Research classified by Journal of Economic Literature (JEL) codes

1999

• Bank, Peter, 1999, "No free lunch for large investors," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,37.
• Gordon, Stephen & St-Amour, Pascal, 1999, "A Preference Regime Model of Bull and Bear Markets," Cahiers de recherche, Université Laval - Département d'économique, number 9906.
• Maurice J. Roche, 1999, "Irish house prices: will the roof fall in?," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n890699, Jun.
• Maurice J. Roche & Michael J. Moore, 1999, "Less of a puzzle: a new look at the forward forex market," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n910799, Jul.
• Maurice J. Roche, 1999, "The rise in Dublin city house prices: bubble, fad or just fundamentals," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n920799.pdf, Jul.
• Norbert Fiess & Ronald MacDonald, 1999, "Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach," Multinational Finance Journal, Multinational Finance Journal, volume 3, issue 3, pages 147-172, September.
• Brooks, C. & Henry, O.T., 1999, "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series, The University of Melbourne, number 676.
• Sasaki, D., 1999, "Newtonian Asset Pricing," Department of Economics - Working Papers Series, The University of Melbourne, number 711.
• Brooks, C. & Henry, O.T. & Persand, G., 1999, "Optimal Hedging and the Value of News," Department of Economics - Working Papers Series, The University of Melbourne, number 717.
• Thierry Chauveau & Nicolas Nalpas, 1999, "Risk Weighted Utility Theory as a Solution to the Equity Premium Puzzle," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla99020, Aug.
• PERRON, Benoît, 1999, "Jumps in the Volatility of Financial Markets," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9912.
• Mark H. Lang & Douglas A. Shackelford, 1999, "Capitalization of Capital Gains Taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction," NBER Working Papers, National Bureau of Economic Research, Inc, number 6885, Jan.
• Fernando Alvarez & Urban J. Jermann, 1999, "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 6953, Feb.
• Wayne E. Ferson & Campbell R. Harvey, 1999, "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers, National Bureau of Economic Research, Inc, number 6967, Feb.
• Bronwyn H. Hall, 1999, "Innovation and Market Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 6984, Feb.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999, "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 7039, Mar.
• Narasimhan Jegadeesh & Sheridan Titman, 1999, "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers, National Bureau of Economic Research, Inc, number 7159, Jun.
• Robert E. Hall, 1999, "The Stock Market and Capital Accumulation," NBER Working Papers, National Bureau of Economic Research, Inc, number 7180, Jun.
• Michael R. Darby & Qiao Liu & Lynne G. Zucker, 1999, "Stakes and Stars: The Effect of Intellectual Human Capital on the Level and Variability of High-Tech Firms' Market Values," NBER Working Papers, National Bureau of Economic Research, Inc, number 7201, Jun.
• Nicholas Barberis & Ming Huang & Tano Santos, 1999, "Prospect Theory and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7220, Jul.
• Louis K.C. Chan & Josef Lakonishok & Theodore Sougiannis, 1999, "The Stock Market Valuation of Research and Development Expenditures," NBER Working Papers, National Bureau of Economic Research, Inc, number 7223, Jul.
• Kiyohiko G. Nishimura & Fukujyu Yamazaki & Takako Idee & Toshiaki Watanabe, 1999, "Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7254, Jul.
• Lubos Pastor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 7284, Aug.
• Geert Bekaert & Steven R. Grenadier, 1999, "Stock and Bond Pricing in an Affine Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 7346, Sep.
• Harrison Hong & Jeremy C. Stein, 1999, "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 7376, Oct.
• George Chacko & Luis M. Viceira, 1999, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 7377, Oct.
• Owen Lamont & Christopher Polk, 1999, "The Diversification Discount: Cash Flows vs. Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 7396, Oct.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 7406, Oct.
• Douglas A. Shackelford & Robert E. Verrecchia, 1999, "Intertemporal Tax Discontinuities," NBER Working Papers, National Bureau of Economic Research, Inc, number 7451, Dec.
• Hall, B.H., 1999, "Innovation and Market Value," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 1999-w3.
• John Y. Campbell & Luis M. Viceira, 1999, "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 114, issue 2, pages 433-495.
• Jesper Lund, 1999, "A Model for Studying the Effect of EMU on European Yield Curves," Review of Finance, European Finance Association, volume 2, issue 3, pages 321-363.
• Bryan Mase, 1999, "The Predictability of Short-Horizon Stock Returns," Review of Finance, European Finance Association, volume 3, issue 2, pages 161-173.
• Paul Söderlind, 1999, "An Interpretation of SDF Based Performance Measures," Review of Finance, European Finance Association, volume 3, issue 2, pages 233-237.
• Dietmar P. J. Leisen, 1999, "Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk," Review of Finance, European Finance Association, volume 3, issue 3, pages 319-342.
• William C. Hunter & Lucy F. Ackert, 1999, "Intrinsic Bubbles: The Case of Stock Prices: Comment," American Economic Review, American Economic Association, volume 89, issue 5, pages 1372-1376, December.
• Karen K. Lewis, 1999, "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, volume 37, issue 2, pages 571-608, June, DOI: 10.1257/jel.37.2.571.
• Markus Mueller & Ulrich K. Schittko, 1999, "Transmission of Policy Shocks in a Monetary Asset-Pricing Model," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 188, Nov.
• Ben Fung & Scott Mitnick & Eli Remolona, 1999, "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers, Bank of Canada, number 99-6, DOI: 10.34989/swp-1999-6.
• Fabio Panetta & Roberto Violi, 1999, "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 353, Jun.
• Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999, "The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 358, Oct.
• Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers, Banque de France, number 57.
• Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "La modelisation de la volatilite des bourses asiatiques," Working papers, Banque de France, number 58.
• Eric Jondeau, 1999, "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers, Banque de France, number 59.
• Ólan T. Henry & John Sharma, 1999, "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Australian Economic Papers, Wiley Blackwell, volume 38, issue 4, pages 393-406, December, DOI: 10.1111/1467-8454.00064.
• Ľuboš Pástor & Robert F. Stambaugh, 1999, "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, volume 54, issue 1, pages 67-121, February, DOI: 10.1111/0022-1082.00099.
• Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999, "Optimal Investment, Growth Options, and Security Returns," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1553-1607, October, DOI: 10.1111/0022-1082.00161.
• Ryan Sullivan & Allan Timmermann & Halbert White, 1999, "Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1647-1691, October, DOI: 10.1111/0022-1082.00163.
• Andrew Metrick, 1999, "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1743-1775, October, DOI: 10.1111/0022-1082.00165.
• Frankel, R & Johnson, M & Skinner, DJ, 1999, "An empirical examination of conference calls as a voluntary disclosure medium," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 37, issue 1, pages 133-150, DOI: http://hdl.handle.net/10.2307/24914.
• Ohlson, JA & Zhang, XJ, 1999, "On the theory of forecast horizon in equity valuation," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 37, issue 2, pages 437-449, DOI: http://hdl.handle.net/10.2307/24914.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, volume 9, issue 3, pages 275-292, July, DOI: 10.1111/1467-9965.00071.
• Hall, Bronwyn H., 1999, "Innovation and Market Value," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt9f31v1rw, Feb.
• Rodolfo Apreda, 1999, "Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 151, Jul.
• Vachadze, G., 1999, "A Time Homogeneous Stationary Equilbrium Model of Asset Pricing with Heterogeneous Agents," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp148, Jun.
• Stephen Gordon & Pascal St-Amour, 2003, "Asset Returns and State-Dependent Risk Preferences," CIRANO Working Papers, CIRANO, number 2003s-09, Apr.
• Huan Xie & Jipeng Zhang, 2012, "Bubbles and Experience: An Experiment with a Steady Inflow of New Traders," CIRANO Working Papers, CIRANO, number 2012s-01, Jan.
• Jérôme Detemple & Carlton Osakwe, 1999, "The Valuation of Volatility Options," CIRANO Working Papers, CIRANO, number 99s-43, Nov.
• Hamid Faruqee & Lee Redding, 1999, "Endogenous Liquidity Providers and Exchange Rate Dynamics," Canadian Journal of Economics, Canadian Economics Association, volume 32, issue 4, pages 976-994, August.
• Alexis Derviz, 1999, "Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy," Archive of Monetary Policy Division Working Papers, Czech National Bank, number 1999/12, Oct.
• Ignacio V√©lez Pareja, 1999, "The Colombian Stock Market: 1930-1998," Proyecciones Financieras y Valoración, Master Consultores, number 3576, Jan.
• HEIFETZ, Aviad & MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999, "Arbitrage and equilibrium with exchangeable risks," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1999046, Aug.
• Collard, Fabrice & Juillard, Michel, 1999, "Accuracy of stochastic perturbuation methods: the case of asset pricing models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9922.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, volume 87, issue 1, pages 169-193, July.
• Abel, Andrew B., 1999, "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, volume 43, issue 1, pages 3-33, February.
• Jan J.G. Lemmen & Charles A.E. Goodhart, 1999, "Credit Risks and European Government Bond Markets: A Panel Data Econometric Analysis," Eastern Economic Journal, Eastern Economic Association, volume 25, issue 1, pages 77-107, Winter.
• Zigrand, Jean-Pierre, 1999, "Arbitrage and endogenous market integration," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119127, Mar.
• Didier Cornuel, 1999, "L'hypothèse de bulle immobilière," Revue de l'OFCE, Programme National Persée, volume 70, issue 1, pages 155-191, DOI: 10.3406/ofce.1999.1694.
• Bernardino Adão, 1999, "Iberian Financial Integration," Working Papers, Banco de Portugal, Economics and Research Department, number w199905.
• Epstein, L.G., 1999, "Are Probabilities Used in Markets?," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 464.
• John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis M. Viceira, 1999, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Computing in Economics and Finance 1999, Society for Computational Economics, number 1344, Mar.
• Davide Lombardo & Marco Pagano, 1999, "Legal Determinants of the Return on Equity," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 24, Oct, revised 01 Dec 2000.
• Davide Lombardo & Marco Pagano, 1999, "Law and Equity Markets: a Simple Model," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 25, Oct.
• Kamstra, M., 1999, "Dividends, Earnings and Fundamental Valuation," Discussion Papers, Department of Economics, Simon Fraser University, number dp99-11.
• Christian Jochum, 1999, "Volatility spillovers and the price of risk: Evidence from the Swiss stock market," Empirical Economics, Springer, volume 24, issue 2, pages 303-322.
• Robert Jarrow & Dilip B. Madan, 1999, "Hedging contingent claims on semimartingales," Finance and Stochastics, Springer, volume 3, issue 1, pages 111-134.
• Paul Glasserman & S.G. Kou & Mark Broadie, 1999, "Connecting discrete and continuous path-dependent options," Finance and Stochastics, Springer, volume 3, issue 1, pages 55-82.
• HuyËn Pham & Jean Paul Laurent, 1999, "Dynamic programming and mean-variance hedging," Finance and Stochastics, Springer, volume 3, issue 1, pages 83-110.
• Hans FÃllmer & Peter Leukert, 1999, "Quantile hedging," Finance and Stochastics, Springer, volume 3, issue 3, pages 251-273.
• Mihail Zervos & Bernhard Meister & Thomas S. Knudsen, 1999, "On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation," Finance and Stochastics, Springer, volume 3, issue 4, pages 433-449.
• Peter DeMarzo & Costis Skiadas, 1999, "On the uniqueness of fully informative rational expectations equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 13, issue 1, pages 1-24.
• James Peck & Matthew O. Jackson, 1999, "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 13, issue 3, pages 603-628.
• Mariana Mazzucato & Willi Semmler, 1999, "Market share instability and stock price volatility during the industry life-cycle: the US automobile industry," Journal of Evolutionary Economics, Springer, volume 9, issue 1, pages 67-96.
• Ortalo-Magne, Francois & Rady, Sven, 1999, "Boom in, bust out: Young households and the housing price cycle," European Economic Review, Elsevier, volume 43, issue 4-6, pages 755-766, April.
• Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999, "Intra-day market activity," Journal of Financial Markets, Elsevier, volume 2, issue 3, pages 193-226, August.
• Malliaris, A. G. & Stein, Jerome L., 1999, "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, volume 23, issue 11, pages 1605-1635, November.
• Los, Cornelis A., 1999, "Galton's Error and the under-representation of systematic risk," Journal of Banking & Finance, Elsevier, volume 23, issue 12, pages 1793-1829, December.

1998

• Gehrig, Thomas & Jackson, Matthew, 1998, "Bid-ask spreads with indirect competition among specialists," Journal of Financial Markets, Elsevier, volume 1, issue 1, pages 89-119, April.
• Kodjovi G. Assoe, 1998, "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 2, pages 101-132, June.
• Kenneth Wieand & Jeff Donaldson & Socorro Quintero, 1998, "Are Real Assets Priced Internationally? Evidence from the Art Market," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 3, pages 167-187, September.
• Antonis Demos & Sofia Parissi, 1998, "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 3, pages 189-223, September.
• Bengt Holmstrom & Jean Tirole, 1998, "LAPM: A Liquidity Based Asset Pricing Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 98-8, Jun.
• Wu, P.X., 1998, "Variance Decomposition of Stock Returns and Dividend Imputation System," Department of Economics - Working Papers Series, The University of Melbourne, number 614.
• Henry, O. & Sharma, J., 1998, "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Department of Economics - Working Papers Series, The University of Melbourne, number 617.
• Takatoshi Ito & Masahiro Kawai, 1998, "International Monetary Regime in the Twenty-First Century, (NBER-CEPR-TCER conference)," NBER Books, National Bureau of Economic Research, Inc, number ito_98-1, December.
• Yacine Ait-Sahalia, 1998, "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0222, Feb.
• Jonathan B. Berk, 1998, "Sorting Out Sorts," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0235, Sep.
• John H. Cochrane, 1998, "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers, National Bureau of Economic Research, Inc, number 6207, Feb.
• Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998, "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6354, Jan.
• Tommy Berger & Peter Englund & Patric H. Hendershott & Bengt Turner, 1998, "Another Look at the Capitalization of Interest Subsidies: Evidence from Sweden," NBER Working Papers, National Bureau of Economic Research, Inc, number 6365, Jan.
• David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998, "Predictable Changes in Yields and Forward Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 6379, Jan.
• Fernando Alvarez & Urban J. Jermann, 1998, "Asset Pricing when Risk Sharing is Limited by Default," NBER Working Papers, National Bureau of Economic Research, Inc, number 6476, Mar.
• John Y. Campbell, 1998, "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 6485, Mar.
• Lubos Pastor & Robert F. Stambaugh, 1998, "Costs of Equity Capital and Model Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 6490, Apr.
• Orazio Attanasio & James Banks & Sarah Tanner, 1998, "Asset Holding and Consumption Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 6567, May.
• James M. Poterba & Scott J. Weisbenner, 1998, "Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6616, Jun.
• Jonathan Berk & Richard C. Green & Vasant Naik, 1998, "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6627, Jun.
• Andrew Metrick, 1998, "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," NBER Working Papers, National Bureau of Economic Research, Inc, number 6648, Jul.
• Bengt Holmstrom & Jean Tirole, 1998, "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 6673, Aug.
• Andrew B. Abel, 1998, "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 6683, Aug.
• Paul A. Gompers & Andrew Metrick, 1998, "Institutional Investors and Equity Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 6723, Sep.
• David Backus & Silverio Foresi & Chris I. Telmer, 1998, "Discrete-Time Models of Bond Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 6736, Sep.
• Jonathan B. Berk & Richard C. Green & Vasant Naik, 1998, "Valuation and Return Dynamics of New Ventures," NBER Working Papers, National Bureau of Economic Research, Inc, number 6745, Oct.
• James M. Poterba, 1998, "Population Age Structure and Asset Returns: An Empirical Investigation," NBER Working Papers, National Bureau of Economic Research, Inc, number 6774, Oct.
• John Y. Campbell & Luis M. Viceira, 1998, "Who Should Buy Long-Term Bonds?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6801, Nov.
• Tomas Björk & Bertil Näslund, 1998, "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, volume 1, issue 3, pages 361-387.
• John Y. CAMPBELL & Luis VICEIRA, 1998, "Who Should Buy Long-Term Bonds?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp5, Oct.
• Mika Vaihekoski, 1998, "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, volume 11, issue 1, pages 19-36, Spring.
• Frank F. Gong & Eli M. Remolona & Michael Wickens, 1998, "What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds," Staff Reports, Federal Reserve Bank of New York, number 57.
• Sven Rady, 1998, "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," FMG Discussion Papers, Financial Markets Group, number dp296, Jun.
• Allan Timmermann & Halbert White & Ryan Sullivan, 1998, "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers, Financial Markets Group, number dp303, Sep.
• Allan Timmermann & Halbert White & Ryan Sullivan, 1998, "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers, Financial Markets Group, number dp304, Oct.
• Markus K Brunnermeier, 1998, "Buy on Rumours - Sell on News: A Manipulative Trading Strategy," FMG Discussion Papers, Financial Markets Group, number dp309, Nov.
• Sven Rady, 1998, "Boom In, Bust Out: Young Households and the Housing Price Cycle," FMG Discussion Papers, Financial Markets Group, number dp310, Nov.
• Inanga, E.L. & Emenuga, C., 1998, "Les caracteristiques institutionnelles, traditionnelles et les modes de determination des cours de l'actif a la bourse de valeurs du Nigeria," Papers, African Economic Research Consortium, number 60.
• Bolgot, S. & Meyfredi, J.-C., 1998, "Reseaux de neurones, lissage de la fonction d'actualisation et prevision des OAT demembrees: une etude empirique," G.R.E.Q.A.M., Universite Aix-Marseille III, number 98b04.
• Fornari, F. & Violi, R., 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Papers, Banca Italia - Servizio di Studi, number 339.
• Flam, S.D., 1998, "Looking for Arbitrage," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 0598.
• Chauveau, T. & Maillet, B., 1998, "Flexible Least Squares Betas: The French Market Case," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1998-03/fi.
• Isakov, D. & Hollistein, M., 1998, "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 98.2.
• Luis Angel Medrano & Xavier Vives, 1998, "Strategic Behavior and Price Discovery," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1825.
• Paul A. Gompers & Andrew Metrick, 1998, "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1830.
• John Y. Campbell & Luis M. Viceira, 1998, "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1835.
• Marshall E. Blume & Felix Lim & A. Craig MacKinlay, , "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 03-98.
• Lubos Pástor & Robert F. Stambaugh, , "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 04-98.
• Süleyman Basak & Benjamin Croitoru, , "Capital Market Equilibrium with Mispricing and Arbitrage Activity," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 06-98.
• Donald B. Keim & Ananth Madhavan, , "The Information Contained in Stock Exchange Seat Prices," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 07-98.
• Süleyman Basak, , "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 10-98.
• Süleyman Basak & Mike Gallmeyer, , "Capital Market Equilibrium with Differential Taxation," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 12-98.
• Bruce D. Grundy & J. Spencer Martin, , "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 13-98.
• A. Craig MacKinlay & Lubos Pástor, , "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 19-98.
• Koedijk, K.G. & Kool, C.J.M. & Nissen, F.G.J.A. & Schotman, P.C. & Van Dijk, M.A., 1998, "The Cost of Capital in International Financial Markets: Local Versus Global Beta," Papers, Southern California - School of Business Administration, number 99-55.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Post-Print, HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Rolseth, Lars, 1998, "Adjusting Stock Market Values to Exchange Rate Exposure: The Case of ASTRA, SCA and STORA," Working Papers in Economics, University of Gothenburg, Department of Economics, number 6, Oct.
• Säfvenblad, Patrik, 1998, "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 240, May.
• Orazio Attanasio & James Banks & Tanner, Tanner, 1998, "Asset holding and consumption volatility," IFS Working Papers, Institute for Fiscal Studies, number W98/08, Apr.
• Cashin, Paul & McDermott, C John, 1998, "Testing the Consumption-CAPM in Developing Equity Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 3, issue 2, pages 127-141, April.
• Ieda, Akira & Ohba, Toshikazu, 1998, "Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 16, issue 2, pages 113-128, December.
• Michel Normandin & Pascal St-Amour, 1998, "Substitution, risk aversion, taste shocks and equity premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 13, issue 3, pages 265-281.
• Lettau, Martin, 1998, "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1795, Jan.
• Danthine, Jean-Pierre & Donaldson, John B, 1998, "Non-Falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1819, Mar.
• Miller, Marcus & Zhang, Lei, 1998, "Sovereign Liquidity Crises: the Strategic Case for a Payments Standstill," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1820, Mar.
• Lettau, Martin, 1998, "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1884, May.
• Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998, "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1976, Sep.
• Peña, Juan Ignacio & Restoy Lozano, Fernando & Rodríguez, Rosa, 1998, "Can Output Explain the Predictability and Volatility of Stock Returns?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1995, Oct.
• Restoy Lozano, Fernando & Rodríguez, Rosa, 1998, "Can Fundamentals Explain Cross-Country Correlations of Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1996, Nov.
• Jacobs, Mike & Remolona, Eli & Wickens, Michael R., 1998, "What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2022, Nov.
• Anderson, Ronald & Sundaresan, Suresh, 1998, "A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999009, Jul, revised 00 Jan 1999.
• Willem H. Buiter & Ricardo Lago & Hélène Rey, 1998, "Financing transition: investing in enterprises during macroeconomic transition," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 35, Dec.
• Foort, HAMELINK, 1998, "On the Specification of Duration Between Price Changes and the Predictability of High Frequency returns: an application to the French CAC 40," HEC Research Papers Series, HEC Paris, number 647, Mar.
• Foort, HAMELINK, 1998, "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series, HEC Paris, number 655, Jul.
• Brock, William A. & Hommes, Cars H., 1998, "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, volume 22, issue 8-9, pages 1235-1274, August.
• Shoko Haneda & Hiroyuki Odagiri, 1998, "Appropriation Of Returns From Technological Assets And The Values Of Patents And R&D In Japanese High-Tech Firms," Economics of Innovation and New Technology, Taylor & Francis Journals, volume 7, issue 4, pages 303-321, DOI: 10.1080/10438599800000038.
• Koopman, S.J.M. & Lai, H.N., 1998, "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-032.
• Miquel Faig, 1998, "Understanding Investment Irreversibility In General Equilibrium," Working Papers, University of Toronto, Department of Economics, number faig-98-01, Jul.
• Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998, "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, volume 80, issue 1, pages 62-72, February.
• Eric Ghysels & Serena Ng, 1998, "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, volume 80, issue 4, pages 535-548, November.
• Jonathan B. Berk Richard C. Green and Vasant Naik., 1998, "Valuation and Return Dynamics of New Ventures," Research Program in Finance Working Papers, University of California at Berkeley, number RPF-284, Sep.
• Otrok, C. & Ravikumar, B. & Whiteman, C., 1998, "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers, University of Iowa, Department of Economics, number 98-04, May.
• Neely, C.J. & Roy, A. & Whiteman, C.H., 1998, "Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM," Working Papers, University of Iowa, Department of Economics, number 98-08, Aug.
• Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998, "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers, University of Iowa, Department of Economics, number 99-01, Aug, revised Jan 1999.
• Hun Y. Park & Asani Sarkar & Lifan Wu, 1998, "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance, University Library of Munich, Germany, number 9801002, Jan.
• Kirill Ilinski & Alexander Stepanenko, 1998, "Electrodynamical model of quasi-efficient financial market," Finance, University Library of Munich, Germany, number 9805007, Jun.
• Martin Evans, 1998, "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance, University Library of Munich, Germany, number 9809001, Sep.
• Francois Ortalo-Magne & Sven Rady, 1998, "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," Finance, University Library of Munich, Germany, number 9810003, Oct.
• Francois Ortalo-Magne & Sven Rady, 1998, "Boom In, Bust Out: Young Households and the Housing Price Cycle," Finance, University Library of Munich, Germany, number 9810004, Oct, revised 29 Oct 1998.
• Oren Fuerst & Sok-Hyon Kang, 1998, "Corporate Governance, Expected Operating Performance, and Pricing," Yale School of Management Working Papers, Yale School of Management, number ysm108, Dec.
• Philippe Jorion & William N. Goetzmann, 1998, "Re-Emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm111, Dec.
• Gurdip S. Bakshi & Zhiwu Chen, 1998, "Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies," Yale School of Management Working Papers, Yale School of Management, number ysm44, Aug.
• William Goetzmann & Philippe Jorion, 1998, "Re-emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm50, Apr, revised 01 Aug 2000.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998, "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers, Yale School of Management, number ysm90, May.
• William Goetzmann & Philippe Jorion, 1998, "Re-emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm50, Apr, revised 01 Aug 2000.
• Oehler, Andreas & Unser, Matthias, 1998, "Market Transparency and Call Markets," Discussion Papers, University of Bamberg, Chair of Finance, number 6.