Research classified by Journal of Economic Literature (JEL) codes

2003

• Crocker H. Liu & Jianping Mei, 2003, "A Time-varying Risk Analysis of Equity and Real Estate Markets in the U.S. and Japan," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Bin Gao, 2003, "Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "Bank Risk and Real Estate: An Asset Pricing Perspective," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei, 2003, "Assessing the "Santa Claus" Approach to Asset Allocation: Implications for Commercial Real Estate Investment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Anthony Saunders, 2003, "The Time-variation of Risk for Life Insurance Companies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Kevin Wenli Lu & Jianping (J.R) Mei, 2003, "The Return Distributions of Property Shares in Emerging Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Jianping (J.P.) Mei & Jiawei Hu, 2003, "Conditional Risk Premiums of Asian Real Estate Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Hsien-Hsing Liao & Jianping (J.P.) Mei, 2003, "Institutional Factors and Real Estate Returns: A Cross-Country Study," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Jianping Mei & Hsien-Hsing Liao, "Asset Pricing".
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Soderlind, Paul, 2003, "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, volume 55, issue 4, pages 321-330.
• Kamihigashi, Takashi, 2003, "Necessity of transversality conditions for stochastic problems," Journal of Economic Theory, Elsevier, volume 109, issue 1, pages 140-149, March.
• Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, volume 67, issue 1, pages 41-80, January.
• Gromb, Denis & Vayanos, Dimitri, 2003, "Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]," Journal of Financial Economics, Elsevier, volume 67, issue 3, pages 531-531, March.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Journal of Financial Economics, Elsevier, volume 68, issue 2, pages 161-199, May.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
• Ono, Yukako, 2003, "Outsourcing business services and the role of central administrative offices," Journal of Urban Economics, Elsevier, volume 53, issue 3, pages 377-395, May.
• Engstrom, Stefan, 2003, "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 463-482, September.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Robert Pollin & Dean Baker & Marc Schaberg, 2003, "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 527-558, Fall.
• G. Glenn Baigent, 2003, "Competitive Markets and Aggregate Information," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 593-606, Fall.
• Andrei Semenov, 2003, "High-Order Consumption Moments and Asset Pricing," Working Papers, York University, Department of Economics, number 2003_4, Dec, revised Jan 2005.
• Andrei Semenov, 2003, "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers, York University, Department of Economics, number 2003_5, Dec.
• Lingfeng Li, 2003, "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers, Yale School of Management, number ysm324, Nov.
• David M. Schizer & Michael R. Powers & Martin Shubik, 2003, "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers, Yale School of Management, number ysm356, Apr.
• Judith A. Chevalier & Austan Goolsbee, 2003, "Valuing Internet Retailers: Amazon and Barnes and Noble," Yale School of Management Working Papers, Yale School of Management, number ysm416, Oct.
• Alok Kumar & William N. Goetzmann, 2003, "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers, Yale School of Management, number ysm441, Nov.
• Manuel Espitia Escuer & Gema Pastor Agust�n, 2003, "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-01, Jan.
• Oehler, Andreas & Häcker, Mirko, 2003, "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers, University of Bamberg, Chair of Finance, number 20.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Fecht, Falko, 2003, "On the Stability of Different Financial Systems," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,10.
• Lux, Thomas, 2003, "The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-13.
• Lux, Thomas, 2003, "Detecting multi-fractal properties in asset returns: The failure of the scaling estimator," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-14.
• Alfarano, Simone & Lux, Thomas, 2003, "A minimal noise trader model with realistic time series properties," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2003-15.
• Ahrens, Ralf & Reitz, Stefan, 2003, "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/11.
• Entorf, Horst & Jamin, Gösta, 2003, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 127.
• Overbeck, Ludger & Schmidt, Wolfgang M., 2003, "Modeling default dependence with threshold models," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 41.
• Heidorn, Thomas & König, Lars, 2003, "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 44.
• Valckx, Nico, 2003, "Price dividend models, expectations formation, and monetary policy," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 217.
• Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003, "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,54.
• Schmidt, Robert, 2003, "Zur Qualität professioneller Wechselkursprognosen," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 36.
• Bofinger, Peter & Schmidt, Robert, 2003, "Should one rely on professional exchange rate forecasts: An empirical analysis of professional forecasts for the €/US-$ rate," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 38.
• Leitner, Johannes & Schmidt, Robert & Bofinger, Peter, 2003, "Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 39.
• Eberts, Elke, 2003, "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-36.
• Stehle, Richard & Schulz, Anja & Schröder, Michael & Eberts, Elke & Ziegler, Andreas, 2003, "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-45.
• Meitner, Matthias, 2003, "Option-Style Multi-Factor Comparable Company Valuation for Practical Use," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-76.
• Danthine, Jean-Pierre & Donaldson, John B & Giannikos, Chrisos & Guirguis, Hany, 2003, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3697, Jan.
• Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3749, Feb.
• Koren, Miklós & Szeidl, Adam, 2003, "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3795, Feb.
• Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, Centre for Economic Policy Research, number 3832, Mar.
• Bisin, Alberto & Acharya, Viral, 2003, "Optimal Financial Market Integration and Security Design," CEPR Discussion Papers, Centre for Economic Policy Research, number 3852, Mar.
• Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003, "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 3900, May.
• Vredin, Anders & Söderlind, Paul & Söderström, Ulf, 2003, "Taylor Rules and the Predictability of Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 3934, May.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2003, "Stock Prices and IPO Waves," CEPR Discussion Papers, Centre for Economic Policy Research, number 4002, Aug.
• Timmermann, Allan & Kapur, Sandeep, 2003, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," CEPR Discussion Papers, Centre for Economic Policy Research, number 4038, Sep.
• Basak, Suleyman & Croitoru, Benjamin, 2003, "International Good Market Segmentation and Financial Market Structure," CEPR Discussion Papers, Centre for Economic Policy Research, number 4060, Sep.
• Söderlind, Paul, 2003, "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers, Centre for Economic Policy Research, number 4067, Sep.
• Söderlind, Paul & Giordani, Paolo, 2003, "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," CEPR Discussion Papers, Centre for Economic Policy Research, number 4068, Sep.
• Wickens, Michael R., 2003, "Microeconomic Sources of Equity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 4070, Sep.
• Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003, "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 4098, Oct.
• Campbell, John Y & Viceira, Luis & Rodriguez, Jorge & Chacko, George, 2003, "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 4160, Dec.
• Madsen, J. B. & Milas, C., 2003, "The price-dividend relationship in inflationary and deflationary regimes," Working Papers, Department of Economics, City St George's, University of London, number 03/05.
• Ning Sun & Zaifu Yang, 2003, "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 51-71, May.
• Chenghu Ma, 2003, "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 401-426, November.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2003, "Corporate Governance and the Home Bias," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 1, pages 87-110, March.
• Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 3, pages 635-672, September.
• Franklin Allen & Stephen Morris & Hyun Song Shin, 2003, "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1406, Mar.
• Michael R. Powers & David M. Schizer & Martin Shubik, 2003, "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1413, Apr.
• John Geanakoplos, 2003, "The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1429, Jul.
• Stephen Morris & Hyun Song Shin, 2003, "Liquidity Black Holes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1434, Sep.
• John Geanakoplos & Felix Kubler, 2003, "Dollar Denominated Debt and Optimal Security Design," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1449, Dec.
• Entorf, Horst & Jamin, Gösta, 2003, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 20146, Dec.
• Entorf, Horst & Jamin, Gösta, 2008, "The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77453.
• 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," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 3, pages 41-77, September.
• Gangadhar Darbha & Sudipta Dutta Roy & Vardhana Pawaskar, 2003, "Term Structure of Interest Rates in India: Issues in Estimation and Pricing," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 1, pages 1-19, January.
• Cazavan-Jeny, Anne, 2003, "Value-relevance of expensed and capitalized intangibles - a French survey," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03022, Jul.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2001," IESE Research Papers, IESE Business School, number D/485, Jan.
• Fernandez, Pablo, 2003, "Three residual income valuation methods and discounted cash flow valuation," IESE Research Papers, IESE Business School, number D/487, Jan.
• Fernandez, Pablo, 2003, "Levered and unlevered Beta," IESE Research Papers, IESE Business School, number D/488, Jan.
• Estrada, Javier, 2003, "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers, IESE Business School, number D/491, Feb.
• Estada, Javier, 2003, "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers, IESE Business School, number D/492, Feb.
• Estrada, Javier, 2003, "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers, IESE Business School, number D/493, Feb.
• Fernandez, Pablo & Reinoso, Laura, 2003, "Shareholder value creators and shareholder value destroyers in USA. Year 2002," IESE Research Papers, IESE Business School, number D/501, Apr.
• Fernandez, Pablo, 2003, "How to value a seasonal company by discounting cash flows," IESE Research Papers, IESE Business School, number D/511, Jul.
• Fernandez, Pablo & Villanueva, Alvaro, 2003, "Shareholder value creators and shareholder value destroyers in Europe. Year 2002," IESE Research Papers, IESE Business School, number D/514, Aug.
• Fernandez, Pablo, 2003, "Equivalence of ten different methods for valuing companies by cash flow discounting," IESE Research Papers, IESE Business School, number D/524, Nov.
• Fernandez, Pablo, 2003, "75 common and uncommon errors in company valuation," IESE Research Papers, IESE Business School, number Db/515, Aug.
• Stracca, Livio & Fielding, David, 2003, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series, European Central Bank, number 203, Jan.
• Ang, Andrew & Maddaloni, Angela, 2003, "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series, European Central Bank, number 208, Jan.
• Engel, Charles & West, Kenneth D., 2003, "Exchange rates and fundamentals," Working Paper Series, European Central Bank, number 248, Aug.
• Barnett, William A., 2003, "Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous," Working Paper Series, European Central Bank, number 260, Sep.
• Vestin, David & Hördahl, Peter, 2003, "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series, European Central Bank, number 274, Sep.
• Kenc, Turalay & John Driffill & Martin Sola, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 119, Jun.
• Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 177, Jun.
• To, Thuy Duong & Carl Chiarella, 2003, "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 205, Jun.
• Tudela, Merxe & Garry Young, 2003, "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 207, Jun.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003, "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, volume 113, issue 486, pages 1-25, March.
• Martin D. D. Evans, 2003, "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 345-389, April.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Hyun Song Shin, 2003, "Disclosures and Asset Returns," Econometrica, Econometric Society, volume 71, issue 1, pages 105-133, January.
• Yacine Ait--Sahalia & Per A. Mykland, 2003, "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, volume 71, issue 2, pages 483-549, March.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11-12, pages 2095-2114, September.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2095-2114, DOI: 10.1016/S0165-1889(02)00117-3.
• Guidolin, Massimo & Timmermann, Allan, 2003, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 5, pages 717-769, March.
• Lioui, Abraham & Poncet, Patrice, 2003, "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1163-1180, May.
• Epstein, Larry G. & Miao, Jianjun, 2003, "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1253-1288, May.
• Paul, Satya & Mallik, Girijasankar, 2003, "Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience," Economic Analysis and Policy, Elsevier, volume 33, issue 1, pages 23-30, March.
• Carlos Forner & Joaquín Marhuenda, 2003, "El Efecto Momentum En El Mercado Español De Acciones," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-14, Jul.
• Merz, Monika & Yashiv, Eran, 2003, "Labor and the Market Value of the Firm," IZA Discussion Papers, IZA Network @ LISER, number 965, Dec.
• Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003, "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 2, pages 213-223, October, DOI: 10.1023/A:1026137931041.
• Tom Dahlstr–:m & Pierre Mella-Barral, 2003, "Corporate Walkout Decisions and the Value of Default," Review of Finance, Springer, volume 7, issue 3, pages 325-360.
• Takashi Kamihigashi, 2003, "Necessity of the Transversality Condition for Stochastic Models with CRRA Utility," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 137, May.
• Zsembery, Levente, 2003, "A volatilitás előrejelzése és a visszaszámított modellek
  [Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 519-542.
• Jakob B. Madsen, 2003, "The Equity Risk Premium and the Required Share Returns in a Tobin’s q Model," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-10, Sep.
• Jakob B. Madsen, 2003, "The Macroeconomics of Share Prices in the Medium Term and in the Long Run," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-11, Sep.
• Jakob B. Madsen, 2003, "The Dynamic Interaction between Equity Prices and Supply Shocks," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-12, Sep.
• Frank Hansen, 2003, "A General Theory of Decision Making," Discussion Papers, University of Copenhagen. Department of Economics, number 03-38, Oct, revised Aug 2005.
• Frank Hansen, 2003, "A General Theory of Decision Making," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/02, Oct.
• Chiaki Hara & Atsushi Kajii, 2003, "On the Range of the Risk-Free Interest Rate in Incomplete Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 577, Nov.
• Gordon, Stephen & St-Amour, Pascal, 2003, "Asset Returns and State-Dependent Risk Preferences," Cahiers de recherche, CIRPEE, number 0316.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0306.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, GREEN, number 0306.
• Basak, Suleyman & Pavlova, Anna, 2003, "A Dynamic Model With Import Quota Constraints," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4230-02, Jan.
• Basak, Suleyman & Pavlova, Anna, 2003, "Monopoly Power And The Firm'S Valuation: A Dynamic Analysis Of Short Versus Long-Term Policies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4234-01, Jan.
• Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003, "The Price Impact and Survival of Irrational Traders," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4293-03, Mar.
• Lewellen, Jonathan & Nagel, Stefan, 2003, "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4427-03, Sep.
• Jean-Pierre Galavielle, 2003, "Y a-t-il une théorie des marchés financiers ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number r04029, Dec.
• Don U.A. Galagedera & Roland Shami, 2003, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/03, Dec.
• George Woodward & Heather Anderson, 2003, "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/03, Apr.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-08.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2003.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2003.
• Harrison Hong & Jeremy C. Stein, 2003, "Simple Forecasts and Paradigm Shifts," NBER Working Papers, National Bureau of Economic Research, Inc, number 10013, Oct.
• Andrew Ang & Jun Liu, 2003, "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10042, Oct.
• Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003, "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10111, Nov.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Price is (Almost) Right," NBER Working Papers, National Bureau of Economic Research, Inc, number 10131, Dec.
• Steven D. Levitt, 2003, "How Do Markets Function? An Empirical Analysis of Gambling on the National Football League," NBER Working Papers, National Bureau of Economic Research, Inc, number 9422, Jan.
• William N. Goetzmann & Ning Zhu, 2003, "Rain or Shine: Where is the Weather Effect?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9465, Feb.
• Steven R. Grenadier, 2003, "An Equilibrium Analysis of Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 9475, Feb.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," NBER Working Papers, National Bureau of Economic Research, Inc, number 9509, Feb.
• Geert Bekaert & Campbell R. Harvey, 2003, "Market Integration and Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 9510, Feb.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk and Cross-Sectional Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9538, Mar.
• Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 2003, "Analysts' Conflict of Interest and Biases in Earnings Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 9544, Mar.
• John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003, "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 9547, Mar.
• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9548, Mar.
• Martin Lettau & Sydney Ludvigson, 2003, "Expected Returns and Expected Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 9605, Apr.
• Yacine Ait-Sahalia & Per A. Mykland, 2003, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 9611, Apr.
• Richard J. Rendleman, Jr. & Douglas A. Shackelford, 2003, "Diversification and the Taxation of Capital Gains and Losses," NBER Working Papers, National Bureau of Economic Research, Inc, number 9674, May.
• Andrew Ang & Angela Maddaloni, 2003, "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 9677, May.
• James Dow & Gary Gorton & Arvind Krishnamurthy, 2003, "Equilibrium Asset Prices Under Imperfect Corporate Control," NBER Working Papers, National Bureau of Economic Research, Inc, number 9758, Jun.
• Steven Kaplan & Antoinette Schoar, 2003, "Private Equity Performance: Returns, Persistence and Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 9807, Jun.
• Martin Lettau & Sydney Ludvigson, 2003, "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers, National Bureau of Economic Research, Inc, number 9848, Jul.
• Lubos Pastor & Pietro Veronesi, 2003, "Stock Prices and IPO Waves," NBER Working Papers, National Bureau of Economic Research, Inc, number 9858, Jul.
• H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003, "Inventory Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 9893, Aug.
• Patric H. Hendershott & Bryan D. MacGregor, 2003, "Investor Rationality: Evidence from UK Property Capitalization Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 9894, Aug.
• Yacine Ait-Sahalia, 2003, "Disentangling Volatility from Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 9915, Aug.
• Jonathan Lewellen & Stefan Nagel, 2003, "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers, National Bureau of Economic Research, Inc, number 9974, Sep.
• Raj Chetty, 2003, "A New Method of Estimating Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 9988, Sep.
• David Feldman, 2003, "The Term Structure of Interest Rates: Bounded or Falling?," Review of Finance, European Finance Association, volume 7, issue 1, pages 103-113.
• Markus Leippold & Liuren Wu, 2003, "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, volume 7, issue 1, pages 47-73.
• Marco Schulmerich & Siegfried Trautmann, 2003, "Local Expected Shortfall-Hedging in Discrete Time," Review of Finance, European Finance Association, volume 7, issue 1, pages 75-102.
• Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
• Aleš Černý, 2003, "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, volume 7, issue 2, pages 191-233.
• Arie Melnik & Doron Nissim, 2003, "Debt Issue Costs and Issue Characteristics in the Market for U.S. Dollar Denominated International Bonds," Review of Finance, European Finance Association, volume 7, issue 2, pages 277-296.
• Tom Dahlström & Pierre Mella-Barral, 2003, "Corporate Walkout Decisions and the Value of Default," Review of Finance, European Finance Association, volume 7, issue 3, pages 325-360.
• Siim Kallast & Andi Kivinukk, 2003, "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, European Finance Association, volume 7, issue 3, pages 361-383.
• Wayne E. Ferson & Andrew F. Siegel, 2003, "Stochastic Discount Factor Bounds with Conditioning Information," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 567-595.
• Antonio Mele, 2003, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 679-716, July.