Research classified by Journal of Economic Literature (JEL) codes

2004

• Michael R Roberts & Michael Bradley, 2004, "Are Bond Covenants Priced?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 7, Aug.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 130, Aug.
• Ernesto Mordecki & José Fajardo, 2004, "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 139, Aug.
• Robin Brooks, 2004, "The Equity Premium and the Baby Boom," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 155, Aug.
• Marcin Kacperczyk; Paul Damien; Stephen Walker, 2004, "A Bayesian semiparametric approach to pricing the S&P 500 index options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 202, Aug.
• Paul Ehling, 2004, "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 311, Aug.
• Sydney C. Ludvigson & Xiaohong Chen, 2004, "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 332, Aug.
• Laura Veldkamp, 2004, "Media Frenzies in Markets for Financial Information," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 4, Aug.
• Jing-zhi Huang & Liuren Wu, 2004, "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 405, Aug.
• Sergei Levendorskii, 2004, "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 413, Aug.
• Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
• Jaehun Chung & Yongmiao Hong, 2004, "Are the directions of stock price changes predictable? A generalized cross-spectral approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 469, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Patrick Cheridito & Damir Filipovic, 2004, "Market Price of Risk Specifications for Affine Models: Theory and Evidence," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 536, Aug.
• Yacine Ait-Sahalia, 2004, "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 575, Aug.
• duffie, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 633, Aug.
• duffie, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 634, Aug.
• dvayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 635, Aug.
• Dmitrios Vayanos, 2004, "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 647, Aug.
• Pierre-Olivier Weill, 2004, "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 648, Aug.
• Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 649, Aug.
• Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004, "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 10, pages 1925-1954, September.
• Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004, "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2195-2214, October.
• Gutierrez, Maria-Jose & Vazquez, Jesus, 2004, "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 11, pages 2297-2325, October.
• Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004, "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1079-1113, March.
• Magni, Carlo Alberto, 2004, "Modelling excess profit," Economic Modelling, Elsevier, volume 21, issue 3, pages 595-617, May.
• Edwards, Sebastian, 2004, "The economics of Latin American art: creativity patterns and rates of return," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123098, Apr.
• Kondor, Peter, 2004, "The more we know, the less we agree: public announcements and higher-order expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24645, Dec.
• Kondor, Peter, 2004, "Rational trader risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24646, May.
• Altissimo, Filippo & Mele, Antonio, 2004, "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24674, Jan.
• Mele, Antonio, 2004, "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24701, Apr.
• Muñoz, Sònia, 2004, "Real effects of regional house prices: dynamic panel estimation with heterogeneity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24704, Apr.
• Linton, Oliver & Mammen, Enno & Nielsen, J. & Taanggard, C., 2004, "Yield curve estimation by kernel smoothing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24772, Apr.
• Niguez, Trino-Manuel & Perote, Javier, 2004, "Forecasting the density of asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6845, Oct.
• Dionysios Chionis & Panagiotis Liargovas, 2004, "Exchange Rate Intervention, Market Efficiency and Asset Market Returns: The Greek Experience," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 42-55, Summer.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Andros Gregoriou & Christos Ioannidis, 2004, "Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 139-151, Winter.
• Post, G.T. & van Vliet, P., 2004, "Downside Risk and Asset Pricing," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-018-F&A, Jul.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Post, G.T. & Versijp, P.J.P.M., 2004, "A GMM Test for SSD Efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-024-F&A, Jul.
• Erich Kirchler & Boris Maciejovsky & Martin Weber, 2004, "Framing Effects, Selective Information and Market Behavior ­ An Experimental Analysis ­," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2004-16, Feb.
• Alessandro BEBER & Michael W. BRANDT, 2004, "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp105, Jan.
• Henry Schellhorn & Didier Cossin, 2004, "Credit Risk in a Network Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp106, Mar.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "Higher Order Expectations in Asset Pricing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp110, May.
• Séverine CAUCHIE & Martin HOESLI, 2004, "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp111, Jun.
• Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
• Julien Hugonnier & Erwan Morellec, 2004, "Investment under Uncertainty and Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp122, May.
• Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2004, "Capital Structure, Credit Risk, and Macroeconomic Conditions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp125, May.
• Li JIN & Stewart C. MYERS, 2004, "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp158, Feb.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2004, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp73, Jun.
• Alexey MEDVEDEV & Olivier SCAILLET, 2004, "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp93, Oct.
• Vladimír Gazda & Karel Koøený & Tomáš Výrost, 2004, "Defection of Traditional Standard Deviation Scaling of Capital Asset Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 325-334, July.
• Gema Pastor Agustin, Manuel Espitia Escuer, 2004, "Real Options, Uncertainty and Firm Value," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 116-140, December.
• Kevin J. Lansing, 2004, "Inflation-induced valuation errors in the stock market," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct29.
• Andrew Ang & Geert Bekaert, 2004, "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Glenn D. Rudebusch & Tao Wu, 2004, "A macro-finance model of the term structure, monetary policy, and the economy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Miguel A. Ferreira & Jose A. Lopez, 2004, "Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-03, Mar, DOI: 10.24148/wp2004-03.
• Glenn D. Rudebusch & Tao Wu, 2005, "Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-25, Nov, DOI: 10.24148/wp2004-25.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004, "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-16.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Takeshi Kimura & David H. Small, 2004, "Quantitative monetary easing and risk in financial asset markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-57.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004, "The Performance of International Equity Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 817.
• James M. Poterba, 2004, "The impact of population aging on financial markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 163-216.
• Michael D. Bordo & David C. Wheelock, 2004, "Monetary policy and asset prices: a look back at past U.S. stock market booms," Review, Federal Reserve Bank of St. Louis, volume 86, issue Nov, pages 19-44.
• Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2004, "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 53-62.
• Domenico Colucci & Vincenzo Valori, 2004, "Adaptive learning in the Cobweb with an endogenous gain sequence," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2004-01, Sep.
• Antonio Mele & Filippo Altissimo, 2004, "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers, Financial Markets Group, number dp476, Jan.
• Antonio Mele, 2004, "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers, Financial Markets Group, number dp489, Apr.
• Enrique Sentana & Francisco Penaranda, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers, Financial Markets Group, number dp497, May.
• Enno Mammen & Oliver Linton, 2004, "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers, Financial Markets Group, number dp511, Sep.
• Benoit Perron & Oliver Linton, 2004, "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers, Financial Markets Group, number dp514, Sep.
• C Taanggard & J Nielsen & Enno Mammen & Oliver Linton, 2004, "Yield Curve Estimation by Kernel Smoothing," FMG Discussion Papers, Financial Markets Group, number dp515, Sep.
• Jean-Pierre Zigrand & Rohit Rahi, 2004, "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group, number dp520, Oct.
• Nicole Branger & Christian Schlag, 2004, "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 140, Oct.
• Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS), 2004, "Modelling an artificial stock market: When cognitive institutions influence market dynamics," Cahiers du GRES (2002-2009), Groupement de Recherches Economiques et Sociales, number 2004-04.
• Philippe Martin & Helene Rey, 2004, "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00176904, DOI: 10.1016/j.jinteco.2003.12.001.
• Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Post-Print, HAL, number hal-00478480, Sep, DOI: 10.1017/S0022109000003975.
• Edouard Challe, 2004, "Sunspots and predictable asset returns," Post-Print, HAL, number halshs-00069375, Mar.
• Edouard Challe, 2004, "Une décomposition du cycle boursier," Post-Print, HAL, number halshs-00151481, May.
• Elyès Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print, HAL, number halshs-00176465, Jan.
• Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004, "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-309, Dec.
• Lando, David & Mortensen, Allan, 2004, "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers, Copenhagen Business School, Department of Finance, number 2004-9, Nov.
• Engström, Stefan, 2004, "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 553, Jan.
• Engström, Stefan, 2004, "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 554, Jan.
• Björk, Tomas & Slinko, Irina, 2004, "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 595, Feb.
• Olovsson, Conny, 2004, "Social Security and the Equity Premium Puzzle," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 729, Mar.
• Asgharian, Hossein, 2004, "A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors," Working Papers, Lund University, Department of Economics, number 2004:10, Mar.
• Nilsson, Birger & Hansson, Björn, 2004, "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers, Lund University, Department of Economics, number 2004:28, Dec.
• Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2004, "The Market Pricing of Accruals Quality," SIFR Research Report Series, Institute for Financial Research, number 22, Mar.
• Noe, Thomas H. & Rebello, Michael J. & Wang, Jun, 2004, "The Evolution of Security Designs," SIFR Research Report Series, Institute for Financial Research, number 26, Sep.
• Bansal, Ravi & Dahlquist, Magnus & Harvey, Campbell R., 2004, "Dynamic Trading Strategies and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 31, Oct.
• Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004, "The Determinants of Credit Default Swap Premia," SIFR Research Report Series, Institute for Financial Research, number 32, Sep.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Mladen Mirko Tepuš, 2004, "Analiza modela stambenog financiranja u Republici Hrvatskoj," Pregledi, Hrvatska narodna banka, Hrvatska, number 18, Nov.
• Ansgar Belke & Thorsten Polleit, 2004, "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 244/2004.
• Campbell, John & Vuolteenaho, Tuomo, 2004, "Bad Beta, Good Beta," Scholarly Articles, Harvard University Department of Economics, number 3122489.
• Vuolteenaho, Tuomo & Campbell, John, 2004, "Inflation Illusion and Stock Prices," Scholarly Articles, Harvard University Department of Economics, number 3196090.
• Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004, "Strategic Asset Allocation in a Continuous-Time VAR Model," Scholarly Articles, Harvard University Department of Economics, number 3294738.
• Shumei Gao & Jihe Song, 2004, "Quota Use under VERs: A theoretical framework and some evidence on MFA quota use," Working Papers, Department of Economics, School of Management and Languages, Heriot Watt University, number E03.
• Fajardo, J. & Mordeckiz, E., 2004, "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_71, Oct.
• José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004, "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, volume 28, issue 2, pages 349-376, May.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Mele, Antonio, 2004, "General Properties of Rational Stock-Market Fluctuations," Economics Series, Institute for Advanced Studies, number 153, Mar.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series, Institute for Advanced Studies, number 155, May.
• Ramaprasad Bhar & Shigeyuki Hamori, 2004, "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 45-56, April.
• Natalia Gershun, 2004, "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 67-81, April.
• Sheng-Yung Yang & Shuh-Chyi Doong, 2004, "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 139-153, August.
• Mirela Malin & Madhu Veeraraghavan, 2004, "On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 155-176, August.
• Baba, Naohiko & Inamura, Yasunari, 2004, "The Japanese Repo Market: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 1, pages 65-90, March.
• Rose, Andrew-K, 2004, "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 2, pages 1-17, May.
• Okina, Kunio & Shiratsuka, Shigenori, 2004, "Asset Price Fluctuations, Structural Adjustments, and Sustained Economic Growth: Lessons from Japan's Experience since the Late 1980s," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue S1, pages 143-167, December.
• Rosa María Cáceres Apolinario & Juan García Boza, 2004, "Análisis Del Riesgo Beta En El Mercado Bursátil Español," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 2, pages 145-168, Junio 200.
• Andrés D. Fundia & Francisco Venegas-Martínez, 2004, "Probabilistic Greeks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 3, pages 303-311, Septiembr.
• Arturo Lorenzo Valdés, 2004, "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 4, pages 333-341, Diciembre.
• Eduardo Sandoval & Rodrigo Saens, 2004, "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 41, issue 122, pages 65-89.
• Alberto Naudon & Matías Tapia & Felipe Zurita, 2004, "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 262.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, European Finance Association, volume 8, issue 1, pages 1-18.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, European Finance Association, volume 8, issue 1, pages 109-127.
• Peter Bossaerts & Charles Plott, 2004, "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, European Finance Association, volume 8, issue 2, pages 135-169.
• Luis Angel Medran & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, European Finance Association, volume 8, issue 2, pages 199-277.
• Kjell G. Nyborg, 2004, "Multiple Unit Auctions and Short Squeezes," The Review of Financial Studies, Society for Financial Studies, volume 17, issue 2, pages 545-580.
• Clive Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-19, Sep.
• Juan F. Castro & Eduardo Morón & Diego Winkelried, 2004, "Assessing Financial Vulnerability in Partial Dollarized Economies," Working Papers, Centro de Investigación, Universidad del Pacífico, number 04-03, Jan.
• Yochanan Shachmurove, 2004, "The Reality of IPO Performance: An Empirical Study of Venture-Backed Public Companies," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-030, Jul.
• Emanuel Shachmurove & Yochanan Shachmurove, 2004, "What One Can Learn From the Initial Public Offering of Google? A Twenty-Year Excursion to the Venture Capital Industry," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-041, Oct.
• Amir Shachmurove & Yochanan Shachmurove, 2004, "Choosing Between Promising and Crowded Industries: How Does the Venture Capital Industry Fare in Each?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-044, Dec.
• Li, Nan, 2004, "The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds," MPRA Paper, University Library of Munich, Germany, number 10014.
• Bacha, Obiyathulla I., 2004, "Pricing Hybrid Securities: The Case of Malaysian ICULS," MPRA Paper, University Library of Munich, Germany, number 12764, revised Jun 2004.
• Douch, Mohamed, 2004, "Equity Premiums In Small Open Economy," MPRA Paper, University Library of Munich, Germany, number 14613, Jun.
• Ulibarri, Carlos A., 2004, "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper, University Library of Munich, Germany, number 14821.
• Fiorani, Filo, 2004, "Option Pricing Under the Variance Gamma Process," MPRA Paper, University Library of Munich, Germany, number 15395, Apr.
• Pakos, Michal, 2004, "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper, University Library of Munich, Germany, number 26167, Oct.
• Magni, Carlo Alberto, 2004, "An alternative approach to firms’ evaluation: expert systems and fuzzy logic," MPRA Paper, University Library of Munich, Germany, number 7879, Apr.
• Jonathan A. Parker & Christian Julliard, 2004, "Consumption Risk and the Cross-Section of Expected Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 138, Mar.
• Édouard Challe, 2004, "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 105-123, DOI: 10.3406/ecofi.2004.5034.
• Elyes Jouini & Clotilde Napp, 2004, "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 125-137, DOI: 10.3406/ecofi.2004.5035.
• Jean-Paul Pollin, 2004, "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 139-156, DOI: 10.3406/ecofi.2004.5036.
• Olivier Davanne, 2004, "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 177-201, DOI: 10.3406/ecofi.2004.5038.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Alain Leclair & Carlos Pardo, 2004, "La volatilité, conséquence ou cause de l'instabilité des marchés financiers ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 245-252, DOI: 10.3406/ecofi.2004.5043.
• Andrea Cipollini & George Kapetanios, 2004, "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 506, Feb.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• John Hatgioannides & Menelaos Karanasos & Marika Karanassou, 2004, "Modelling the Yield Curve: A Two Components Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 519, Sep.
• Adam Creighton & Luke Gower & Anthony Richards, 2004, "The Impact of Rating Changes in Australian Financial Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-02, Mar.
• Anthony Richards, 2004, "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-05, Jun.
• Carol Alexander & Leonardo M. Nogueira, 2004, "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-10, Jul, revised Dec 2004.
• Olivier Allais, 2004, "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 7, issue 2, pages 265-296, April, DOI: 10.1016/j.red.2003.09.004.
• Tao Wu & Glenn Rudebusch, 2004, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers, Society for Economic Dynamics, number 104.
• John H. Cochrane & Francis Longstaff, 2004, "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers, Society for Economic Dynamics, number 126.
• Amir Yaron & Leonid Kogan & Dmitry Livdan, 2004, "Futures Prices in a Production Economy with Investment Constraints," 2004 Meeting Papers, Society for Economic Dynamics, number 128.
• Edward Prescott & Ellen McGrattan, 2004, "Predictions of the Price of Capital," 2004 Meeting Papers, Society for Economic Dynamics, number 136.
• Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004, "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 136a.
• Hanno Lustig & Adrien Verdelhan, 2004, "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers, Society for Economic Dynamics, number 136c.
• Pietro Veronesi & Tano Santos, 2004, "Conditional Betas," 2004 Meeting Papers, Society for Economic Dynamics, number 24.
• Andrei Semenov, 2004, "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 334.
• Leonid Kogan & Stephen Ross, 2004, "The Price Impact and Survival of Irrational Traders," 2004 Meeting Papers, Society for Economic Dynamics, number 35.
• Adam Szeidl & Raj Chetty, 2004, "Consumption Commitments and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 354.
• Laura Veldkamp, 2004, "Information Markets and the Comovement of Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 539.
• Martin Lettau & Sydney C. Ludvigson, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers, Society for Economic Dynamics, number 644.
• Claudio Campanale, 2004, "Learning and the Return to Private Equity," 2004 Meeting Papers, Society for Economic Dynamics, number 650.
• Eva Carceles Poveda & Arpad Abraham, 2004, "Endogenous Trading Constraints with Incomplete Asset Markets," 2004 Meeting Papers, Society for Economic Dynamics, number 667.
• Sydney Ludvigson & Xiaohong Chen, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers, Society for Economic Dynamics, number 692.
• Ron Giammarino & Murray Carlson & Adlai Fisher, 2004, "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers, Society for Economic Dynamics, number 812.
• Georges Dionne, 2004, "Book review of: Credit risk: Pricing, measurement, and management," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-6, Oct.
• James Hedges, 2004, "Size versus performance in the hedge fund industry," Journal of Financial Transformation, Capco Institute, volume 10, pages 14-17.
• Ruud van Frederikslust & Roy van der Geest, 2004, "Initial returns and long-run performance of private equity-backed initial public offerings on the Amsterdam Stock Exchange," Journal of Financial Transformation, Capco Institute, volume 10, pages 121-127.
• Alexandri, Cecilia, 2004, "Farm Consolidation In Romania – Options And Opportunities," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 1, pages 52-71, February.
• Larry Epstein & Martin Schneider, 2004, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 507, May.
• Simon Grant & John Quiggin, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WPR04_8, Aug.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004, "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper, Tor Vergata University, CEIS, number 52, Apr.
• Bruce Mizrach & Filippo Occhino, 2004, "The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach," Departmental Working Papers, Rutgers University, Department of Economics, number 200402, Jan.
• Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.
• Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004, "Financial Innovation, Market Participation, and Asset Prices," Working Papers, Universidad de San Andres, Departamento de Economia, number 76, Sep, revised Sep 2004.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe19.
• Chia-Hsuan Yeh, 2004, "Can Intelligence Help Improve Market Performance?," Computing in Economics and Finance 2004, Society for Computational Economics, number 106, Aug.
• Taisei Kaizoji & Thomas Lux, 2004, "Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 158, Aug.
• Haven Emmanuel, 2004, "Option Pricing under different uncertainty regimes," Computing in Economics and Finance 2004, Society for Computational Economics, number 159, Aug.
• Youwei Li & Bas Donkers, 2004, "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 195, Aug.
• Jan Wenzelburger & Xihao Li, 2004, "Price Formation and Asset Allocations of the Electronic Trading System Xetra," Computing in Economics and Finance 2004, Society for Computational Economics, number 198, Aug.
• Hendri Adriaens & Bas Donkers, 2004, "Extending the CAPM model," Computing in Economics and Finance 2004, Society for Computational Economics, number 204, Aug.
• Giulio Bottazzi & Mikhail Anoufriev, 2004, "Price and Wealth Dynamics in an Agent-Based Model with Heterogeneous Evolving Strategies," Computing in Economics and Finance 2004, Society for Computational Economics, number 227, Aug.
• Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004, "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004, Society for Computational Economics, number 238, Aug.
• Serge Hayward, 2004, "Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model," Computing in Economics and Finance 2004, Society for Computational Economics, number 241, Aug.
• Marten Hillebrand, 2004, "The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 259, Aug.
• Carl Chiarella & Roberto Dieci, 2004, "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004, Society for Computational Economics, number 261, Aug.
• Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004, "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004, Society for Computational Economics, number 27, Aug.
• Taisei KAIZOJI, 2004, "Booms and bursts of asst markets: empirical results and a model based upon the Fokker-Plank equation," Computing in Economics and Finance 2004, Society for Computational Economics, number 305, Aug.
• Simone Alfarano & Friedrich Wagner, 2004, "Critical behaviour and system size in agent-based models: an explanation," Computing in Economics and Finance 2004, Society for Computational Economics, number 315, Aug.
• Brice Dupoyet, 2004, "Asymmetric Jump Processes: Option Pricing Implications," Computing in Economics and Finance 2004, Society for Computational Economics, number 40, Aug.