Research classified by Journal of Economic Literature (JEL) codes

2001

• José Penalva, 2001, "Insuring California earthquakes and the role for catastrophe bonds," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 527, Jan.
• Giovanni Cespa, 2001, "A comparison of stock market mechanisms," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 545, May, revised Nov 2003.
• Juan-Pedro Gómez & Fernando Zapatero, 2001, "Asset pricing implications of benchmarking: A two-factor CAPM," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 693, Jul.
• Mark Aguiar & Fernando Broner, 2001, "Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 863, Aug, revised Aug 2004.
• Ralf Becker & Walter Enders & A. Stan Hurn, 2001, "Testing for Time Dependence in Parameters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 58, Jun.
• David Heath & Eckhard Platen, 2001, "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 61, Jun.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "US Stock Prices and Macroeconomic Fundamentals," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-08.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-14.
• Gregory W. Huffman, 2001, "Do Values of Existing Home Sales Reflect Property Values?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0122, Sep.
• Norbert Jobst & Stavros A. Zenios, 2001, "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-25, Jul.
• William A. Barnett, 2001, "Fellow's Opinion: Tastes and Technology, Curvature is not Sufficient for Regularity," Econometrics, University Library of Munich, Germany, number 0110007, Oct.
• William A. Barnett & Meenakshi Pasupathy, 2001, "Regularity Of The Generalized Quadratic Production Model: A Counterexample," Econometrics, University Library of Munich, Germany, number 0112001, Dec.
• Jan Hanousek & Libor Nemecek, 2001, "Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic," Finance, University Library of Munich, Germany, number 0012007, Feb.
• George Vachadze, 2001, "A Short-Horizon Model of Asset Pricing: Equilibrium Analysis," Finance, University Library of Munich, Germany, number 0012008, Feb.
• George Vachadze, 2001, "A Temporary Equilibrium Model of Asset Pricing," Finance, University Library of Munich, Germany, number 0012009, Feb.
• Jiri Hoogland & Dimitri Neumann, 2001, "Asians and cash dividends: Exploiting symmetries in pricing theory," Finance, University Library of Munich, Germany, number 0105002, May.
• Jiri Hoogland & Dimitri Neumann, 2001, "Tradable Schemes," Finance, University Library of Munich, Germany, number 0105003, May.
• Author Miloslav, 2001, "Bifurcation Routes in Financial Markets," Finance, University Library of Munich, Germany, number 0109001, Sep.
• Patrick Houweling & Ton Vorst, 2001, "An Empirical Comparison of Default Swap Pricing Models," Finance, University Library of Munich, Germany, number 0112003, Dec.
• E. W. Piotrowski & J. Sladkowski, 2001, "Quantum Market Games," Game Theory and Information, University Library of Munich, Germany, number 0103003, Apr.
• P.J.J. Herings & F. Kubler, 2001, "Computing Equilibria in Finance Economies," GE, Growth, Math methods, University Library of Munich, Germany, number 0205003, Oct.
• Philippe Martin & H=E9l=E8ne Rey=, 2001, "Financial Super-Markets: Size Matters for Asset Trade," International Finance, University Library of Munich, Germany, number 0012001, Feb.
• Robert J. Shiller & Stefano Athanasoulis, 2001, "The Significance of the Market Portfolio," Yale School of Management Working Papers, Yale School of Management, number ysm133, Mar.
• Zhiwu Chen & Ming Dong, 2001, "Stock Valuation and Investment Strategies," Yale School of Management Working Papers, Yale School of Management, number ysm212, Jul, revised 01 Oct 2001.
• Deen Kemsley, 2001, "Dividend Tax Capitalization: Clarifications and Responses to Recent Challenges," Yale School of Management Working Papers, Yale School of Management, number ysm216, Aug.
• Matthew I. Spiegel & Harry Mamaysky, 2001, "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers, Yale School of Management, number ysm219, Sep.
• Jack Clark Francis & Roger G. Ibbotson, 2001, "Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972-1999," Yale School of Management Working Papers, Yale School of Management, number ysm235, Oct.
• Alok Kumar & William N. Goetzmann, 2001, "Equity Portfolio Diversification," Yale School of Management Working Papers, Yale School of Management, number ysm236, Oct.
• Bing NMI1 Han & Mark Grinblatt, 2001, "The Disposition Effect and Momentum," Yale School of Management Working Papers, Yale School of Management, number ysm239, Nov.
• Deen Kemsley & Doron Nissim, 2001, "Valuation of the Debt-Tax Shield," Yale School of Management Working Papers, Yale School of Management, number ysm249, Dec.
• Oehler, Andreas & Heilmann, Klaus & Läger, Volker, 2001, "Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets," Discussion Papers, University of Bamberg, Chair of Finance, number 18.
• Franke, Günter & Weber, Martin, 2001, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/08.
• Bohl, Martin T. & Siklos, Pierre L., 2001, "Dectecting speculative bubbles in stock prices: A new approach and some evidence for the US," Research Notes, Deutsche Bank Research, number 01-3.
• Erlenmaier, Ulrich & Gersbach, Hans, 2001, "Default probabilities and default correlations," Research Notes, Deutsche Bank Research, number 01-5.
• Robert E. Hall, 2001, "Struggling to Understand the Stock Market," American Economic Review, American Economic Association, volume 91, issue 2, pages 1-11, May.
• Robert S. Chirinko & Huntley Schaller, 2001, "Business Fixed Investment and "Bubbles": The Japanese Case," American Economic Review, American Economic Association, volume 91, issue 3, pages 663-680, June.
• Robert E. Hall, 2001, "The Stock Market and Capital Accumulation," American Economic Review, American Economic Association, volume 91, issue 5, pages 1185-1202, December.
• Bart Hobijn & Boyan Jovanovic, 2001, "The Information-Technology Revolution and the Stock Market: Evidence," American Economic Review, American Economic Association, volume 91, issue 5, pages 1203-1220, December.
• Frank Niehaus, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 2A.2, Jan.
• Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001, "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-01.
• DE CEUSTER, Marc & ANNAERT, Jan & HODSGON, Allan, 2001, "Moment condition failure Australian evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2001010, Apr.
• Brock,W.A. & Hommes,C.H., 2001, "Evolutionary dynamics in financial markets with many trader types," Working papers, Wisconsin Madison - Social Systems, number 7.
• Fabio Panetta, 2001, "The Stability of the Relation between the Stock Market and Macroeconomic Forces," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 393, Feb.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Fabio Fornari & Antonio Mele, 2001, "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 397, Feb.
• Giuseppe Grande & Luigi Ventura, 2001, "Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 399, Mar.
• Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchís, 2001, "Estimating liquidity premia in the Spanish Government securities market," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Market liquidity: proceedings of a workshop held at the BIS".
• Claudio Borio & Haibin Zhu, 2008, "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers, Bank for International Settlements, number 268, Dec.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011, "Currency Momentum Strategies," BIS Working Papers, Bank for International Settlements, number 366, Dec.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers, Bank for International Settlements, number 374, Mar.
• Abraham Lioui & Patrice Poncet, 2001, "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers, Bar-Ilan University, Department of Economics, number 2001-10, May.
• Abraham Lioui & Patrice Poncet, 2001, "General Equilibrium Pricing of Trading Strategy Risk," Working Papers, Bar-Ilan University, Department of Economics, number 2001-13, Jul.
• James M. Poterba & Scott J. Weisbenner, 2001, "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, volume 56, issue 1, pages 353-368, February, DOI: 10.1111/0022-1082.00328.
• Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
• David Hirshleifer, 2001, "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1533-1597, August, DOI: 10.1111/0022-1082.00379.
• Bengt Holmström & Jean Tirole, 2001, "LAPM: A Liquidity‐Based Asset Pricing Model," Journal of Finance, American Finance Association, volume 56, issue 5, pages 1837-1867, October, DOI: 10.1111/0022-1082.00391.
• Dubra Juan & Echenique Federico, 2001, "Monotone Preferences over Information," The B.E. Journal of Theoretical Economics, De Gruyter, volume 1, issue 1, pages 1-18, December, DOI: 10.2202/1534-598X.1033.
• Robert Kast & André Lapied & Sophie Pardo & Camelia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Economie & Prévision, La Documentation Française, volume 149, issue 3, pages 51-63.
• Lewin, R.A. & Satchell, S.E., 2001, "The Derivation of a New Model of Equity Duration," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0104, May.
• M. Pitsillis & S. Satchell, 2001, "Improving the Estimates of the Risk Premia - Application in the UK Financial Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0109, Jul.
• Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt1jw137zd, Jul.
• Grinblatt, Mark & Han, Bing, 2001, "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt6qg5d62p, Oct.
• Kelly, David & LeRoy, Stephen F., 2001, "Liquidity and Liquidation," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt4fq7n6pj, Dec.
• Raúl Susmel & Madhu Kalimipalli, 2001, "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 197, May.
• S. Brock Blomberg, 2001, ""Dumb And Dumber" Explanations For Exchange Rate Dynamics," Journal of Applied Economics, Universidad del CEMA, volume 4, pages 187-216, November.
• Sven Rady & François Ortalo-Magné, 2001, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," CESifo Working Paper Series, CESifo, number 470.
• Steven A. Block & Paul M. Vaaler, 2001, "The Price of Democracy: Sovereign Risk Ratings, Bond Spreads and Political Business Cycles in Developing Countries," CID Working Papers, Center for International Development at Harvard University, number 82, Dec.
• Kris Jacobs, 2001, "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers, CIRANO, number 2001s-12, Feb.
• Jin-Chuan Duan & Kris Jacobs, 2001, "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers, CIRANO, number 2001s-22, Mar.
• Peter Christoffersen & Kris Jacobs, 2001, "The Importance of the Loss Function in Option Pricing," CIRANO Working Papers, CIRANO, number 2001s-45, Jul.
• Ignacio Velez-Pareja, 2001, "Economic Value Measurement: Investment Recovery and Value Added - IRVA," Proyecciones Financieras y Valoración, Master Consultores, number 2404, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas (C√°lculo De Betas. In Spanish)," Proyecciones Financieras y Valoración, Master Consultores, number 8084, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas," Proyecciones Financieras y Valoración, Master Consultores, number 8085, Feb.
• Ashley Winston, 2001, "Developing a Cost of Capital Module for Computable General Equilibrium Modelling," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number op-96, Dec.
• Jenkinson, Tim & Bell, Leonie, 2001, "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," CEPR Discussion Papers, Centre for Economic Policy Research, number 2946, Sep.
• Veronesi, Pietro, 2001, "Belief Dependent Utilities, Aversion to State-Uncertainty and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 2965, Sep.
• Timmermann, Allan & Guidolin, Massimo, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers, Centre for Economic Policy Research, number 3005, Oct.
• Rady, Sven & Ortalo-Magné, François, 2001, "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 3015, Oct.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers, Centre for Economic Policy Research, number 3033, Oct.
• Dahlquist, Magnus & Bansal, Ravi, 2001, "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3034, Oct.
• Miller, Marcus & Weller, Paul, 2001, "Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'," CEPR Discussion Papers, Centre for Economic Policy Research, number 3041, Nov.
• Gromb, Denis & Vayanos, Dimitri, 2001, "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers, Centre for Economic Policy Research, number 3049, Nov.
• Vassalou, Maria, 2001, "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3057, Nov.
• Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001, "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 3058, Nov.
• Perotti, Enrico & Rossetto, Silvia, 2001, "Strategic Advantage and the Optimal Exercise of Entry Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 3061, Nov.
• Yaron, Amir & Storesletten, Kjetil & Telmer, Chris, 2001, "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," CEPR Discussion Papers, Centre for Economic Policy Research, number 3065, Nov.
• Campbell, John Y & Viceira, Luis & Chan, Yeung Lewis, 2001, "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers, Centre for Economic Policy Research, number 3070, Nov.
• de Jong, Frank & de Roon, Frans, 2001, "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3102, Dec.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers, Centre for Economic Policy Research, number 3103, Dec.
• Lettau, Martin & Ludvigson, Sydney, 2001, "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 3105, Dec.
• Dimitris Georgoutsos & George Kouretas, 2001, "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers, University of Crete, Department of Economics, number 0104, Jun.
• Fabrizio Erbetta & Luca Agnello, 2001, "The martingales: theoretical and empirical characteristics," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200107, Dec.
• Zhiwu Chen, 2001, "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 297-323, November.
• Raymond Kan & Guofu Zhou, 2001, "Tests of Mean-Variance Spanning," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 539, Sep.
• John Y. Campbell & Robert J. Shiller, 2001, "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1295, Mar.
• Juan Dubra & Federico Echenique, 2001, "Measurability Is Not about Information," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1296, Mar.
• Jun Yu & Peter C.B. Phillips, 2001, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1309, Jul.
• LESHCHINSKII, Dima, 2001, "Does it pay to voluntarily disclose private information?," HEC Research Papers Series, HEC Paris, number 734, Jun.
• Barros Luís, Jorge & Cassola, Nuno, 2001, "A two-factor model of the German term structure of interest rates," Working Paper Series, European Central Bank, number 46, Mar.
• Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 01-2, Jul.
• Alvarez, Fernando & Jermann, Urban J., 2001, "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 01-4, Nov.
• Edwards, Sebastian & Susmel, Raul, 2001, "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, volume 66, issue 2, pages 505-532, December.
• Collard, Fabrice & Juillard, Michel, 2001, "Accuracy of stochastic perturbation methods: The case of asset pricing models," Journal of Economic Dynamics and Control, Elsevier, volume 25, issue 6-7, pages 979-999, June.
• Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001, "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 185-223, November.
• Fornari, Fabio & Mele, Antonio, 2001, "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 83-110, March.
• Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001, "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 297-323, July.
• Campbell, John Y., 2001, "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, volume 8, issue 5, pages 459-491, December.
• Cherian, Joseph A. & Perotti, Enrico, 2001, "Option pricing and foreign investment under political risk," Journal of International Economics, Elsevier, volume 55, issue 2, pages 359-377, December.
• Takashi Kamihigashi, 2001, "A Simple Proof of the Necessity of the Transversality Condition," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 116, Jan.
• Peghe Braila & Claude Wampach, 2001, "Undiversifiable Returns in a CAPM Economy," Discussion Papers, University of Copenhagen. Department of Economics, number 01-08, Jul.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0201, Dec.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Do Exchange Rates Convert Prices of Risk Across Countries?," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie003, Nov.
• Hans Dewachter & Kristien Smedts & Konstantijn Maes, 2001, "Monetary Unification and the Price of Risk: An Unconditional Analysis," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie006, Dec.
• Panicos Demetriades & Bassam Fattouh & Kalvinder Shields, 2001, "Financial Liberalization and the Evolution of Banking and Financial Risks The Case of South Korea," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 01/1, Jan.
• Hong, Harrison & Rady, Sven, 2001, "Strategic Trading and Learning about Liquidity," Discussion Papers in Economics, University of Munich, Department of Economics, number 15, Jan.
• Rady, Sven & Ortalo-Magné, François, 2001, "Housing Market Dynamics," Discussion Papers in Economics, University of Munich, Department of Economics, number 20, Apr.
• Maurice J. Roche, 2001, "Fads versus fundamentals in farmland prices: comment," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1070301, Mar.
• Amalia Di Iorio & Robert Faff, 2001, "The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 1-33, March.
• Cathy S. Goldberg & Francisco A. Delgado, 2001, "Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 4, pages 259-301, December.
• Peter M. Garber, 2001, "Famous First Bubbles: The Fundamentals of Early Manias," MIT Press Books, The MIT Press, number 0262571536, edition 1, ISBN: ARRAY(0x8a8ee170), December.
• Sebastian Edwards & Edgardo Zablotsky, 2001, "Inter-American Seminar on Economics (IASE) 1999," NBER Books, National Bureau of Economic Research, Inc, number edwa01-1, January.
• Michael W. Brandt & Pedro Santa-Clara, 2001, "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0274, Aug.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Is the Stock Market Overvalued?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8077, Jan.
• Kenneth A. Froot, 2001, "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers, National Bureau of Economic Research, Inc, number 8110, Feb.
• Martin D. D. Evans, 2001, "FX Trading and Exchange Rate Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 8116, Feb.
• Andrew B. Abel, 2001, "Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8131, Feb.
• Andrew B. Abel, 2001, "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8132, Feb.
• Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001, "Breadth of Ownership and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8151, Mar.
• Nicholas Barberis & Ming Huang, 2001, "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8190, Mar.
• John Y. Campbell & Robert J. Shiller, 2001, "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers, National Bureau of Economic Research, Inc, number 8221, Apr.
• Tuomo Vuolteenaho, 2001, "What Drives Firm-Level Stock Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8240, Apr.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2001, "The Value Spread," NBER Working Papers, National Bureau of Economic Research, Inc, number 8242, Apr.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 2001, "The Level and Persistence of Growth Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 8282, May.
• Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2001, "Earnings Quality and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8308, May.
• Martin D. D. Evans & Richard K. Lyons, 2001, "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers, National Bureau of Economic Research, Inc, number 8356, Jul.
• Fernando Alvarez & Urban J. Jermann, 2001, "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers, National Bureau of Economic Research, Inc, number 8360, Jul.
• Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001, "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," NBER Working Papers, National Bureau of Economic Research, Inc, number 8404, Jul.
• Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001, "Luxury Goods and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 8417, Aug.
• G. William Schwert, 2001, "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8436, Aug.
• Lubos Pastor & Robert F. Stambaugh, 2001, "Liquidity Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 8462, Sep.
• William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001, "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers, National Bureau of Economic Research, Inc, number 8491, Sep.
• Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.
• Sebastian Edwards & Raul Susmel, 2001, "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 8506, Oct.
• Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001, "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 8510, Oct.
• Andrew W. Lo & Jiang Wang, 2001, "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 8565, Oct.
• John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001, "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc, number 8566, Oct.
• Yeung Lewis Chan & Leonid Kogan, 2001, "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8607, Nov.
• Leonid Kogan & Raman Uppal, 2001, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 8609, Nov.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "The Stock Market Crash of 1929: Irving Fisher Was Right!," NBER Working Papers, National Bureau of Economic Research, Inc, number 8622, Dec.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, Regulations, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8623, Dec.
• Lee Pinkowitz & Rene M. Stulz & Rohan Williamson, 2001, "Corporate Governance and the Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 8680, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2001, "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W6, Jun.
• Takashi Kamihigashi, 2001, "Necessity of Transversality Conditions for Stochastic Problems," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 01-02.
• Helmut Elsinger & Martin Summer, 2001, "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 49, Aug.
• Maurice J. Roche, 2001, "Fads versus Fundamentals in Farmland Prices: Comment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 83, issue 4, pages 1074-1077.
• Faig, Miquel, 2001, "Understanding Investment Irreversibility in General Equilibrium," Economic Inquiry, Western Economic Association International, volume 39, issue 4, pages 499-510, October.
• Paul A. Gompers & Andrew Metrick, 2001, "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 116, issue 1, pages 229-259.
• Christian Gollier, 2001, "Wealth Inequality and Asset Pricing," The Review of Economic Studies, Review of Economic Studies Ltd, volume 68, issue 1, pages 181-203.

2000

• Takashi Kamihigashi, 2000, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 115, Nov.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, Université Laval - Département d'économique, number 0003.
• Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2000, "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Cahiers de recherche, GREEN, number 0003.
• Maurice J. Roche & Kieran McQuinn, 2000, "Speculation in agricultural land," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1010700, Oct.
• Tim Brailsford & Richard Heaney & John Powell & Jing Shi, 2000, "Hot and Cold IPO Markets: Identification Using a Regime Switching Model," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 1-2, pages 35-68, March-Jun.
• Wolfgang Aussenegg, 2000, "Privatization versus Private Sector Initial Public Offerings in Poland," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 1-2, pages 69-99, March-Jun.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 159-179, September.
• Brooks, C. & Henry, O.T., 2000, "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Department of Economics - Working Papers Series, The University of Melbourne, number 733.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00005, Jan.
• Nicolas Nalpas, 2000, "Modèles intertemporels d'évaluation d'actifs financiers : une évaluation sur données françaises de longue période," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00032, Mar.
• Catherine Refait, 2000, "Estimation du risque de défaut par une modélisation stochastique du bilan : Application à des firmes industrielles françaises," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00040, Mar.
• Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000, "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/00, Jul.
• GARCIA, René & RENAULT, Éric, 2000, "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2000-01.
• Garcia, R. & Renault, E., 2000, "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2000-01.
• Yacine Ait-Sahalia & Andrew W. Lo, 2000, "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 6130, Mar.
• John Y. Campbell, 2000, "Asset Pricing at the Millennium," NBER Working Papers, National Bureau of Economic Research, Inc, number 7589, Mar.
• Brent W. Ambrose & Patric H. Hendershott & Malgorzata M. Klosek, 2000, "Pricing Upward-Only Adjusting Leases," NBER Working Papers, National Bureau of Economic Research, Inc, number 7622, Mar.
• Andrew W. Lo & Jiang W. Wang, 2000, "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 7625, Mar.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 7644, Apr.
• Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000, "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7687, May.
• Aaron Tornell, 2000, "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 7753, Jun.
• Lubos Pastor & Robert F. Stambaugh, 2000, "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 7779, Jul.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "Capital Gains Holding Periods and Equity Trading: Evidence from the 1998 Tax Act," NBER Working Papers, National Bureau of Economic Research, Inc, number 7827, Aug.
• Fernando Alvarez & Urban J. Jermann, 2000, "Using Asset Prices to Measure the Cost of Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 7978, Oct.
• Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000, "The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8011, Nov.
• Nicholas Barberis & Andrei Shleifer, 2000, "Style Investing," NBER Working Papers, National Bureau of Economic Research, Inc, number 8039, Dec.