Research classified by Journal of Economic Literature (JEL) codes

2002

• Reinker, Kenneth S. & Tower, Edward, 2002, "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers, Duke University, Department of Economics, number 02-22.
• Eraker, Bjorn, 2002, "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Working Papers, Duke University, Department of Economics, number 02-23.
• Harney, Matthew & Tower, Edward, 2002, "Rational Pessimism: Predicting Equity Returns using Tobin's q and Price/Earnings Ratios," Working Papers, Duke University, Department of Economics, number 02-29.
• Chau, Minh, 2002, "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 02025, Nov.
• HEGE, Ulrich & MELLA-BARRAL, Pierre, 2002, "Repeated dilution of diffusely held debt," HEC Research Papers Series, HEC Paris, number 751, Apr.
• Fernández, Pablo, 2002, "Company valuation methods. The most common errors in valuations," IESE Research Papers, IESE Business School, number D/449, Jan.
• Fernández, Pablo, 2002, "Valuation using multiples. How do analysts reach their conclusions?," IESE Research Papers, IESE Business School, number D/450, Jan.
• Fernández, Pablo, 2002, "Internet valuations: The case of Terra-Lycos," IESE Research Papers, IESE Business School, number D/452, Jan.
• Fernández, Pablo, 2002, "EVA, Economic profit and cash value added do NOT measure shareholder value creation," IESE Research Papers, IESE Business School, number D/453, Jan.
• Fernández, Pablo, 2002, "Valuing real options: frequently made errors," IESE Research Papers, IESE Business School, number D/455, Jan.
• Fernández, Pablo, 2002, "Valuation of brands and intellectual capital," IESE Research Papers, IESE Business School, number D/456, Jan.
• Brousseau, Vincent, 2002, "The functional form of yield curves," Working Paper Series, European Central Bank, number 148, May.
• Vesala, Jukka & Vulpes, Giuseppe & Gropp, Reint, 2002, "Equity and bond market signals as leading indicators of bank fragility," Working Paper Series, European Central Bank, number 150, Jun.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2002, "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series, European Central Bank, number 157, Jul.
• Serlenga, Laura & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to testing Anomaly Effects in Factor Pricing Models," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 165, Aug.
• Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002, "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, volume 70, issue 3, pages 1067-1109, May.
• Zengjing Chen & Larry Epstein, 2002, "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, volume 70, issue 4, pages 1403-1443, July.
• Laura Serlenga & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 88, Aug.
• Abel, Andrew B., 2002, "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 7-8, pages 1075-1092, July.
• Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002, "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, volume 19, issue 4, pages 611-639, August.
• Malliaris, A. G., 2002, "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, volume 13, issue 1, pages 72-92, May.
• Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002, "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-24, Sep.
• Ayla Ogus, 2002, "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers, Izmir University of Economics, number 0201, Aug.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002, "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 2, pages 149-174.
• Ambrose, Brent W & Hendershott, Patric H & Klosek, Malgorzata, 2002, "Pricing Upward-Only Adjusting Leases," The Journal of Real Estate Finance and Economics, Springer, volume 25, issue 1, pages 33-49, July.
• Takashi Kamihigashi, 2002, "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 128, Apr.
• Medvegyev, Péter, 2002, "A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
  [The fundamental proposition of financial-resource pricing in discrete-time models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 597-620.
• Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002, "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 02.17, Oct.
• Fabrice Herve, 2002, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers, Laboratoire Orléanais de Gestion - université d'Orléans, number 2002-3.
• Gobert, Karine & González, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0206.
• Gobert, Karine & Gonzalez, Patrick & Poitevin, Michel, 2002, "Bank Value and Financial Fragility," Cahiers de recherche, GREEN, number 0202.
• Lux, Thomas & Sornette, Didier, 2002, "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 589-610, August.
• Fleming, Michael J, 2002, "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 707-735, August.
• George Athanassakos, 2002, "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 1-27, March.
• Bilgehan Yazici & Gulnur Muradoglu, 2002, "Dissemination of Stock Recommendations and Small Investors: Who Benefits?," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 29-42, March.
• Marco Corazza & A. G. Malliaris, 2002, "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 65-98, June.
• Mondher Bellalah & Marc Lavielle, 2002, "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 99-130, June.
• Larry R. Gorman & Bjorn N. Jorgensen, 2002, "Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 3-4, pages 131-166, September.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
• Yacine Aït-Sahalia & Robert Kimmel, 2002, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0286, Dec.
• Kent Smetters, 2002, "Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8732, Jan.
• Amit Goyal & Ivo Welch, 2002, "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 8788, Feb.
• Wayne E. Ferson & Andrew Siegel, 2002, "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 8789, Feb.
• Wayne Ferson & Kenneth Khang, 2002, "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 8790, Feb.
• Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002, "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 8791, Feb.
• Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002, "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8793, Feb.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," NBER Working Papers, National Bureau of Economic Research, Inc, number 8816, Feb.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 8822, Mar.
• Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8876, Apr.
• Annette Vissing-Jorgensen, 2002, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers, National Bureau of Economic Research, Inc, number 8884, Apr.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," NBER Working Papers, National Bureau of Economic Research, Inc, number 8895, Apr.
• Yacine Ait-Sahalia & Jefferson Duarte, 2002, "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8944, May.
• Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
• John Y. Campbell & Glen B. Taksler, 2002, "Equity Volatility and Corporate Bond Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 8961, May.
• Lubos Pastor & Pietro Veronesi, 2002, "Stock Valuation and Learning about Profitability," NBER Working Papers, National Bureau of Economic Research, Inc, number 8991, Jun.
• G. Andrew Karolyi & Rene M. Stulz, 2002, "Are Financial Assets Priced Locally or Globally?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8994, Jun.
• Michael W. Brandt & Qiang Kang, 2002, "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 9056, Jul.
• John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002, "Foreign Currency for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 9075, Jul.
• Peter G. Dunne & Michael J. Moore & Richard Portes, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9087, Aug.
• Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002, "Spurious Regressions in Financial Economics?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9143, Sep.
• Nicholas Barberis & Richard Thaler, 2002, "A Survey of Behavioral Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 9222, Sep.
• Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002, "Determinants of Real House Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 9262, Oct.
• Stefano Cavaglia & Robert J. Hodrick & Moroz Vadim & Xiaoyan Zhang, 2002, "Pricing the Global Industry Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 9344, Nov.
• Joao Gomes & Amir Yaron & Lu Zhang, 2002, "Asset Pricing Implications of Firms' Financing Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 9365, Dec.
• Takatoshi Ito & Yuko Hashimoto, 2002, "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers, National Bureau of Economic Research, Inc, number 9376, Dec.
• Christopher S. Jones & Jay Shanken, 2002, "Mutual Fund Performance with Learning Across Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9392, Dec.

2001

• Enric Valor & Hipòlit Torró & Vicente Meneu, 2001, "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-22, Nov.
• María Jesús Pastor & Juan Francisco Martín, 2001, "Efectos A Largo Plazo De Las Ampliaciones De Capital En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-26, Dec.
• 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(0x67ecb050), December.
• Sebastian Edwards & Edgardo Zablotsky, 2001, "Inter-American Seminar on Economics (IASE) 1999," NBER Books, National Bureau of Economic Research, Inc, number edwa01-1.
• 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.
• Guidolin, Massimo & Timmermann, Allan, 2001, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119091, Nov.
• Zigrand, Jean-Pierre, 2001, "Rational limits to arbitrage," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25068, Oct.
• Zigrand, Jean-Pierre & Danielsson, Jon, 2001, "What happens when you regulate risk?: evidence from a simple equilibrium model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25069, Oct.
• Menkveld, A.J., 2001, "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-20, Jun.
• Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
• Laurent BARRAS, & Dušan ISAKOV, 2001, "How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp37, Nov.
• Manfred GILLI, & Peter WINKER, 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp38, Nov.
• Jan ERICSSON & Olivier RENAULT, 2001, "Liquidity and Credit Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp42, Aug.
• Michal Slavík, 2001, "Interest Rates Time Structure and Domestic Bond Prices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 10, pages 591-607, October.
• Michaela Skolková & Vladimír Stiller & Jan Syrovátka, 2001, "The Role of Asset Prices in the Monetary Transmission Mechanism," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 9, pages 488-506, September.
• Michael T. Kiley, 2001, "An analytical approach to the welfare cost of business cycles and the benefit from activist monetary policy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-41.
• Ellen R. McGrattan & Edward C. Prescott, 2001, "Taxes, regulations, and asset prices," Working Papers, Federal Reserve Bank of Minneapolis, number 610, DOI: 10.21034/wp.610.
• Michael J. Fleming, 2001, "Financial market implications of the federal debt paydown," Staff Reports, Federal Reserve Bank of New York, number 120, Mar.
• Martin Lettau, 2001, "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports, Federal Reserve Bank of New York, number 130.
• Andrew B. Abel, 2001, "An exploration of the effects of pessimism and doubt on asset returns," Working Papers, Federal Reserve Bank of Philadelphia, number 01-1.
• Andrew B. Abel, 2001, "Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?," Working Papers, Federal Reserve Bank of Philadelphia, number 01-2.
• Hyun Song Shin, 2001, "Disclosures and Asset Returns," FMG Discussion Papers, Financial Markets Group, number dp371, Mar.
• Sven Rady, 2001, "Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints," FMG Discussion Papers, Financial Markets Group, number dp375, Mar.
• Jean-Pierre Zigrand & Jon Danielsson, 2001, "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers, Financial Markets Group, number dp393, Oct.
• Allan Timmermann & Massimo Guidolin, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers, Financial Markets Group, number dp397, Nov.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.07.
• Assoé, K., 2001, "Volatility Spillovers between Foreign Exchange and Emerging Stock Markets," Papers, Ecole des Hautes Etudes Commerciales de Montreal-, number 2001-04.
• Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001, "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1928.
• Ait-Sahalia, Y. & Brandt, M.W., 2001, "Variable Selection for Portfolio Choice," Papers, Manitoba - Department of Economics, number 34.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Manitoba - Department of Economics, number 37.
• Winmker, P. & Gilli, M., 2001, "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers, Manitoba - Department of Economics, number 38.
• Cassola, N. & Luis, J.B., 2001, "A Two-Factor Model of the German Term Structure of Interest Rates," Papers, Quebec a Montreal - Recherche en gestion, number 46.
• Jean-Luc Prigent, 2001, "Option Pricing with a General Marked Point Process," Post-Print, HAL, number hal-03679678, Feb, DOI: 10.1287/moor.26.1.50.10592.
• Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Post-Print, HAL, number halshs-00167157.
• Niehaus, Frank, 2001, "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-234, Feb.
• Skogsvik, Kenth & Skogsvik, Stina, 2001, "P/E-ratios in Relative Valuation - a Mission Impossible?," SSE/EFI Working Paper Series in Business Administration, Stockholm School of Economics, number 2001:7, Apr.
• Raahauge, Peter, 2001, "Empirical Rationality in the Stock Market," Working Papers, Copenhagen Business School, Department of Finance, number 2001-9, Dec.
• Dahl, Christian M. & Nielsen, Steen, 2001, "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers, Copenhagen Business School, Department of Economics, number 07-2001, Aug.
• Nivorozhkin, Eugene, 2001, "An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy," Working Papers in Economics, University of Gothenburg, Department of Economics, number 44, May, revised 19 Dec 2001.
• Reneby, Joel & Ericsson, Jan, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 445, Feb, revised 07 Jan 2003.
• Söderlind, Paul, 2001, "Monetary Policy and Bond Option Pricing in an Analytical RBC Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0447, May, revised 03 Jan 2003.
• Longarela, Iñaki R., 2001, "An Extension of Good-Deal Asset Price Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0448, May, revised 19 Oct 2001.
• Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001, "Financial Innovation, Market Participation and Asset Prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 464, Aug.
• Graflund, Andreas, 2001, "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers, Lund University, Department of Economics, number 2001:8, Jun.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series, Institute for Financial Research, number 1, Dec.
• Berg, Lennart, 2001, "Prices and Constant Quality Price Indexes for Multi-Dwelling and Commercial Buildings in Sweden," Working Paper Series, Uppsala University, Department of Economics, number 2002:2, Oct.
• Dražen Mikulčić, 2001, "Value at Risk (Rizičnost vrijednosti) Teorija i primjena na međunarodni portfelj instrumenata s fiksn," Pregledi, Hrvatska narodna banka, Hrvatska, number 7, Sep.
• Viceira, Luis & Campbell, John, 2001, "Who Should Buy Long-Term Bonds?," Scholarly Articles, Harvard University Department of Economics, number 3128709.
• Campbell, John, 2001, "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles, Harvard University Department of Economics, number 3196341.
• Cocco, Joao & Gomes, Francisco & Maenhout, Pascal J. & Campbell, John Y. & Viceira, Luis Manuel, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Scholarly Articles, Harvard University Department of Economics, number 3353758.
• Luigi Montrucchio & Fabio Privileggi, 2001, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 05-2001, Jan.
• Maitreesh Ghatak & Massimo Morelli & Tomas Sjoström, 2001, "Credit rationing, wealth inequality, and allocation of talent," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 23-2001, Jul.
• Dupont, Dominique Y., 2001, "Hedging Barrier Options: Current Methods and Alternatives," Economics Series, Institute for Advanced Studies, number 103, Sep.
• Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino, 2001, "Asset pricing with endogenous aspirations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 1, pages 21-39, May, DOI: 10.1007/s102030170007.
• P. Pellizzari, 2001, "Efficient Monte Carlo pricing of European options¶using mean value control variates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 107-126, November, DOI: 10.1007/s102030170002.
• Fulvio Ortu, 2001, "Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 79-105, November, DOI: 10.1007/s102030170001.
• Murad S. Taqqu, 2001, "Bachelier and his times: A conversation with Bernard Bru," Finance and Stochastics, Springer, volume 5, issue 1, pages 3-32.
• Carl Chiarella & Oh Kang Kwon, 2001, "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, volume 5, issue 2, pages 237-257.
• (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001, "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, volume 5, issue 2, pages 259-272.
• Emmanuel Temam & Emmanuel Gobet, 2001, "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, volume 5, issue 3, pages 357-367.
• Philip Jefferson, 2001, "Price dynamics when there are alternatives to cash payment," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 149-171, June, DOI: 10.1007/BF02744519.
• Hakan Berument & Halil Kiymaz, 2001, "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 181-193, June, DOI: 10.1007/BF02744521.
• Mario Reyes, 2001, "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 206-213, June, DOI: 10.1007/BF02744523.
• Sy-Ming Guu & Kenneth L. Judd, 2001, "Asymptotic methods for asset market equilibrium analysis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 127-157.
• Karl Schmedders, 2001, "Monopolistic security design in finance economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 37-72.
• Felix Kubler, 2001, "Computable general equilibrium with financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 73-96.
• David McMillan & Angela Black, 2001, "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 4, pages 737-750, December, DOI: 10.1007/BF02707431.
• Thomas Lux, 2001, "The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, volume 11, issue 3, pages 299-315, DOI: 10.1080/096031001300138708.
• Eduardo L. Giménez, 2001, "Complete and Incomplete Markets with Short-Sale Constraints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-034/1, Mar.
• Bert Menkveld, 2001, "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-059/2, Jun.
• de Jong, F.C.J.M. & de Roon, F.A., 2001, "Time Varying Market Integration and Expected Rteurns in Emerging Markets," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-78.
• Grant, S. & Quiggin, J., 2001, "The Risk Premium for Equity : Explanations and Implications," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-89.
• Michael Berkowitz, 2001, "Common Risk Factors in Explaining Canadian Equity Returns," Working Papers, University of Toronto, Department of Economics, number berk-00-01, Dec.