Research classified by Journal of Economic Literature (JEL) codes

2000

• SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000, "On the term structure of default premia in the Swap and Libor markets," HEC Research Papers Series, HEC Paris, number 704, May.
• ROCKINGER, Michael & JONDEAU, Eric, 2000, "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," HEC Research Papers Series, HEC Paris, number 710, Jul.
• Hördahl, Peter, 2000, "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series, European Central Bank, number 16, Mar.
• De Bandt, Olivier & Hartmann, Philipp, 2000, "Systemic risk: A survey," Working Paper Series, European Central Bank, number 35, Nov.
• Miller, Marcus & Zhang, Lei, 2000, "Sovereign Liquidity Crises: The Strategic Case for a Payments Standstill," Economic Journal, Royal Economic Society, volume 110, issue 460, pages 335-362, January.
• Alvarez, Fernando & Jermann, Urban J., 2000, "Using Asset Prices to Measure the Cost of Business Cycles," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 00-1, Aug.
• Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000, "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0235, Aug.
• P. Jean-Jacques Herings & Felix Kubler, 2000, "The Robustness of the CAPM-A Computational Approach," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0400, Aug.
• Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000, "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0553, Aug.
• Annette Vissing-Jorgensen, 2000, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1102, Aug.
• Harrison Hong & Sven Rady, 2000, "Strategic Trading and Learning about Liquidity," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1351, Aug.
• Jordi Caballe & Jozsef Sakovics, 2000, "Speculating against an overconfident market," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 62, May.
• Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000, "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 11-12, pages 1703-1719, October.
• Brooks, Chris & Henry, Olan T., 2000, "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, volume 17, issue 4, pages 497-513, December.

1999

• Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999, "EMU and European Stock Market Integration," CEPR Discussion Papers, Centre for Economic Policy Research, number 2124, Apr.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers, Centre for Economic Policy Research, number 2166, Jun.
• Bansal, Ravi & Dahlquist, Magnus, 1999, "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 2169, Jun.
• Liew, Jimmy & Vassalou, Maria, 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers, Centre for Economic Policy Research, number 2180, Jun.
• Martin, Philippe & Rey, Hélène, 1999, "Financial Super-Markets: Size Matters for Asset Trade," CEPR Discussion Papers, Centre for Economic Policy Research, number 2232, Sep.
• Lombardo, Davide & Pagano, Marco, 1999, "Legal Determinants of the Return on Equity," CEPR Discussion Papers, Centre for Economic Policy Research, number 2275, Nov.
• Lombardo, Davide & Pagano, Marco, 1999, "Law and Equity Markets: A Simple Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 2276, Nov.
• Martin, Philippe & Rey, Hélène, 1999, "Financial Integration and Asset Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 2282, Nov.
• Cherian, Joseph A & Perotti, Enrico C, 1999, "Option Pricing and Foreign Investment under Political Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 2327, Dec.
• Michel Normandin, 1999, "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 67, Jan.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of information in centralized order-driven markets," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999016, Jun.
• Goetzmann, William N. & Jorion, Philippe, 1999, "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 34, issue 1, pages 1-32, March.
• Marcet, Albert & Singleton, Kenneth J., 1999, "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, volume 3, issue 2, pages 243-277, June.
• CHESNEY, Marc & GIBSON-ASNER, Rajna, 1999, "The Investment Policy and the Pricing of Equity in a Levered Firm: a Re-examination of the contingent claims Valuation Approach," HEC Research Papers Series, HEC Paris, number 672, Apr.
• Danthine, Jean-Pierre & Donaldson, John B, 1999, "Non-falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso," Economic Journal, Royal Economic Society, volume 109, issue 458, pages 607-635, October.
• Eric Brown, 1999, "Long-run performance analysis of a new sample of UK IPOs," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 41, Aug.
• George Buckley & Richard W P Holt, 1999, "Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 47, Jan.
• William C. Hunter & Lucy F. Ackert, 1999, "Intrinsic Bubbles: The Case of Stock Prices: Comment," American Economic Review, American Economic Association, volume 89, issue 5, pages 1372-1376, December.
• Karen K. Lewis, 1999, "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, volume 37, issue 2, pages 571-608, June, DOI: 10.1257/jel.37.2.571.
• Markus Mueller & Ulrich K. Schittko, 1999, "Transmission of Policy Shocks in a Monetary Asset-Pricing Model," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 188, Nov.
• Ben Fung & Scott Mitnick & Eli Remolona, 1999, "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers, Bank of Canada, number 99-6, DOI: 10.34989/swp-1999-6.
• Fabio Panetta & Roberto Violi, 1999, "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 353, Jun.
• Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999, "The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 358, Oct.
• Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers, Banque de France, number 57.
• Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "La modelisation de la volatilite des bourses asiatiques," Working papers, Banque de France, number 58.
• Eric Jondeau, 1999, "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers, Banque de France, number 59.
• Ólan T. Henry & John Sharma, 1999, "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Australian Economic Papers, Wiley Blackwell, volume 38, issue 4, pages 393-406, December, DOI: 10.1111/1467-8454.00064.
• Ľuboš Pástor & Robert F. Stambaugh, 1999, "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, volume 54, issue 1, pages 67-121, February, DOI: 10.1111/0022-1082.00099.
• Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999, "Optimal Investment, Growth Options, and Security Returns," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1553-1607, October, DOI: 10.1111/0022-1082.00161.
• Ryan Sullivan & Allan Timmermann & Halbert White, 1999, "Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1647-1691, October, DOI: 10.1111/0022-1082.00163.
• Andrew Metrick, 1999, "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1743-1775, October, DOI: 10.1111/0022-1082.00165.
• Frankel, R & Johnson, M & Skinner, DJ, 1999, "An empirical examination of conference calls as a voluntary disclosure medium," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 37, issue 1, pages 133-150, DOI: http://hdl.handle.net/10.2307/24914.
• Ohlson, JA & Zhang, XJ, 1999, "On the theory of forecast horizon in equity valuation," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 37, issue 2, pages 437-449, DOI: http://hdl.handle.net/10.2307/24914.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, volume 9, issue 3, pages 275-292, July, DOI: 10.1111/1467-9965.00071.
• Hall, Bronwyn H., 1999, "Innovation and Market Value," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt9f31v1rw, Feb.
• Rodolfo Apreda, 1999, "Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 151, Jul.
• Vachadze, G., 1999, "A Time Homogeneous Stationary Equilbrium Model of Asset Pricing with Heterogeneous Agents," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp148, Jun.
• Stephen Gordon & Pascal St-Amour, 2003, "Asset Returns and State-Dependent Risk Preferences," CIRANO Working Papers, CIRANO, number 2003s-09, Apr.
• Huan Xie & Jipeng Zhang, 2012, "Bubbles and Experience: An Experiment with a Steady Inflow of New Traders," CIRANO Working Papers, CIRANO, number 2012s-01, Jan.
• Jérôme Detemple & Carlton Osakwe, 1999, "The Valuation of Volatility Options," CIRANO Working Papers, CIRANO, number 99s-43, Nov.
• Hamid Faruqee & Lee Redding, 1999, "Endogenous Liquidity Providers and Exchange Rate Dynamics," Canadian Journal of Economics, Canadian Economics Association, volume 32, issue 4, pages 976-994, August.
• Alexis Derviz, 1999, "Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy," Archive of Monetary Policy Division Working Papers, Czech National Bank, number 1999/12, Oct.
• Ignacio V√©lez Pareja, 1999, "The Colombian Stock Market: 1930-1998," Proyecciones Financieras y Valoración, Master Consultores, number 3576, Jan.
• HEIFETZ, Aviad & MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999, "Arbitrage and equilibrium with exchangeable risks," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1999046, Aug.
• Collard, Fabrice & Juillard, Michel, 1999, "Accuracy of stochastic perturbuation methods: the case of asset pricing models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9922.
• Didier Cornuel, 1999, "L'hypothèse de bulle immobilière," Revue de l'OFCE, Programme National Persée, volume 70, issue 1, pages 155-191, DOI: 10.3406/ofce.1999.1694.
• Bernardino Adão, 1999, "Iberian Financial Integration," Working Papers, Banco de Portugal, Economics and Research Department, number w199905.
• Epstein, L.G., 1999, "Are Probabilities Used in Markets?," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 464.
• John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis M. Viceira, 1999, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Computing in Economics and Finance 1999, Society for Computational Economics, number 1344, Mar.
• Davide Lombardo & Marco Pagano, 1999, "Legal Determinants of the Return on Equity," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 24, Oct, revised 01 Dec 2000.
• Davide Lombardo & Marco Pagano, 1999, "Law and Equity Markets: a Simple Model," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 25, Oct.
• Kamstra, M., 1999, "Dividends, Earnings and Fundamental Valuation," Discussion Papers, Department of Economics, Simon Fraser University, number dp99-11.
• Christian Jochum, 1999, "Volatility spillovers and the price of risk: Evidence from the Swiss stock market," Empirical Economics, Springer, volume 24, issue 2, pages 303-322.
• Gordon, Stephen & St-Amour, Pascal, 1999, "A Preference Regime Model of Bull and Bear Markets," Cahiers de recherche, Université Laval - Département d'économique, number 9906.
• Maurice J. Roche, 1999, "Irish house prices: will the roof fall in?," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n890699, Jun.
• Maurice J. Roche & Michael J. Moore, 1999, "Less of a puzzle: a new look at the forward forex market," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n910799, Jul.
• Maurice J. Roche, 1999, "The rise in Dublin city house prices: bubble, fad or just fundamentals," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n920799.pdf, Jul.
• Norbert Fiess & Ronald MacDonald, 1999, "Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach," Multinational Finance Journal, Multinational Finance Journal, volume 3, issue 3, pages 147-172, September.
• Brooks, C. & Henry, O.T., 1999, "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series, The University of Melbourne, number 676.
• Sasaki, D., 1999, "Newtonian Asset Pricing," Department of Economics - Working Papers Series, The University of Melbourne, number 711.
• Brooks, C. & Henry, O.T. & Persand, G., 1999, "Optimal Hedging and the Value of News," Department of Economics - Working Papers Series, The University of Melbourne, number 717.
• Thierry Chauveau & Nicolas Nalpas, 1999, "Risk Weighted Utility Theory as a Solution to the Equity Premium Puzzle," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla99020, Aug.
• PERRON, Benoît, 1999, "Jumps in the Volatility of Financial Markets," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9912.
• Mark H. Lang & Douglas A. Shackelford, 1999, "Capitalization of Capital Gains Taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction," NBER Working Papers, National Bureau of Economic Research, Inc, number 6885, Jan.
• Fernando Alvarez & Urban J. Jermann, 1999, "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 6953, Feb.
• Wayne E. Ferson & Campbell R. Harvey, 1999, "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers, National Bureau of Economic Research, Inc, number 6967, Feb.
• Bronwyn H. Hall, 1999, "Innovation and Market Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 6984, Feb.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999, "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 7039, Mar.
• Narasimhan Jegadeesh & Sheridan Titman, 1999, "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers, National Bureau of Economic Research, Inc, number 7159, Jun.
• Robert E. Hall, 1999, "The Stock Market and Capital Accumulation," NBER Working Papers, National Bureau of Economic Research, Inc, number 7180, Jun.
• Michael R. Darby & Qiao Liu & Lynne G. Zucker, 1999, "Stakes and Stars: The Effect of Intellectual Human Capital on the Level and Variability of High-Tech Firms' Market Values," NBER Working Papers, National Bureau of Economic Research, Inc, number 7201, Jun.
• Nicholas Barberis & Ming Huang & Tano Santos, 1999, "Prospect Theory and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7220, Jul.
• Louis K.C. Chan & Josef Lakonishok & Theodore Sougiannis, 1999, "The Stock Market Valuation of Research and Development Expenditures," NBER Working Papers, National Bureau of Economic Research, Inc, number 7223, Jul.
• Kiyohiko G. Nishimura & Fukujyu Yamazaki & Takako Idee & Toshiaki Watanabe, 1999, "Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 7254, Jul.
• Lubos Pastor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 7284, Aug.
• Geert Bekaert & Steven R. Grenadier, 1999, "Stock and Bond Pricing in an Affine Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 7346, Sep.
• Harrison Hong & Jeremy C. Stein, 1999, "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 7376, Oct.
• George Chacko & Luis M. Viceira, 1999, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 7377, Oct.
• Owen Lamont & Christopher Polk, 1999, "The Diversification Discount: Cash Flows vs. Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 7396, Oct.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 7406, Oct.
• Douglas A. Shackelford & Robert E. Verrecchia, 1999, "Intertemporal Tax Discontinuities," NBER Working Papers, National Bureau of Economic Research, Inc, number 7451, Dec.
• Hall, B.H., 1999, "Innovation and Market Value," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 1999-w3.
• John Y. Campbell & Luis M. Viceira, 1999, "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 114, issue 2, pages 433-495.
• Jesper Lund, 1999, "A Model for Studying the Effect of EMU on European Yield Curves," Review of Finance, European Finance Association, volume 2, issue 3, pages 321-363.
• Bryan Mase, 1999, "The Predictability of Short-Horizon Stock Returns," Review of Finance, European Finance Association, volume 3, issue 2, pages 161-173.
• Paul Söderlind, 1999, "An Interpretation of SDF Based Performance Measures," Review of Finance, European Finance Association, volume 3, issue 2, pages 233-237.
• Dietmar P. J. Leisen, 1999, "Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk," Review of Finance, European Finance Association, volume 3, issue 3, pages 319-342.
• Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999, "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9916-/A, Mar.
• George CHACKO & Luis M. VICEIRA, 1999, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp11, Sep.
• Dušan ISAKOV & Marc HOLLISTEIN, 1999, "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp2, Jan.
• Zdenìk Zmeškal, 1999, "Fuzzy-stochastický odhad hodnoty firmy jako kupní opce (Fuzzy-stochastic Estimation of a Firm Value as a Call Option)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 3, pages 168-175, March.
• Jiøí Kunert, 1999, "Èeské bankovnictví ? urèitì ne v roce nula (Czech Banking - Certainly Not in Year Zero)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 6, pages 307-314, June.
• Mordecai Kurz & Maurizio Motolese, 1999, "Endogenous Uncertainty and Market Volatility," Working Papers, Fondazione Eni Enrico Mattei, number 1999.27, Mar.
• Hans Dillen & Bo Stoltz, 1999, "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, volume 12, issue 1, pages 41-56, Spring.
• Daniel Aaronson, 1999, "A note on the benefits of homeownership," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-23.
• Lucy F. Ackert & William C. Hunter, 1999, "Intrinsic bubbles: the case of stock prices: a comment," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-26.
• Shigenori Shiratsuka, 1999, "Asset price fluctuation and price indices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-9.
• Christopher J. Neely & Amlan Roy & Charles H. Whiteman, 1999, "Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM," Working Papers, Federal Reserve Bank of St. Louis, number 1995-002, DOI: 10.20955/wp.1995.002.
• Kai Li & Asani Sarkar & Zhenyu Wang, 1999, "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports, Federal Reserve Bank of New York, number 89, Oct.
• Fernando Alvarez & Urban J. Jermann, 1999, "Quantitative asset pricing implications of endogenous solvency constraints," Working Papers, Federal Reserve Bank of Philadelphia, number 99-5.
• Pierre Mella-Barral & Tom Dahlström, 1999, "Corporate Walkout Decisions and the Value of Default," FMG Discussion Papers, Financial Markets Group, number dp325, May.
• Kast, R. & Lapied, A., 1999, "Precautionary Savings in Incomplete Financial Markets," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a14.
• Chauveau, T. & Nalpas, N., 1999, "L'alteration prudente des probabilites comme solution a l'enigme de la prime de risque," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-04/fi.
• Chauveau, T. & Damon, J. & Guegan, D., 1999, "Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-06/fi.
• Liew, J. & Vassalou, M., 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?," Papers, Columbia - Graduate School of Business, number 99-11.
• Jones, C.M. & Lipson, M.L., 1999, "Sixteenths: Direct Evidence on Institutional Execution Costs," Papers, Columbia - Graduate School of Business, number 99-3.
• Chang, G. & Sundaresan, S.M., 1999, "Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default," Papers, Columbia - Graduate School of Business, number 99-4.
• Huberman, G. & Regev, T., 1999, "Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar," Papers, Columbia - Graduate School of Business, number 99-6.
• Jones, C.M. & Lipson, M.L., 1999, "Price Impacts and Quote Adjustment on the Nasdaq and NYSE/AMEX," Papers, Columbia - Graduate School of Business, number 99-8.
• Bancel, F. & Ceddaha, F., 1999, "Vers une prime de risque unique?," Papers, Ecole Superieure de Commerce de Paris. Groupe ESCP-, number 99/143.
• Huang, K.X., 1999, "Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints," Papers, Minnesota - Center for Economic Research, number 302.
• Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999, "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-033, Jul.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-036, Mar.
• Elyès Jouini, 1999, "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-038, May.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-060, Oct.
• Chauveau, T. & Nalpas, N., 1999, "Risk Weighted Utility Theory as a Solution to the Equity Premium Puzzle," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.20.
• Dana, R.-A. & Le Van, C. & Magnien, F., 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.34.
• Florenzano, M., 1999, "General Equilibrium of FDinancial Markets: An Introduction," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.76.
• Aspandilarov, S. & Bottazzi, J.-M., 1999, "The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.80.
• Abouda, M. & Chateauneuf, A., 1999, "Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.86.
• Abouda, M. & Chateauneuf, A., 1999, "A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.87.
• Capelle-Blancard, G. & Jurczenko, E., 1999, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.05.
• Fernando Alvarez & Urban J. Jermann, , "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 10-99.
• 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 8-99.
• Hubner, G., 1999, "Horizon Risk and Asset Pricing," Papers, Southern California - School of Business Administration, number 99-57.
• Felmingham, B. & Mansfield, P., 1999, "The Stability of Real Interest Rates in Australia: 1975-1997," Papers, Tasmania - Department of Economics, number 1999-02.
• Blomberg, S.B. & Mountford, A., 1999, "Can Political Variables Really Predict Exchange Rate Movements?," Papers, Wellesley College - Department of Economics, number 99-10.
• Tomaso Duso, 1999, "Complete Markets in Italy: An Analysis on Micro Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 58, issue 1, pages 1-25, April.
• Gaëlle Le Fol & Christian Gourieroux, 1999, "Intra-day market activity," Post-Print, HAL, number halshs-00536268.
• Sørensen, Carsten, 1999, "Seasonality in Agricultural Commodity Futures," Working Papers, Copenhagen Business School, Department of Finance, number 1999-14, Dec.
• Johansson, Anders & Rolseth, Lars, 1999, "The effects of firm-specific variables and consensus forecasts data on the pricing of large Swedish firms’ stocks," Working Papers in Economics, University of Gothenburg, Department of Economics, number 15, Jul.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 312, Feb, revised 10 May 2000.
• Nydahl, Stefan & Sellin, Peter, 1999, "Are There Price Bubbles in the Swedish Equity Market?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 82, May.
• Säfvenblad, Patrik, 1999, "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 86, Jun.
• Campbell, John & Viceira, Luis, 1999, "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles, Harvard University Department of Economics, number 3163266.
• Marcus H. Miller & Lei Zhang, 1999, "Sovereign Liquidity Crisis: The Strategic Case for A Payments Standstill," Working Paper Series, Peterson Institute for International Economics, number WP99-8, Nov.
• Alexius, Annika & Sellin, Peter, 1999, "A Latent Factor Model of European Exchange Rate Risk Premia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 4, issue 3, pages 217-227, July.
• Saito, Makoto, 1999, "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 1, pages 45-75, May.
• Shiratsuka, Shigenori, 1999, "Asset Price Fluctuation and Price Indices," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 3, pages 103-128, December.
• Fernando Lefort & Eduardo Walker, 1999, "El Dólar Como Activo Financiero: Teoría y Evidencia Chilena," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 36, issue 109, pages 1035-1066.
• Schittko Ulrich K. & Müller Markus, 1999, "Policy Shocks in a Monetary Asset-Pricing Model with Endogenous Production / Politikeffekte in einem monetären Asset-Pricing-Modell mit Produktion," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 218, issue 1-2, pages 147-167, February, DOI: 10.1515/jbnst-1999-1-209.
• Binswanger Mathias, 1999, "Can Noise Traders Cause Persistent Deviations from Fundamental Values on the Stock Market? / Können Noise Trader langfristige Abweichungen der Aktienkurse von ihren Fundamentalwerten bewirken?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 219, issue 5-6, pages 556-574, October, DOI: 10.1515/jbnst-1999-5-619.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, volume 87, issue 1, pages 169-193, July.
• Abel, Andrew B., 1999, "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, volume 43, issue 1, pages 3-33, February.
• Jan J.G. Lemmen & Charles A.E. Goodhart, 1999, "Credit Risks and European Government Bond Markets: A Panel Data Econometric Analysis," Eastern Economic Journal, Eastern Economic Association, volume 25, issue 1, pages 77-107, Winter.
• Zigrand, Jean-Pierre, 1999, "Arbitrage and endogenous market integration," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119127, Mar.
• Robert Jarrow & Dilip B. Madan, 1999, "Hedging contingent claims on semimartingales," Finance and Stochastics, Springer, volume 3, issue 1, pages 111-134.
• Paul Glasserman & S.G. Kou & Mark Broadie, 1999, "Connecting discrete and continuous path-dependent options," Finance and Stochastics, Springer, volume 3, issue 1, pages 55-82.
• HuyËn Pham & Jean Paul Laurent, 1999, "Dynamic programming and mean-variance hedging," Finance and Stochastics, Springer, volume 3, issue 1, pages 83-110.
• Hans FÃllmer & Peter Leukert, 1999, "Quantile hedging," Finance and Stochastics, Springer, volume 3, issue 3, pages 251-273.
• Mihail Zervos & Bernhard Meister & Thomas S. Knudsen, 1999, "On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation," Finance and Stochastics, Springer, volume 3, issue 4, pages 433-449.
• Peter DeMarzo & Costis Skiadas, 1999, "On the uniqueness of fully informative rational expectations equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 13, issue 1, pages 1-24.
• James Peck & Matthew O. Jackson, 1999, "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 13, issue 3, pages 603-628.
• Mariana Mazzucato & Willi Semmler, 1999, "Market share instability and stock price volatility during the industry life-cycle: the US automobile industry," Journal of Evolutionary Economics, Springer, volume 9, issue 1, pages 67-96.
• Richard C. Stapleton, 1999, "Some recent developments in capital market theory: A survey," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 1, pages 1-20.
• Angel León & Juan Mora, 1999, "Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 3, pages 215-238.
• S. Elwood & Ehsan Ahmed & J. Rosser, 1999, "State-space estimation of rational bubbles in the Yen/Deutsche Mark exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 135, issue 2, pages 317-331, June, DOI: 10.1007/BF02707258.
• Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999, "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-027/4, Apr.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-54.
• Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999, "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-84.