Research classified by Journal of Economic Literature (JEL) codes

1998

• 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.
• Joachim Coche, 1998, "An evolutionary approach to the examination of capital market efficiency," Journal of Evolutionary Economics, Springer, volume 8, issue 4, pages 357-382.
• 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.
• Föllmer, Hans & Leukert, Peter, 1998, "Quantile hedging," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,13.
• Fazal Husain, 1998, "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 37, issue 1, pages 77-81.
• Vaihekoski, Mika, 1998, "Short-term returns and the predictability of Finnish stock returns," MPRA Paper, University Library of Munich, Germany, number 13984.
• Ulibarri, Carlos A., 1998, "Is after-hours trading informative?," MPRA Paper, University Library of Munich, Germany, number 14818.
• Husain, Fazal, 1998, "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," MPRA Paper, University Library of Munich, Germany, number 5032.
• Geoffrey Shuetrim, 1998, "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9802, Feb.
• Chae-Shick Chung, 1998, "The Effect of the European Monetary Union on International Capital Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 2, issue 4, pages 23-47, DOI: 10.11644/KIEP.JEAI.1998.2.4.30.
• Kamstra, M., 1998, "The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?," Discussion Papers, Department of Economics, Simon Fraser University, number dp98-05.
• RØdiger Frey, 1998, "Perfect option hedging for a large trader," Finance and Stochastics, Springer, volume 2, issue 2, pages 115-141.
• Y.M. Kabanov & D.O. Kramkov, 1998, "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, volume 2, issue 2, pages 143-172.
• J. Jacod & A.N. Shiryaev, 1998, "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, volume 2, issue 3, pages 259-273.
• JÊrÆme B. Detemple & Piero Gottardi, 1998, "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 443-455.
• Costas Azariadis & Shankha Chakraborty, 1998, "Asset price volatility in a nonconvex general equilibrium model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 12, issue 3, pages 649-665.
• Michelle L. Barnes, 1998, "Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 1998-11.
• Michelle L. Barnes, 1998, "On the Nature of Dependence in the Volatility of US Stock Returns," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 1998-12.
• Sheryl B. Ball & Charles A. Holt, 1998, "Classroom Games: Speculation and Bubbles in an Asset Market," Journal of Economic Perspectives, American Economic Association, volume 12, issue 1, pages 207-218, Winter.
• David W. Wilcox, 1998, "Policy Watch: The Introduction of Indexed Government Debt in the United States," Journal of Economic Perspectives, American Economic Association, volume 12, issue 1, pages 219-227, Winter.
• Fabio Fornari & Roberto Violi, 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 339, Oct.
• Backus, David & Foresi, Silverio & Zin, Stanley, 1998, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 1, pages 13-26, January.
• Lobato, Ignacio N & Savin, N E, 1998, "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 3, pages 261-268, July.
• Blackwell, DW & Noland, TR & Winters, DB, 1998, "The value of auditor assurance: Evidence from loan pricing," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 36, issue 1, pages 57-70, DOI: http://hdl.handle.net/10.2307/24913.
• Fabienne Comte & Eric Renault, 1998, "Long memory in continuous‐time stochastic volatility models," Mathematical Finance, Wiley Blackwell, volume 8, issue 4, pages 291-323, October, DOI: 10.1111/1467-9965.00057.
• John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998, "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics, Boston College Department of Economics, number 377, Jun, revised 21 Apr 2000.
• Eric Ghysels & Serena Ng, 1998, "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics, Boston College Department of Economics, number 403, Mar.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2z02z6d9, Jun.
• Charles Cao & Eric Ghysels & Frank Hatheway, 1998, "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers, CIRANO, number 98s-14, May.
• Garcia, Rene & Ghysels, Eric, 1998, "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, volume 17, issue 3, pages 455-473, June.
• Barkoulas, John T. & Baum, Christopher F., 1998, "Fractional dynamics in Japanese financial time series," Pacific-Basin Finance Journal, Elsevier, volume 6, issue 1-2, pages 115-124, May.
• Brunnermeier, Markus, 1998, "Buy on rumours - sell on news: a manipulative trading strategy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119135, Nov.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119142, Oct.
• Ortalo-Magné, François & Rady, Sven, 1998, "Housing market fluctuations in a life-cycle economy with credit constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119143, Jul.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Data snooping, technical trading, rule performance, and the bootstrap," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119144, Oct.
• Lotz, Christopher, 1998, "Locally minimizing the credit risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119160, Jan.
• George Papachristou, 1998, "The pricing of Greek Initial Public Offerings: 1985-1995," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 2, issue 2, pages 186-206, Winter.

1997

• Wang, Cheng, 1997, "Incentives, CEO Compensation, and Shareholder Wealth in a Dynamic Agency Model," Journal of Economic Theory, Elsevier, volume 76, issue 1, pages 72-105, September.
• Englund, Peter & Ioannides, Yannis M., 1997, "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics, Elsevier, volume 6, issue 2, pages 119-136, June.
• Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997, "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, volume 40, issue 1, pages 3-39, September.
• Soderlind, Paul & Svensson, Lars, 1997, "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, volume 40, issue 2, pages 383-429, October.
• Leon, Angel & Sentana, Enrique, 1997, "Pricing options on assets with predictable white noise returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119177, Jul.
• J. L. Prigent, 1997, "Option pricing with a general marked point process," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-36.
• Artis, Michael J & Zhang, Wenda, 1997, "Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1594, Mar.
• Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997, "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1618, Jun.
• Gehrig, Thomas & Jackson, Matthew O., 1997, "Bid-Ask Spreads with Indirect Competition among Specialists," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1648, May.
• Nielsen, Lars Tyge & Vassalou, Maria, 1997, "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1652, May.
• Dahlquist, Magnus & Söderlind, Paul, 1997, "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1663, Jun.
• Lettau, Martin & Uhlig, Harald, 1997, "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1678, Jul.
• Medrano, Luis Angel & Vives, Xavier, 1997, "Strategic Behaviour and Price Discovery," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1768, Dec.
• Elyès Jouini, 1997, "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers, Center for Research in Economics and Statistics, number 97-05.
• Elyès Jouini & Hédi Kallal, 1997, "Viability and Equilibrium in Securities Markets with Frictions," Working Papers, Center for Research in Economics and Statistics, number 97-07.
• A, Bizid & Elyès Jouini & Pf. Koehl, 1997, "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers, Center for Research in Economics and Statistics, number 97-51.
• L, Carassus & H, Pham & E, Jouini, 1997, "Arbitrage and Super-Replication Cost with Convex Constraints," Working Papers, Center for Research in Economics and Statistics, number 97-57.
• L, Carassus & E, Jouini, 1997, "Coûts de transaction, contraintes de vente à découvert et taxes : une approche unifiée," Working Papers, Center for Research in Economics and Statistics, number 97-58.
• Tychon, Pierre & Vannetelbosch, Vincent J., 1997, "Debt Valuation and Marketability Risk," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997020, Sep.
• Lo, Andrew W. & Mackinlay, A. Craig, 1997, "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 102-134, January.
• Zhang, Harold H., 1997, "Endogenous Short-Sale Constraint, Stock Prices And Output Cycles," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 228-254, January.
• Stefano G. Athanasoulis & Robert J. Shiller, 1997, "The Significance of the Market Portfolio," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1154, Jun.
• Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997, "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1163, Sep.
• Dan Sasaki, 1997, "Newtonian Auctioneering," CIE Discussion Papers, University of Copenhagen. Department of Economics. Centre for Industrial Economics, number 1997-09, May.
• Gordon, Stephen & St-Amour, Pascal, 1997, "Estimating a Continuous-Time Asset Pricing Model with State-Dependent Risk Aversion," Cahiers de recherche, Université Laval - Département d'économique, number 9711, revised 08 Jun 1998.
• Gordon, Stephen & St-Amour, Pascal, 1997, "Asset Prices with Contingent Preferences," Cahiers de recherche, Université Laval - Département d'économique, number 9712, revised 08 Jun 1998.
• Mandeep S. Chahal & Jun Wang, 1997, "Jump Diffusion Processes and Emerging Bond and Stock Markets: An Investigation Using Daily Data," Multinational Finance Journal, Multinational Finance Journal, volume 1, issue 3, pages 169-197, September.
• George Athanassakos, 1997, "Estimating the Cost of Equity and Equity Risk-Premia of Canadian Firms," Multinational Finance Journal, Multinational Finance Journal, volume 1, issue 3, pages 229-254, September.
• Cashin, P. & McDermott, C. J., 1997, "Testing the Consumption-Capm in Developing Equity Markets," Department of Economics - Working Papers Series, The University of Melbourne, number 593.
• Alain Chateauneuf & Michèle Cohen & Robert Kast, 1997, "Comonotone random variables in economics: A review of some results," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number 97032, Feb.
• Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997, "The Risk and Return from Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 6098, Jul.
• Owen Lamont & Christopher Polk & Jesus Saa-Requejo, 1997, "Financial Constraints and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6210, Oct.
• Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1997, "The Central Tendency: A Second Factor in Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 6325, Dec.
• Detemple, Jerome & Murthy, Shashidhar, 1997, "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, volume 10, issue 4, pages 1133-1174.
• Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997, "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, volume 81, issue 1, pages 159-192, November.
• Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997, "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 7, issue 3, pages 255-275, October.
• Richard J. Cebula, 1997, "The Rate Of Return On Savings And Loan Assets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 17, issue 2, pages 3-24, January, DOI: 10.1108/eb028729.
• John H. Cochrane, 1997, "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, volume 21, issue Nov, pages 3-37.
• Angel León & Enrique Sentana, 1997, "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers, Financial Markets Group, number dp267, Aug.
• Kast, R. & Lapied, A., 1997, "A Decision Theoretic Approach to Bid-Ask Spreads," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a17.
• Chan, K. & Peter, C.Y., 1997, "Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside, number 97-09.
• Bailey, W. & Peter, C.Y. & Jun-Koo, K., 1997, "Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside, number 97-10.
• Broadie, M. & Glasserman, P. & Kou, S., 1997, "Connecting Discrete and Continuous Path-Dependent Options," Papers, Columbia - Graduate School of Business, number 97-12.
• Edwards, F.R. & Zhang, X., 1997, "Mutual Funds and Stock and Bond Market Stability," Papers, Columbia - Graduate School of Business, number 97-22.
• Isakov, D, 1997, "Test du CAPM pour le marche des actions suisses," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 97.04.
• Stout, L.A., 1997, "How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement," Papers, Georgetown University Law Center, number 97-2.
• Stout, L.A., 1997, "Technology, Transactions Costs, and Investor Welfare: Is a Motley Fool Born Every Minute?," Papers, Georgetown University Law Center, number 97-5.
• Gollier, C., 1997, "Wealth Inequality and Asset Pricing," Papers, Toulouse - GREMAQ, number 97.486.
• Hawawini, G. & Keim, D.B., 1997, "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration., number 97/66.
• Ragunathan, V, 1997, "The Effects of Financial Deregulation on Integration : An Australian Perspective," Papers, Melbourne - Centre in Finance, number 97-2.
• Brooks, R & Davidson, S & Faff, R, 1997, "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers, Melbourne - Centre in Finance, number 97-4.
• Ragunathan, V. & Mitchell, H., 1997, "Modelling the Time-Varying Correlations Between National Stock Market Returns," Papers, Melbourne - Centre in Finance, number 97-7.
• Alford, A., 1997, "Numeraire Effects in International Portfolio Investment," Papers, Melbourne - Centre in Finance, number 97-8.
• Hallahan, T.A., 1997, "Persistence in Fund Portfolio Performance and the Information Content of Portfolio Performance History: An Examination of Rollover Funds," Papers, Melbourne - Centre in Finance, number 97-9.
• Carassus, L. & Pham, H. & Touzi, N., 1997, "Arbitrage and Super-Replication Cost with Convex Constraints," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 97.81.
• Carassus, L. & Jouini, E., 1997, "Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 97.82.
• Süleyman Basak, , "A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 02-97.
• Gabriel Hawawini & Donald B. Keim, , "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 07-97.
• Lubos Pastor & Robert F. Stambaugh, , "Costs of Equity from Factor-Based Models (Revised 4-98)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 08-97.
• Marshall E. Blume, , "An Anatomy of Morningstar Ratings (Reprint 065)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 12-97.
• Doron Kliger & Oded Sarig, , "The Information Value of Bond Ratings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 13-97.
• Prigent, J.L., 1997, "Option Pricing with a General Market Point Process," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9736.
• Reuer, J.J., 1997, "Shareholder Wealth Effects on Joint Venture Termination: A Transaction Cost Analysis," Papers, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER), number 97-001.
• Carlson, J.A. & Olser, C.L., 1997, "Rational Speculators and Exchange Rate Volatility," Papers, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER), number 97-005.
• Pirrong, S.C., 1997, "A Positive Theory of Financial Exchange Organization with Normative Implications for Financial Market Regulation," Washington University, Business, Law and Economics Center, John M. Olin School of Business, Washington University, number 97-06.
• Ellis, G-M & Halvorsen, R, 1997, "Estimation of Market Power in a Nonrenewable Resource Industry," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington, number 97-14.
• Alexius, Annika & Sellin, Peter, 1997, "A Latent Factor Model of European Exchange Rate Risk Premia," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 156, Jan.
• Dahlquist, Magnus & Söderlind, Paul, 1997, "Evaluating Portfolio Performance with Stochastic Discount Factors," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 175, May, revised 01 Sep 1998.
• Söderlind, Paul, 1997, "Forward Interest Rates as Indicators of Inflation Expectations," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 594, Oct.
• Hassler., John, 1997, "Regime Shifts and Volatility Spillovers on International Stock Markets," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 603, Oct.
• Werner, Jan, 1997, "Arbitrage, Bubbles, and Valuation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 38, issue 2, pages 453-464, May.
• Vigfusson, Robert, 1997, "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 2, issue 4, pages 291-305, October.
• Wang, Cheng, 1997, "Incentives, CEO Compensation and Shareholder Wealth in a Dynamic Agency Model," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 5170, Sep.
• Jeremy J. Siegel & Richard H. Thaler, 1997, "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, volume 11, issue 1, pages 191-200, Winter.
• Brock, W.A. & Hommes, C.H., 1997, "Models of Compelxity in Economics and Finance," Working papers, Wisconsin Madison - Social Systems, number 9706.
• King, S-P, 1997, "Access Pricing under Rate-of-Return Regulation," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 366.
• Germa Manel Bel Queralt, 1997, "Privatizacion y ofertas publicas de venta en Espana: costes indirectos y directos de la privatizacion," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 22.
• Huntley Schaller & Simon van Norden, 1997, "Fads or Bubbles?," Staff Working Papers, Bank of Canada, number 97-2, DOI: 10.34989/swp-1997-2.
• Francisco Alonso & Juan Ayuso & Jorge Martínez Pagés, 1997, "How Informative are Financial Asset Prices in Spain?," Working Papers, Banco de España, number 9726.
• Stephen P. King, 1997, "Access Pricing under Rate‐of‐Return Regulation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, volume 30, issue 3, pages 243-255, September, DOI: 10.1111/1467-8462.00024.
• Michael J. Moore, 1997, "Covered Purchasing Power Parity, Ex‐ante PPP and Risk Aversion," Journal of Business Finance & Accounting, Wiley Blackwell, volume 24, issue 3, pages 397-412, April, DOI: 10.1111/1468-5957.00111.
• Daniel, Kent & Titman, Sheridan, 1997, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, volume 52, issue 1, pages 1-33, March.
• Hansen, Lars Peter & Jagannathan, Ravi, 1997, "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, volume 52, issue 2, pages 557-590, June.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997, "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, volume 52, issue 5, pages 2003-2049, December.
• Coller, M & Yohn, TL, 1997, "Management forecasts and information asymmetry: An examination of bid-ask spreads," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 35, issue 2, pages 181-191, DOI: http://hdl.handle.net/10.2307/24913.
• John Barkoulas & Christopher F. Baum, 1997, "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 361, Feb.
• Jérôme Detemple & Piero Gottardi, 1997, "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers, CIRANO, number 97s-11, Mar.
• Jérôme Detemple & Shashidhar Murthy, 1997, "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," CIRANO Working Papers, CIRANO, number 97s-12, Mar.
• Eric Ghysels & Serena Ng, 1997, "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers, CIRANO, number 97s-33, Oct.
• Ángel León & Enrique Sentana, 1997, "Pricing Options on Assets with Predictable White Noise Returns," Working Papers, CEMFI, number wp1997_9704.
• HARA, Chiaki, 1997, "Robustness of the coordinating role of a redundant security," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997057, Aug.
• Lettau, M. & Uhlig, H.F.H.V.S., 1997, "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-60.
• Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997, "The implications of first-order risk aversion for asset market risk premiums," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-07.
• Lettau, M. & Uhlig, H.F.H.V.S., 1997, "Preferences, Consumption Smoothing and Risk Premia," Other publications TiSEM, Tilburg University, School of Economics and Management, number 129a8e4c-f593-4f03-b35b-2.
• Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997, "The implications of first-order risk aversion for asset market risk premiums," Other publications TiSEM, Tilburg University, School of Economics and Management, number 85c0b822-2525-4400-90af-1.
• Chevalier, Judith & Ellison, Glenn, 1997, "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, volume 105, issue 6, pages 1167-1200, December, DOI: 10.1086/516389.
• Ellis, G-M & Halvorsen, R, 1997, "Estimation of Market Power in a Nonrenewable Resource Industry," Working Papers, University of Washington, Department of Economics, number 97-14.
• José M. Marín & Jacques Olivier, 1997, "Constraints and non-existence of rational expectations equilibria," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 225, Jul.
• Luis A. Medrano & Xavier Vives, 1997, "Strategic behavior and price discovery," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 238, Sep.
• Kevin X.D. Huang & Jan Werner, 1997, "Valuation bubbles and sequential bubbles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 303, Jun, revised Dec 1997.
• Mordecai Kurz, 1997, "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers, Stanford University, Department of Economics, number 97026, Sep.
• Shing-yang Hu, 1997, "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance, University Library of Munich, Germany, number 9702001, Feb.
• Elli Malki, 1997, "Intellectual property and the valuation of biotechnology," Finance, University Library of Munich, Germany, number 9709002, Sep.
• Meifang Chu, 1997, "The Random Yield Curve and Interest Rate Options," Finance, University Library of Munich, Germany, number 9710003, Oct.
• Elli Malki, 1997, "Intellectual Property Intensity (IPI) and the Value-Growth Effect," Finance, University Library of Munich, Germany, number 9711002, Nov.
• Michael B. Gordy, 1997, "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics, University Library of Munich, Germany, number 9702002, Feb.
• Matthew O. Jackson & James Peck, 1997, "Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations," Microeconomics, University Library of Munich, Germany, number 9711004, Nov.
• Matthew I. Spiegel, 1997, "Stock Price Volatility in a Multiple Security Overlapping," Yale School of Management Working Papers, Yale School of Management, number ysm32, Nov.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997, "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management, number ysm54, Mar.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997, "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management, number ysm65, Apr.
• Paul W. MacAvoy & Ira M. Millstein, 1997, "The Active Board of Directors and Improved Performance of the Large Publicly-Traded Corporation," Yale School of Management Working Papers, Yale School of Management, number ysm75, Nov.
• Riedel, Frank, 1997, "A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,19.
• Föllmer, Hans & Kabanov, Jurij M., 1997, "Optional decomposition and lagrange multipliers," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,54.
• Kellerhals, B. Philipp & Uhrig-Homburg, Marliese, 1997, "Temporäre Marktungleichgewichte auf Bondmärkten: Aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 108.
• Fazal Husain, 1997, "The Random Walk Model in the Pakistani Equity Market: An Examination," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 36, issue 3, pages 221-240.
• Husain, Fazal, 1997, "The Random Walk Model in the Pakistani Equity market: An Examination," MPRA Paper, University Library of Munich, Germany, number 5034.
• Christopher Kent & Philip Lowe, 1997, "Asset-price Bubbles and Monetary Policy," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9709, Dec.
• L.C.G. Rogers & E.J. Stapleton, 1997, "Fast accurate binomial pricing," Finance and Stochastics, Springer, volume 2, issue 1, pages 3-17.
• H. Föllmer & Y.M. Kabanov, 1997, "Optional decomposition and Lagrange multipliers," Finance and Stochastics, Springer, volume 2, issue 1, pages 69-81.
• Suleyman Basak, 1997, "Consumption choice and asset pricing with a non-price-taking agent," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 10, issue 3, pages 437-462.