Research classified by Journal of Economic Literature (JEL) codes

2004

• J. Barkley Rosser, Jr. & Honggang Li, 2004, "Market Dynamics and Stock Price Volatility," Computing in Economics and Finance 2004, Society for Computational Economics, number 91, Aug.
• Florian Wagener & William Brock & Cars Hommes, 2004, "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004, Society for Computational Economics, number 94, Aug.
• Miroslav Matteev, 2004, "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 1, pages 35-58.
• Jedrzej Bialkowski, 2004, "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 2, pages 81-100.
• Peter Kugler & Beatrice Weder, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue 3, pages 301-325, September.
• Dusan Isakov & Frédéric Sonney, 2004, "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue 3, pages 355-379, September.
• Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2004, "Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore," Working Papers, Singapore Management University, School of Economics, number 02-2005, Jul, revised Jan 2005.
• Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004, "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers, Singapore Management University, School of Economics, number 09-2004, Mar.
• Jun Yu, 2004, "On Leverage in a Stochastic Volatility Model," Working Papers, Singapore Management University, School of Economics, number 13-2004, Apr.
• Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
• Jun Yu, 2004, "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers, Singapore Management University, School of Economics, number 24-2004, Sep.
• Roland Gillet & Ariane Szafarz, 2004, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-004.RS, Feb.
• Ahmed Loulit, 2004, "Approximating equity volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-028.RS.
• Ahmed Loulit, 2004, "Asymptotic approximation of the hitting-time and evaluation of a risky bond," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-029.RS.
• ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004, "Evaluating style analysis," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 29-53, January.
• Capocci, Daniel & Hubner, Georges, 2004, "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 55-89, January.
• Hwang, Soosung & Salmon, Mark, 2004, "Market stress and herding," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 585-616, September.
• Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany, 2004, "On the consequences of state dependent preferences for the pricing of financial assets," Finance Research Letters, Elsevier, volume 1, issue 3, pages 143-153, September.
• Baker, Malcolm & Stein, Jeremy C., 2004, "Market liquidity as a sentiment indicator," Journal of Financial Markets, Elsevier, volume 7, issue 3, pages 271-299, June.
• Martin, Philippe & Rey, Helene, 2004, "Financial super-markets: size matters for asset trade," Journal of International Economics, Elsevier, volume 64, issue 2, pages 335-361, December.
• Ángel León & Gonzalo Rubio & Gregorio Serna, 2004, "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-13, Mar.
• Carlos Forner & Joaquín Marhuenda, 2004, "Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-20, Oct.
• Chulsoo Kim, 2004, "Is There Irrational Exuberance?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 29, issue 2, pages 65-80, December.
• Spiwoks Markus, 2004, "Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 5, pages 557-578, October, DOI: 10.1515/jbnst-2004-0503.
• William Barnett & Shu Wu, 2004, "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200404, Jun, revised Jun 2004.
• William Barnett & Shu Wu, 2004, "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200405, Jun, revised Jun 2004.
• Stephen Morris & Hyun Song Shin, 2004, "Liquidity Black Holes," Review of Finance, Springer, volume 8, issue 1, pages 1-18.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, Springer, 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, Springer, volume 8, issue 2, pages 135-169.
• Luis Angel Medrano & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, Springer, volume 8, issue 2, pages 199-277.
• Takashi Kamihigashi, 2004, "Necessity of the Transversality Condition for Stochastic Models with Bounded or CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 152, Mar.
• Takashi Kamihigashi, 2004, "Necessity of the Transversality Condition for Stochastic Models with Bounded or CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 162, Aug, revised Oct 2004.
• Naszódi, Anna, 2004, "A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között
  [Target-zone rearrangement and exchange-rate behaviour in an options-based model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 638-658.
• Jakob B. Madsen & E. Philip Davis, 2004, "Equity Prices, Productivity Growth, and the 'New Economy'," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 04-05, Feb.
• Jacob Gyntelberg & Frank Hansen, 2004, "Expected utility theory with ”small worlds”," Discussion Papers, University of Copenhagen. Department of Economics, number 04-20, Aug, revised Jan 2005.
• Jacob Gyntelberg & Frank Hansen, 2004, "Subjective Expected Utility Theory with “Small Worlds”," Discussion Papers, University of Copenhagen. Department of Economics, number 09-26, Aug, revised Dec 2009.
• Jacob Gyntelberg & Frank Hansen, 2004, "Expected Utility Theory with “Small Worlds”," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/04, Aug.
• Jakob B. Madsen, 2004, "Pitfalls in Estimates of Relationship between Share Returns and Inflation," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/07, Oct.
• Jakob B. Madsen & E. Philip Davis, 2004, "Equity Prices, Productivity Growth and 'The New Economy," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/11, Oct.
• Chaiki Hara & Atsushi Kajii, 2004, "Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs," KIER Working Papers, Kyoto University, Institute of Economic Research, number 590, May.
• Cecilia Maya Ochoa, 2004, "Monte Carlo Option Pricing," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 61, pages 53-70, Julio-Dic.
• Sourafel Girma & Kevin Amess, 2004, "Do Stock Markets Value Firm-Level Technical Efficiency? Some UK Evidence," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/23, Aug.
• Wiese, Jörg, 2004, "Unternehmensbewertung mit dem Nachsteuer-CAPM?," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 1894, Feb.
• Kaïs Dachraoui & Georges Dionne, 2004, "Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors," Cahiers de recherche, CIRPEE, number 0411.
• Basak, Suleyman & Pavlova, Anna, 2004, "A Dynamic Model with Import Quota Constraints," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4230-02, Jul.
• Olan T. Henry & Sandy Suardi, 2004, "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series, The University of Melbourne, number 924.
• Bedri Tas, 2004, "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 100, Sep.
• Martin Cincibuch & David Vavra, 2004, "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 16, Sep.
• David McMillan, 2004, "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 63, Sep.
• Andreas Reschreiter, 2004, "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 79, Sep.
• Christian Schlag & Nicole Branger, 2004, "Why is the index smile so steep?," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 84, Sep.
• Alberto Montagnoli & Oreste Napolitano, 2004, "Financial Condition Index and interest rate settings: a comparative analysis," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 1, Sep.
• Marco Rummer & Andreas Oehler & Peter N. Smith, 2004, "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 62, Sep.
• Norbert Kiss M., 2004, "The Effects of Macroeconomic News on Money Markets," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/30.
• Anna Naszódi, 2004, "Target zone rearrangements and exchange rate behavior in an options-based model," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/2.
• Guerdjikova, Ani, 2004, "Evolution of wealth and asset prices in markets with case-based investors," Papers, Sonderforschungsbreich 504, number 04-49.
• Guerdjikova, Ani, 2004, "Asset price in an overlapping generations model with case-based decision makers with short memory," Papers, Sonderforschungsbreich 504, number 04-44.
• Don U.A. Galagedera & Elizabeth A. Maharaj, 2004, "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/04, Oct.
• Don U.A. Galagedera & Robert Faff, 2004, "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/04, Apr.
• Susan E. Woodward & Robert E. Hall, 2004, "Benchmarking the Returns to Venture," NBER Working Papers, National Bureau of Economic Research, Inc, number 10202, Jan.
• Casey B. Mulligan, 2004, "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 10210, Jan.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 10218, Jan.
• Jeremy C. Stein, 2004, "Why Are Most Funds Open-End? Competition and the Limits of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 10259, Feb.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10263, Feb.
• Charles Engel & Kenneth D. West, 2004, "Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 10267, Feb.
• Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10270, Feb.
• Alan J. Auerbach, 2004, "How Much Equity Does the Government Hold?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10291, Feb.
• Kenneth A. Froot & Melvyn Teo, 2004, "Equity Style Returns and Institutional Investor Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 10355, Mar.
• Ben S. Bernanke & Kenneth N. Kuttner, 2004, "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10402, Apr.
• Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004, "New Forecasts of the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 10406, Apr.
• Tano Santos & Pietro Veronesi, 2004, "Conditional Betas," NBER Working Papers, National Bureau of Economic Research, Inc, number 10413, Apr.
• Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004, "Short Interest and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10434, Apr.
• Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004, "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers, National Bureau of Economic Research, Inc, number 10447, Apr.
• Yuko Hashimoto & Takatoshi Ito, 2004, "High-Frequency Contagion Between the Exchange Rates and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10448, Apr.
• Malcolm Baker & Jeffrey Wurgler, 2004, "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10449, Apr.
• Li Jin & Stewart C. Myers, 2004, "R-Squared Around the World: New Theory and New Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 10453, Apr.
• Marjorie Flavin & Shinobu Nakagawa, 2004, "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers, National Bureau of Economic Research, Inc, number 10458, May.
• William N. Goetzmann & Vicente Pons-Sanz & S. Abraham Ravid, 2004, "Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property," NBER Working Papers, National Bureau of Economic Research, Inc, number 10468, May.
• Amit Goval & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers, National Bureau of Economic Research, Inc, number 10483, May.
• Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2004, "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," NBER Working Papers, National Bureau of Economic Research, Inc, number 10502, May.
• Armando Gomes & Gary Gorton & Leonardo Madureira, 2004, "SEC Regulation Fair Disclosure, Information, and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 10567, Jun.
• Michael D. Bordo & David C. Wheelock, 2004, "Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms," NBER Working Papers, National Bureau of Economic Research, Inc, number 10704, Aug.
• Charles Engel & Kenneth D. West, 2004, "Exchange Rates and Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 10723, Aug.
• Lily Qiu & Ivo Welch, 2004, "Investor Sentiment Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 10794, Sep.
• Viral V. Acharya & Lasse Heje Pedersen, 2004, "Asset Pricing with Liquidity Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10814, Oct.
• Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004, "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 10820, Oct.
• Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004, "Pseudo Market Timing and Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10823, Oct.
• Edward J. Kane, 2004, "Charles Kindleberger," NBER Working Papers, National Bureau of Economic Research, Inc, number 10847, Oct.
• William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004, "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers, National Bureau of Economic Research, Inc, number 10850, Oct.
• James Poterba, 2004, "The Impact of Population Aging on Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10851, Oct.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004, "The Cross-Section of Volatility and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10852, Oct.
• Raj Chetty & Adam Szeidl, 2004, "Consumption Commitments and Habit Formation," NBER Working Papers, National Bureau of Economic Research, Inc, number 10970, Dec.
• Charles Engel, 2004, "Some New Variance Bounds for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10981, Dec.
• Anthony W. Lynch & Sinan Tan, 2004, "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 10994, Dec.
• Anthony W. Lynch & Sinan Tan, 2004, "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 11010, Dec.
• 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," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
• Masamitsu Ohnishi & Yusuke Osaki, 2004, "The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-10, May.
• Masamitsu Ohnishi & Yusuke Osaki, 2004, "The Comparative Statics of Equilibrium Derivative Prices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-19, Nov.
• Michael R. Darby & Qiao Liu & Lynne G. Zucker, 2004, "High Stakes in High Technology: High-Tech Market Values as Options," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 351-369, July.
• Marc D. Hayford & A. G. Malliaris, 2004, "Monetary Policy and the U.S. Stock Market," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 387-401, July.
• Martin Lettau & Sydney C. Ludvigson, 2004, "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, volume 94, issue 1, pages 276-299, March.
• Alan Auerbach, 2004, "How Much Equity Does the Government Hold?," American Economic Review, American Economic Association, volume 94, issue 2, pages 155-160, May, DOI: 10.1257/0002828041301489.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, volume 94, issue 2, pages 19-23, May, DOI: 10.1257/0002828041301533.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 29-32, May, DOI: 10.1257/0002828041301759.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Bad Beta, Good Beta," American Economic Review, American Economic Association, volume 94, issue 5, pages 1249-1275, December.
• Peter Temin & Hans-Joachim Voth, 2004, "Riding the South Sea Bubble," American Economic Review, American Economic Association, volume 94, issue 5, pages 1654-1668, December.
• Arne Feddersen & Wolfgang Maennig, 2004, "Sporting Success and Capital Market Performance: An Event Study of Borussia Dortmund," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 124, issue 2, pages 282-303.
• Bellver, Jeronimo Aznar & Martinez, Francisco Guijarro, 2004, "Modelos de valoracion en ambiente de incertidumbre," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 4, issue 07, pages 1-19, DOI: 10.22004/ag.econ.28731.
• Grant, Simon & Quiggin, John, 2004, "The risk premium for equity: implications for resource allocation, welfare and policy," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151167, Aug, DOI: 10.22004/ag.econ.151167.
• Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004, "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-14.
• Severine Cauchie & Martin Hoesli, 2004, "The integration of securitized real estate and financial assets," ERES, European Real Estate Society (ERES), number eres2004_574, Jun.
• Michael R. King & Dan Segal, 2004, "International Cross-Listing and the Bonding Hypothesis," Staff Working Papers, Bank of Canada, number 04-17, DOI: 10.34989/swp-2004-17.
• Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004, "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers, Bank of Canada, number 04-34, DOI: 10.34989/swp-2004-34.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
• Stuart Turnbull & Jun Yang, 2004, "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers, Bank of Canada, number 04-45, DOI: 10.34989/swp-2004-45.
• Gregory Bauer & Clara Vega, 2004, "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers, Bank of Canada, number 04-47, DOI: 10.34989/swp-2004-47.
• Antonio Di Cesare, 2004, "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 506, Jul.
• Paolo Guasoni, 2004, "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 507, Jul.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Gordon S. & St-Amour P., 2004, "Asset Returns and State-Dependent Risk Preferences," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 241-252, July.
• Eric Jondeau & Michael Rockinger, 2004, "The Bank Bias: Segmentation of French Fund Families," Working papers, Banque de France, number 107.
• Eric Jondeau & Michael Rockinger, 2004, "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France, number 108.
• Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004, "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 35, issue 1, pages 241-326.
• Kostas Tsatsaronis & Haibin Zhu, 2004, "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
• Marco Sorge, 2004, "The nature of credit risk in project finance," BIS Quarterly Review, Bank for International Settlements, December.
• E. Philip Davis & Haibin Zhu, 2004, "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers, Bank for International Settlements, number 150, Mar.
• Marco Sorge & Blaise Gadanecz, 2004, "The term structure of credit spreads in project finance," BIS Working Papers, Bank for International Settlements, number 159, Aug.
• Serdat Dinc & Patrick M. McGuire, 2004, "Did investors regard real estate as 'safe' during the 'Japanese Bubble' in the 1980s?," BIS Working Papers, Bank for International Settlements, number 164, Nov.
• Goetz von Peter, 2004, "Asset prices and banking distress: a macroeconomic approach," BIS Working Papers, Bank for International Settlements, number 167, Dec.
• Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004, "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, volume 14, issue 2, pages 201-221, April, DOI: 10.1111/j.0960-1627.2004.00189.x.
• Toshitaka Sekine & Towa Tachibana, 2004, "Land Investment by Japanese Firms during and after the Bubble Period," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-2, Mar.
• Takashi Nagahata & Yumi Saita & Toshitaka Sekine & Towa Tachibana, 2004, "Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis," Bank of Japan Working Paper Series, Bank of Japan, number 04-E-9, Jul.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga, 2004, "Forward Volatility Contract Pricing in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 1-21.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo, 2004, "Credit Derivatives Pricing in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 159-182.
• Luciano Martin Rostagno & Gilberto de Oliveira Kloeckner & João Luiz Becker, 2004, "Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 183-206.
• E Philip Davis & Haibin Zhu, 2004, "Commercial property prices and bank performance," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• E Philip DaviS & Haibin Zhu, 2004, "Commercial property prices and bank performance," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-19, Oct.
• Zimmermann, Heinz & Beiner, Stefan & Drobetz, Wolfgang & Schmid, Markus, 2004, "Corporate Governance, Unternehmensbewertung und Wettbewerb : eine Untersuchung für die Schweiz," Working papers, Faculty of Business and Economics - University of Basel, number 2004/01.
• Kugler, Peter & Weder, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Working papers, Faculty of Business and Economics - University of Basel, number 2004/04.
• Drobetz, Wolfgang & Gugler, Klaus & Hirschvogl, Simone, 2004, "The Determinants of the German Corporate Governance Rating," Working papers, Faculty of Business and Economics - University of Basel, number 2004/06.
• Dominique Pépin, 2004, "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, volume 55, issue 2, pages 207-226.
• Édouard Challe, 2004, "Une décomposition du cycle boursier," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 395-405.
• Sophie Pardo & Robert Kast & André Lapied, 2004, "Construction d'un portefeuille sous-jacent virtuel," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 407-418.
• Hara, C. & Christoph Kuzmics, 2004, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0452, Jul.
• Mc Quinn, Kieran, 2004, "A Model of the Irish Housing Sector," Research Technical Papers, Central Bank of Ireland, number 1/RT/04, Apr.
• Martine Quinzii & Michael Magill, 2004, "Which Improves Welfare More: Nominal Or Indexed Bond?," Working Papers, University of California, Davis, Department of Economics, number 230, Jul.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2004, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt9878h0kn, Feb.
• Rodolfo Apreda, 2004, "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 256, Feb.
• Trino-Manuel Niguez & Javier Perote, 2004, "Forecasting the density of asset returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 479, Oct.
• Evzen Kocenda & Lubos Briatka, 2004, "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp235, Sep.
• M. Hashem Pesaran, 2000, "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," CESifo Working Paper Series, CESifo, number 346.
• Sjur Didrik Flåm, 2002, "Pooling, Pricing and Trading of Risks," CESifo Working Paper Series, CESifo, number 672.
• Michael Berlemann, 2004, "Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 57, issue 16, pages 21-29, August.
• Alexey Medvedev, 2008, "Implied Volatility at Expiration," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-04, Jan.
• Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2010, "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-07, Mar.
• Pascal St-Amour, 2004, "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers, CIRANO, number 2004s-11, Mar.
• Peter Christoffersen & Silvia Gonçalves, 2004, "Estimation Risk in Financial Risk Management," CIRANO Working Papers, CIRANO, number 2004s-15, Apr.
• Kris Jacobs & Michel A. Robe & Stéphane Pallage, 2004, "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers, CIRANO, number 2004s-54, Nov.
• Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004, "The Determinants of Credit Default Swap Premia," CIRANO Working Papers, CIRANO, number 2004s-55, Nov.
• Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004, "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers, CIRANO, number 2004s-56, Nov.
• Narayana R. Kocherlakota & Luigi Pistaferri, 2004, "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography, UCLA Department of Economics, number 122247000000000508, Sep.
• Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
• Guillaume Plantin & Bruno Biais & Thomas Mariotti & Jean-Charles Rochet, 2004, "Dynamic Security Design," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2005-E5, Nov.
• Andr√©s Zambrano & Hern√°n Jaramillo Salazar & Clemente Forero, 2004, "Recuento Cr√≠tico de la Literatura sobre los Impactos de la Investigaci√≥n y sus Indicadores," Borradores de Investigación, Universidad del Rosario, number 3420, Nov.
• Alfonso Pedraza Martínez, 2004, "Impacto de las catástrofes en el valor de las acciones. El caso latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Cecilia Maya, 2004, "Valuation of financial assets using montecarlo: when the world is not so normal," Revista de Economía del Rosario, Universidad del Rosario.
• Sebastian Edwards, 2004, "The Economics of Latin American Art: Creativity Patterns and Rates of Return," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 1-35.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "EVA(c) Made Simple: Is it Possible?," Proyecciones Financieras y Valoración, Master Consultores, number 1895, Feb.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Consistency in Chocolate. A Fresh Look at Copeland‚Äôs Hershey Foods & Co Case," Proyecciones Financieras y Valoración, Master Consultores, number 2191, Jan.
• Ignacio V√©lez-Pareja & Joseph Tham, 2004, "Hershey Chocolate in Two Flavors: Kd and Ku," Proyecciones Financieras y Valoración, Master Consultores, number 2788, Feb.
• Ignacio V√©lez-Pareja, 2004, "Modeling the Financial Impact of Regulatory Policy: Practical Recommendations and Suggestions. The Case of World Bank," Proyecciones Financieras y Valoración, Master Consultores, number 3228, Aug.
• Ignacio V√©lez-Pareja, 2004, "Tasas de inter√©s efectivas y nominales: el calvario de los estudiantes de finanzas," Proyecciones Financieras y Valoración, Master Consultores, number 3541, Feb.
• Ignacio V√©lez-Pareja, 2004, "The Correct Definition for the Cash Flows to Value a Firm (Free Cash Flow and Cash Flow to Equity)," Proyecciones Financieras y Valoración, Master Consultores, number 3577, Aug.
• Ignacio V√©lez Pareja & Joseph Tham, 2004, "Timanco S. A.: Impuestos por pagar, p√©rdidas amortizadas, deuda en divisas, renta presuntiva y ajustes por inflaci√≥n. Su tratamiento con Flu," Proyecciones Financieras y Valoración, Master Consultores, number 3643, Jan.
• Joseph Tham & Ignacio V√©lez Pareja, 2004, "Top 9 (Unnecessary and Avoidable) Mistakes in Cash Flow Valuation," Proyecciones Financieras y Valoración, Master Consultores, number 3648, Feb.

2003

• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, volume 93, issue 2, pages 376-382, May.
• Yoshino, Joe Akira, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 2, pages 1-19, November, DOI: 10.22004/ag.econ.44000.
• Dapena, Jose Pablo, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 01, pages 1-24, May, DOI: 10.22004/ag.econ.44040.
• Milne, Frank & Neave, Edwin, 2003, "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273558, Sep, DOI: 10.22004/ag.econ.273558.
• Chambers, Robert G. & Quiggin, John, 2003, "Narrowing the no-arbitrage bounds," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 150346, Oct, DOI: 10.22004/ag.econ.150346.
• Diks, C.G.H. & Weide, R. van der, 2003, "Heterogeneity as a natural source of randomness," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 03-05.
• Ariadna Dumitrescu, 2003, "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 591.03, Oct.
• Joseph Atta-Mensah, 2003, "Collateral and Credit Supply," Staff Working Papers, Bank of Canada, number 03-11, DOI: 10.34989/swp-2003-11.
• Miroslav Misina, 2003, "What Does the Risk-Appetite Index Measure?," Staff Working Papers, Bank of Canada, number 03-23, DOI: 10.34989/swp-2003-23.