Research classified by Journal of Economic Literature (JEL) codes

2003

• Michael R. King, 2003, "Income Trusts--Understanding the Issues," Staff Working Papers, Bank of Canada, number 03-25, DOI: 10.34989/swp-2003-25.
• Miroslav Misina, 2003, "Are Distorted Beliefs Too Good to be True?," Staff Working Papers, Bank of Canada, number 03-4, DOI: 10.34989/swp-2003-4.
• Michael R. King & Dan Segal, 2003, "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers, Bank of Canada, number 03-6, DOI: 10.34989/swp-2003-6.
• Antonio Díez de los Ríos & Alicia García Herrero, 2003, "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers, Banco de España, number 0317, Dec.
• Paolo Zaffaroni, 2003, "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 472, Jun.
• Monica Paiella, 2003, "Revisiting the Implications of Heterogeneity in Financial Market Participation for the C-CAPM," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 473, Jun.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• José S. Penalva, 2015, "Implications of Dynamic Trading for Insurance Markets," Working Papers, Barcelona School of Economics, number 83, Sep.
• Peter Temin & Hans-Joachim Voth, 2015, "Riding the South Sea Bubble," Working Papers, Barcelona School of Economics, number 91, Sep.
• Jeffery D Amato & Eli M Remolona, 2003, "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
• Patrick McGuire & Martijn A Schrijvers, 2003, "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
• Frank Packer & Chamaree Suthiphongchai, 2003, "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
• Anthony Richards & Mark Gugiatti, 2003, "Do Collective Action Clauses Influence Bond Yields? New Evidence from Emerging Markets," International Finance, Wiley Blackwell, volume 6, issue 3, pages 415-447, November, DOI: 10.1111/j.1367-0271.2003.00124.x.
• Alain Venditti, 2003, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," The Japanese Economic Review, Japanese Economic Association, volume 54, issue 2, pages 179-202, June, DOI: 10.1111/1468-5876.t01-1-00253.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Value Spread," Journal of Finance, American Finance Association, volume 58, issue 2, pages 609-641, April, DOI: 10.1111/1540-6261.00539.
• Peter Carr & Liuren Wu, 2003, "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, volume 58, issue 2, pages 753-777, April, DOI: 10.1111/1540-6261.00544.
• Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003, "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1393-1413, August, DOI: 10.1111/1540-6261.00571.
• Ľuboš Pástor & Veronesi Pietro, 2003, "Stock Valuation and Learning about Profitability," Journal of Finance, American Finance Association, volume 58, issue 5, pages 1749-1789, October, DOI: 10.1111/1540-6261.00587.
• John Y. Campbell & Glen B. Taksler, 2003, "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2321-2350, December, DOI: 10.1046/j.1540-6261.2003.00607.x.
• Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Merxe Tudela & Garry Young, 2003, "A Merton-model approach to assessing the default risk of UK public companies," Bank of England Staff Working Paper series, Bank of England, number 194, Jun.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Jakob B Madsen & E Philip Davis, 2003, "Equity Prices, Productivity Growth, And ‘The New Economy’," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-04, Feb.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et trading de volatilité," Revue économique, Presses de Sciences-Po, volume 54, issue 3, pages 663-673.
• Yang, J-H.S. & Satchell, S.E., 2003, "Endogenous Correlation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0321, Mar.
• Darsinos, T. & Satchell, S.E., 2003, "Bayesian Estimation of Risk-Premia in an APT Context," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0329, May.
• Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003, "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0338, Aug.
• Kelly, David L. & Steigerwald, Douglas G, 2003, "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt00n4h4mw, Aug.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Rodolfo Apreda, 2003, "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 233, Mar.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• José Pablo Dapena Fernandez, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 49-72, May.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 385-403, November.
• Oliver Linton & Enno Mammen, 2003, "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 453, May.
• Tony Berrada, 2006, "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-07, Jun.
• Frederik Lundtofte, 2006, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-23, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-05, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003, "Option Valuation with Conditional Skewness," CIRANO Working Papers, CIRANO, number 2003s-50, Aug.
• Kris Jacobs & Xiaofei Li, 2003, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers, CIRANO, number 2003s-51, Aug.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• John H Cochrane, 2003, "Where is the Market Going: Uncertain Facts and Novel Theories," Levine's Working Paper Archive, David K. Levine, number 618897000000000762, Apr.
• John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003, "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography, UCLA Department of Economics, number 666156000000000355, Nov.
• Atsushi Kajii & Chiaki Hara, 2003, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," Levine's Bibliography, UCLA Department of Economics, number 666156000000000383, Nov.
• Franklin Allen & Stephen Morris & Hyun Song Shin, 2003, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews, www.najecon.org, number 391749000000000553, Apr.
• Josep Pijoan-Mas, 2003, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Working Papers, CEMFI, number wp2003_0305.
• Alexander Campos Osorio, 2003, "El Ver: Herramienta Para La Medición De Riesgos De Mercado," Apuntes de Banca y Finanzas, Asobancaria, number 2567, Jul.
• María Ángeles Ortega & María Ángeles Sánchez & Francisco Gonzáles, 2003, "Privatization, deregulation and competition: evidence from Spain," Revista de Economía del Rosario, Universidad del Rosario.
• Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio V�squez, 2003, "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, volume 33, issue 1, pages 51-76.
• Ignacio V√©lez Pareja & Antonio Burbano P√©rez, 2003, "A Practical Guide for Consistency in Valuation: Cash Flows, Terminal Value and Cost of Capital," Proyecciones Financieras y Valoración, Master Consultores, number 1927, Dec.
• Ignacio Velez-Pareja, 2003, "Cost of Capital for Non-Traded Firms," Proyecciones Financieras y Valoración, Master Consultores, number 2205, Oct.
• Ignacio Velez-Pareja, 2003, "Valoraci√≥n de intangibles," Proyecciones Financieras y Valoración, Master Consultores, number 3745, Oct.
• Ignacio V√©lez Pareja & Joseph Tham, 2003, "¬øCoinciden EVA(R) y Utilidad Economica (UE) con los metodos de Flujo de Caja Descontado en valoracion de empresas?," Proyecciones Financieras y Valoración, Master Consultores, number 3788, Aug.
• Linton, Oliver & Mammen, Enno, 2003, "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2187, May.
• Olivier Scaillet., 2003, "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-29.
• Hipòlit Torró & Vicente Meneu & Enric Valor, 2003, "Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 4, pages 6-17, March, DOI: 10.1108/eb022969.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-49, Aug.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Valuing Euro rating-triggered step-up telecom bonds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-50, Aug.
• Houweling, P. & Vorst, A.C.F., 2003, "Pricing default swaps: empirical evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-51, Aug.
• Post, G.T., 2003, "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-017-F&A, Mar.
• Post, G.T., 2003, "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-017-F&A, Jun.
• Roosenboom, P.G.J. & van der Goot, T., 2003, "Takeover defenses and IPO firm value in the Netherlands," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-049-ORG, Jun.
• Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003, "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp54, May.
• Dušan Isakov & Frédéric Sonney, 2003, "Are practitioners right? On the relative importance of industrial factors in international stock returns," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp72, Feb.
• Pascal BOTTERON & Jean-François CASANOVA, 2003, "Start-ups Defined as Portfolios of Embedded Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp85, May.
• Kjell G. Nyborg & Ilya A. Strebulaev, 2003, "Multiple Unit Auctions and Short Squeezes," Working Papers, Fondazione Eni Enrico Mattei, number 2003.27, Mar.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Charles Engel & Kenneth D. West, 2003, "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Glenn D. Rudebusch & Tao Wu, 2003, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-17, Dec, DOI: 10.24148/wp2003-17.
• Ben S. Bernanke & Kenneth N. Kuttner, 2003, "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports, Federal Reserve Bank of New York, number 174.
• Markus K Brunnermeier & Lasse Heje Pederson, 2003, "Predatory Trading," FMG Discussion Papers, Financial Markets Group, number dp441, Mar.
• Falko Fecht, 2003, "On the Stability of Different Financial Systems," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 110.
• Harrison Hong & Jeremy C. Stein, 2003, "Simple Forecasts and Paradigm Shifts," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2007.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2016.
• Owen A. Lamont & Jeremy C. Stein, 2003, "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2027.
• Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003, "Inventory Information," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-33, Mar.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00265674.
• Jacques Olivier & José M. Marin, 2003, "On the impact of leverage constraints on asset prices and trading volume," Post-Print, HAL, number hal-00460077, Jun, DOI: 10.1007/s101080300063.
• Fabrice Hervé, 2003, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Post-Print, HAL, number hal-00488374.
• Elyès Jouini & Clotilde Napp, 2003, "A class of models satisfying a dynamical version of the CAPM," Post-Print, HAL, number halshs-00167159.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Post-Print, HAL, number halshs-00265674.
• Niehaus, Frank, 2003, "Heterogeneous Preferences and the Representative Investor," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-291, Dec.
• Christiansen, Charlotte & Nielsen, Helena Skyt, 2003, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-9, May.
• Ericsson, Johan & Karlsson, Sune, 2003, "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 524, Apr, revised 12 Feb 2004.
• Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Working Paper Series, Research Institute of Industrial Economics, number 588, Jan.
• Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003, "Taylor Rules and the Predictability of Interest Rates," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 147, Apr.
• Ericsson, Jan & Reneby, Joel, 2003, "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research, number 15, Jun.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series, Institute for Financial Research, number 18, Aug.
• Giordani, Paolo & Söderlind, Paul, 2003, "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series, Institute for Financial Research, number 19, Aug.
• Dufwenberg, Martin & Lindqvist, Tobias & Moore, Evan, 2003, "Bubbles and Experience: An Experiment on Speculation," Research Papers in Economics, Stockholm University, Department of Economics, number 2003:1, Jan.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Scholarly Articles, Harvard University Department of Economics, number 30747193.
• Viceira, Luis & Campbell, John & White, Joshua, 2003, "Foreign Currency for Long-Term Investors," Scholarly Articles, Harvard University Department of Economics, number 3128708.
• Campbell, John & Taksler, Glen, 2003, "Equity Volatility and Corporate Bond Yields," Scholarly Articles, Harvard University Department of Economics, number 3153307.
• Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003, "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles, Harvard University Department of Economics, number 3163263.
• Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
• Arie Melnik & Doron Nissim, 2003, "Debt issue costs and issue characteristics in the Eurobond market," ICER Working Papers, ICER - International Centre for Economic Research, number 09-2003, Mar.
• Claudio Mattalia, 2003, "Existence of solutions and asset pricing bubbles in general equilibrium models," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 02-2003, Jan.
• Gollier, Christian & Schlee, Edward, 2003, "Information and the Equity Premium," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 251, revised 2011.
• Michel Normandin, 2003, "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-08, Nov.
• J. Carlos Gómez Sala & Jorge Yzaguirre, 2003, "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 491-531, September.
• Oliver Kubertin & Michael H. Breitner, 2003, "WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options," IWI Discussion Paper Series, Institut für Wirtschaftsinformatik, Universität Hannover, number 5, May.
• Amit Goyal & Ivo Welch, 2003, "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, volume 49, issue 5, pages 639-654, May, DOI: 10.1287/mnsc.49.5.639.15149.
• Felipe Zurita, 2003, "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 725-727.
• Rolando F. Peláez, 2003, "Ten-year forecasts of real stock price changes," Empirical Economics, Springer, volume 28, issue 2, pages 417-429, April, DOI: 10.1007/s001810200139.
• Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov, 2003, "Random step functions model for interest rates," Finance and Stochastics, Springer, volume 7, issue 1, pages 123-143.
• Kyung-Ha Cho, 2003, "Continuous auctions and insider trading: uniqueness and risk aversion," Finance and Stochastics, Springer, volume 7, issue 1, pages 47-71.
• Eduardo L. Giménez, 2003, "Complete and incomplete markets with short-sale constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 1, pages 195-204, January, DOI: 10.1007/s00199-001-0244-9.
• Ho-Mou Wu & Wen-Chung Guo, 2003, "Speculative trading with rational beliefs and endogenous uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 2, pages 263-292, March, DOI: 10.1007/s00199-002-0303-x.
• Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003, "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 139, issue 2, pages 276-305, June, DOI: 10.1007/BF02659746.
• Lionel Nesta & Pier-Paolo Saviotti, 2003, "Intangible Assests and Market Value: Evidence from Biotechnology Firms," SPRU Working Paper Series, SPRU - Science Policy Research Unit, University of Sussex Business School, number 87, Jun.
• Giulio Bottazzi & Maria Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/19, Dec.
• Laura Veldkamp, 2003, "Media Frenzies in Markets for Financial Information," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 03-20.
• Jose Sanchez-Fung, 2003, "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 4, pages 247-250, DOI: 10.1080/1350485032000050635.
• Nuno Cassola & Jorge Barros Luis, 2003, "A two-factor model of the German term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 11, pages 783-806, DOI: 10.1080/0960310022000020915.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• José Pablo Dapena, 2003, "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 1, pages 49-72, May, DOI: 10.1080/15140326.2003.12040585.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 2, pages 385-403, November, DOI: 10.1080/15140326.2003.12040600.
• Saadet Kirbas-Kasman & Adnan Kasman, 2003, "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 67-84.
• Cees Diks & Roy van der Weide, 2003, "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-007/1, Jan.
• Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2003, "Coordination of Expectations in Asset Pricing Experiments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-010/1, Jan.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-028/2, Apr.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-030/2, Mar.
• Joep Sonnemans, 2003, "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-043/1, Jun.
• M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003, "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-071/4, Sep.
• Cees Diks & Roy van der Weide, 2003, "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-073/1, Sep.
• Bas Peeters & Cees L. Dert & André Lucas, 2003, "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-090/2, Oct.
• de Goeij, P. C. & Marquering, W., 2003, "Do Macroeconomic Announcements Cause Asymmetric Volatility," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-131.
• Guha, R. & Sbuelz, A., 2003, "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-37.
• Sbuelz, A., 2003, "Analytic American Option Pricing and Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-64.
• Baele, L., 2003, "Volatility Spillover Effects in European Equity Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-114.
• Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003, "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, volume 1, issue 1, pages 68-123, March.
• Giulio Bottazzi & Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," ROCK Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 022, Jan, revised 12 Jun 2008.
• Juan Ángel Jiménez Martín & Rodrigo Peruga Urrea, 2003, "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0306.
• Pastor, Lubos & Stambaugh, Robert F., 2003, "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 3, pages 642-685, June, DOI: 10.1086/374184.
• Joao Gomes & Leonid Kogan & Lu Zhang, 2003, "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, volume 111, issue 4, pages 693-732, August, DOI: 10.1086/375379.
• Javier DePeña & Luis A. Gil-Alana, 2003, "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/03, Jan.
• Herings, P.J.J. & Kubler, F., 2003, "Approximate CAPM when preferences are CRRA," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 040, Jan, DOI: 10.26481/umamet.2003040.
• Hens, Th. & Herings, P.J.J. & Predtetchinski, A., 2003, "Limits to arbitrage when market participation is restricted," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 051, Jan, DOI: 10.26481/umamet.2003051.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2003, "Reexamining the maturity effect using extensive futures data," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-06.
• He, Wei & Wei, Peihwang P., 2003, "Is overreaction an explanation for the value effect? A study using implied volatility from option prices," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-11.
• Arturo Kohatsu & Montero Miquel, 2003, "Malliavin calculus in finance," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 672, Apr.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003, "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 694, Jun.
• José Penalva, 2003, "Implications of dynamic trading for insurance markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 720, Dec.
• Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003, "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0308, Jun.
• Raquel Arévalo Tomé & José María Chamorro Rivas, 2003, "A Quality Index for Spanish Housing," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0309, Oct.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, number 03/01, Sep.
• Steven Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "Democratization???s Risk Premium: Partisan and Opportunistic Political Business Cycle Effects on Sovereign Ratings in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 546, Feb.
• Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "DEMOCRACY???S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-575, May.
• Chu‐Sheng Tai, 2003, "Looking for contagion in currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 10, pages 957-988, October.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• John Duffy & M. Utku Unver, 2003, "Asset Price Bubbles and Crashes with Near-Zero-Intelligence Traders: Towards an Understanding of Laboratory Findings," Computational Economics, University Library of Munich, Germany, number 0307001, Jul, revised 17 Mar 2004.
• Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003, "A SETAR model with long-memory dynamics," Econometrics, University Library of Munich, Germany, number 0309002, Sep.
• Ross M. Miller, 2003, "Don't Let Your Robots Grow Up To Be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles," Experimental, University Library of Munich, Germany, number 0306001, Jun.
• Danyang Xie, 2003, "Toward a Theory of Asset Subscription," Finance, University Library of Munich, Germany, number 0303001, Mar.
• Thomas Schuster, 2003, "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance, University Library of Munich, Germany, number 0303002, Mar.
• 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".