Research classified by Journal of Economic Literature (JEL) codes

2002

• Chia-Hsuan Yeh, 2002, "The Influence of Representation in the GP-Based Artificial Double Auction Market: The Cases of GP with and without Automatically Defined Functions," Computing in Economics and Finance 2002, Society for Computational Economics, number 90, Jul.
• M. LiCalzi & P. Pellizzari, 2002, "Clashing Fundamentalists and the Dynamics of Price Formation," Computing in Economics and Finance 2002, Society for Computational Economics, number 95, Jul.
• Wolfgang Drobetz & Patrick Wegmann, 2002, "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue 3, pages 215-239, September.
• Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002, "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue 4, pages 507-526, December.
• Benoit Pochard & Jean-Philippe Bouchaud, 2002, "The skewed multifractal random walk with applications to option smiles," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0204047, Apr.
• 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.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjostrom, 2002, "Credit Rationing, Wealth Inequality, and Allocation of Talent," Economics Working Papers, Institute for Advanced Study, School of Social Science, number 0026, Oct.
• Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, volume 92, issue 4, pages 745-778, September, DOI: 10.1257/00028280260344452.
• Marshall, Pablo & Walker, Eduardo, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, volume 5, issue 2, pages 1-20, November, DOI: 10.22004/ag.econ.44293.
• Elliott, Robert & Madan, Dilip & Milne, Frank, 2002, "Incomplete Diversification and Asset Pricing," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273557, Feb, DOI: 10.22004/ag.econ.273557.
• Head, Allen C. & Smith, Gregor W., 2002, "The CCAPM Meets Euro-Interest Rate Persistence, 1960-2000," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273749, Aug, DOI: 10.22004/ag.econ.273749.
• Diks, C.G.H. & Weide, R. van der, 2002, "Continuous Beliefs Dynamics," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 02-11.
• Nikolay Stoychev, 2002, "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
• Fabio Fornari, 2002, "The size of the equity premium," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 447, Jul.
• Erdem Basci, 2002, "Bond Premium in Turkey," Working Papers, Department of Economics, Bilkent University, number 0207.
• Roger Otten & Dennis Bams, 2002, "European Mutual Fund Performance," European Financial Management, European Financial Management Association, volume 8, issue 1, pages 75-101, March, DOI: 10.1111/1468-036X.00177.
• Peter Smith & Michael Wickens, 2002, "Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Wiley Blackwell, volume 16, issue 3, pages 397-446, July, DOI: 10.1111/1467-6419.00173.
• Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002, "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1239-1284, June, DOI: 10.1111/1540-6261.00460.
• Leonie Bell & Tim Jenkinson, 2002, "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1321-1346, June, DOI: 10.1111/1540-6261.00462.
• Yacine Aït‐Sahalia, 2002, "Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion," Journal of Finance, American Finance Association, volume 57, issue 5, pages 2075-2112, October, DOI: 10.1111/1540-6261.00489.
• Martin D. D. Evans, 2002, "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, volume 57, issue 6, pages 2405-2447, December, DOI: 10.1111/1540-6261.00501.
• Douglas A. Shackelford & Robert E. Verrecchia, 2002, "Intertemporal Tax Discontinuities," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 40, issue 1, pages 205-222, March, DOI: 10.1111/1475-679X.00044.
• Ole E. Barndorff‐Nielsen & Neil Shephard, 2002, "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 64, issue 2, pages 253-280, May, DOI: 10.1111/1467-9868.00336.
• Chris Brooks & Ólan T. Henry, 2002, "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 64, issue 5, pages 487-507, December, DOI: 10.1111/1468-0084.00274.
• Josep Pijoan-Mas, 2002, "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP), Centro de Altisimos Estudios Rios Perez (CAERP), number 3, Dec.
• Corrado, L. & Marcus Miller & Lei Zhang, 2002, "Exchange Rate Monitoring Bands: Theory and Policy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0209, Apr.
• Darsinos, T. & Satchell, S.E., 2002, "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0217, Jun.
• Darsinos, T. & Satchell, S.E., 2002, "On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0218, Jul.
• J.-H. Steffi Yang & Satchell, S.E., 2002, "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0219, Jul.
• Magnus Bild & Paul Guest & Andy Cosh & Mikael Runsten, 2002, "Do takeovers create value? A residual income approach on UK data," Working Papers, Centre for Business Research, University of Cambridge, number wp252, Dec.
• Pablo Marshall & Eduardo Walker, 2002, "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, volume 5, pages 273-292, November.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjostrom, 2002, "Credit Rationing, Wealth Inequality, and Allocation of Talent," STICERD - Theoretical Economics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 441, Oct.
• Christian A. Johnson, 2002, "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile, Central Bank of Chile, number 136, Jan.
• Juan Dubra & Helios Herrera, 2002, "Market Participation, Information and Volatility," Working Papers, Centro de Investigacion Economica, ITAM, number 0206, Nov.
• Karine Gobert & Patrick González & Michel Poitevin & Alexandra Lai, 2002, "Bank Value and Financial Fragility," CIRANO Project Reports, CIRANO, number 2002rp-07, Mar.
• Kris Jacobs, 2002, "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers, CIRANO, number 2002s-08, Jan.
• Kris Jacobs & Kevin Q. Wang, 2002, "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers, CIRANO, number 2002s-11, Feb.
• Peter Christoffersen & Kris Jacobs, 2002, "Which Volatility Model for Option Valuation?," CIRANO Working Papers, CIRANO, number 2002s-33, Apr.
• Ilhem Kassar & Pierre Lasserre, 2002, "Species Preservation and Biodiversity Value: A Real Options Approach," CIRANO Working Papers, CIRANO, number 2002s-82, Sep.
• 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," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• Luis Eduardo Arango & Luis Fernando Melo, 2002, "Estimaci�n de la Estructura a Plazo de las Tasas de Inter�s en Colombia," Borradores de Economia, Banco de la Republica, number 2594, Jan.
• Ignacio V√©lez-Pareja, 2002, "Costo de capital para empresas no transadas en bolsa," Proyecciones Financieras y Valoración, Master Consultores, number 2207, May.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Bubbles and long-range dependence in asset prices volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002060, Oct.
• Iori, Giulia, 2002, "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, volume 49, issue 2, pages 269-285, October.
• Brandt, Michael W. & Santa-Clara, Pedro, 2002, "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, volume 63, issue 2, pages 161-210, February.
• Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002, "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 171-205.
• Gromb, Denis & Vayanos, Dimitri, 2002, "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 361-407.
• Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002, "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 409-462.
• Abouda, Moez & Chateauneuf, Alain, 2002, "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, volume 44, issue 1, pages 1-15, September.
• William Schwert, G., 2002, "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 3-26, January.
• Lettau, Martin & Ludvigson, Sydney, 2002, "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 31-66, January.
• Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2002, "Habit formation: a resolution of the equity premium puzzle?," Journal of Monetary Economics, Elsevier, volume 49, issue 6, pages 1261-1288, September.
• Piotrowski, E.W & Sładkowski, J, 2002, "Quantum market games," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 312, issue 1, pages 208-216, DOI: 10.1016/S0378-4371(02)00842-7.
• Chakravarty, Sugato & Sarkar, Asani, 2002, "A model of broker's trading, with applications to order flow internalization," Review of Financial Economics, Elsevier, volume 11, issue 1, pages 19-36.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013, "What do the Fama-French Factors Add to C-CAPM?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-23, May.
• Zigrand, Jean-Pierre, 2002, "Rational asset pricing implications from realistic trading frictions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24933, Mar.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24938, Jul.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Revisited multi-moment approximate option pricing models a general comparison (Part 1)," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24950, Dec.
• Brunnermeier, Markus K. & Parker, Jonathan A., 2002, "Optimal expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24954, Dec.
• Julliard, Christian, 2002, "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4814, Jun.
• Gutiérrez Huerta, María José & Vázquez Pérez, Jesús, 2002, "Switching Equilibria: The Present Value Model for Stock Prices Revisited," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jul.
• Gutiérrez Huerta, María José & Vázquez Pérez, Jesús, 2002, "Switching Equilibria: The Present Value Model for Stock Prices Revisited," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1134-8984, Jul.
• León, Angel & Rubio Irigoyen, Gonzalo, 2002, "Smiling under stochastic volatility," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel, 2002, "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Ángel & Nieto, Belén, 2002, "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• León, Angel & Rubio Irigoyen, Gonzalo & Serna, Gregorio, 2002, "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Gardeazabal, Javier & Regúlez Castillo, Marta, 2002, "A factor model of seasonality in stock returns," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Cespa, Giovanni, 2002, "Short-term investment and equilibrium multiplicity," European Economic Review, Elsevier, volume 46, issue 9, pages 1645-1670, October.
• Hong, Harrison & Rady, Sven, 2002, "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, volume 5, issue 4, pages 419-450, October.
• Moore, Michael J. & Roche, Maurice J., 2002, "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, volume 58, issue 2, pages 387-411, December.
• Grande, Giuseppe & Ventura, Luigi, 2002, "Labor income and risky assets under market incompleteness: Evidence from Italian data," Journal of Banking & Finance, Elsevier, volume 26, issue 2-3, pages 597-620, March.
• 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.
• Dahlquist, Magnus & Sallstrom, Torbjorn, 2002, "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 3145, Jan.
• Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002, "Evaluating Style Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 3181, Jan.
• Voth, Hans-Joachim, 2002, "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers, Centre for Economic Policy Research, number 3254, Mar.
• Vives, Xavier & Medrano, Luis Angel, 2002, "Regulating Insider Trading when Investment Matters," CEPR Discussion Papers, Centre for Economic Policy Research, number 3292, Apr.
• Uppal, Raman & Kogan, Leonid, 2002, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 3306, Apr.
• Acharya, Viral & Carpenter, Jennifer, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers, Centre for Economic Policy Research, number 3328, Apr.
• Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002, "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers, Centre for Economic Policy Research, number 3329, Apr.
• Miller, Marcus & corrado, luisa, 2002, "Exchange Rate Monitoring Bands: Theory and Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 3337, Apr.
• Shin, Hyun Song, 2002, "Disclosures and Asset Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3345, Apr.
• Weber, Martin & Glaser, Markus, 2002, "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 3353, Apr.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2002, "Stock Valuation and Learning about Profitability," CEPR Discussion Papers, Centre for Economic Policy Research, number 3410, Jun.
• Basak, Suleyman & Pavlova, Anna, 2002, "A Dynamic Model with Import Quota Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 3414, Jun.
• Basak, Suleyman & Pavlova, Anna, 2002, "Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies," CEPR Discussion Papers, Centre for Economic Policy Research, number 3425, Jun.
• Koedijk, Kees & Bauer, Bob & Otten, Roger, 2002, "International Evidence on Ethical Mutual Fund Performance and Investment Style," CEPR Discussion Papers, Centre for Economic Policy Research, number 3452, Jul.
• Campbell, John Y & Viceira, Luis & White, Josh S., 2002, "Foreign Currency for Long-Term Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 3463, Jul.
• Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002, "Equilibrium Cross-Section of Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3482, Aug.
• Moore, Michael & Dunne, Peter G & Portes, Richard, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 3490, Aug.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2002, "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3494, Aug.
• Yaron, Amir & Gomes, Joao & Zhang, Lu, 2002, "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 3495, Aug.
• Lettau, Martin & Ludvigson, Sydney, 2002, "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers, Centre for Economic Policy Research, number 3507, Aug.
• Martínez, Miguel Ángel & Nieto, Belén & Rubio, Gonzalo & Tapia, Mikel, 2002, "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb026022, Jan.
• Jiang Wang, 2002, "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, volume 3, issue 2, pages 299-359, November.
• Leippold, Markus & Wu, Liuren, 2002, "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 37, issue 2, pages 271-295, June.
• Smetters, Kent, 2002, "Controlling the cost of minimum benefit guarantees in public pension conversions," Journal of Pension Economics and Finance, Cambridge University Press, volume 1, issue 1, pages 9-33, March.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380, Aug.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380R, Aug, revised Jul 2004.
• Ray C. Fair, 2002, "Risk Aversion and Stock Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1382, Sep, revised Feb 2003.
• Reinker, Kenneth S. & Tower, Edward, 2002, "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers, Duke University, Department of Economics, number 02-22.
• Eraker, Bjorn, 2002, "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Working Papers, Duke University, Department of Economics, number 02-23.
• Harney, Matthew & Tower, Edward, 2002, "Rational Pessimism: Predicting Equity Returns using Tobin's q and Price/Earnings Ratios," Working Papers, Duke University, Department of Economics, number 02-29.
• Chau, Minh, 2002, "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 02025, Nov.
• HEGE, Ulrich & MELLA-BARRAL, Pierre, 2002, "Repeated dilution of diffusely held debt," HEC Research Papers Series, HEC Paris, number 751, Apr.
• Fernández, Pablo, 2002, "Company valuation methods. The most common errors in valuations," IESE Research Papers, IESE Business School, number D/449, Jan.
• Fernández, Pablo, 2002, "Valuation using multiples. How do analysts reach their conclusions?," IESE Research Papers, IESE Business School, number D/450, Jan.
• Fernández, Pablo, 2002, "Internet valuations: The case of Terra-Lycos," IESE Research Papers, IESE Business School, number D/452, Jan.
• Fernández, Pablo, 2002, "EVA, Economic profit and cash value added do NOT measure shareholder value creation," IESE Research Papers, IESE Business School, number D/453, Jan.
• Fernández, Pablo, 2002, "Valuing real options: frequently made errors," IESE Research Papers, IESE Business School, number D/455, Jan.
• Fernández, Pablo, 2002, "Valuation of brands and intellectual capital," IESE Research Papers, IESE Business School, number D/456, Jan.
• Brousseau, Vincent, 2002, "The functional form of yield curves," Working Paper Series, European Central Bank, number 148, May.
• Vesala, Jukka & Vulpes, Giuseppe & Gropp, Reint, 2002, "Equity and bond market signals as leading indicators of bank fragility," Working Paper Series, European Central Bank, number 150, Jun.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2002, "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series, European Central Bank, number 157, Jul.
• Serlenga, Laura & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to testing Anomaly Effects in Factor Pricing Models," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 165, Aug.
• Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002, "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, volume 70, issue 3, pages 1067-1109, May.
• Zengjing Chen & Larry Epstein, 2002, "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, volume 70, issue 4, pages 1403-1443, July.
• Laura Serlenga & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 88, Aug.
• Abel, Andrew B., 2002, "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 7-8, pages 1075-1092, July.