Research classified by Journal of Economic Literature (JEL) codes

2003

• 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 Staff Working Paper series, 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.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Soderlind, Paul, 2003, "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, volume 55, issue 4, pages 321-330.
• Kamihigashi, Takashi, 2003, "Necessity of transversality conditions for stochastic problems," Journal of Economic Theory, Elsevier, volume 109, issue 1, pages 140-149, March.
• Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, volume 67, issue 1, pages 41-80, January.
• Gromb, Denis & Vayanos, Dimitri, 2003, "Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]," Journal of Financial Economics, Elsevier, volume 67, issue 3, pages 531-531, March.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Journal of Financial Economics, Elsevier, volume 68, issue 2, pages 161-199, May.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
• Ono, Yukako, 2003, "Outsourcing business services and the role of central administrative offices," Journal of Urban Economics, Elsevier, volume 53, issue 3, pages 377-395, May.
• Engstrom, Stefan, 2003, "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 463-482, September.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Robert Pollin & Dean Baker & Marc Schaberg, 2003, "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 527-558, Fall.
• G. Glenn Baigent, 2003, "Competitive Markets and Aggregate Information," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 593-606, Fall.
• Linton, Oliver & Mammen, Enno, 2003, "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2187, May.
• 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.
• 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.
• 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.
• 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.
• 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.
• Jaime A. Londoño, 2003, "State Tameness: A New Approach for Credit Constrains," Finance, University Library of Munich, Germany, number 0305001, May, revised 16 Feb 2004.
• Dan Galai & Alon Raviv & Zvi Wiener, 2003, "Liquidation Triggers and the Valuation of Equity and Debt," Finance, University Library of Munich, Germany, number 0305002, May.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Finance, University Library of Munich, Germany, number 0305008, May.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.
• Christophe Boucher, 2003, "“Winners take all competition”, creative destruction and stock market bubble," Finance, University Library of Munich, Germany, number 0305010, May.
• Ananth Rao, 2003, "Analysis of UAE Bank Stocks," Finance, University Library of Munich, Germany, number 0306001, Jun.
• Erdinc Altay, 2003, "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance, University Library of Munich, Germany, number 0307006, Jul.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.