Research classified by Journal of Economic Literature (JEL) codes

2001

• Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001, "Breadth of Ownership and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8151, Mar.
• Nicholas Barberis & Ming Huang, 2001, "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8190, Mar.
• John Y. Campbell & Robert J. Shiller, 2001, "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers, National Bureau of Economic Research, Inc, number 8221, Apr.
• Tuomo Vuolteenaho, 2001, "What Drives Firm-Level Stock Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8240, Apr.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2001, "The Value Spread," NBER Working Papers, National Bureau of Economic Research, Inc, number 8242, Apr.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 2001, "The Level and Persistence of Growth Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 8282, May.
• Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2001, "Earnings Quality and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8308, May.
• Martin D. D. Evans & Richard K. Lyons, 2001, "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers, National Bureau of Economic Research, Inc, number 8356, Jul.
• Fernando Alvarez & Urban J. Jermann, 2001, "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers, National Bureau of Economic Research, Inc, number 8360, Jul.
• Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," NBER Working Papers, National Bureau of Economic Research, Inc, number 8404, Jul.
• Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001, "Luxury Goods and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 8417, Aug.
• G. William Schwert, 2001, "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8436, Aug.
• Lubos Pastor & Robert F. Stambaugh, 2001, "Liquidity Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8462, Sep.
• William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001, "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 8491, Sep.
• Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.
• Sebastian Edwards & Raul Susmel, 2001, "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 8506, Oct.
• Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001, "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 8510, Oct.
• Andrew W. Lo & Jiang Wang, 2001, "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 8565, Oct.
• John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001, "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc, number 8566, Oct.
• Yeung Lewis Chan & Leonid Kogan, 2001, "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8607, Nov.
• Leonid Kogan & Raman Uppal, 2001, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 8609, Nov.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "The Stock Market Crash of 1929: Irving Fisher Was Right!," NBER Working Papers, National Bureau of Economic Research, Inc, number 8622, Dec.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, Regulations, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8623, Dec.
• Lee Pinkowitz & Rene M. Stulz & Rohan Williamson, 2001, "Corporate Governance and the Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 8680, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2001, "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W6, Jun.
• Takashi Kamihigashi, 2001, "Necessity of Transversality Conditions for Stochastic Problems," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 01-02.
• Helmut Elsinger & Martin Summer, 2001, "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 49, Aug.
• Maurice J. Roche, 2001, "Fads versus Fundamentals in Farmland Prices: Comment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 83, issue 4, pages 1074-1077.
• Faig, Miquel, 2001, "Understanding Investment Irreversibility in General Equilibrium," Economic Inquiry, Western Economic Association International, volume 39, issue 4, pages 499-510, October.
• Paul A. Gompers & Andrew Metrick, 2001, "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 116, issue 1, pages 229-259.
• Christian Gollier, 2001, "Wealth Inequality and Asset Pricing," The Review of Economic Studies, Review of Economic Studies Ltd, volume 68, issue 1, pages 181-203.
• Frank De Jong & Joost Driessen & Antoon Pelsser, 2001, "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, volume 5, issue 3, pages 201-237.
• David Feldman, 2001, "Production and the Real Rate of Interest: A Sample Path Equilibrium," Review of Finance, European Finance Association, volume 5, issue 3, pages 239-267.
• John Y. Campbell & João Cocco & Francisco Gomes & Pascal J. Maenhout & Luis M. Viceira, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Review of Finance, European Finance Association, volume 5, issue 3, pages 269-292.
• John R. M. Hand, 2001, "The Role of Book Income, Web Traffic, and Supply and Demand in the Pricing of U.S. Internet Stocks," Review of Finance, European Finance Association, volume 5, issue 3, pages 295-317.
• Lamont, Owen & Polk, Christopher & Saa-Requejo, Jesus, 2001, "Financial Constraints and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 14, issue 2, pages 529-554.
• Alvarez, Fernando & Jermann, Urban J, 2001, "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," The Review of Financial Studies, Society for Financial Studies, volume 14, issue 4, pages 1117-1151.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Normal Modified Stable Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 72, Jul.

2000

• Takashi Kamihigashi, 2000, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 115, Nov.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, Université Laval - Département d'économique, number 0003.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, GREEN, number 0003.
• Maurice J. Roche & Kieran McQuinn, 2000, "Speculation in agricultural land," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1010700, Oct.
• Tim Brailsford & Richard Heaney & John Powell & Jing Shi, 2000, "Hot and Cold IPO Markets: Identification Using a Regime Switching Model," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 1-2, pages 35-68, March-Jun.
• Wolfgang Aussenegg, 2000, "Privatization versus Private Sector Initial Public Offerings in Poland," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 1-2, pages 69-99, March-Jun.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 159-179, September.
• Brooks, C. & Henry, O.T., 2000, "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Department of Economics - Working Papers Series, The University of Melbourne, number 733.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00005, Jan.
• Nicolas Nalpas, 2000, "Modèles intertemporels d'évaluation d'actifs financiers : une évaluation sur données françaises de longue période," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00032, Mar.
• Catherine Refait, 2000, "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00040, Mar.
• Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000, "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/00, Jul.
• GARCIA, René & RENAULT, Éric, 2000, "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2000-01.
• Garcia, R. & Renault, E., 2000, "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2000-01.
• Yacine Ait-Sahalia & Andrew W. Lo, 2000, "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 6130, Mar.
• John Y. Campbell, 2000, "Asset Pricing at the Millennium," NBER Working Papers, National Bureau of Economic Research, Inc, number 7589, Mar.
• Brent W. Ambrose & Patric H. Hendershott & Malgorzata M. Klosek, 2000, "Pricing Upward-Only Adjusting Leases," NBER Working Papers, National Bureau of Economic Research, Inc, number 7622, Mar.
• Andrew W. Lo & Jiang W. Wang, 2000, "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 7625, Mar.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 7644, Apr.
• Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000, "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7687, May.
• Aaron Tornell, 2000, "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 7753, Jun.
• Lubos Pastor & Robert F. Stambaugh, 2000, "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 7779, Jul.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "Capital Gains Holding Periods and Equity Trading: Evidence from the 1998 Tax Act," NBER Working Papers, National Bureau of Economic Research, Inc, number 7827, Aug.
• Fernando Alvarez & Urban J. Jermann, 2000, "Using Asset Prices to Measure the Cost of Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 7978, Oct.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8011, Nov.
• Nicholas Barberis & Andrei Shleifer, 2000, "Style Investing," NBER Working Papers, National Bureau of Economic Research, Inc, number 8039, Dec.
• Ravi Bansal & Amir Yaron, 2000, "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers, National Bureau of Economic Research, Inc, number 8059, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2000, "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W4, Oct, revised 05 Jul 2001.
• Karl Schmedders, 2000, "Monopolistic Security Design in Finance Economies," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1288, Mar.
• Jérôme Detemple & Carlton Osakwe, 2000, "The Valuation of Volatility Options," Review of Finance, European Finance Association, volume 4, issue 1, pages 21-50.
• Nicolas Clerc & Rajna Gibson, 2000, "Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?," Review of Finance, European Finance Association, volume 4, issue 2, pages 97-127.
• Lo, Andrew W & Wang, Jiang, 2000, "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 257-300.
• Athanasoulis, Stefano G & Shiller, Robert J, 2000, "The Significance of the Market Portfolio," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 301-329.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 3, pages 549-584.
• Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006, "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 06.04, Jun.
• Liang Zou, 2000, "Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-108/2, Dec.
• de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A., 2000, "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-35.
• de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000, "Evaluating Style Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-64.
• Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000, "Common Factors in International Bond Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-91.
• Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-93.
• Philippe Martin and Hélène Rey., 2000, "Financial Super-Markets: Size Matters for Asset Trade," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley, number C00-110, Jul.
• Welch, Ivo, 2000, "Views of Financial Economists on the Equity Premium and on Professional Controversies," The Journal of Business, University of Chicago Press, volume 73, issue 4, pages 501-537, October, DOI: 10.1086/209653.
• Stephen L. Ross & Geoffrey M. B. Tootell, 2000, "Redlining, the Community Reinvestment Act, and Private Mortgage Insurance," Working papers, University of Connecticut, Department of Economics, number 2000-04.
• Rómulo Chumacero Escudero, 2000, "Se busca una raíz unitaria: evidencia para Chile," Estudios de Economia, University of Chile, Department of Economics, volume 27, issue 1 Year 20, pages 55-68, June.
• Ariane Szafarz, 2012, "Financial crises in efficient markets: How fundamentalists fuel volatility," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/149191, Jan.
• Herings, P.J.J. & Kubler, F., 2000, "The Robustness of CAPM-A Computational Approach," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 002, Jan, DOI: 10.26481/umamet.2000002.
• Herings, P.J.J. & Kubler, F., 2000, "Computing equilibria in finance economies," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 022, Jan, DOI: 10.26481/umamet.2000022.
• de Ruyter, J.C. & Wetzels, M.G.M., 2000, "The role of corporate image and extension similarity in service brand extensions," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 035, Jan, DOI: 10.26481/umamet.2000035.
• Miller, Edward M., 2000, "Long run underperformance of initial public offerings: an explanation," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-18, Feb.
• Giovanni Cespa, 2000, "Short-term investment and equilibrium multiplicity," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 520, Jun, revised Jun 2002.
• Volker Bohm & Carl Chiarella, 2000, "Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 46, Oct.
• Giulia Iori, 2000, "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance, University Library of Munich, Germany, number 0004007, Jul.
• T. W. Epps, 2000, "Introduction And Overview," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Mathematical Preparation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Tools For Continuous-Time Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Dynamics-Free Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Pricing Under Bernoulli Dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Black-Scholes Dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Pricing Derivative Securities".
• T. W. Epps, 2000, "American Options And ‘Exotics’," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Models With Uncertain Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Discontinuous Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Interest-Rate Dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Simulation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Pricing Derivative Securities".
• T. W. Epps, 2000, "SOLVING P.D.E.s NUMERICALLY," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Pricing Derivative Securities".
• T. W. Epps, 2000, "Programs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Pricing Derivative Securities".
• Ivo Welch, 2000, "Views of Financial Economists on the Equity Premium and on Professional Controversies," Yale School of Management Working Papers, Yale School of Management, number ysm122, Apr.
• Oehler, Andreas & Heilmann, Klaus & Läger, Volker, 2000, "Do Insiders Contribute to Market Efficiency? Informational Efficiency and Liquidity of Experimental Call Markets with and without Insiders," Discussion Papers, University of Bamberg, Chair of Finance, number 11.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,15.
• Schröder, Michael, 2000, "Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 00-42.
• Pedro J. F. de Lima & Michelle L. Barnes, 2000, "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2000-05.
• Dong Lee & Bong-Chan Kho & Rene M. Stulz, 2000, "U.S. Banks, Crises, and Bailouts: From Mexico to LTCM," American Economic Review, American Economic Association, volume 90, issue 2, pages 28-31, May.
• Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000, "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, volume 90, issue 4, pages 1005-1011, September.
• Pascal St-Amour & Stephen Gordon, 2000, "A Preference Regime Model of Bull and Bear Markets," American Economic Review, American Economic Association, volume 90, issue 4, pages 1019-1033, September.
• Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000, "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, volume 90, issue 4, pages 787-805, September.
• R. Mark Isaac & Duncan James, 2000, "Asset Markets: How They Are Affected by Tournament Incentives for Individuals," American Economic Review, American Economic Association, volume 90, issue 4, pages 995-1004, September.
• Uri Ron, 2000, "A Practical Guide to Swap Curve Construction," Staff Working Papers, Bank of Canada, number 00-17, DOI: 10.34989/swp-2000-17.
• René Garcia & Maral Kichian, 2000, "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers, Bank of Canada, number 00-9, DOI: 10.34989/swp-2000-9.
• Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchis, 2000, "Estimating Liquidity Premia in the Spanish Government Securities Market," Working Papers, Banco de España, number 0017.
• Fabio Fornari & Marcello Pericoli, 2000, "Stock Values and Fundamentals; Link or Irrationality?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 378, Oct.
• Eric Jondeau & Michael Rockinger, 2000, "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers, Banque de France, number 77.
• John Y. Campbell, 2000, "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, volume 55, issue 4, pages 1515-1567, August, DOI: 10.1111/0022-1082.00260.
• Abarbanell, J & Bernard, V, 2000, "Is the US stock market myopic?," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue 2, pages 221-242, DOI: http://hdl.handle.net/10.2307/26729.
• Botosan, CA & Harris, MS, 2000, "Motivations for a change in disclosure frequency and its consequences: An examination of voluntary quarterly segment disclosures," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue 2, pages 329-353, DOI: http://hdl.handle.net/10.2307/26729.
• Piotroski, JD, 2000, "Value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 1-41, DOI: http://hdl.handle.net/10.2307/26729.
• Bushee, BJ & Noe, CF, 2000, "Corporate disclosure practices, institutional investors, and stock return volatility," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 171-202, DOI: http://hdl.handle.net/10.2307/26729.
• Venkatachalam, M, 2000, "Discussion of corporate disclosure practices, institutional investors, and stock return volatility," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 203-207, DOI: http://hdl.handle.net/10.2307/26729.
• Guay, W, 2000, "Discussion of value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 43-51, DOI: http://hdl.handle.net/10.2307/26729.
• Coe, P. & Pesaran, M.H. & Vahey, S.P., 2000, "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0005, May.
• Kajii, A. & Hara, C., 2000, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0030, Dec.
• Martin, Philippe & Rey, Hélène, 2000, "Financial Super-Markets: Size Matters for Asset Trade," Center for International and Development Economics Research, Working Paper Series, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley, number qt0dr2z6p9, Jul.
• Rodolfo Apreda, 2000, "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 161, Feb.
• Rodolfo Apreda, 2000, "Differential Rates of Return and Residual Information Sets (A Discrete Approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 177, Oct.
• Dongwei Su, 2000, "Asset Pricing in A Segmented Emerging Market," Journal of Applied Economics, Universidad del CEMA, volume 3, pages 387-412, November.
• P Martin & H Rey, 2000, "Financial Super-Markets: Size Matters for Asset Trade," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0450, Mar.
• Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000, "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 385, Apr.
• Rómulo Chumacero, 2000, "Se Busca una Raíz Unitaria: Evidencia para Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 86, Dec.
• Lorenzo Cappiello, 2000, "Do fixed income securities also show asymmetric effects in conditional second moments?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number rp12, Jan.
• Olivier Allais & Loic Cadiou & Stéphane Dees, 2000, "Consumption Habit and Equity Premium in the G7 Countries," Working Papers, CEPII research center, number 2000-19, Dec.
• Bossaerts, Peter & Plott, Charles R., 2000, "Basic Principles of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 1070, Jan.
• Harissis, H., 2000, "The Capital Asset Pricing Model: A Review Of The Issues," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 111-130, July - De.
• Kyrtsou, C. & Terraza, V., 2000, "Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 3-16, July - De.
• Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000, "Prospect Theory and Asset Prices," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp16, Sep.
• Lorenzo CAPPIELLO & Tom A. Fearnley, 2000, "International CAPM with Regime Switching GARCH Parameters," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp17, Jul.
• Foort HAMELINK, 2000, "Optimal International Diversification: Theory and Practice from a Swiss Investor’s Perspective," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp21, Dec.
• Jiøí Slaèálek, 2000, "Black-Scholes Options Pricing Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 50, issue 2, pages 78-98, February.
• Mika Vaihekoski, 2000, "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, volume 13, issue 2, pages 71-88, Autumn.
• Robert E. Hall, 2000, "The stock market and capital accumulation," Proceedings, Federal Reserve Bank of San Francisco, issue apr.
• Eric M. Engen & Andreas Lehnert, 2000, "Mutual funds and the U.S. equity market," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 86, issue Dec, pages 797-812, December, DOI: 10.17016/bulletin.2000.86-12.
• Daniel Aaronson & Raphael W. Bostic & Paul Huck & Robert M. Townsend, 2000, "Supplier relationships and small business use of trade credit," Working Paper Series, Federal Reserve Bank of Chicago, number WP-00-28.
• Ellen R. McGrattan & Edward C. Prescott, 2000, "Is the stock market overvalued?," Quarterly Review, Federal Reserve Bank of Minneapolis, volume 24, issue Fall, pages 20-40.
• Pierre Mella-Barral & Ulrich Hege, 2000, "Collateral, Renegotiation and the Value of Diffusely Held Debt," FMG Discussion Papers, Financial Markets Group, number dp339, Jan.
• Eric Benhamou, 2000, "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," FMG Discussion Papers, Financial Markets Group, number dp350, Apr.
• Harrison Hong & Sven Rady, 2000, "Strategic Trading and Learning About Liquidity," FMG Discussion Papers, Financial Markets Group, number dp356, Aug.
• Olivier Renault & Jan Ericsson, 2000, "Liquidity and Credit Risk," FMG Discussion Papers, Financial Markets Group, number dp362, Nov.
• Fornari, F. & Pericoli, M., 2000, "Stock Values and Fundamentals: Link or Irrationality?," Papers, Banca Italia - Servizio di Studi, number 378.
• Flam, S.D., 2000, "Reaching Equilibrium in the Capital Asset Pricing Model," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 0700.
• Harris, T.S. & Glenn Hubbard, R. & Kemsley, D., 2000, "The Share Price Effects of Dividend Taxes and Tax Imputation Credits," Papers, Columbia - Graduate School of Business, number 00-02.
• Sundaresan, S.M., 2000, "Continuous-Time Methods in Finance: A Review and an Assessment," Papers, Columbia - Graduate School of Business, number 00-03.
• Thao, T.H. & Thomas-Agnan, C., 2000, "Evolution des cours gouvernee par unprocessus de type ARIMA fractionnaire," Papers, Toulouse - GREMAQ, number 00-541.
• John Y. Campbell & Luis M. Viceira, 2000, "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1895.
• John Y. Campbell, 2000, "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1897.
• John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis Viceira, 2000, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1899.
• Linden, M., 2000, "A Model for Stock Return Distribution," University of Helsinki, Department of Economics, Department of Economics, number 495.
• Saphores, J.D. & Khalaf, L. & Pelletier, D., 2000, "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Papers, Laval - Recherche en Energie, number 00-03.
• Nalpas, N., 2000, "Modeles intertemporels d'evaluation d'actifs financiers : une evaluation sur donnees francaises de longue periode," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.32.
• Refait, C., 2000, "Estimation du risque de defaut par une modelisation stochastique du bilan : application a des firmes industrielles francaises," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.40.
• Khan, A. & Sun, Y., 2000, "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.81.
• Bernis, G., 2000, "Minimax Measures of Risk : Properties and Applications," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.85.
• Bennell, J. & Sutcliffe, C., 2000, "Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options," Papers, University of Southampton - Department of Accounting and Management Science, number 00-156.
• Catherine Refait, 2000, "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03718527, Mar.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03723832, Jan.
• Catherine Refait-Alexandre, 2000, "Estimation du risque de défaut par une modélisation stochastique du bilan : application à des firmes industrielles françaises," Post-Print, HAL, number hal-01359570, Dec.
• Hélène Rey & Philippe Martin, 2000, "Financial Integration and Asset Returns," Post-Print, HAL, number hal-03609284, Jun.
• Elyès Jouini, 2000, "Price functionals with bid–ask spreads: an axiomatic approach," Post-Print, HAL, number halshs-00167144.
• Catherine Refait, 2000, "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Post-Print, HAL, number halshs-03718527, Mar.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Post-Print, HAL, number halshs-03723832, Jan.
• Michael Rockinger & Eric Jondeau, 2000, "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers, HAL, number hal-00601486, Jul.
• Dominique Pepin, 2000, "Globalisation des marchés de capitaux et valorisation des actifs financiers," Working Papers, HAL, number hal-00966464.
• Levin, Joakim & Olsson, Per M., 2000, "Terminal Value Techniques in Equity Valuation - Implications of the Steady State Assumption," SSE/EFI Working Paper Series in Business Administration, Stockholm School of Economics, number 2000:7, Jun.
• Engström, Stefan, 2000, "Costly Information, Diversification, and International Mutual Fund Performance," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 385, May, revised 30 Jan 2003.
• Longarela, Iñaki R., 2000, "Gain, Loss, and Asset Pricing: It is Much Easier. A note," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 401, Sep, revised 18 Oct 2000.
• Graflund, Andreas, 2000, "A Swedish Real Estate Stock Market Index, 1939-1998," Working Papers, Lund University, Department of Economics, number 2000:7, Sep, revised 17 May 2001.
• S. Brock Blomber & Andrew Mountford, 2000, "Can Political Variables Really Predict Exchange Rate Movements?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 99/11, Feb, revised Feb 2000.
• Campbell, John, 2000, "Asset Pricing at the Millennium," Scholarly Articles, Harvard University Department of Economics, number 3294737.
• Baba, Naohiko, 2000, "Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 18, issue 1, pages 39-72, May.
• Kato, Toshiyasu & Yoshiba, Toshinao, 2000, "Model Risk and Its Control," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 18, issue 2, pages 129-157, December.
• Baba, Naohiko, 2000, "Exploring the Role of Money in Asset Pricing in Japan: Monetary Considerations and Stochastic Discount Factors," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 18, issue 2, pages 159-198, December.
• Francisco Poveda & Raúl Iñiguez, 2000, "Análisis Empírico De La Relación Entre Creación De Valor Y Resultados," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2000-20, Nov.
• Juan Carlos Gómez Sala & Jorge Yzaguirre Sharfhaussen, 2000, "Presión sobre los precios en las revisiones del índice Ibex35," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2000-22, Dec.
• William A. Barnett & Yi Liu, 2000, "Beyond the Risk-neutral Utility Function," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, in: Michael T. Belongia & Jane M. Binner, "Divisia Monetary Aggregates", DOI: 10.1057/9780230288232_2.
• Ayub, Mehar, 2000, "Stock market consequences of macro economic fundamentals," MPRA Paper, University Library of Munich, Germany, number 442, revised 2001.
• Magni, Carlo Alberto, 2000, "Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream," MPRA Paper, University Library of Munich, Germany, number 5900, Jul.
• Magni, Carlo Alberto, 2000, "Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value," MPRA Paper, University Library of Munich, Germany, number 7308, May.
• Magni, Carlo Alberto, 2000, "Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach," MPRA Paper, University Library of Munich, Germany, number 7600, Dec.