Research classified by Journal of Economic Literature (JEL) codes

1996

• Schwert, G. William, 1996, "Markup pricing in mergers and acquisitions," Journal of Financial Economics, Elsevier, volume 41, issue 2, pages 153-192, June.
• Archer, Wayne R. & Ling, David C. & McGill, Gary A., 1996, "The effect of income and collateral constraints on residential mortgage terminations," Regional Science and Urban Economics, Elsevier, volume 26, issue 3-4, pages 235-261, June.
• Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996, "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, volume 26, issue 3-4, pages 263-285, June.
• Mella-Barral, Pierre & Tychon, Pierre, 1996, "Default risk in asset pricing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119159, Oct.
• Sandmann, G. & Koopman, Siem, 1996, "Maximum likelihood estimation of stochastic volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119161, Jun.
• Snell, Andy & Tonks, Ian & Bulkley, George, 1996, "Excessive stock price dispersion: a regression test of cross-sectional volatility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119165, Jun.
• Patrick BOLTON & Ernst-Ludwig VON THADDEN, 1996, "Blocks, Liquidity, and Corporate Control," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 9619, Aug.
• Jean-Pierre DANTHINE & John B. DONALDSON, 1996, "Non-Falsified Expectations, General Equilibrium Asset Pricing and the Peso Problem," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 9621, Oct.
• Normandin, Michel & St-Amour, Pascal, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Cahiers de recherche, Université Laval - Département d'économique, number 9606.
• Poterba, J.M. & Samwick, A.A., 1996, "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 96-2.
• Chevalier, J. & Ellison, G., 1996, "Risk Taking by Mutual Funds as a Response to Incentives," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 96-3.
• Ghysels, E. & Harvey, A. & Renault, E., 1996, "Stochastic Volatility," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9613.
• Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996, "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9615.
• Allard, M. & Bronsard, C. & Gourieroux, C., 1996, "Actifs financiers et theorie de la consommation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9617.
• Ghysels, E. & Harvey, A. & Renault, E., 1996, "Stochastic Volatility," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9613.
• Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996, "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9615.
• Allard, M. & Bronsard, C. & Gourieroux, C., 1996, "Actifs financiers et theorie de la consommation," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9617.
• James M. Poterba, 1996, "Tax Policy and the Economy, Volume 10," NBER Books, National Bureau of Economic Research, Inc, number pote96-1, December.
• John Y. Campbell & Robert J. Shiller, 1996, "A Scorecard for Indexed Government Debt," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 1996, Volume 11".
• G. William Schwert, 1994, "Mark-Up Pricing in Mergers and Acquisitions," NBER Working Papers, National Bureau of Economic Research, Inc, number 4863, Sep.
• Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996, "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 5446, Jan.
• Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996, "Implied Volatility Functions: Empirical Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 5500, Mar.
• John Y. Campbell & Robert J. Shiller, 1996, "A Scorecard for Indexed Government Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 5587, May.
• Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1996, "Investor Reaction to Salient News in Closed-End Country Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 5588, May.
• Kent Daniel & Sheridan Titman, 1996, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 5604, Jun.
• David Backus & Silverio Foresi & Chris I. Telmer, 1996, "Affine Models of Currency Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 5623, Jun.
• David Backus & Silverio Foresi & Stanley Zin, 1996, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 5638, Jun.
• Owen Lamont, 1996, "Earnings and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 5671, Jul.
• John Y. Campbell & Luis M. Viceira, 1996, "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers, National Bureau of Economic Research, Inc, number 5857, Dec.
• Bakshi, Gurdip S & Chen, Zhiwu, 1996, "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," The Review of Financial Studies, Society for Financial Studies, volume 9, issue 1, pages 241-275.
• Bolton, P. & von Thadden, E.L., 1996, "Blocks, liquidity and corporate control," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-80.
• Brouwer, I. & van der Put, J. & Veld, C.H., 1996, "Contrarian Investment Strategies in a European Context," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-36.
• Bolton, P. & von Thadden, E.L., 1996, "Blocks, liquidity and corporate control," Other publications TiSEM, Tilburg University, School of Economics and Management, number 31dd6490-ef1f-452b-b233-5.
• Constantinides, George M & Duffie, Darrell, 1996, "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, volume 104, issue 2, pages 219-240, April, DOI: 10.1086/262023.
• Campbell, John Y, 1996, "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, volume 104, issue 2, pages 298-345, April, DOI: 10.1086/262026.
• Wu, S.Y. & Qin, C.Z., 1996, "Pricing Derived Securities Under an Edgeworthian Process," Working Papers, University of Iowa, Department of Economics, number 96-01.
• Lobato, I.N. & Savin, N.E., 1996, "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers, University of Iowa, Department of Economics, number 96-07.
• Luís A. Medrano, 1996, "Market versus limit orders in an imperfectly competitive security," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 165, Feb.
• Manuel Moreno & Juan I. Peña, 1996, "On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 191, Nov.
• Kjetil Storesletten & Chris Telmer & Amir Yaron, 1996, "Asset pricing with idiosyncratic risk and overlapping generations," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 405, Jun, revised Jul 1999.
• Ram Bhar & Carl Chiarella, 1996, "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 66, Aug.
• Schaik, Robert van & Ruiter, Hans de, 1996, "Underpricing on the stock exchange of Hong Kong: a cross sectional analysis," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0043.
• W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996, "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers, Santa Fe Institute, number 96-12-093, Dec.
• William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996, "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics, University Library of Munich, Germany, number 9602003, Feb.
• Thomas Kaiser, 1996, "One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -," Econometrics, University Library of Munich, Germany, number 9612007, Dec.
• Michel Normandin & Pascal St-Amour, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Finance, University Library of Munich, Germany, number 9607001, Jul.
• Peter Carr, 1996, "Valuing Finite-Lived Options as Perpetual," Finance, University Library of Munich, Germany, number 9607002, Jul.
• Matthew Spiegel, 1996, "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance, University Library of Munich, Germany, number 9608002, Aug.
• William A. Barnett & Yi Liu, 1996, "Beyond the Risk Neutral Utility Function," Macroeconomics, University Library of Munich, Germany, number 9602001, Feb.
• William A. Barnett & Milka Kirova & Meenakshi Pasupathy & Piyu Yue, 1996, "Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter," Macroeconomics, University Library of Munich, Germany, number 9602002, Feb.
• William A. Barnett, 1996, "A Perspective on the Current State of Macroeconomic Theory," Macroeconomics, University Library of Munich, Germany, number 9602003, Feb.
• Chang Mo Ahn, 1996, "The Pricing of Foreign Currency Futures Options," Yale School of Management Working Papers, Yale School of Management, number ysm52, Dec.
• Carol A. Frost, 1996, "Characteristics and Information Value of Corporate Disclosures of Forward-Looking Information in Global Equity Markets," Yale School of Management Working Papers, Yale School of Management, number ysm69, Oct.
• Kaiser, Thomas, 1996, "One-factor-Garch models for German stocks: Estimation and forecasting," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 87.
• G Sandmann & Siem Jan Koopman, 1996, "Maximum Likelihood Estimation of Stochastic Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp248, Oct.
• Pierre Mella-Barral & Pierre Tychon, 1996, "Default Risk in Asset Pricing," FMG Discussion Papers, Financial Markets Group, number dp250, Oct.
• Hooper, V. & Pointon, J., 1996, "Call Features and Term to Maturity of Callable Foreign Bonds," Papers, Australian National University - Department of Economics, number 306.
• Garvey, G.T. & Grant, S. & King, S.P., 1996, "A Model of Myopic Corporate Behaviour with Efficient Stock Markets and Optimal Management Incentive Programs," Papers, Australian National University - Department of Economics, number 307.
• Caruso, M., 1996, "Stock Prices and Money Velocity: A Multi-Country Analysis," Papers, Banca Italia - Servizio di Studi, number 264.
• Kutz, M. & Schneider, M., 1996, "Coordination and Correlation in Markov Rational Belief Equilibria," Papers, Banca Italia - Servizio di Studi, number 281.
• Kurz, M. & Beltratti, A., 1996, "The Equity Premium Is No Puzzle," Papers, Banca Italia - Servizio di Studi, number 282.
• Rubio, E.M., 1996, "Testing the CCAPM on Spanish Data: A New Approach," Papers, Centro de Estudios Monetarios Y Financieros-, number 9603.
• Browne, S., 1996, "Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management," Papers, Columbia - Graduate School of Business, number 96-16.
• Nielsen, L-T & Vassalou, M, 1996, "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments," Papers, Columbia - Graduate School of Business, number 96-23.
• Moussu, C. & Thibierge, C., 1996, "Politique financiere, opportunites d'investissement et actifs incorporels en Europe: Theorie et etude empirique," Papers, Ecole Superieure de Commerce de Paris. Groupe ESCP-, number 96/129.
• Fell, J.P.C. & Levy, A., 1996, "Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles," Papers, European Monetary Institute, number 6.
• Comte, F. & Renault, E., 1996, "Long Memory in Continuous Time Stochastic Volatility Models," Papers, Toulouse - GREMAQ, number 96.406.
• Renault, E., 1996, "Econometric Models of Option Pricing Errors," Papers, Toulouse - GREMAQ, number 96.407.
• John Y. Campbell, 1996, "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1763.
• Chollet, P. & Ginglinger, E., 1996, "La sous-evaluation des actions a bons de souscription d'actions a l'emission en France," Papers, Institut de Recherche en Gestion. Universite de Paris XII-, number 96-10.
• Normandin, M. & St-Amour, P., 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers, Laval - Recherche en Politique Economique, number 9606.
• Faff, R. & Brooks, R., 1996, "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers, Melbourne - Centre in Finance, number 96-10.
• Jesev, T. & Brailsford, T., 1996, "The Impact of the Return Interval on The estimation of Systematic Risk in Australia," Papers, Melbourne - Centre in Finance, number 96-8.
• Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996, "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-12, Aug.
• David Backus & Silverio Foresi & Stanley Zin, 1996, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-8, Apr.
• David Backus & Silverio Foresi & Chris Telmer, 1996, "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-9, Apr.
• Andrew B. Abel & Avinash K. Dixit & Janice B. Eberly & Robert S. Pindyck, , "Options, the Value of Capital, and Investment," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 15-95.
• Domenico Cuoco & Jaksa Cvitanic, , "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 4-96.
• Namur, D., 1996, "Diversification internationale sous contrainte et couverture contre le risque de change," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9606.
• Irvine, P.J.A., 1996, "Do Analystz' Reports Generate Trade for Their Firms? Evidence from the Toronto Stock Exchange," Papers, Rochester, Business - Ph.D.,, number 77.
• Elden, R.M., 1996, "The Relation between Mutual-Fund Flow, Trading Activity and Performance," Papers, Rochester, Business - Ph.D.,, number 80.
• Soderlind, P & Svensson, L-E-O, 1996, "New Techniques to Extract Market Expectations from Financial Instruments," Papers, Stockholm - International Economic Studies, number 621.
• Ber, H. & Yafeh, Y. & Yosha, O., 1996, "The Post-Issue Performance of IPO Firms when Banking Is Concentrated and Universal," Papers, Tel Aviv, number 26-96.
• Englund, P. & Ioannides, Y.M., 1996, "House Price Dynamics: An International Empirical Perspective," Papers, Uppsala - Working Paper Series, number 1996-01.
• Björk, Tomas & Näslund, Bertil, 1996, "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 122, Sep.
• Björk, Tomas, 1996, "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 133, Nov.
• Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996, "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 143, Dec.
• Campbell, John, 1996, "Understanding Risk and Return," Scholarly Articles, Harvard University Department of Economics, number 3153293.
• Boeheim, Rene & Boss, Michael, 1996, "Consumption Based Capital Asset Pricing and the Austrian Stock Exchange," Economics Series, Institute for Advanced Studies, number 29, May.
• Lewis, Karen K, 1996, "Stochastic Regime Switching and Stabilizing Policies within Regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 1, issue 2, pages 71-85, April.
• Mr. Anthony J. Richards, 1996, "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?," IMF Working Papers, International Monetary Fund, number 1996/029, Apr.
• Bakshi, Gurdip S & Chen, Zhiwu, 1996, "The Spirit of Capitalism and Stock-Market Prices," American Economic Review, American Economic Association, volume 86, issue 1, pages 133-157, March.
• Brock, W.A. & Hommes, C.H., 1996, "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers, Wisconsin Madison - Social Systems, number 9621.
• Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996, "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers, Wisconsin Madison - Social Systems, number 9625.
• Robert Vigfusson, 1996, "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Staff Working Papers, Bank of Canada, number 96-1, DOI: 10.34989/swp-1996-1.
• Kandel, Shmuel & Stambaugh, Robert F, 1996, "On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, volume 51, issue 2, pages 385-424, June.
• Christopher F. Baum & John Barkoulas, 1996, "Long Term Dependence in Stock Returns," Boston College Working Papers in Economics, Boston College Department of Economics, number 314., Jan.
• John Barkoulas & Christopher F. Baum, 1996, "Fractional Dynamics in Japanese Financial Time Series," Boston College Working Papers in Economics, Boston College Department of Economics, number 334., Jan.
• Lambrecht, B., 1996, "The Timing of Arbitrage: An Option Approach," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9606.
• Yasushi Asako & Kozo Ueda, 2012, "The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-282, Jun.
• Eric Ghysels & Serena Ng, 1996, "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers, CIRANO, number 96s-18, Jul.
• René Garcia & Eric Ghysels, 1996, "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers, CIRANO, number 96s-34, Nov.
• Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996, "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 977, Jul.
• Dana, Rose-Anne & Le Van, Cuong, 1996, "Arbitrage, duality and asset equilibria," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9613.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996, "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9616.

1995

• Smith, Gregor W., 1995, "Exchange-Rate Discounting," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273747, Jul, DOI: 10.22004/ag.econ.273747.
• LeBaron, B., 1995, "Experiments in Evolutionary Finance," Working papers, Wisconsin Madison - Social Systems, number 9528.
• Fernando Restoy & Philippe Weil, 1995, "Approximate Equilibrium Asset Prices," Working Papers, Banco de España, number 9515.
• James M. Poterba & Andrew A. Samwick, 1995, "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 26, issue 2, pages 295-372.
• Kandel, Shmuel & Stambaugh, Robert F, 1995, "Portfolio Inefficiency and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, volume 50, issue 1, pages 157-184, March.
• Dumas, Bernard & Solnik, Bruno, 1995, "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, volume 50, issue 2, pages 445-479, June.
• Michaely, Roni & Thaler, Richard H & Womack, Kent L, 1995, "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," Journal of Finance, American Finance Association, volume 50, issue 2, pages 573-608, June.
• Daley, La & Hughes, Js & Rayburn, Jd, 1995, "The Impact Of Earnings Announcements On The Permanent Price Effects Of Block Trades," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 33, issue 2, pages 317-334, DOI: http://hdl.handle.net/10.2307/24914.
• Christopher F. Baum & Basma Bekdache, 1995, "Modeling Returns on the Term Structure of Treasury Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 288., Jun.
• Eric Ghysels, 1995, "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers, CIRANO, number 95s-16, Mar.
• Jean-François L'Her & Jean-Marc Suret, 1995, "Consensus, dispersion et prix des titres," CIRANO Working Papers, CIRANO, number 95s-22, Apr.
• Jean-François L'Her & Jean-Marc Suret, 1995, "Heterogeneous Expectations, Short Sales Regulation and the Risk Return Relationship," CIRANO Working Papers, CIRANO, number 95s-29, May.
• Eric Ghysels & Joann Jasiak, 1995, "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers, CIRANO, number 95s-31, Jun.
• Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995, "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers, CIRANO, number 95s-32, Jun.
• Jérôme Detemple & Christos I. Giannikos, 1995, "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers, CIRANO, number 95s-47, Nov.
• Eric Ghysels & Andrew Harvey & Eric Renault, 1995, "Stochastic Volatility," CIRANO Working Papers, CIRANO, number 95s-49, Nov.
• Wang, C., 1995, "Incentives, CEO Compensation, and Shareholder Wealth in a Dynamic Agency Model," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 1995-08.
• Zhang, H.H., 1995, "Asset Returns and Volume in a Financial Market with Frictions: A Dynamic Analysis," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 1995-24.
• Zhang, H.H., 1995, "Endogenous Short Sale Constraint, Stock Prices and Output Cycles," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 1995-26.
• GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995, "Stochastic Volatility," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1995069, Dec.
• MAGILL, Michael & QUINZII, Martine, 1995, "Which Improves Welfare More : Nominal or Indexed Bond ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1995072, Dec.
• Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995, "Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1088, Jan.
• Canova, Fabio & de Nicolò, Gianni, 1995, "The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1119, Jan.
• Stulz, René M, 1995, "Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1208, Jul.
• Hardouvelis, Gikas A & Kim, Dongcheol, 1995, "Asset Pricing Models with and without Consumption: An Empirical Evaluation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1262, Nov.
• Dow James & Gorton Gary, 1995, "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing," Journal of Economic Theory, Elsevier, volume 67, issue 2, pages 327-369, December.
• Smith, Gregor W., 1995, "Exchange-rate discounting," Journal of International Money and Finance, Elsevier, volume 14, issue 5, pages 659-666, October.
• Kevin Grundy & Burton G. Malkiel, 1995, "Reports of Beta's Death Have Been Greatly Exaggerated," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 133, Sep.
• Gregor W. Smith, 1995, "Exchange-rate Discounting," Working Paper, Economics Department, Queen's University, number 1248, Jul.
• Söderlind, Paul, 1995, "Forward Interest Rates as Indicators of Inflation Expectations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1313, Dec.
• Moreno, Manuel & Peña, Juan Ignacio, 1995, "On the term structure of Interbank interest rates: jump-diffusion processes and option pricing," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 7074, Oct.
• Mella-Barral, Pierre, 1995, "Optimal Debt Exchange Offers," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1995022, May.
• Tauchen, George E. & Harold Zhang & Ming Liu, 1995, "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers, Duke University, Department of Economics, number 95-02.
• Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995, "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers, Duke University, Department of Economics, number 95-36.
• Tzavalis, Elias & Wickens, M. R., 1995, "The persistence in volatility of the US term premium 1970-1986," Economics Letters, Elsevier, volume 49, issue 4, pages 381-389, October.
• Hun Y. Park & Asani Sarkar & Lifan Wu, 1995, "The costs and benefits of dual trading," Staff Reports, Federal Reserve Bank of New York, number 2.
• P.H. Kevin Chang & Carol L. Osler, 1995, "Head and shoulders: not just a flaky pattern," Staff Reports, Federal Reserve Bank of New York, number 4.
• Bolgot, S. & Lacharme, J.P. & Lesourd, J.B., 1995, "Cyclicality in Financial Asset Price Series. Theoretical Considerations, and Application to the CAC 240 Stock Index Series," G.R.E.Q.A.M., Universite Aix-Marseille III, number 95b05.
• Kast, R. & Lapied, A., 1995, "Discrete Time Option Pricing with Bid-Ask Spreads," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a26.
• Venditti, A., 1995, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a27.
• Avouyi-Dovi, S. & Caulet, R., 1995, "Les reseaux de neurones artificiels: une application a la prevision des prix des actifs financiers. Partie I: breve synthese de la theorie," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1995-18/t.
• Avouyi-Dovi, S. & Caulet, R., 1995, "Les reseaux de neurones artificiels: une application a la prevision des prix des actifs financiers. Partie II: Les resultats empiriques," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1995-19/t.
• Magill, M. & Quinzii, M., 1995, "Which Improves Welfare More: Nominal or Indexed Bond?," Papers, California Davis - Institute of Governmental Affairs, number 95-20.
• Magill, M. & Quinzii, M., 1995, "Which Improves Welfare More: Nominal or Indexed Bond?," Department of Economics, California Davis - Department of Economics, number 95-20.
• Vassalou, M., 1995, "Tests of Alternative International Asset Pricing Models," Papers, Columbia - Graduate School of Business, number 95-27.
• Heal, G., 1995, "Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World," Papers, Columbia - Graduate School of Business, number 95-30.
• Edwards, F.R., 1995, "Mutual Funds and Financial Stability," Papers, Columbia - Graduate School of Business, number 95-31.
• Edwards, F.R. & Park, J.M., 1995, "Do Managed Futures Make Good Investments?," Papers, Columbia - Graduate School of Business, number 95-32.
• John Y. Campbell, 1995, "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1711.
• John Y. Campbell, 1995, "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1713.
• St-Amour, P., 1995, "Canadian Excess Returns and State-Dependent Risk Aversion," Papers, Laval - Recherche en Politique Economique, number 9519.
• Prigent, J.L., 1995, "Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9525.
• Prigent, J.L., 1995, "Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9526.
• Soderlind, P., 1995, "Forward Interest Rates as Indicators of Inflation Expectations," Papers, Stockholm - International Economic Studies, number 594.
• Hassler, J., 1995, "Regime Shifts and Volatility Spillovers on International Stock Markets," Papers, Stockholm - International Economic Studies, number 603.
• Case, K-E & Mayer, C-J, 1995, "The Housing Cycle in Massachusetts Cities and Towns : The Boom, the Bust and the Recovery," Papers, Wellesley College - Department of Economics, number 95-07.
• Blomberg, S-B & Hess, G-D, 1995, "The Exchange Rate Politics Puzzle," Papers, Wellesley College - Department of Economics, number 95-14.
• Bradbury, K-L & Case, K-E & Mayer, C-J, 1995, "School Quality, Local Budgets, and Property Values : A Re-Examination of Capitalization," Papers, Wellesley College - Department of Economics, number 95-15.
• Daly, K., 1995, "Autralian Financial Volatility a Preliminary Investigation," Papers, Western Sydney - School of Business And Technology, number e9506.
• Pierre Mella-Barral, 1995, "Optimal Debt Exchange Offers," Working Papers, HAL, number hal-00607533.
• Björk, T. & Kabanov, Y. & Runggaldier, W., 1995, "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 88, Dec.
• Campbell, John, 1995, "Some Lessons from the Yield Curve," Scholarly Articles, Harvard University Department of Economics, number 3163264.
• Haefke, Christian & Helmenstein, Christian, 1995, "Forecasting Austrian IPOs: An Application of Linear and Neural Network Error-Correction Models," Economics Series, Institute for Advanced Studies, number 18, Dec.
• Helmenstein, Christian, 1995, "The Withdrawal of the State from Economic Activity: An Austrian Capital Market Perspective," Economics Series, Institute for Advanced Studies, number 19, Dec.
• Malliaris, A G & Malliaris, Mary E, 1995, "Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, Springer, volume 5, issue 1, pages 93-103, March.
• ST-AMOUR, Pascal, 1995, "Canadian Excess Returns and State-Dependent Risk Aversion," Cahiers de recherche, Université Laval - Département d'économique, number 9519.
• Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995, "Do Credit Markets Discipline Sovereign Borrowers? Evidence from the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, volume 27, issue 4, pages 1046-1059, November.
• Ghysels, E., 1995, "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9525.
• Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995, "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9536.
• Ghysels, E., 1995, "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9525.
• Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995, "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9536.
• Shmuel Kandel & Robert F. Stambaugh, 1995, "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 4997, Jan.
• Andrew W. Lo & A. Craig MacKinlay, 1995, "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 5027, Feb.
• John Y. Campbell, 1995, "Some Lessons from the Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc, number 5031, Feb.
• Wayne Archer & David C. Ling & Gary A. McGill, 1995, "The Effect of Income and Collateral Constraints on Residential Mortgage Terminations," NBER Working Papers, National Bureau of Economic Research, Inc, number 5180, Jul.
• Sewin Chan, 1995, "Residential Mobility and Mortgages," NBER Working Papers, National Bureau of Economic Research, Inc, number 5181, Jul.
• Yongheng Deng & John M. Quigley & Robert Van Order, 1995, "Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy," NBER Working Papers, National Bureau of Economic Research, Inc, number 5184, Jul.
• Judith A. Chevalier & Glenn D. Ellison, 1995, "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers, National Bureau of Economic Research, Inc, number 5234, Aug.
• Karen K. Lewis, 1995, "Stochastic Regime Switching and Stabilizing Policies within Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 5289, Oct.
• Yacine Ait-Sahalia & Andrew W. Lo, 1995, "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 5351, Nov.
• Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995, "Momentum Strategies," NBER Working Papers, National Bureau of Economic Research, Inc, number 5375, Dec.
• Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995, "Econometric Evaluation of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 8, issue 2, pages 237-274.
• Jan Werner, 1995, "Arbitrage, bubbles and valuation," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 121, Apr.
• Fabio Canova & Gianni De Nicolo, 1995, "The equity premium and the risk free rate: A cross country, cross maturity examination," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 136, Apr.
• José M. Marín & Jacques P. Olivier, 1995, "On the impact of leverage constraints on asset prices and trading volume," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 146, Nov, revised Aug 2002.
• Hošek, Jan & Komárek, Luboš & Motl, Martin, 2010, "Monetary Policy And Oil Prices," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 947.

1994

• G. Booth & Mustafa Chowdhury & Teppo Martikainen, 1994, "The effect of foreign ownership restrictions on stock price dynamics," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 130, issue 4, pages 730-746, December, DOI: 10.1007/BF02707534.
• David K. Backus & Stanley E. Zin, 1994, "Reverse Engineering the Yield Curve," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 94-09.