Economic Association, volume 94, issue 2, pages 155-160, May, DOI: 10.1257/0002828041301489.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, volume 94, issue 2, pages 19-23, May, DOI: 10.1257/0002828041301533.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 29-32, May, DOI: 10.1257/0002828041301759.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Bad Beta, Good Beta," American Economic Review, American Economic Association, volume 94, issue 5, pages 1249-1275, December.
• Peter Temin & Hans-Joachim Voth, 2004, "Riding the South Sea Bubble," American Economic Review, American Economic Association, volume 94, issue 5, pages 1654-1668, December.
• Arne Feddersen & Wolfgang Maennig, 2004, "Sporting Success and Capital Market Performance: An Event Study of Borussia Dortmund," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 124, issue 2, pages 282-303.
• Bellver, Jeronimo Aznar & Martinez, Francisco Guijarro, 2004, "Modelos de valoracion en ambiente de incertidumbre," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 4, issue 07, pages 1-19, DOI: 10.22004/ag.econ.28731.
• Grant, Simon & Quiggin, John, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151167, Aug, DOI: 10.22004/ag.econ.151167.
• Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004, "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-14.
• Severine Cauchie & Martin Hoesli, 2004, "The integration of securitized real estate and financial assets," ERES, European Real Estate Society (ERES), number eres2004_574, Jun.
• Michael R. King & Dan Segal, 2004, "International Cross-Listing and the Bonding Hypothesis," Staff Working Papers, Bank of Canada, number 04-17, DOI: 10.34989/swp-2004-17.
• Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004, "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers, Bank of Canada, number 04-34, DOI: 10.34989/swp-2004-34.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
• Stuart Turnbull & Jun Yang, 2004, "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers, Bank of Canada, number 04-45, DOI: 10.34989/swp-2004-45.
• Gregory Bauer & Clara Vega, 2004, "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers, Bank of Canada, number 04-47, DOI: 10.34989/swp-2004-47.
• Antonio Di Cesare, 2004, "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 506, Jul.
• Paolo Guasoni, 2004, "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 507, Jul.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Gordon S. & St-Amour P., 2004, "Asset Returns and State-Dependent Risk Preferences," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 241-252, July.
• Eric Jondeau & Michael Rockinger, 2004, "The Bank Bias: Segmentation of French Fund Families," Working papers, Banque de France, number 107.
• Eric Jondeau & Michael Rockinger, 2004, "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France, number 108.
• Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004, "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 35, issue 1, pages 241-326.
• Kostas Tsatsaronis & Haibin Zhu, 2004, "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
• Marco Sorge, 2004, "The nature of credit risk in project finance," BIS Quarterly Review, Bank for International Settlements, December.
• E. Philip Davis & Haibin Zhu, 2004, "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers, Bank for International Settlements, number 150, Mar.
• Marco Sorge & Blaise Gadanecz, 2004, "The term structure of credit spreads in project finance," BIS Working Papers, Bank for International Settlements, number 159, Aug.
• Serdat Dinc & Patrick M. McGuire, 2004, "Did investors regard real estate as 'safe' during the 'Japanese Bubble' in the 1980s?," BIS Working Papers, Bank for International Settlements, number 164, Nov.
• Goetz von Peter, 2004, "Asset prices and banking distress: a macroeconomic approach," BIS Working Papers, Bank for International Settlements, number 167, Dec.
• Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004, "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, volume 14, issue 2, pages 201-221, April, DOI: 10.1111/j.0960-1627.2004.00189.x.
• Toshitaka Sekine & Towa Tachibana, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-2, Mar.
• Takashi Nagahata & Yumi Saita & Toshitaka Sekine & Towa Tachibana, 2004, "Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-9, Jul.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga, 2004, "Forward Volatility Contract Pricing in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 1-21.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo, 2004, "Credit Derivatives Pricing in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 159-182.
• Luciano Martin Rostagno & Gilberto de Oliveira Kloeckner & João Luiz Becker, 2004, "Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 183-206.
• E Philip Davis & Haibin Zhu, 2004, "Commercial property prices and bank performance," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• E Philip DaviS & Haibin Zhu, 2004, "Commercial property prices and bank performance," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• Zimmermann, Heinz & Beiner, Stefan & Drobetz, Wolfgang & Schmid, Markus, 2004, "Corporate Governance, Unternehmensbewertung und Wettbewerb : eine Untersuchung für die Schweiz," Working papers, Faculty of Business and Economics - University of Basel, number 2004/01.
• Kugler, Peter & Weder, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Working papers, Faculty of Business and Economics - University of Basel, number 2004/04.
• Drobetz, Wolfgang & Gugler, Klaus & Hirschvogl, Simone, 2004, "The Determinants of the German Corporate Governance Rating," Working papers, Faculty of Business and Economics - University of Basel, number 2004/06.
• Dominique Pépin, 2004, "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, volume 55, issue 2, pages 207-226.
• Édouard Challe, 2004, "Une décomposition du cycle boursier," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 395-405.
• Sophie Pardo & Robert Kast & André Lapied, 2004, "Construction d'un portefeuille sous-jacent virtuel," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 407-418.
• Hara, C. & Christoph Kuzmics, 2004, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0452, Jul.
• Mc Quinn, Kieran, 2004, "A Model of the Irish Housing Sector," Research Technical Papers, Central Bank of Ireland, number 1/RT/04, Apr.
• Martine Quinzii & Michael Magill, 2004, "Which Improves Welfare More: Nominal Or Indexed Bond?," Working Papers, University of California, Davis, Department of Economics, number 230, Jul.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2004, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt9878h0kn, Feb.
• Rodolfo Apreda, 2004, "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 256, Feb.
• Trino-Manuel Niguez & Javier Perote, 2004, "Forecasting the density of asset returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 479, Oct.
• Evzen Kocenda & Lubos Briatka, 2004, "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp235, Sep.
• M. Hashem Pesaran, 2000, "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," CESifo Working Paper Series, CESifo, number 346.
• Sjur Didrik Flåm, 2002, "Pooling, Pricing and Trading of Risks," CESifo Working Paper Series, CESifo, number 672.
• Michael Berlemann, 2004, "Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 57, issue 16, pages 21-29, August.
• Alexey Medvedev, 2008, "Implied Volatility at Expiration," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-04, Jan.
• Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2010, "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-07, Mar.
• Pascal St-Amour, 2004, "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers, CIRANO, number 2004s-11, Mar.
• Peter Christoffersen & Silvia Gonçalves, 2004, "Estimation Risk in Financial Risk Management," CIRANO Working Papers, CIRANO, number 2004s-15, Apr.
• Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004, "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers, CIRANO, number 2004s-54, Nov.
• Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004, "The Determinants of Credit Default Swap Premia," CIRANO Working Papers, CIRANO, number 2004s-55, Nov.
• Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004, "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers, CIRANO, number 2004s-56, Nov.
• Narayana R. Kocherlakota & Luigi Pistaferri, 2004, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 122247000000000508, Sep.
• Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
• Guillaume Plantin & Bruno Biais & Thomas Mariotti & Jean-Charles Rochet, 2004, "Dynamic Security Design," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2005-E5, Nov.
• Andr√©s Zambrano & Hern√°n Jaramillo Salazar & Clemente Forero, 2004, "Recuento Cr√≠tico de la Literatura sobre los Impactos de la Investigaci√≥n y sus Indicadores," Borradores de Investigación, Universidad del Rosario, number 3420, Nov.
• Alfonso Pedraza Martínez, 2004, "Impacto de las catástrofes en el valor de las acciones. El caso latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Cecilia Maya, 2004, "Valuation of financial assets using montecarlo: when the world is not so normal," Revista de Economía del Rosario, Universidad del Rosario.
• Sebastian Edwards, 2004, "The Economics of Latin American Art: Creativity Patterns and Rates of Return," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 1-35.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "EVA(c) Made Simple: Is it Possible?," Proyecciones Financieras y Valoración, Master Consultores, number 1895, Feb.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Consistency in Chocolate. A Fresh Look at Copeland‚Äôs Hershey Foods & Co Case," Proyecciones Financieras y Valoración, Master Consultores, number 2191, Jan.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Hershey Chocolate in Two Flavors: Kd and Ku," Proyecciones Financieras y Valoración, Master Consultores, number 2788, Feb.
• Ignacio V√©lez-Pareja, 2004, "Modeling the Financial Impact of Regulatory Policy: Practical Recommendations and Suggestions. The Case of World Bank," Proyecciones Financieras y Valoración, Master Consultores, number 3228, Aug.
• Ignacio V√©lez-Pareja, 2004, "Tasas de inter√©s efectivas y nominales: el calvario de los estudiantes de finanzas," Proyecciones Financieras y Valoración, Master Consultores, number 3541, Feb.
• Ignacio V√©lez-Pareja, 2004, "The Correct Definition for the Cash Flows to Value a Firm (Free Cash Flow and Cash Flow to Equity)," Proyecciones Financieras y Valoración, Master Consultores, number 3577, Aug.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "Timanco S. A.: Impuestos por pagar, p√©rdidas amortizadas, deuda en divisas, renta presuntiva y ajustes por inflaci√≥n. Su tratamiento con Flu," Proyecciones Financieras y Valoración, Master Consultores, number 3643, Jan.
• Joseph Tham & Ignacio V√©lez Pareja, 2004, "Top 9 (Unnecessary and Avoidable) Mistakes in Cash Flow Valuation," Proyecciones Financieras y Valoración, Master Consultores, number 3648, Feb.

2003

• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, volume 93, issue 2, pages 376-382, May.
• Yoshino, Joe Akira, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 2, pages 1-19, November, DOI: 10.22004/ag.econ.44000.
• Dapena, Jose Pablo, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 01, pages 1-24, May, DOI: 10.22004/ag.econ.44040.
• Milne, Frank & Neave, Edwin, 2003, "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273558, Sep, DOI: 10.22004/ag.econ.273558.
• Chambers, Robert G. & Quiggin, John, 2003, "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 150346, Oct, DOI: 10.22004/ag.econ.150346.
• Diks, C.G.H. & Weide, R. van der, 2003, "Heterogeneity as a natural source of randomness," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-05.
• Ariadna Dumitrescu, 2003, "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 591.03, Oct.
• 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.