Research classified by Journal of Economic Literature (JEL) codes

2003

• Gangadhar Darbha & Sudipta Dutta Roy & Vardhana Pawaskar, 2003, "Term Structure of Interest Rates in India: Issues in Estimation and Pricing," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 1, pages 1-19, January.
• Cazavan-Jeny, Anne, 2003, "Value-relevance of expensed and capitalized intangibles - a French survey," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03022, Jul.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2001," IESE Research Papers, IESE Business School, number D/485, Jan.
• Fernandez, Pablo, 2003, "Three residual income valuation methods and discounted cash flow valuation," IESE Research Papers, IESE Business School, number D/487, Jan.
• Fernandez, Pablo, 2003, "Levered and unlevered Beta," IESE Research Papers, IESE Business School, number D/488, Jan.
• Estrada, Javier, 2003, "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers, IESE Business School, number D/491, Feb.
• Estada, Javier, 2003, "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers, IESE Business School, number D/492, Feb.
• Estrada, Javier, 2003, "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers, IESE Business School, number D/493, Feb.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2002," IESE Research Papers, IESE Business School, number D/501, Apr.
• Fernandez, Pablo, 2003, "How to value a seasonal company by discounting cash flows," IESE Research Papers, IESE Business School, number D/511, Jul.
• Fernandez, Pablo & Villanueva, Alvaro, 2003, "Shareholder value creators and shareholder value destroyers in Europe. Year 2002," IESE Research Papers, IESE Business School, number D/514, Aug.
• Fernandez, Pablo, 2003, "Equivalence of ten different methods for valuing companies by cash flow discounting," IESE Research Papers, IESE Business School, number D/524, Nov.
• Fernandez, Pablo, 2003, "75 common and uncommon errors in company valuation," IESE Research Papers, IESE Business School, number Db/515, Aug.
• Stracca, Livio & Fielding, David, 2003, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series, European Central Bank, number 203, Jan.
• Ang, Andrew & Maddaloni, Angela, 2003, "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series, European Central Bank, number 208, Jan.
• Engel, Charles & West, Kenneth D., 2003, "Exchange rates and fundamentals," Working Paper Series, European Central Bank, number 248, Aug.
• Barnett, William A., 2003, "Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous," Working Paper Series, European Central Bank, number 260, Sep.
• Vestin, David & Hördahl, Peter, 2003, "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series, European Central Bank, number 274, Sep.
• Kenc, Turalay & John Driffill & Martin Sola, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 119, Jun.
• Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 177, Jun.
• To, Thuy Duong & Carl Chiarella, 2003, "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 205, Jun.
• Tudela, Merxe & Garry Young, 2003, "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 207, Jun.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003, "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, volume 113, issue 486, pages 1-25, March.
• Martin D. D. Evans, 2003, "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 345-389, April.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Hyun Song Shin, 2003, "Disclosures and Asset Returns," Econometrica, Econometric Society, volume 71, issue 1, pages 105-133, January.
• Yacine Ait--Sahalia & Per A. Mykland, 2003, "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, volume 71, issue 2, pages 483-549, March.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11-12, pages 2095-2114, September.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2095-2114, DOI: 10.1016/S0165-1889(02)00117-3.
• Guidolin, Massimo & Timmermann, Allan, 2003, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 5, pages 717-769, March.
• Lioui, Abraham & Poncet, Patrice, 2003, "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1163-1180, May.
• Epstein, Larry G. & Miao, Jianjun, 2003, "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1253-1288, May.
• Paul, Satya & Mallik, Girijasankar, 2003, "Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience," Economic Analysis and Policy, Elsevier, volume 33, issue 1, pages 23-30, March.
• Hipòlit Torró & Vicente Meneu & Enric Valor, 2003, "Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 4, pages 6-17, March, DOI: 10.1108/eb022969.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-49, Aug.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Valuing Euro rating-triggered step-up telecom bonds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-50, Aug.
• Houweling, P. & Vorst, A.C.F., 2003, "Pricing default swaps: empirical evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-51, Aug.
• Post, G.T., 2003, "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-017-F&A, Mar.
• Post, G.T., 2003, "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-017-F&A, Jun.
• Roosenboom, P.G.J. & van der Goot, T., 2003, "Takeover defenses and IPO firm value in the Netherlands," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-049-ORG, Jun.
• Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003, "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp54, May.
• Dušan Isakov & Frédéric Sonney, 2003, "Are practitioners right? On the relative importance of industrial factors in international stock returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp72, Feb.
• Pascal BOTTERON & Jean-François CASANOVA, 2003, "Start-ups Defined as Portfolios of Embedded Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp85, May.
• Kjell G. Nyborg & Ilya A. Strebulaev, 2003, "Multiple Unit Auctions and Short Squeezes," Working Papers, Fondazione Eni Enrico Mattei, number 2003.27, Mar.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Charles Engel & Kenneth D. West, 2003, "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Glenn D. Rudebusch & Tao Wu, 2003, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-17, Dec, DOI: 10.24148/wp2003-17.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports, Federal Reserve Bank of New York, number 174.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 110.
• Harrison Hong & Jeremy C. Stein, 2003, "Simple Forecasts and Paradigm Shifts," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2007.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2016.
• Owen A. Lamont & Jeremy C. Stein, 2003, "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2027.
• Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003, "Inventory Information," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-33, Mar.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00265674.
• Jacques Olivier & José M. Marin, 2003, "On the impact of leverage constraints on asset prices and trading volume," Post-Print, HAL, number hal-00460077, Jun, DOI: 10.1007/s101080300063.
• Fabrice Hervé, 2003, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print, HAL, number hal-00488374.
• Elyès Jouini & Clotilde Napp, 2003, "A class of models satisfying a dynamical version of the CAPM," Post-Print, HAL, number halshs-00167159.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Post-Print, HAL, number halshs-00265674.
• Niehaus, Frank, 2003, "Heterogeneous Preferences and the Representative Investor," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-291, Dec.
• Christiansen, Charlotte & Nielsen, Helena Skyt, 2003, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-9, May.
• Ericsson, Johan & Karlsson, Sune, 2003, "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 524, Apr, revised 12 Feb 2004.
• Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Working Paper Series, Research Institute of Industrial Economics, number 588, Jan.
• Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003, "Taylor Rules and the Predictability of Interest Rates," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 147, Apr.
• Ericsson, Jan & Reneby, Joel, 2003, "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research, number 15, Jun.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series, Institute for Financial Research, number 18, Aug.
• Giordani, Paolo & Söderlind, Paul, 2003, "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series, Institute for Financial Research, number 19, Aug.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Research Papers in Economics, Stockholm University, Department of Economics, number 2003:1, Jan.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Scholarly Articles, Harvard University Department of Economics, number 30747193.
• Viceira, Luis & Campbell, John & White, Joshua, 2003, "Foreign Currency for Long-Term Investors," Scholarly Articles, Harvard University Department of Economics, number 3128708.
• Campbell, John & Taksler, Glen, 2003, "Equity Volatility and Corporate Bond Yields," Scholarly Articles, Harvard University Department of Economics, number 3153307.
• Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003, "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles, Harvard University Department of Economics, number 3163263.
• Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
• Arie Melnik & Doron Nissim, 2003, "Debt issue costs and issue characteristics in the Eurobond market," ICER Working Papers, ICER - International Centre for Economic Research, number 09-2003, Mar.
• Claudio Mattalia, 2003, "Existence of solutions and asset pricing bubbles in general equilibrium models," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 02-2003, Jan.
• Gollier, Christian & Schlee, Edward, 2003, "Information and the Equity Premium," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 251, revised 2011.
• Michel Normandin, 2003, "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-08, Nov.
• J. Carlos Gómez Sala & Jorge Yzaguirre, 2003, "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 491-531, September.
• Oliver Kubertin & Michael H. Breitner, 2003, "WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options," IWI Discussion Paper Series, Institut für Wirtschaftsinformatik, Universität Hannover, number 5, May.
• Amit Goyal & Ivo Welch, 2003, "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, volume 49, issue 5, pages 639-654, May, DOI: 10.1287/mnsc.49.5.639.15149.
• Felipe Zurita, 2003, "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 725-727.
• Carlos Forner & Joaquín Marhuenda, 2003, "El Efecto Momentum En El Mercado Español De Acciones," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-14, Jul.
• Merz, Monika & Yashiv, Eran, 2003, "Labor and the Market Value of the Firm," IZA Discussion Papers, IZA Network @ LISER, number 965, Dec.
• Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003, "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 2, pages 213-223, October, DOI: 10.1023/A:1026137931041.
• Fabio Canova & Gianni De Nicoló, 2003, "The Properties of the Equity Premium and the Risk-Free Rate: An Investigation Across Time and Countries," IMF Staff Papers, Palgrave Macmillan, volume 50, issue 2, pages 1-4.
• Cetin Ciner, 2003, "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 1, pages 87-102, Spring.
• Junbo Wang & Sheen Liu & Chunchi Wu, 2003, "Does Underwriter Reputation Affect the Performance of IPO Issues?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 3, pages 17-41, Fall.
• Bengi Ertuna & Metin Ercan & Vedat Akgiray, 2003, "The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 3, pages 43-55, Fall.
• Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003, "Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 13879.
• Christophe, Faugere, 2003, "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper, University Library of Munich, Germany, number 15579, Jun, revised 04 Jun 2009.
• Fleten, Stein-Erik & Näsäkkälä, Erkka, 2003, "Gas fired power plants: Investment timing, operating flexibility and abandonment," MPRA Paper, University Library of Munich, Germany, number 217, Mar, revised Jun 2006.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk And Expected Stock Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 144, Jan.
• Karine Michalon, 2003, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Revue d'Économie Financière, Programme National Persée, volume 70, issue 1, pages 253-259, DOI: 10.3406/ecofi.2003.4838.
• Christophe Boucher, 2003, "La valorisation des sociétés de la Nouvelle économie par les options réelles : vertiges et controverses d’une analogie," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 299-315, DOI: 10.3406/ecofi.2003.4885.
• Daoud Barkat Daoud, 2003, "Quelle réglementation du capital bancaire pour les pays en développement ?," Revue d'Économie Financière, Programme National Persée, volume 73, issue 4, pages 311-323, DOI: 10.3406/ecofi.2003.5024.
• Frank Milne & Edwin H. Neave, 2003, "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper, Economics Department, Queen's University, number 1082, Sep.
• Elias Tzavalis & Shijun Wang, 2003, "Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary," Working Papers, Queen Mary University of London, School of Economics and Finance, number 488, Feb.
• Mark Gugiatti & Anthony Richards, 2003, "Do Collective Action Clauses Influence Bond Yields? New Evidence from Emerging Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2003-02, Mar.
• Jaideep Bedi & Anthony Richards & Paul Tennant, 2003, "The Characteristics and Trading Behaviour of Dual-listed Companies," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2003-06, Jun.
• Carol Alexander & Dimitri Lvov, 2003, "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-03, Jan.
• Carol Alexandra & Andrew Scourse, 2003, "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-15, Dec.
• Thorsten Beck, 2003, "Stock markets, banks, and economic development:theory and evidence," EIB Papers, European Investment Bank, Economics Department, number 2/2003, Jun.
• Usha R. Mittoo & Robert W. Faff, 2003, "Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 18, pages 433-465.
• Shahin Shojai & George Feiger, 2003, "Market Credibility and Other Dietary Fads," Journal of Financial Transformation, Capco Institute, volume 7, pages 63-70.
• Damir Tokic, 2003, "Why interest rate cuts may be ineffective in the new economy," Journal of Financial Transformation, Capco Institute, volume 7, pages 13-16.
• Haim Kedar-Levy, 2003, "Technology shocks and financial bubbles," Journal of Financial Transformation, Capco Institute, volume 7, pages 53-62.
• Andrew Chen & James Conover & John Kensinger, 2003, "How can management deliver value for shareholders?," Journal of Financial Transformation, Capco Institute, volume 7, pages 93-101.
• M. Fatih Guvenen, 2003, "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 499, Mar.
• Leonardo Becchetti & Michele Bagella & Fabrizio Adriani, 2003, "Observed and 'Fundamental' Price Earning Ratios: A Comparative Analysis of High-tech Stock Evaluation in the US and in Europe," CEIS Research Paper, Tor Vergata University, CEIS, number 34, Sep.
• Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003, "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper, Tor Vergata University, CEIS, number 8, Apr.
• L. Baele, 2003, "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/189, Aug.
• Markus Glaser & Martin Weber, 2003, "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 2, pages 108-135, April.
• Sandra Peterson & Richard C. Stapleton, 2003, "The Pricing Of Options On Credit-Sensitive Bonds," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 3, pages 178-193, July.
• Volker Herrmann & Frank Richter, 2003, "Pricing With Performance-Controlled Multiples," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 3, pages 194-219, July.
• Chia-Hsuan Yeh, 2003, "Tick Size and Market Performance," Computing in Economics and Finance 2003, Society for Computational Economics, number 112, Aug.
• Thomas Lux, 2003, "The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting," Computing in Economics and Finance 2003, Society for Computational Economics, number 14, Aug.
• Leonardo Souza & Gustavo Raposo, 2003, "Valuing Interest Rates Derivatives," Computing in Economics and Finance 2003, Society for Computational Economics, number 179, Aug.
• Turalay Kenc & Sel Dibooglu, 2003, "How does the spirit of capitalism affect stock market prices in a small-open economy," Computing in Economics and Finance 2003, Society for Computational Economics, number 196, Aug.
• Christopher Rude, 2003, "Security Prices as Probabilities," Computing in Economics and Finance 2003, Society for Computational Economics, number 198, Aug.
• Tao Wu & Glenn Rudebusch, 2003, "Macroeconomics and the Yield Curve," Computing in Economics and Finance 2003, Society for Computational Economics, number 206, Aug.
• Eva Carceles-Poveda & Arpad Abraham, 2003, "Endogenous Trading Constraints in Asset Markets," Computing in Economics and Finance 2003, Society for Computational Economics, number 211, Aug.
• Emre Berk & Ulku Gurler, 2003, "On Optimal Dynamic Pricing of Perishable Assets with Menu Costs - Monotone Price Changes," Computing in Economics and Finance 2003, Society for Computational Economics, number 218, Aug.
• Eva Carceles-Poveda, 2003, "Capital Ownership under Market Incompleteness: Does it matter?," Computing in Economics and Finance 2003, Society for Computational Economics, number 228, Aug.
• Stefan Weber & Kay Giesecke, 2003, "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003, Society for Computational Economics, number 246, Aug.
• Kay Giesecke, 2003, "Successive Correlated Defaults: Pricing Trends and Simulation," Computing in Economics and Finance 2003, Society for Computational Economics, number 247, Aug.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003, "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003, Society for Computational Economics, number 252, Aug.
• Martin Sola & John Driffil & Turalay Kenc, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Computing in Economics and Finance 2003, Society for Computational Economics, number 65, Aug.
• Frank Westerhoff, 2003, "Multi-Asset Market Dynamics," Computing in Economics and Finance 2003, Society for Computational Economics, number 88, Aug.
• Giovanni Cespa, 2003, "A Comparison of Stock Market Mechanism," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 94, Apr.
• Giovanni Cespa, 2003, "Giffen Goods and Market Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 97, May.
• Rolando F. Peláez, 2003, "Ten-year forecasts of real stock price changes," Empirical Economics, Springer, volume 28, issue 2, pages 417-429, April, DOI: 10.1007/s001810200139.
• Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov, 2003, "Random step functions model for interest rates," Finance and Stochastics, Springer, volume 7, issue 1, pages 123-143.
• Kyung-Ha Cho, 2003, "Continuous auctions and insider trading: uniqueness and risk aversion," Finance and Stochastics, Springer, volume 7, issue 1, pages 47-71.
• Eduardo L. Giménez, 2003, "Complete and incomplete markets with short-sale constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 1, pages 195-204, January, DOI: 10.1007/s00199-001-0244-9.
• Ho-Mou Wu & Wen-Chung Guo, 2003, "Speculative trading with rational beliefs and endogenous uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 2, pages 263-292, March, DOI: 10.1007/s00199-002-0303-x.
• Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003, "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 139, issue 2, pages 276-305, June, DOI: 10.1007/BF02659746.
• Lionel Nesta & Pier-Paolo Saviotti, 2003, "Intangible Assests and Market Value: Evidence from Biotechnology Firms," SPRU Working Paper Series, SPRU - Science Policy Research Unit, University of Sussex Business School, number 87, Jun.
• Giulio Bottazzi & Maria Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/19, Dec.
• Laura Veldkamp, 2003, "Media Frenzies in Markets for Financial Information," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 03-20.
• Jose Sanchez-Fung, 2003, "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 4, pages 247-250, DOI: 10.1080/1350485032000050635.
• Nuno Cassola & Jorge Barros Luis, 2003, "A two-factor model of the German term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 11, pages 783-806, DOI: 10.1080/0960310022000020915.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• José Pablo Dapena, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 1, pages 49-72, May, DOI: 10.1080/15140326.2003.12040585.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 2, pages 385-403, November, DOI: 10.1080/15140326.2003.12040600.
• Saadet Kirbas-Kasman & Adnan Kasman, 2003, "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 67-84.
• Cees Diks & Roy van der Weide, 2003, "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-007/1, Jan.
• Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2003, "Coordination of Expectations in Asset Pricing Experiments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-010/1, Jan.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-028/2, Apr.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-030/2, Mar.
• Joep Sonnemans, 2003, "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-043/1, Jun.
• M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003, "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-071/4, Sep.
• Cees Diks & Roy van der Weide, 2003, "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-073/1, Sep.
• Bas Peeters & Cees L. Dert & André Lucas, 2003, "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-090/2, Oct.
• de Goeij, P. C. & Marquering, W., 2003, "Do Macroeconomic Announcements Cause Asymmetric Volatility," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-131.
• Guha, R. & Sbuelz, A., 2003, "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-37.
• Sbuelz, A., 2003, "Analytic American Option Pricing and Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-64.
• Baele, L., 2003, "Volatility Spillover Effects in European Equity Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-114.
• Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003, "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, volume 1, issue 1, pages 68-123, March.
• Giulio Bottazzi & Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," ROCK Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 022, Jan, revised 12 Jun 2008.
• Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003, "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0306.
• Pastor, Lubos & Stambaugh, Robert F., 2003, "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 3, pages 642-685, June, DOI: 10.1086/374184.
• Joao Gomes & Leonid Kogan & Lu Zhang, 2003, "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 4, pages 693-732, August, DOI: 10.1086/375379.
• Javier DePeña & Luis A. Gil-Alana, 2003, "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/03, Jan.
• Herings, P.J.J. & Kubler, F., 2003, "Approximate CAPM when preferences are CRRA," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 040, Jan, DOI: 10.26481/umamet.2003040.
• Hens, Th. & Herings, P.J.J. & Predtetchinski, A., 2003, "Limits to arbitrage when market participation is restricted," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 051, Jan, DOI: 10.26481/umamet.2003051.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2003, "Reexamining the maturity effect using extensive futures data," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-06.
• He, Wei & Wei, Peihwang P., 2003, "Is overreaction an explanation for the value effect? A study using implied volatility from option prices," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-11.
• Arturo Kohatsu & Montero Miquel, 2003, "Malliavin calculus in finance," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 672, Apr.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003, "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 694, Jun.
• José Penalva, 2003, "Implications of dynamic trading for insurance markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 720, Dec.
• Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003, "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0308, Jun.
• Raquel Arévalo Tomé & José María Chamorro Rivas, 2003, "A Quality Index for Spanish Housing," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0309, Oct.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, number 03/01, Sep.
• Steven Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "Democratization???s Risk Premium: Partisan and Opportunistic Political Business Cycle Effects on Sovereign Ratings in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 546, Feb.
• Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "DEMOCRACY???S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-575, May.
• Chu‐Sheng Tai, 2003, "Looking for contagion in currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 10, pages 957-988, October.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• John Duffy & M. Utku Unver, 2003, "Asset Price Bubbles and Crashes with Near-Zero-Intelligence Traders: Towards an Understanding of Laboratory Findings," Computational Economics, University Library of Munich, Germany, number 0307001, Jul, revised 17 Mar 2004.
• Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003, "A SETAR model with long-memory dynamics," Econometrics, University Library of Munich, Germany, number 0309002, Sep.
• Ross M. Miller, 2003, "Don't Let Your Robots Grow Up To Be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles," Experimental, University Library of Munich, Germany, number 0306001, Jun.
• Danyang Xie, 2003, "Toward a Theory of Asset Subscription," Finance, University Library of Munich, Germany, number 0303001, Mar.
• Thomas Schuster, 2003, "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance, University Library of Munich, Germany, number 0303002, Mar.