Research classified by Journal of Economic Literature (JEL) codes

2000

• Magni, Carlo Alberto, 2000, "Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico
  [Excess-profit decomposition: Economic Value Added and Systemic Value Added]," MPRA Paper, University Library of Munich, Germany, number 8935.
• Kyriakos Chourdakis & Elias Tzavalis, 2000, "Option Pricing with a Dividend General Equilibrium Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 425, Nov.
• Kyriakos Chourdakis, 2000, "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers, Queen Mary University of London, School of Economics and Finance, number 430, Dec.
• Joelle Miffre, 2000, "The Abnormal Performance of Bond Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-03.
• Kais Dachraoui & Georges Dionne, 2000, "Optimal financial portfolio and dependence of risky assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-12, Dec.
• Daekeun Park, 2000, "In Search for a Measure of Currency Misalignment: the Case of the 1997 Asian Currency Crisis," East Asian Economic Review, Korea Institute for International Economic Policy, volume 4, issue 1, pages 33-61, DOI: 10.11644/KIEP.JEAI.2000.4.1.59.
• Tae-Joon Kim & Jai-Won Ryou, 2000, "The IMF's High Interest Rate Policy and Its Effects on the Stabilization of the Korean Won," East Asian Economic Review, Korea Institute for International Economic Policy, volume 4, issue 1, pages 137-168, DOI: 10.11644/KIEP.JEAI.2000.4.1.62.
• Yousif Khalifa Al-Yousif, 2000, "Financial Markets: An Islamic Perspective," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 53, issue 3, pages 277-298.
• Zengjing Chen & Larry G. Epstein, 2000, "Ambiguity, risk and asset returns in continuous time," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 474, Jul.
• Karl Schmedders, 2000, "Monopolistic Security Design In Finance Economies," Computing in Economics and Finance 2000, Society for Computational Economics, number 129, Jul.
• Eva Carceles, 2000, "Asset Prices And Business Cycles Under Market Incompleteness," Computing in Economics and Finance 2000, Society for Computational Economics, number 364, Jul.
• Quan-Hoang Vuong, 2000, "The Vietnamese Corporate Bond Market An Early Exploration into the 1992-1999 Period," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 00-001.RS.
• Vicky Henderson & David Hobson, 2000, "Local time, coupling and the passport option," Finance and Stochastics, Springer, volume 4, issue 1, pages 69-80.
• Hans FÃllmer & Peter Leukert, 2000, "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, volume 4, issue 2, pages 117-146.
• Damiano Brigo & Fabio Mercurio, 2000, "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, volume 4, issue 2, pages 147-159.
• RØdiger Frey, 2000, "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, volume 4, issue 2, pages 161-187.
• Marco Frittelli, 2000, "Introduction to a theory of value coherent with the no-arbitrage principle," Finance and Stochastics, Springer, volume 4, issue 3, pages 275-297.
• Rimas Norvaisa, 2000, "Modelling of stock price changes: A real analysis approach," Finance and Stochastics, Springer, volume 4, issue 3, pages 343-369.
• Camilla LandÊn, 2000, "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, volume 4, issue 4, pages 371-389.
• Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault, 2000, "White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance," Finance and Stochastics, Springer, volume 4, issue 4, pages 465-496.
• Mark Loewenstein & Gregory A. Willard, 2000, "Local martingales, arbitrage, and viability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 16, issue 1, pages 135-161.
• Mark van Boening & Vernon L. Smith & Charissa P. Wellford, 2000, "Dividend timing and behavior in laboratory asset markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 16, issue 3, pages 567-583.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 277-318.
• Ait-Sahalia, Yacine & Lo, Andrew W., 2000, "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 9-51.
• Martin, Philippe & Rey, H., 2000, "Financial integration and asset returns," European Economic Review, Elsevier, volume 44, issue 7, pages 1327-1350, June.
• Bansal, Ravi & Dahlquist, Magnus, 2000, "The forward premium puzzle: different tales from developed and emerging economies," Journal of International Economics, Elsevier, volume 51, issue 1, pages 115-144, June.
• Epstein, Larry G., 2000, "Are Probabilities Used in Markets ?," Journal of Economic Theory, Elsevier, volume 91, issue 1, pages 86-90, March.
• Pastor, Lubos & Stambaugh, Robert F., 2000, "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, volume 56, issue 3, pages 335-381, June.
• Aaronson, Daniel, 2000, "A Note on the Benefits of Homeownership," Journal of Urban Economics, Elsevier, volume 47, issue 3, pages 356-369, May.
• Dana, Rose-Anne & Le Van, Cuong, 2000, "Arbitrage, duality and asset equilibria," Journal of Mathematical Economics, Elsevier, volume 34, issue 3, pages 397-413, November.
• Jouini, Elyes, 2000, "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, volume 34, issue 4, pages 547-558, December.
• Lang, Mark H. & Shackelford, Douglas A., 2000, "Capitalization of capital gains taxes: evidence from stock price reactions to the 1997 rate reduction," Journal of Public Economics, Elsevier, volume 76, issue 1, pages 69-85, April.
• Flam, Sjur Didrik, 2000, "Looking for arbitrage," International Review of Economics & Finance, Elsevier, volume 9, issue 1, pages 1-9, February.
• Benhamou, Eric, 2000, "Pricing convexity adjustment with Wiener chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119104, Apr.
• Benhamou, Eric, 2000, "A generalisation of Malliavin weighted scheme for fast computation of the Greeks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119105, Apr.
• Hege, Ulrich & Mella-Barral, Pierre, 2000, "Collateral, renegotiation and the value of diffusely held debt," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119110, Jan.
• Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000, "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2270, Apr.
• Linton, Oliver & Perron, Benoit, 2000, "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24769, Sep.
• F. Fornari & A. Mele, 2000, "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-12.
• A. Mele, 2000, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-39.
• William A. Barnett, 2000, "Perspective on the Current State of Macroeconomic Theory," Contributions to Economic Analysis, Emerald Group Publishing Limited, "The Theory of Monetary Aggregation", DOI: 10.1108/S0573-8555(2000)0000245034.
• Wolff, Christian & Bams, Dennis, 2000, "Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2392, Feb.
• Rady, Sven & Hong, Harrison G, 2000, "Strategic Trading And Learning About Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2416, Apr.
• Mella-Barral, Pierre & Hege, Ulrich, 2000, "Collateral, Renegotiation And The Value Of Diffusely Held Debt," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2417, Apr.
• Vassalou, Maria, 2000, "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2448, May.
• Mariotti, Thomas & Luttmer, Erzo G J, 2000, "Subjective Discount Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2503, Jul.
• Bossaerts, Peter & Plott, Charles, 2000, "Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2578, Oct.
• de Bandt, Olivier & Hartmann, Philipp, 2000, "Systemic Risk: A Survey," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2634, Dec.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000, "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 35, issue 3, pages 409-423, September.
• SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000, "On the term structure of default premia in the Swap and Libor markets," HEC Research Papers Series, HEC Paris, number 704, May.
• ROCKINGER, Michael & JONDEAU, Eric, 2000, "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," HEC Research Papers Series, HEC Paris, number 710, Jul.
• Hördahl, Peter, 2000, "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series, European Central Bank, number 16, Mar.
• De Bandt, Olivier & Hartmann, Philipp, 2000, "Systemic risk: A survey," Working Paper Series, European Central Bank, number 35, Nov.
• Miller, Marcus & Zhang, Lei, 2000, "Sovereign Liquidity Crises: The Strategic Case for a Payments Standstill," Economic Journal, Royal Economic Society, volume 110, issue 460, pages 335-362, January.
• Alvarez, Fernando & Jermann, Urban J., 2000, "Using Asset Prices to Measure the Cost of Business Cycles," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 00-1, Aug.
• Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000, "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0235, Aug.
• P. Jean-Jacques Herings & Felix Kubler, 2000, "The Robustness of the CAPM-A Computational Approach," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0400, Aug.
• Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000, "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0553, Aug.
• Annette Vissing-Jorgensen, 2000, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1102, Aug.
• Harrison Hong & Sven Rady, 2000, "Strategic Trading and Learning about Liquidity," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1351, Aug.
• Jordi Caballe & Jozsef Sakovics, 2000, "Speculating against an overconfident market," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 62, May.
• Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000, "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 11-12, pages 1703-1719, October.
• Brooks, Chris & Henry, Olan T., 2000, "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, volume 17, issue 4, pages 497-513, December.

1999

• Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999, "EMU and European Stock Market Integration," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2124, Apr.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2166, Jun.
• Bansal, Ravi & Dahlquist, Magnus, 1999, "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2169, Jun.
• Liew, Jimmy & Vassalou, Maria, 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2180, Jun.
• Martin, Philippe & Rey, Hélène, 1999, "Financial Super-Markets: Size Matters for Asset Trade," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2232, Sep.
• Lombardo, Davide & Pagano, Marco, 1999, "Legal Determinants of the Return on Equity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2275, Nov.
• Lombardo, Davide & Pagano, Marco, 1999, "Law and Equity Markets: A Simple Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2276, Nov.
• Martin, Philippe & Rey, Hélène, 1999, "Financial Integration and Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2282, Nov.
• Cherian, Joseph A & Perotti, Enrico C, 1999, "Option Pricing and Foreign Investment under Political Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2327, Dec.
• Michel Normandin, 1999, "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 67, Jan.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of information in centralized order-driven markets," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999016, Jun.
• Goetzmann, William N. & Jorion, Philippe, 1999, "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 34, issue 1, pages 1-32, March.
• Marcet, Albert & Singleton, Kenneth J., 1999, "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, volume 3, issue 2, pages 243-277, June.
• CHESNEY, Marc & GIBSON-ASNER, Rajna, 1999, "The Investment Policy and the Pricing of Equity in a Levered Firm: a Re-examination of the contingent claims Valuation Approach," HEC Research Papers Series, HEC Paris, number 672, Apr.
• Danthine, Jean-Pierre & Donaldson, John B, 1999, "Non-falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso," Economic Journal, Royal Economic Society, volume 109, issue 458, pages 607-635, October.
• Eric Brown, 1999, "Long-run performance analysis of a new sample of UK IPOs," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 41, Aug.
• George Buckley & Richard W P Holt, 1999, "Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 47, Jan.
• Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999, "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9916-/A, Mar.
• George CHACKO & Luis M. VICEIRA, 1999, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp11, Sep.
• Dušan ISAKOV & Marc HOLLISTEIN, 1999, "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp2, Jan.
• Zdenìk Zmeškal, 1999, "Fuzzy-stochastický odhad hodnoty firmy jako kupní opce (Fuzzy-stochastic Estimation of a Firm Value as a Call Option)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 3, pages 168-175, March.
• Jiøí Kunert, 1999, "Èeské bankovnictví ? urèitì ne v roce nula (Czech Banking - Certainly Not in Year Zero)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 6, pages 307-314, June.
• Mordecai Kurz & Maurizio Motolese, 1999, "Endogenous Uncertainty and Market Volatility," Working Papers, Fondazione Eni Enrico Mattei, number 1999.27, Mar.
• Hans Dillen & Bo Stoltz, 1999, "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, volume 12, issue 1, pages 41-56, Spring.
• Daniel Aaronson, 1999, "A note on the benefits of homeownership," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-23.
• Lucy F. Ackert & William C. Hunter, 1999, "Intrinsic bubbles: the case of stock prices: a comment," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-26.
• Shigenori Shiratsuka, 1999, "Asset price fluctuation and price indices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-9.
• Christopher J. Neely & Amlan Roy & Charles H. Whiteman, 1999, "Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM," Working Papers, Federal Reserve Bank of St. Louis, number 1995-002, DOI: 10.20955/wp.1995.002.
• Kai Li & Asani Sarkar & Zhenyu Wang, 1999, "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports, Federal Reserve Bank of New York, number 89, Oct.
• Fernando Alvarez & Urban J. Jermann, 1999, "Quantitative asset pricing implications of endogenous solvency constraints," Working Papers, Federal Reserve Bank of Philadelphia, number 99-5.
• Pierre Mella-Barral & Tom Dahlström, 1999, "Corporate Walkout Decisions and the Value of Default," FMG Discussion Papers, Financial Markets Group, number dp325, May.
• Kast, R. & Lapied, A., 1999, "Precautionary Savings in Incomplete Financial Markets," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a14.
• Chauveau, T. & Nalpas, N., 1999, "L'alteration prudente des probabilites comme solution a l'enigme de la prime de risque," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-04/fi.
• Chauveau, T. & Damon, J. & Guegan, D., 1999, "Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-06/fi.
• Liew, J. & Vassalou, M., 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?," Papers, Columbia - Graduate School of Business, number 99-11.
• Jones, C.M. & Lipson, M.L., 1999, "Sixteenths: Direct Evidence on Institutional Execution Costs," Papers, Columbia - Graduate School of Business, number 99-3.
• Chang, G. & Sundaresan, S.M., 1999, "Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default," Papers, Columbia - Graduate School of Business, number 99-4.
• Huberman, G. & Regev, T., 1999, "Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar," Papers, Columbia - Graduate School of Business, number 99-6.
• Jones, C.M. & Lipson, M.L., 1999, "Price Impacts and Quote Adjustment on the Nasdaq and NYSE/AMEX," Papers, Columbia - Graduate School of Business, number 99-8.
• Bancel, F. & Ceddaha, F., 1999, "Vers une prime de risque unique?," Papers, Ecole Superieure de Commerce de Paris. Groupe ESCP-, number 99/143.
• Huang, K.X., 1999, "Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints," Papers, Minnesota - Center for Economic Research, number 302.
• Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999, "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-033, Jul.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-036, Mar.
• Elyès Jouini, 1999, "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-038, May.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-060, Oct.
• Chauveau, T. & Nalpas, N., 1999, "Risk Weighted Utility Theory as a Solution to the Equity Premium Puzzle," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.20.
• Dana, R.-A. & Le Van, C. & Magnien, F., 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.34.
• Florenzano, M., 1999, "General Equilibrium of FDinancial Markets: An Introduction," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.76.
• Aspandilarov, S. & Bottazzi, J.-M., 1999, "The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.80.
• Abouda, M. & Chateauneuf, A., 1999, "Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.86.
• Abouda, M. & Chateauneuf, A., 1999, "A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.87.
• Capelle-Blancard, G. & Jurczenko, E., 1999, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.05.
• Fernando Alvarez & Urban J. Jermann, , "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 10-99.
• Gabriel Hawawini & Donald B. Keim, , "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 8-99.
• Hubner, G., 1999, "Horizon Risk and Asset Pricing," Papers, Southern California - School of Business Administration, number 99-57.
• Felmingham, B. & Mansfield, P., 1999, "The Stability of Real Interest Rates in Australia: 1975-1997," Papers, Tasmania - Department of Economics, number 1999-02.
• Blomberg, S.B. & Mountford, A., 1999, "Can Political Variables Really Predict Exchange Rate Movements?," Papers, Wellesley College - Department of Economics, number 99-10.
• Tomaso Duso, 1999, "Complete Markets in Italy: An Analysis on Micro Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 58, issue 1, pages 1-25, April.
• Gaëlle Le Fol & Christian Gourieroux, 1999, "Intra-day market activity," Post-Print, HAL, number halshs-00536268.
• Sørensen, Carsten, 1999, "Seasonality in Agricultural Commodity Futures," Working Papers, Copenhagen Business School, Department of Finance, number 1999-14, Dec.
• Johansson, Anders & Rolseth, Lars, 1999, "The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms’ stocks," Working Papers in Economics, University of Gothenburg, Department of Economics, number 15, Jul.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 312, Feb, revised 10 May 2000.
• Nydahl, Stefan & Sellin, Peter, 1999, "Are There Price Bubbles in the Swedish Equity Market?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 82, May.
• Säfvenblad, Patrik, 1999, "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 86, Jun.
• Campbell, John & Viceira, Luis, 1999, "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles, Harvard University Department of Economics, number 3163266.
• Marcus H. Miller & Lei Zhang, 1999, "Sovereign Liquidity Crisis: The Strategic Case for A Payments Standstill," Working Paper Series, Peterson Institute for International Economics, number WP99-8, Nov.
• Alexius, Annika & Sellin, Peter, 1999, "A Latent Factor Model of European Exchange Rate Risk Premia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 4, issue 3, pages 217-227, July.
• Saito, Makoto, 1999, "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 1, pages 45-75, May.
• Shiratsuka, Shigenori, 1999, "Asset Price Fluctuation and Price Indices," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 3, pages 103-128, December.
• Fernando Lefort & Eduardo Walker, 1999, "El Dólar Como Activo Financiero: Teoría y Evidencia Chilena," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 36, issue 109, pages 1035-1066.
• Schittko Ulrich K. & Müller Markus, 1999, "Policy Shocks in a Monetary Asset-Pricing Model with Endogenous Production / Politikeffekte in einem monetären Asset-Pricing-Modell mit Produktion," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 218, issue 1-2, pages 147-167, February, DOI: 10.1515/jbnst-1999-1-209.
• Binswanger Mathias, 1999, "Can Noise Traders Cause Persistent Deviations from Fundamental Values on the Stock Market? / Können Noise Trader langfristige Abweichungen der Aktienkurse von ihren Fundamentalwerten bewirken?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 219, issue 5-6, pages 556-574, October, DOI: 10.1515/jbnst-1999-5-619.
• Richard C. Stapleton, 1999, "Some recent developments in capital market theory: A survey," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 1, pages 1-20.
• Angel León & Juan Mora, 1999, "Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 3, pages 215-238.
• S. Elwood & Ehsan Ahmed & J. Rosser, 1999, "State-space estimation of rational bubbles in the Yen/Deutsche Mark exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 135, issue 2, pages 317-331, June, DOI: 10.1007/BF02707258.
• Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999, "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-027/4, Apr.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-54.
• Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999, "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-84.
• Hege, U. & Mella-Barral, P., 1999, "Collateral, Renegotiation and the Value of Diffusely Held Debt," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-94.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 06a4e5b2-f380-4d5b-a96f-8.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of Information in Centralized Order-Driven Markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number be7bdc9c-446a-4ad6-a34d-6.
• Hege, U. & Mella-Barral, P., 1999, "Collateral, Renegotiation and the Value of Diffusely Held Debt," Other publications TiSEM, Tilburg University, School of Economics and Management, number d1806bd7-b34c-4249-b6fd-2.
• Miquel Faig, 1999, "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers, University of Toronto, Department of Economics, number faig-98-02, Sep.
• Michael B. Gordy, 1999, "Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction," The Review of Economics and Statistics, MIT Press, volume 81, issue 3, pages 448-465, August.
• Montrucchio, Luigi & Privileggi, Fabio, 1999, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," POLIS Working Papers, Institute of Public Policy and Public Choice - POLIS, number 5, Jul.
• Bronwyn H. Hall., 1999, "Innovation and Market Value," Economics Working Papers, University of California at Berkeley, number E99-265, Feb.
• Dahlquist, Magnus & Soderlind, Paul, 1999, "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, volume 72, issue 3, pages 347-383, July, DOI: 10.1086/209618.
• Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999, "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers, University of Iowa, Department of Economics, number 99-04, May.
• Maroney, Neal C. & Protopapadakis, Aris A., 1999, "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-15, Nov.
• Miller, Edward M., 1999, "Equilibrium with divergence of opinion," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-17.
• Steve Satchell, 1999, "The Small Noise Arbitrage Pricing Theory," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 4, Apr.
• VT Alaganar & Graham Partington & Max Stevenson, 1999, "Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 92, Oct.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000, "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Virginia Economics Online Papers, University of Virginia, Department of Economics, number 350, Aug.
• Marcus Miller & Lei Zhang, 1999, "Sovereign Liquidity Crisis: The Strategic Case for a Payments Standstill," CSGR Working papers series, Centre for the Study of Globalisation and Regionalisation (CSGR), University of Warwick, number 35/99, Jun.
• Luboš Pástor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 497, Jul.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 505, Oct.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 00-29, Oct.
• Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 1999, "Offer Price, Target Ownership Structure and IPO Performance," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 99-36, Aug.
• Bronwyn H. Hall, 1999, "Innovation and Market Value," Finance, University Library of Munich, Germany, number 9902009, Feb.
• Andreas Krause, 1999, "Implicit Collusion in Dealer Markets with Different Costs of Market Making," Finance, University Library of Munich, Germany, number 9903002, Mar.
• Jiri Hoogland & Dimitri Neumann, 1999, "Scale invariance and contingent claim pricing," Finance, University Library of Munich, Germany, number 9907002, Jul.
• Jiri Hoogland & Dimitri Neumann, 1999, "Scale invariance and contingent claim pricing II: Path-dependent contingent claims," Finance, University Library of Munich, Germany, number 9907003, Jul.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers, Yale School of Management, number ysm125, Oct.
• Amit Goyal & Ivo Welch, 1999, "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers, Yale School of Management, number amz2437, Apr, revised 01 Nov 2002.
• Ahrens, Ralf, 1999, "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series, Center for Financial Studies (CFS), number 1999/14.
• Föllmer, Hans & Leukert, Peter, 1999, "Efficient hedging: Cost versus shortfall risk," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,18.