Research classified by Journal of Economic Literature (JEL) codes

2002

• Neal Maroney & Aris Protopapadakis, 2002, "The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets," Review of Finance, European Finance Association, volume 6, issue 2, pages 189-221.
• David Feldman, 2002, "Production and the Real Rate of Interest: A Sample Path Equilibrium," Review of Finance, European Finance Association, volume 6, issue 2, pages 247-275.
• Doron Kliger & Ori Levy, 2002, "Risk Preferences Heterogeneity: Evidence from Asset Markets," Review of Finance, European Finance Association, volume 6, issue 3, pages 277-290.
• Viral V. Acharya & Jennifer N. Carpenter, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, volume 15, issue 5, pages 1355-1383.
• Dahlquist, Magnus & Sallstrom, Torbjorn, 2002, "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3145, Jan.
• Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002, "Evaluating Style Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3181, Jan.
• Voth, Hans-Joachim, 2002, "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3254, Mar.
• Vives, Xavier & Medrano, Luis Angel, 2002, "Regulating Insider Trading when Investment Matters," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3292, Apr.
• Uppal, Raman & Kogan, Leonid, 2002, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3306, Apr.
• Acharya, Viral & Carpenter, Jennifer, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3328, Apr.
• Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002, "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3329, Apr.
• Miller, Marcus & corrado, luisa, 2002, "Exchange Rate Monitoring Bands: Theory and Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3337, Apr.
• Shin, Hyun Song, 2002, "Disclosures and Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3345, Apr.
• Weber, Martin & Glaser, Markus, 2002, "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3353, Apr.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2002, "Stock Valuation and Learning about Profitability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3410, Jun.
• Basak, Suleyman & Pavlova, Anna, 2002, "A Dynamic Model with Import Quota Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3414, Jun.
• Basak, Suleyman & Pavlova, Anna, 2002, "Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3425, Jun.
• Koedijk, Kees & Bauer, Bob & Otten, Roger, 2002, "International Evidence on Ethical Mutual Fund Performance and Investment Style," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3452, Jul.
• Campbell, John Y & Viceira, Luis & White, Josh S., 2002, "Foreign Currency for Long-Term Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3463, Jul.
• Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002, "Equilibrium Cross-Section of Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3482, Aug.
• Moore, Michael & Dunne, Peter G & Portes, Richard, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3490, Aug.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2002, "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3494, Aug.
• Yaron, Amir & Gomes, Joao & Zhang, Lu, 2002, "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3495, Aug.
• Lettau, Martin & Ludvigson, Sydney, 2002, "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3507, Aug.
• Martínez, Miguel Ángel & Nieto, Belén & Rubio, Gonzalo & Tapia, Mikel, 2002, "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb026022, Jan.
• Jiang Wang, 2002, "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, volume 3, issue 2, pages 299-359, November.
• Leippold, Markus & Wu, Liuren, 2002, "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 37, issue 2, pages 271-295, June.
• Smetters, Kent, 2002, "Controlling the cost of minimum benefit guarantees in public pension conversions," Journal of Pension Economics and Finance, Cambridge University Press, volume 1, issue 1, pages 9-33, March.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380, Aug.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380R, Aug, revised Jul 2004.
• Ray C. Fair, 2002, "Risk Aversion and Stock Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1382, Sep, revised Feb 2003.
• Reinker, Kenneth S. & Tower, Edward, 2002, "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers, Duke University, Department of Economics, number 02-22.
• Eraker, Bjorn, 2002, "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Working Papers, Duke University, Department of Economics, number 02-23.
• Harney, Matthew & Tower, Edward, 2002, "Rational Pessimism: Predicting Equity Returns using Tobin's q and Price/Earnings Ratios," Working Papers, Duke University, Department of Economics, number 02-29.
• Chau, Minh, 2002, "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 02025, Nov.
• HEGE, Ulrich & MELLA-BARRAL, Pierre, 2002, "Repeated dilution of diffusely held debt," HEC Research Papers Series, HEC Paris, number 751, Apr.
• Fernández, Pablo, 2002, "Company valuation methods. The most common errors in valuations," IESE Research Papers, IESE Business School, number D/449, Jan.
• Fernández, Pablo, 2002, "Valuation using multiples. How do analysts reach their conclusions?," IESE Research Papers, IESE Business School, number D/450, Jan.
• Fernández, Pablo, 2002, "Internet valuations: The case of Terra-Lycos," IESE Research Papers, IESE Business School, number D/452, Jan.
• Fernández, Pablo, 2002, "EVA, Economic profit and cash value added do NOT measure shareholder value creation," IESE Research Papers, IESE Business School, number D/453, Jan.
• Fernández, Pablo, 2002, "Valuing real options: frequently made errors," IESE Research Papers, IESE Business School, number D/455, Jan.
• Fernández, Pablo, 2002, "Valuation of brands and intellectual capital," IESE Research Papers, IESE Business School, number D/456, Jan.
• Brousseau, Vincent, 2002, "The functional form of yield curves," Working Paper Series, European Central Bank, number 148, May.
• Vesala, Jukka & Vulpes, Giuseppe & Gropp, Reint, 2002, "Equity and bond market signals as leading indicators of bank fragility," Working Paper Series, European Central Bank, number 150, Jun.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2002, "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series, European Central Bank, number 157, Jul.
• Serlenga, Laura & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to testing Anomaly Effects in Factor Pricing Models," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 165, Aug.
• Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002, "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, volume 70, issue 3, pages 1067-1109, May.
• Zengjing Chen & Larry Epstein, 2002, "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, volume 70, issue 4, pages 1403-1443, July.
• Laura Serlenga & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 88, Aug.
• Abel, Andrew B., 2002, "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 7-8, pages 1075-1092, July.
• Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002, "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, volume 19, issue 4, pages 611-639, August.
• Malliaris, A. G., 2002, "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, volume 13, issue 1, pages 72-92, May.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number ERS-2002-23-F&A, Feb.
• de Goeij, P. & Marquering, W.A., 2002, "Modeling the Conditional Covariance between Stock and Bond Returns," 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-2002-11-F&A, Jan.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," 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-2002-23-F&A, Feb.
• van den Bergh, W.-M. & Steenbeek, O.W. & van den Berg, J.H., 2002, "Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach," 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-2002-29-F&A, Mar.
• Post, G.T. & Levy, H., 2002, "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," 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-2002-50-F&A, May.
• Bolton, R.N. & Lemo, K.N. & Verhoef, P.C., 2002, "The Theoretical Underpinnings of Customer Asset Management," 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-2002-80-MKT, Sep.
• de Goeij, P. & Marquering, W.A., 2002, "Do Macroeconomic Announcements Cause Asymetric Volatility?," 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-2002-103-F&A, Nov.
• Henry Schellhorn, 2002, "Optimal Changes of Gaussian Measures, with Application to Finance," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp127, May.
• Alexandre Ziegler, 2002, "Why does Implied Risk Aversion Smile?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp47, May.
• Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002, "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp48, Apr.
• Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002, "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp65, Dec.
• Peng Cheng & Olivier Scaillet, 2002, "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp67, Nov.
• Eric Jondeau & Michael Rockinger, 2002, "The Allocation of Assets Under Higher Moments," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp71, Dec.
• Tom A. FEARNLEY, 2002, "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp95, Jul.
• Tom A. FEARNLEY, 2002, "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp97, Jul.
• Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002, "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
• Yukako Ono, 2002, "Outsourcing business services and the role of central administrative offices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-02-01.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports, Federal Reserve Bank of New York, number 145.
• Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002, "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers, Financial Markets Group, number dp419, Jul.
• Jonathan Parker & Markus K Brunnermeier, 2002, "Optimal Expectations," FMG Discussion Papers, Financial Markets Group, number dp434, Dec.
• John Y. Campbell & Glen B. Taksler, 2002, "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1945.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1953.
• John Y. Campbell & Tuomo Vuolteenaho, 2002, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1971.
• John Y. Campbell, 2002, "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1974.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1977.
• Martin Evans, 2002, "Real Risk, Inflation Risk, and the Term Structure," Working Papers, Georgetown University, Department of Economics, number gueconwpa~02-02-10, Feb.
• Karine Michalon, 2002, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print, HAL, number halshs-00142776.
• Elisabeth Combes Thuélin, 2002, "Developpement Des Marches Financiers Et Evaluation Des Actifs Bancaires : Cout Historique Versus Juste Valeur. L'Exemple De La Titrisation," Post-Print, HAL, number halshs-00584458, May.
• Christiansen, Charlotte & Nielsen, Helena Skyt, 2002, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 02-10, Jul.
• Jensen, Bjarne Astrup, 2002, "On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model," Working Papers, Copenhagen Business School, Department of Finance, number 2002-1, Mar.
• Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002, "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 484, Jan.
• Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002, "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 508, Sep.
• Giordani, Paolo & Söderlind, Paul, 2002, "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 519, Dec, revised 01 Oct 2003.
• Nilsson, Birger, 2002, "International Asset Pricing and the Benefits from World Market Diversification," Working Papers, Lund University, Department of Economics, number 2002:1, Feb.
• Asgharian, Hossein & Hansson, Björn, 2002, "Cross Sectional Analysis of the Swedish Stock Market," Working Papers, Lund University, Department of Economics, number 2002:19, Oct.
• Bansal, Ravi & Dahlquist, Magnus, 2002, "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series, Institute for Financial Research, number 8, Nov.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2002, "Corporate Governance and the Home Bias," SIFR Research Report Series, Institute for Financial Research, number 11, Nov.
• Daunfeldt, Sven-Olov, 2002, "Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden," Umeå Economic Studies, Umeå University, Department of Economics, number 585, Feb.
• Brännäs, Kurt, 2002, "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," Umeå Economic Studies, Umeå University, Department of Economics, number 592, Oct.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Belén Nieto, 2002, "La valoración intertemporal de activos: un análisis empírico para el mercado español de valores," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 497-524, September.
• Shigeyuki Hamori & Akira Tokihisa, 2002, "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 79-86, April.
• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 3, pages 181-237, October.
• Okina, Kunio & Shiratsuka, Shigenori, 2002, "Asset Price Bubbles, Price Stability, and Monetary Policy: Japan' s Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 3, pages 35-76, October.
• Fernando Lefort & Eduardo Walker, 2002, "Cambios Estructurales e Integración. Discusión y Análisis del Mercado Accionario Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 116, pages 95-122.
• Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002, "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-24, Sep.
• Ayla Ogus, 2002, "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers, Izmir University of Economics, number 0201, Aug.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002, "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 2, pages 149-174.
• Ambrose, Brent W & Hendershott, Patric H & Klosek, Malgorzata, 2002, "Pricing Upward-Only Adjusting Leases," The Journal of Real Estate Finance and Economics, Springer, volume 25, issue 1, pages 33-49, July.

2001

• Menkveld, A.J., 2001, "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-20, Jun.
• Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
• Laurent BARRAS, & Dušan ISAKOV, 2001, "How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp37, Nov.
• Manfred GILLI, & Peter WINKER, 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp38, Nov.
• Jan ERICSSON & Olivier RENAULT, 2001, "Liquidity and Credit Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp42, Aug.
• Michal Slavík, 2001, "Interest Rates Time Structure and Domestic Bond Prices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 10, pages 591-607, October.
• Michaela Skolková & Vladimír Stiller & Jan Syrovátka, 2001, "The Role of Asset Prices in the Monetary Transmission Mechanism," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 9, pages 488-506, September.
• Michael T. Kiley, 2001, "An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-41.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, regulations, and asset prices," Working Papers, Federal Reserve Bank of Minneapolis, number 610.
• Michael J. Fleming, 2001, "Financial market implications of the federal debt paydown," Staff Reports, Federal Reserve Bank of New York, number 120, Mar.
• Martin Lettau, 2001, "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports, Federal Reserve Bank of New York, number 130.
• Andrew B. Abel, 2001, "An exploration of the effects of pessimism and doubt on asset returns," Working Papers, Federal Reserve Bank of Philadelphia, number 01-1.
• Andrew B. Abel, 2001, "Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?," Working Papers, Federal Reserve Bank of Philadelphia, number 01-2.
• Hyun Song Shin, 2001, "Disclosures and Asset Returns," FMG Discussion Papers, Financial Markets Group, number dp371, Mar.
• Sven Rady, 2001, "Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints," FMG Discussion Papers, Financial Markets Group, number dp375, Mar.
• Jean-Pierre Zigrand & Jon Danielsson, 2001, "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers, Financial Markets Group, number dp393, Oct.
• Allan Timmermann & Massimo Guidolin, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers, Financial Markets Group, number dp397, Nov.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.07.
• Assoé, K., 2001, "Volatility Spillovers between Foreign Exchange and Emerging Stock Markets," Papers, Ecole des Hautes Etudes Commerciales de Montreal-, number 2001-04.
• Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001, "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1928.
• Ait-Sahalia, Y. & Brandt, M.W., 2001, "Variable Selection for Portfolio Choice," Papers, Manitoba - Department of Economics, number 34.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Manitoba - Department of Economics, number 37.
• Winmker, P. & Gilli, M., 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers, Manitoba - Department of Economics, number 38.
• Cassola, N. & Luis, J.B., 2001, "A Two-Factor Model of the German Term Structure of Interest Rates," Papers, Quebec a Montreal - Recherche en gestion, number 46.
• Jean-Luc Prigent, 2001, "Option Pricing with a General Marked Point Process," Post-Print, HAL, number hal-03679678, Feb, DOI: 10.1287/moor.26.1.50.10592.
• Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Post-Print, HAL, number halshs-00167157.
• Niehaus, Frank, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-234, Feb.
• Skogsvik, Kenth & Skogsvik, Stina, 2001, "P/E-ratios in Relative Valuation - a Mission Impossible?," SSE/EFI Working Paper Series in Business Administration, Stockholm School of Economics, number 2001:7, Apr.
• Raahauge, Peter, 2001, "Empirical Rationality in the Stock Market," Working Papers, Copenhagen Business School, Department of Finance, number 2001-9, Dec.
• Dahl, Christian M. & Nielsen, Steen, 2001, "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers, Copenhagen Business School, Department of Economics, number 07-2001, Aug.
• Nivorozhkin, Eugene, 2001, "An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy," Working Papers in Economics, University of Gothenburg, Department of Economics, number 44, May, revised 19 Dec 2001.
• Reneby, Joel & Ericsson, Jan, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 445, Feb, revised 07 Jan 2003.
• Söderlind, Paul, 2001, "Monetary Policy and Bond Option Pricing in an Analytical RBC Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0447, May, revised 03 Jan 2003.
• Longarela, Iñaki R., 2001, "An Extension of Good-Deal Asset Price Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0448, May, revised 19 Oct 2001.
• Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001, "Financial Innovation, Market Participation and Asset Prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 464, Aug.
• Graflund, Andreas, 2001, "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers, Lund University, Department of Economics, number 2001:8, Jun.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series, Institute for Financial Research, number 1, Dec.
• Berg, Lennart, 2001, "Prices and Constant Quality Price Indexes for Multi-Dwelling and Commercial Buildings in Sweden," Working Paper Series, Uppsala University, Department of Economics, number 2002:2, Oct.
• Viceira, Luis & Campbell, John, 2001, "Who Should Buy Long-Term Bonds?," Scholarly Articles, Harvard University Department of Economics, number 3128709.
• Campbell, John, 2001, "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles, Harvard University Department of Economics, number 3196341.
• Cocco, Joao & Gomes, Francisco & Maenhout, Pascal J. & Campbell, John Y. & Viceira, Luis Manuel, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Scholarly Articles, Harvard University Department of Economics, number 3353758.
• Luigi Montrucchio & Fabio Privileggi, 2001, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 05-2001, Jan.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjoström, 2001, "Credit rationing, wealth inequality, and allocation of talent," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 23-2001, Jul.
• Dupont, Dominique Y., 2001, "Hedging Barrier Options: Current Methods and Alternatives," Economics Series, Institute for Advanced Studies, number 103, Sep.
• Enric Valor & Hipòlit Torró & Vicente Meneu, 2001, "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-22, Nov.
• María Jesús Pastor & Juan Francisco Martín, 2001, "Efectos A Largo Plazo De Las Ampliaciones De Capital En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-26, Dec.
• Robert E. Hall, 2001, "Struggling to Understand the Stock Market," American Economic Review, American Economic Association, volume 91, issue 2, pages 1-11, May.
• Robert S. Chirinko & Huntley Schaller, 2001, "Business Fixed Investment and "Bubbles": The Japanese Case," American Economic Review, American Economic Association, volume 91, issue 3, pages 663-680, June.
• Robert E. Hall, 2001, "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, volume 91, issue 5, pages 1185-1202, December.
• Bart Hobijn & Boyan Jovanovic, 2001, "The Information-Technology Revolution and the Stock Market: Evidence," American Economic Review, American Economic Association, volume 91, issue 5, pages 1203-1220, December.
• Frank Niehaus, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 2A.2, Jan.
• Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001, "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-01.
• DE CEUSTER, Marc & ANNAERT, Jan & HODSGON, Allan, 2001, "Moment condition failure Australian evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2001010, Apr.
• Brock,W.A. & Hommes,C.H., 2001, "Evolutionary dynamics in financial markets with many trader types," Working papers, Wisconsin Madison - Social Systems, number 7.
• Fabio Panetta, 2001, "The Stability of the Relation between the Stock Market and Macroeconomic Forces," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 393, Feb.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Fabio Fornari & Antonio Mele, 2001, "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 397, Feb.
• Giuseppe Grande & Luigi Ventura, 2001, "Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 399, Mar.
• Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchís, 2001, "Estimating liquidity premia in the Spanish Government securities market," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Market liquidity: proceedings of a workshop held at the BIS".
• Claudio Borio & Haibin Zhu, 2008, "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers, Bank for International Settlements, number 268, Dec.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011, "Currency Momentum Strategies," BIS Working Papers, Bank for International Settlements, number 366, Dec.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers, Bank for International Settlements, number 374, Mar.
• Abraham Lioui & Patrice Poncet, 2001, "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers, Bar-Ilan University, Department of Economics, number 2001-10, May.
• Abraham Lioui & Patrice Poncet, 2001, "General Equilibrium Pricing of Trading Strategy Risk," Working Papers, Bar-Ilan University, Department of Economics, number 2001-13, Jul.
• James M. Poterba & Scott J. Weisbenner, 2001, "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, volume 56, issue 1, pages 353-368, February, DOI: 10.1111/0022-1082.00328.
• Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
• David Hirshleifer, 2001, "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1533-1597, August, DOI: 10.1111/0022-1082.00379.
• Bengt Holmström & Jean Tirole, 2001, "LAPM: A Liquidity‐Based Asset Pricing Model," Journal of Finance, American Finance Association, volume 56, issue 5, pages 1837-1867, October, DOI: 10.1111/0022-1082.00391.
• Dubra Juan & Echenique Federico, 2001, "Monotone Preferences over Information," The B.E. Journal of Theoretical Economics, De Gruyter, volume 1, issue 1, pages 1-18, December, DOI: 10.2202/1534-598X.1033.
• Robert Kast & André Lapied & Sophie Pardo & Camelia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Economie & Prévision, La Documentation Française, volume 149, issue 3, pages 51-63.
• Lewin, R.A. & Satchell, S.E., 2001, "The Derivation of a New Model of Equity Duration," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0104, May.
• M. Pitsillis & S. Satchell, 2001, "Improving the Estimates of the Risk Premia - Application in the UK Financial Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0109, Jul.
• Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt1jw137zd, Jul.
• Grinblatt, Mark & Han, Bing, 2001, "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt6qg5d62p, Oct.
• Kelly, David & LeRoy, Stephen F., 2001, "Liquidity and Liquidation," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt4fq7n6pj, Dec.
• Raúl Susmel & Madhu Kalimipalli, 2001, "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 197, May.