Research classified by Journal of Economic Literature (JEL) codes

2003

• Jaime A. Londoño, 2003, "State Tameness: A New Approach for Credit Constrains," Finance, University Library of Munich, Germany, number 0305001, May, revised 16 Feb 2004.
• Dan Galai & Alon Raviv & Zvi Wiener, 2003, "Liquidation Triggers and the Valuation of Equity and Debt," Finance, University Library of Munich, Germany, number 0305002, May.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Finance, University Library of Munich, Germany, number 0305008, May.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.
• Christophe Boucher, 2003, "“Winners take all competition”, creative destruction and stock market bubble," Finance, University Library of Munich, Germany, number 0305010, May.
• Ananth Rao, 2003, "Analysis of UAE Bank Stocks," Finance, University Library of Munich, Germany, number 0306001, Jun.
• Erdinc Altay, 2003, "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance, University Library of Munich, Germany, number 0307006, Jul.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.
• Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003, "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance, University Library of Munich, Germany, number 0308001, Aug.
• Kian-Ping Lim & Venus Khim-Sen Liew, 2003, "Testing for Non-Linearity in ASEAN Financial Markets," Finance, University Library of Munich, Germany, number 0308002, Aug.
• Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003, "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance, University Library of Munich, Germany, number 0308003, Aug.
• Erdinc Altay, 2003, "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance, University Library of Munich, Germany, number 0308005, Aug.
• Antonio Falato, 2003, "Happiness Maintenance and Asset Prices," Finance, University Library of Munich, Germany, number 0310003, Oct.
• Vladislav Kargin, 2003, "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance, University Library of Munich, Germany, number 0311001, Nov.
• Christophe Faugere & Julian Van Erlach, 2003, "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance, University Library of Munich, Germany, number 0311004, Nov.
• Christophe Faugere & Julian Van Erlach, 2003, "A General Theory of Stock Market Valuation and Return," Finance, University Library of Munich, Germany, number 0311005, Nov, revised 17 May 2004.
• Paolo Pellizzari, 2003, "Static Hedging of Multivariate Derivatives by Simulation," Finance, University Library of Munich, Germany, number 0311013, Nov, revised 04 Dec 2003.
• Markus Ricke, 2003, "What is the Link Between Margin Loans and Stock Market Bubbles?," Finance, University Library of Munich, Germany, number 0311014, Nov, revised 17 Dec 2004.
• Elyès Jouini & Clotilde Napp, 2003, "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Finance, University Library of Munich, Germany, number 0312001, Dec.
• Christian Julliard, 2003, "The international diversification puzzle is not worse than you think," International Finance, University Library of Munich, Germany, number 0301004, Jan.
• James R. Lothian & Liuren Wu, 2003, "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, University Library of Munich, Germany, number 0311009, Nov.
• William A. Barnett, 2003, "Aggregation-Theoretic Monetary Aggregation over the Euro Area, when Countries are Heterogeneous," Macroeconomics, University Library of Munich, Germany, number 0309018, Sep.
• Goetz von Peter, 2003, "A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises," Macroeconomics, University Library of Munich, Germany, number 0312006, Dec.
• Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance, University Library of Munich, Germany, number 0308004, Aug.
• J. P. Mei & Hsien-Hsing Liao, 2003, "Introduction: Real Estate Analysis in a Dynamic Risk Environment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Crocker H. Liu & Jianping J. P. Mei, 2003, "The Predictability of Returns on Equity REITs and their Co-movement with Other Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping J. P. Mei & Crocker H. Liu, 2003, "The Predictability of Real Estate Returns and Market Timing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Crocker H. Liu & Jianping Mei, 2003, "A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Bin Gao, 2003, "Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "Bank Risk and Real Estate: An Asset Pricing Perspective," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei, 2003, "Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "The Time-variation of Risk for Life Insurance Companies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Kevin Wenli Lu & Jianping (J.R) Mei, 2003, "The Return Distributions of Property Shares in Emerging Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Jiawei Hu, 2003, "Conditional Risk Premiums of Asian Real Estate Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Hsien-Hsing Liao & Jianping (J.P.) Mei, 2003, "Institutional Factors and Real Estate Returns: A Cross-Country Study," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Andrei Semenov, 2003, "High-Order Consumption Moments and Asset Pricing," Working Papers, York University, Department of Economics, number 2003_4, Dec, revised Jan 2005.
• Andrei Semenov, 2003, "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers, York University, Department of Economics, number 2003_5, Dec.
• Lingfeng Li, 2003, "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers, Yale School of Management, number ysm324, Nov.
• David M. Schizer & Michael R. Powers & Martin Shubik, 2003, "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers, Yale School of Management, number ysm356, Apr.
• Judith A. Chevalier & Austan Goolsbee, 2003, "Valuing Internet Retailers: Amazon and Barnes and Noble," Yale School of Management Working Papers, Yale School of Management, number ysm416, Oct.
• Alok Kumar & William N. Goetzmann, 2003, "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers, Yale School of Management, number ysm441, Nov.
• Manuel Espitia Escuer & Gema Pastor Agust�n, 2003, "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-01, Jan.
• Oehler, Andreas & Häcker, Mirko, 2003, "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers, University of Bamberg, Chair of Finance, number 20.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Fecht, Falko, 2003, "On the Stability of Different Financial Systems," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,10.
• Lux, Thomas, 2003, "The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-13.
• Lux, Thomas, 2003, "Detecting multi-fractal properties in asset returns: The failure of the scaling estimator," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-14.
• Alfarano, Simone & Lux, Thomas, 2003, "A minimal noise trader model with realistic time series properties," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-15.
• Ahrens, Ralf & Reitz, Stefan, 2003, "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/11.
• Entorf, Horst & Jamin, Gösta, 2003, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 127.
• Overbeck, Ludger & Schmidt, Wolfgang M., 2003, "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 41.
• Heidorn, Thomas & König, Lars, 2003, "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 44.
• Valckx, Nico, 2003, "Price dividend models, expectations formation, and monetary policy," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 217.
• Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003, "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,54.

2002

• Marc Yor & Dilip B. Madan & Hélyette Geman, 2002, "Stochastic volatility, jumps and hidden time changes," Finance and Stochastics, Springer, volume 6, issue 1, pages 63-90.
• Paolo Guasoni, 2002, "Risk minimization under transaction costs," Finance and Stochastics, Springer, volume 6, issue 1, pages 91-113.
• Josep Vives & Jorge A. León & Frederic Utzet & Josep L. Solé, 2002, "On Lévy processes, Malliavin calculus and market models with jumps," Finance and Stochastics, Springer, volume 6, issue 2, pages 197-225.
• Victoria Steblovskaya & Sergio Albeverio, 2002, "A model of financial market with several interacting assets. Complete market case," Finance and Stochastics, Springer, volume 6, issue 3, pages 383-396.
• Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002, "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, volume 6, issue 4, pages 449-471.
• Ernesto Mordecki, 2002, "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, volume 6, issue 4, pages 473-493.
• John Krainer & Stephen F. LeRoy, 2002, "Equilibrium valuation of illiquid assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 19, issue 2, pages 223-242.
• Takashi Kamihigashi, 2002, "A simple proof of the necessity of the transversality condition," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 20, issue 2, pages 427-433.
• Sabine Langner, 2002, "Asset Backed Securities," Schmalenbach Journal of Business Research, Springer, volume 54, issue 7, pages 656-673, November, DOI: 10.1007/BF03372691.
• Juan A. Lafuente, 2002, "Intraday return and volatility relationships between the Ibex 35 spot and futures markets," Spanish Economic Review, Springer;Spanish Economic Association, volume 4, issue 3, pages 201-220.
• Jan Hanousek & Libor Nemecek, 2002, "Mispricing and lasting arbitrage between parallel markets in the Czech Republic," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 1, pages 46-69, DOI: 10.1080/13518470110047639.
• David Heath & Eckhard Platen, 2002, "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 5, pages 362-369, DOI: 10.1088/1469-7688/2/5/305.
• Pablo Marshall & Eduardo Walker, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns," Journal of Applied Economics, Taylor & Francis Journals, volume 5, issue 2, pages 273-292, November, DOI: 10.1080/15140326.2002.12040580.
• Asli Bayar & Ozgur Berk Kan, 2002, "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 2, issue 2, pages 77-90.
• Patrick Houweling & Ton Vorst, 2002, "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-004/2, Jan.
• Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002, "Model Risk and Regulatory Capital," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-27.
• Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-111.
• Kerkhof, F.L.J. & Pelsser, A., 2002, "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-28.
• Orazio P. Attanasio & James Banks & Sarah Tanner, 2002, "Asset Holding and Consumption Volatility," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 771-792, August, DOI: 10.1086/340774.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, volume 110, issue 4, pages 793-824, August, DOI: 10.1086/340776.
• Yeung Lewis Chan & Leonid Kogan, 2002, "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Journal of Political Economy, University of Chicago Press, volume 110, issue 6, pages 1255-1285, December, DOI: 10.1086/342806.
• Marc Schaberg & Dean Baker & Robert Pollin, 2002, "Securities Transaction Taxes for U.S. Financial Markets," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp20.
• Giovanni Cespa, 2002, "Giffen goods and market making," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 681, Apr, revised May 2003.
• Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999, "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 19, Aug.
• Carl Chiarella & Oh-Kang Kwon, 1999, "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 5, Apr.
• David Heath & Eckhard Platen, 2002, "A Variance Reduction Technique Based on Integral Representations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 75, Mar.
• Ram Bhar & Carl Chiarella & Thuy Duong To, 2002, "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 80, May.
• Carl Chiarella & Shenhuai Gao, 2002, "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 115, Apr.
• Carl Chiarella & Shenhuai Gao, 2002, "Solving the Price-Earnings Puzzle," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 116, Apr.
• Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002, "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 513, Nov.
• Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 2002, "Is the Offer Price in IPOs Informative? Underpricing, Ownership Structure, and Performance," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-33, Feb.
• François Ortalo-Magné & Sven Rady, 2002, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research, number 02-01, Mar.
• Norman Ehrentreich, 2002, "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics, University Library of Munich, Germany, number 0209001, Sep.
• Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002, "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics, University Library of Munich, Germany, number 0201003, Jan.
• Ross M. Miller, 2002, "Can Markets Learn to Avoid Bubbles?," Experimental, University Library of Munich, Germany, number 0201001, Jan, revised 07 Jan 2002.
• Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Experimental, University Library of Munich, Germany, number 0210001, Oct.
• Jiri Hoogland & Dimitri Neumann & Michel Vellekoop, 2002, "Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk," Finance, University Library of Munich, Germany, number 0203001, Mar.
• Bakhodir A Ergashev, 2002, "A note on a generalized Black-Scholes formula," Finance, University Library of Munich, Germany, number 0203006, Mar.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2002, "Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market," Finance, University Library of Munich, Germany, number 0206001, Jun.
• Bakhodir Ergashev, 2002, "On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process," Finance, University Library of Munich, Germany, number 0206002, Jun.
• David Backus & Silverio Foresi & Liuren Wu, 2002, "Accouting for Biases in Black-Scholes," Finance, University Library of Munich, Germany, number 0207008, Aug.
• Massoud Heidari & Liuren Wu, 2002, "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, University Library of Munich, Germany, number 0207010, Aug, revised 10 Sep 2002.
• Peter Carr & Liuren Wu, 2002, "Time-Changed Levy Processes and Option Pricing," Finance, University Library of Munich, Germany, number 0207011, Aug.
• Peter Carr & Liuren Wu, 2002, "The Finite Moment Log Stable Process and Option Pricing," Finance, University Library of Munich, Germany, number 0207012, Aug.
• Massoud Heidari & Liuren WU, 2002, "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance, University Library of Munich, Germany, number 0207013, Aug.
• Markus Leippold & Liuren Wu, 2002, "Design and Estimation of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0207014, Aug.
• Markus Leippold & Liuren Wu, 2002, "Asset Pricing Under The Quadratic Class," Finance, University Library of Munich, Germany, number 0207015, Aug.
• Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002, "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance, University Library of Munich, Germany, number 0207016, Aug.
• David Backus & Liuren Wu & Stanley Zin, 2002, "Markov Chain Approximations For Term Structure Models," Finance, University Library of Munich, Germany, number 0207018, Sep.
• Peter Carr & Liuren Wu, 2002, "What Type of Process Underlies Options? A Simple Robust Test," Finance, University Library of Munich, Germany, number 0207019, Sep.
• Bernd Hayo & Ali Kutan, 2002, "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance, University Library of Munich, Germany, number 0209001, Sep.
• Marcel Hendrickx, 2002, "The Geometry of Payoff Spaces," Finance, University Library of Munich, Germany, number 0209006, Sep.
• Daniel Capocci, 2002, "An Analysis of Hedge Fund Performance," Finance, University Library of Munich, Germany, number 0210001, Oct.
• Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Finance, University Library of Munich, Germany, number 0210005, Oct.
• Li Chen & H. Vincent Poor, 2002, "A General Characterization of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0211008, Nov.
• Eric Benhamou, 2002, "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance, University Library of Munich, Germany, number 0212003, Dec.
• Eric Benhamou, 2002, "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance, University Library of Munich, Germany, number 0212005, Dec.
• Eric Benhamou, 2002, "Option pricing with Levy Process," Finance, University Library of Munich, Germany, number 0212006, Dec.
• Erkan Yalcin, 2002, "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods, University Library of Munich, Germany, number 0204002, Apr.
• Irene de Greef & Ralph de Haas, 2002, "Housing Prices, Bank Lending, and Monetary Policy," Macroeconomics, University Library of Munich, Germany, number 0209010, Sep.
• K. Tobias Winther, 2002, "Value Creation and Profit Optimization," Microeconomics, University Library of Munich, Germany, number 0206001, Jun, revised 08 Dec 2003.
• Glaser, Markus & Weber, Martin, 2002, "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 02-43, May.
• Shinichi Hirota & Shyam Sunder, 2002, "Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors," Yale School of Management Working Papers, Yale School of Management, number ysm2, Nov.
• Harry Mamaysky, 2002, "On the Joint Pricing of Stocks and Bonds: Theory and Evidence," Yale School of Management Working Papers, Yale School of Management, number ysm256, Jan.
• Tobias J. Moskowitz & Mark Grinblatt, 2002, "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," Yale School of Management Working Papers, Yale School of Management, number ysm259, Jan.
• Masahiro Watanabe, 2002, "Rational Trend Followers and Contrarians in Excessively Volatile, Correlated Markets," Yale School of Management Working Papers, Yale School of Management, number ysm267, May.
• Shinichi Hirota & Shyam NMI Sunder, 2002, "Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors," Yale School of Management Working Papers, Yale School of Management, number ysm271, Nov.
• William Goetzmann & Ning Zhu, 2002, "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers, Yale School of Management, number ysm296, Aug, revised 01 Sep 2009.
• Ray Fair, 2002, "Risk Aversion and Stock Prices," Yale School of Management Working Papers, Yale School of Management, number ysm311, Oct, revised 01 Aug 2007.
• Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2002, "Return-volatility linkages in the international equity and currency markets," Bank of Finland Research Discussion Papers, Bank of Finland, number 9/2002.
• Keloharju, Matti & Malkamäki, Markku & Nyborg, Kjell G. & Rydqvist, Kristian, 2002, "A Descriptive analysis of the Finnish treasury bond market 1991-1999," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2002.
• Schürger, Klaus, 2002, "Laplace transforms and suprema of stochastic processes," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 10/2002.
• Thierbach, Frank, 2002, "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2002.
• Dudenhausen, Antje & Schlögl, Lutz, 2002, "An Examination of the Effects of Parameter Misspecification," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 22/2002.
• Evstigneev, Igor V. & Schürger, Klaus & Taksar, Michael I., 2002, "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 24/2002.
• Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2002, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 25/2002.
• Dudenhausen, Antje, 2002, "How to Avoid a Hedging Bias," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 34/2002.
• Zühlsdorff, Christian, 2002, "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2002.
• Zühlsdorff, Christian, 2002, "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 6/2002.
• Schürger, Klaus, 2002, "Maximal Arbitrage," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 9/2002.
• Kim, Jeong-Ryeol, 2002, "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,05.
• Upper, Christian & Werner, Thomas, 2002, "Tail Wags Dog? Time-Varying Information Shares in the Bund Market," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,24.
• Schindler, Dirk, 2002, "Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/16.
• Fischer, Matthias J., 2002, "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 46/2002.
• Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V., 2002, "Efficient hedging for a complete jump-diffusion model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,27.
• Giesecke, Kay, 2002, "Compensator-based simulation of correlated defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,47.
• Giesecke, Kay, 2002, "An exponential model for dependent defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,52.
• Giesecke, Kay, 2002, "Credit risk modeling and valuation: An introduction," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,54.
• Schulz, Rainer, 2002, "Real estate valuation according to standardized methods: An empirical analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,55.
• 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.
• Takashi Kamihigashi, 2002, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 128, Apr.
• Medvegyev, Péter, 2002, "A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
  [The fundamental proposition of financial-resource pricing in discrete-time models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 597-620.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 02.17, Oct.
• Fabrice Herve, 2002, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers, Laboratoire Orléanais de Gestion - université d'Orléans, number 2002-3.
• Gobert, Karine & González, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0206.
• Gobert, Karine & Gonzalez, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, GREEN, number 0202.
• Lux, Thomas & Sornette, Didier, 2002, "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 589-610, August.
• Fleming, Michael J, 2002, "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 707-735, August.
• George Athanassakos, 2002, "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 1-27, March.
• Bilgehan Yazici & Gulnur Muradoglu, 2002, "Dissemination of Stock Recommendations and Small Investors: Who Benefits?," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 29-42, March.
• Marco Corazza & A. G. Malliaris, 2002, "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 65-98, June.
• Mondher Bellalah & Marc Lavielle, 2002, "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 99-130, June.
• Larry R. Gorman & Bjorn N. Jorgensen, 2002, "Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 3-4, pages 131-166, September.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
• Yacine Aït-Sahalia & Robert Kimmel, 2002, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0286, Dec.
• Kent Smetters, 2002, "Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8732, Jan.
• Amit Goyal & Ivo Welch, 2002, "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 8788, Feb.
• Wayne E. Ferson & Andrew Siegel, 2002, "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 8789, Feb.
• Wayne Ferson & Kenneth Khang, 2002, "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 8790, Feb.
• Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002, "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 8791, Feb.
• Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002, "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8793, Feb.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," NBER Working Papers, National Bureau of Economic Research, Inc, number 8816, Feb.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 8822, Mar.
• Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8876, Apr.
• Annette Vissing-Jorgensen, 2002, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers, National Bureau of Economic Research, Inc, number 8884, Apr.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," NBER Working Papers, National Bureau of Economic Research, Inc, number 8895, Apr.
• Yacine Ait-Sahalia & Jefferson Duarte, 2002, "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8944, May.
• Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
• John Y. Campbell & Glen B. Taksler, 2002, "Equity Volatility and Corporate Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 8961, May.
• Lubos Pastor & Pietro Veronesi, 2002, "Stock Valuation and Learning about Profitability," NBER Working Papers, National Bureau of Economic Research, Inc, number 8991, Jun.
• G. Andrew Karolyi & Rene M. Stulz, 2002, "Are Financial Assets Priced Locally or Globally?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8994, Jun.
• Michael W. Brandt & Qiang Kang, 2002, "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 9056, Jul.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002, "Foreign Currency for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 9075, Jul.
• Peter G. Dunne & Michael J. Moore & Richard Portes, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9087, Aug.
• Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002, "Spurious Regressions in Financial Economics?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9143, Sep.
• Nicholas Barberis & Richard Thaler, 2002, "A Survey of Behavioral Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 9222, Sep.
• Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002, "Determinants of Real House Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 9262, Oct.
• Stefano Cavaglia & Robert J. Hodrick & Moroz Vadim & Xiaoyan Zhang, 2002, "Pricing the Global Industry Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9344, Nov.
• Joao Gomes & Amir Yaron & Lu Zhang, 2002, "Asset Pricing Implications of Firms' Financing Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 9365, Dec.
• Takatoshi Ito & Yuko Hashimoto, 2002, "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers, National Bureau of Economic Research, Inc, number 9376, Dec.
• Christopher S. Jones & Jay Shanken, 2002, "Mutual Fund Performance with Learning Across Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9392, Dec.
• 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.
• Danielle Wood & Kym Anderson, 2002, "What Determines the Future Value of an Icon Wine? Evidence from Australia," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies, number 2002-33, Nov.