Research classified by Journal of Economic Literature (JEL) codes

1999

• Hege, U. & Mella-Barral, P., 1999, "Collateral, Renegotiation and the Value of Diffusely Held Debt," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-94.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 06a4e5b2-f380-4d5b-a96f-8.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of Information in Centralized Order-Driven Markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number be7bdc9c-446a-4ad6-a34d-6.
• Hege, U. & Mella-Barral, P., 1999, "Collateral, Renegotiation and the Value of Diffusely Held Debt," Other publications TiSEM, Tilburg University, School of Economics and Management, number d1806bd7-b34c-4249-b6fd-2.
• Miquel Faig, 1999, "Asset Pricing, Growth, And The Business Cycle With Irreversible Investment," Working Papers, University of Toronto, Department of Economics, number faig-98-02, Sep.
• Michael B. Gordy, 1999, "Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction," The Review of Economics and Statistics, MIT Press, volume 81, issue 3, pages 448-465, August.
• Montrucchio, Luigi & Privileggi, Fabio, 1999, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," POLIS Working Papers, Institute of Public Policy and Public Choice - POLIS, number 5, Jul.
• Bronwyn H. Hall., 1999, "Innovation and Market Value," Economics Working Papers, University of California at Berkeley, number E99-265, Feb.
• Dahlquist, Magnus & Soderlind, Paul, 1999, "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, volume 72, issue 3, pages 347-383, July, DOI: 10.1086/209618.
• Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999, "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers, University of Iowa, Department of Economics, number 99-04, May.
• Maroney, Neal C. & Protopapadakis, Aris A., 1999, "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-15, Nov.
• Miller, Edward M., 1999, "Equilibrium with divergence of opinion," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-17.
• Steve Satchell, 1999, "The Small Noise Arbitrage Pricing Theory," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 4, Apr.
• VT Alaganar & Graham Partington & Max Stevenson, 1999, "Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 92, Oct.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000, "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Virginia Economics Online Papers, University of Virginia, Department of Economics, number 350, Aug.
• Marcus Miller & Lei Zhang, 1999, "Sovereign Liquidity Crisis: The Strategic Case for a Payments Standstill," CSGR Working papers series, Centre for the Study of Globalisation and Regionalisation (CSGR), University of Warwick, number 35/99, Jun.
• Luboš Pástor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 497, Jul.
• Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 505, Oct.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 00-29, Oct.
• Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 1999, "Offer Price, Target Ownership Structure and IPO Performance," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 99-36, Aug.
• Bronwyn H. Hall, 1999, "Innovation and Market Value," Finance, University Library of Munich, Germany, number 9902009, Feb.
• Andreas Krause, 1999, "Implicit Collusion in Dealer Markets with Different Costs of Market Making," Finance, University Library of Munich, Germany, number 9903002, Mar.
• Jiri Hoogland & Dimitri Neumann, 1999, "Scale invariance and contingent claim pricing," Finance, University Library of Munich, Germany, number 9907002, Jul.
• Jiri Hoogland & Dimitri Neumann, 1999, "Scale invariance and contingent claim pricing II: Path-dependent contingent claims," Finance, University Library of Munich, Germany, number 9907003, Jul.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers, Yale School of Management, number ysm125, Oct.
• Amit Goyal & Ivo Welch, 1999, "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers, Yale School of Management, number amz2437, Apr, revised 01 Nov 2002.
• Ahrens, Ralf, 1999, "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series, Center for Financial Studies (CFS), number 1999/14.
• Föllmer, Hans & Leukert, Peter, 1999, "Efficient hedging: Cost versus shortfall risk," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,18.
• Bank, Peter, 1999, "No free lunch for large investors," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,37.
• Ortalo-Magne, Francois & Rady, Sven, 1999, "Boom in, bust out: Young households and the housing price cycle," European Economic Review, Elsevier, volume 43, issue 4-6, pages 755-766, April.
• Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999, "Intra-day market activity," Journal of Financial Markets, Elsevier, volume 2, issue 3, pages 193-226, August.
• Malliaris, A. G. & Stein, Jerome L., 1999, "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, volume 23, issue 11, pages 1605-1635, November.
• Los, Cornelis A., 1999, "Galton's Error and the under-representation of systematic risk," Journal of Banking & Finance, Elsevier, volume 23, issue 12, pages 1793-1829, December.

1998

• Gehrig, Thomas & Jackson, Matthew, 1998, "Bid-ask spreads with indirect competition among specialists," Journal of Financial Markets, Elsevier, volume 1, issue 1, pages 89-119, April.
• Kodjovi G. Assoe, 1998, "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 2, pages 101-132, June.
• Kenneth Wieand & Jeff Donaldson & Socorro Quintero, 1998, "Are Real Assets Priced Internationally? Evidence from the Art Market," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 3, pages 167-187, September.
• Antonis Demos & Sofia Parissi, 1998, "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, volume 2, issue 3, pages 189-223, September.
• Bengt Holmstrom & Jean Tirole, 1998, "LAPM: A Liquidity Based Asset Pricing Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 98-8, Jun.
• Wu, P.X., 1998, "Variance Decomposition of Stock Returns and Dividend Imputation System," Department of Economics - Working Papers Series, The University of Melbourne, number 614.
• Henry, O. & Sharma, J., 1998, "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Department of Economics - Working Papers Series, The University of Melbourne, number 617.
• Takatoshi Ito & Masahiro Kawai, 1998, "International Monetary Regime in the Twenty-First Century, (NBER-CEPR-TCER conference)," NBER Books, National Bureau of Economic Research, Inc, number ito_98-1, January.
• Yacine Ait-Sahalia, 1998, "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0222, Feb.
• Jonathan B. Berk, 1998, "Sorting Out Sorts," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0235, Sep.
• John H. Cochrane, 1998, "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers, National Bureau of Economic Research, Inc, number 6207, Feb.
• Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998, "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6354, Jan.
• Tommy Berger & Peter Englund & Patric H. Hendershott & Bengt Turner, 1998, "Another Look at the Capitalization of Interest Subsidies: Evidence from Sweden," NBER Working Papers, National Bureau of Economic Research, Inc, number 6365, Jan.
• David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998, "Predictable Changes in Yields and Forward Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 6379, Jan.
• Fernando Alvarez & Urban J. Jermann, 1998, "Asset Pricing when Risk Sharing is Limited by Default," NBER Working Papers, National Bureau of Economic Research, Inc, number 6476, Mar.
• John Y. Campbell, 1998, "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 6485, Mar.
• Lubos Pastor & Robert F. Stambaugh, 1998, "Costs of Equity Capital and Model Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 6490, Apr.
• Orazio Attanasio & James Banks & Sarah Tanner, 1998, "Asset Holding and Consumption Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 6567, May.
• James M. Poterba & Scott J. Weisbenner, 1998, "Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6616, Jun.
• Jonathan Berk & Richard C. Green & Vasant Naik, 1998, "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6627, Jun.
• Andrew Metrick, 1998, "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," NBER Working Papers, National Bureau of Economic Research, Inc, number 6648, Jul.
• Bengt Holmstrom & Jean Tirole, 1998, "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 6673, Aug.
• Andrew B. Abel, 1998, "Risk Premia and Term Premia in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 6683, Aug.
• Paul A. Gompers & Andrew Metrick, 1998, "Institutional Investors and Equity Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 6723, Sep.
• David Backus & Silverio Foresi & Chris I. Telmer, 1998, "Discrete-Time Models of Bond Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 6736, Sep.
• Jonathan B. Berk & Richard C. Green & Vasant Naik, 1998, "Valuation and Return Dynamics of New Ventures," NBER Working Papers, National Bureau of Economic Research, Inc, number 6745, Oct.
• James M. Poterba, 1998, "Population Age Structure and Asset Returns: An Empirical Investigation," NBER Working Papers, National Bureau of Economic Research, Inc, number 6774, Oct.
• John Y. Campbell & Luis M. Viceira, 1998, "Who Should Buy Long-Term Bonds?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6801, Nov.
• Tomas Björk & Bertil Näslund, 1998, "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, volume 1, issue 3, pages 361-387.
• Michelle L. Barnes, 1998, "Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 1998-11.
• Michelle L. Barnes, 1998, "On the Nature of Dependence in the Volatility of US Stock Returns," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 1998-12.
• Sheryl B. Ball & Charles A. Holt, 1998, "Classroom Games: Speculation and Bubbles in an Asset Market," Journal of Economic Perspectives, American Economic Association, volume 12, issue 1, pages 207-218, Winter.
• David W. Wilcox, 1998, "Policy Watch: The Introduction of Indexed Government Debt in the United States," Journal of Economic Perspectives, American Economic Association, volume 12, issue 1, pages 219-227, Winter.
• Fabio Fornari & Roberto Violi, 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 339, Oct.
• Backus, David & Foresi, Silverio & Zin, Stanley, 1998, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 1, pages 13-26, January.
• Lobato, Ignacio N & Savin, N E, 1998, "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 3, pages 261-268, July.
• Blackwell, DW & Noland, TR & Winters, DB, 1998, "The value of auditor assurance: Evidence from loan pricing," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 36, issue 1, pages 57-70, DOI: http://hdl.handle.net/10.2307/24913.
• Fabienne Comte & Eric Renault, 1998, "Long memory in continuous‐time stochastic volatility models," Mathematical Finance, Wiley Blackwell, volume 8, issue 4, pages 291-323, October, DOI: 10.1111/1467-9965.00057.
• John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998, "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics, Boston College Department of Economics, number 377, Jun, revised 21 Apr 2000.
• Eric Ghysels & Serena Ng, 1998, "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics, Boston College Department of Economics, number 403, Mar.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2z02z6d9, Jun.
• Charles Cao & Eric Ghysels & Frank Hatheway, 1998, "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers, CIRANO, number 98s-14, May.
• Lettau, Martin, 1998, "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1795, Jan.
• Danthine, Jean-Pierre & Donaldson, John B, 1998, "Non-Falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso," CEPR Discussion Papers, Centre for Economic Policy Research, number 1819, Mar.
• Miller, Marcus & Zhang, Lei, 1998, "Sovereign Liquidity Crises: the Strategic Case for a Payments Standstill," CEPR Discussion Papers, Centre for Economic Policy Research, number 1820, Mar.
• Lettau, Martin, 1998, "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 1884, May.
• Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998, "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers, Centre for Economic Policy Research, number 1976, Sep.
• Peña, Juan Ignacio & Restoy Lozano, Fernando & Rodríguez, Rosa, 1998, "Can Output Explain the Predictability and Volatility of Stock Returns?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1995, Oct.
• Restoy Lozano, Fernando & Rodríguez, Rosa, 1998, "Can Fundamentals Explain Cross-Country Correlations of Asset Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 1996, Nov.
• Jacobs, Mike & Remolona, Eli & Wickens, Michael R., 1998, "What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 2022, Nov.
• Anderson, Ronald & Sundaresan, Suresh, 1998, "A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999009, Jul, revised 00 Jan 1999.
• Willem H. Buiter & Ricardo Lago & Hélène Rey, 1998, "Financing transition: investing in enterprises during macroeconomic transition," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 35, Dec.
• Foort, HAMELINK, 1998, "On the Specification of Duration Between Price Changes and the Predictability of High Frequency returns: an application to the French CAC 40," HEC Research Papers Series, HEC Paris, number 647, Mar.
• Foort, HAMELINK, 1998, "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series, HEC Paris, number 655, Jul.
• Brock, William A. & Hommes, Cars H., 1998, "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, volume 22, issue 8-9, pages 1235-1274, August.
• Fazal Husain, 1998, "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 37, issue 1, pages 77-81.
• Vaihekoski, Mika, 1998, "Short-term returns and the predictability of Finnish stock returns," MPRA Paper, University Library of Munich, Germany, number 13984.
• Ulibarri, Carlos A., 1998, "Is after-hours trading informative?," MPRA Paper, University Library of Munich, Germany, number 14818.
• Husain, Fazal, 1998, "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," MPRA Paper, University Library of Munich, Germany, number 5032.
• Geoffrey Shuetrim, 1998, "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9802, Feb.
• Chae-Shick Chung, 1998, "The Effect of the European Monetary Union on International Capital Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 2, issue 4, pages 23-47, DOI: 10.11644/KIEP.JEAI.1998.2.4.30.
• Kamstra, M., 1998, "The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?," Discussion Papers, Department of Economics, Simon Fraser University, number dp98-05.
• RØdiger Frey, 1998, "Perfect option hedging for a large trader," Finance and Stochastics, Springer, volume 2, issue 2, pages 115-141.
• Y.M. Kabanov & D.O. Kramkov, 1998, "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, volume 2, issue 2, pages 143-172.
• J. Jacod & A.N. Shiryaev, 1998, "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, volume 2, issue 3, pages 259-273.
• JÊrÆme B. Detemple & Piero Gottardi, 1998, "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 443-455.
• Costas Azariadis & Shankha Chakraborty, 1998, "Asset price volatility in a nonconvex general equilibrium model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 12, issue 3, pages 649-665.
• Joachim Coche, 1998, "An evolutionary approach to the examination of capital market efficiency," Journal of Evolutionary Economics, Springer, volume 8, issue 4, pages 357-382.
• Shoko Haneda & Hiroyuki Odagiri, 1998, "Appropriation Of Returns From Technological Assets And The Values Of Patents And R&D In Japanese High-Tech Firms," Economics of Innovation and New Technology, Taylor & Francis Journals, volume 7, issue 4, pages 303-321, DOI: 10.1080/10438599800000038.
• Koopman, S.J.M. & Lai, H.N., 1998, "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-032.
• Miquel Faig, 1998, "Understanding Investment Irreversibility In General Equilibrium," Working Papers, University of Toronto, Department of Economics, number faig-98-01, Jul.
• Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998, "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, volume 80, issue 1, pages 62-72, February.
• Eric Ghysels & Serena Ng, 1998, "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, volume 80, issue 4, pages 535-548, November.
• Jonathan B. Berk Richard C. Green and Vasant Naik., 1998, "Valuation and Return Dynamics of New Ventures," Research Program in Finance Working Papers, University of California at Berkeley, number RPF-284, Sep.
• Otrok, C. & Ravikumar, B. & Whiteman, C., 1998, "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers, University of Iowa, Department of Economics, number 98-04, May.
• Neely, C.J. & Roy, A. & Whiteman, C.H., 1998, "Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM," Working Papers, University of Iowa, Department of Economics, number 98-08, Aug.
• Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998, "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers, University of Iowa, Department of Economics, number 99-01, Aug, revised Jan 1999.
• Hun Y. Park & Asani Sarkar & Lifan Wu, 1998, "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance, University Library of Munich, Germany, number 9801002, Jan.
• Kirill Ilinski & Alexander Stepanenko, 1998, "Electrodynamical model of quasi-efficient financial market," Finance, University Library of Munich, Germany, number 9805007, Jun.
• Martin Evans, 1998, "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance, University Library of Munich, Germany, number 9809001, Sep.
• Francois Ortalo-Magne & Sven Rady, 1998, "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," Finance, University Library of Munich, Germany, number 9810003, Oct.
• Francois Ortalo-Magne & Sven Rady, 1998, "Boom In, Bust Out: Young Households and the Housing Price Cycle," Finance, University Library of Munich, Germany, number 9810004, Oct, revised 29 Oct 1998.
• Oren Fuerst & Sok-Hyon Kang, 1998, "Corporate Governance, Expected Operating Performance, and Pricing," Yale School of Management Working Papers, Yale School of Management, number ysm108, Dec.
• Philippe Jorion & William N. Goetzmann, 1998, "Re-Emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm111, Dec.
• Gurdip S. Bakshi & Zhiwu Chen, 1998, "Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies," Yale School of Management Working Papers, Yale School of Management, number ysm44, Aug.
• William Goetzmann & Philippe Jorion, 1998, "Re-emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm50, Apr, revised 01 Aug 2000.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998, "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers, Yale School of Management, number ysm90, May.
• William Goetzmann & Philippe Jorion, 1998, "Re-emerging Markets," Yale School of Management Working Papers, Yale School of Management, number ysm50, Apr, revised 01 Aug 2000.
• Oehler, Andreas & Unser, Matthias, 1998, "Market Transparency and Call Markets," Discussion Papers, University of Bamberg, Chair of Finance, number 6.
• Föllmer, Hans & Leukert, Peter, 1998, "Quantile hedging," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,13.
• John Y. CAMPBELL & Luis VICEIRA, 1998, "Who Should Buy Long-Term Bonds?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp5, Oct.
• Mika Vaihekoski, 1998, "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, volume 11, issue 1, pages 19-36, Spring.
• Frank F. Gong & Eli M. Remolona & Michael Wickens, 1998, "What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds," Staff Reports, Federal Reserve Bank of New York, number 57.
• Sven Rady, 1998, "Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints," FMG Discussion Papers, Financial Markets Group, number dp296, Jun.
• Allan Timmermann & Halbert White & Ryan Sullivan, 1998, "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers, Financial Markets Group, number dp303, Sep.
• Allan Timmermann & Halbert White & Ryan Sullivan, 1998, "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers, Financial Markets Group, number dp304, Oct.
• Markus K Brunnermeier, 1998, "Buy on Rumours - Sell on News: A Manipulative Trading Strategy," FMG Discussion Papers, Financial Markets Group, number dp309, Nov.
• Sven Rady, 1998, "Boom In, Bust Out: Young Households and the Housing Price Cycle," FMG Discussion Papers, Financial Markets Group, number dp310, Nov.
• Inanga, E.L. & Emenuga, C., 1998, "Les caracteristiques institutionnelles, traditionnelles et les modes de determination des cours de l'actif a la bourse de valeurs du Nigeria," Papers, African Economic Research Consortium, number 60.
• Bolgot, S. & Meyfredi, J.-C., 1998, "Reseaux de neurones, lissage de la fonction d'actualisation et prevision des OAT demembrees: une etude empirique," G.R.E.Q.A.M., Universite Aix-Marseille III, number 98b04.
• Fornari, F. & Violi, R., 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Papers, Banca Italia - Servizio di Studi, number 339.
• Flam, S.D., 1998, "Looking for Arbitrage," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 0598.
• Chauveau, T. & Maillet, B., 1998, "Flexible Least Squares Betas: The French Market Case," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1998-03/fi.
• Isakov, D. & Hollistein, M., 1998, "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 98.2.
• Luis Angel Medrano & Xavier Vives, 1998, "Strategic Behavior and Price Discovery," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1825.
• Paul A. Gompers & Andrew Metrick, 1998, "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1830.
• John Y. Campbell & Luis M. Viceira, 1998, "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1835.
• Marshall E. Blume & Felix Lim & A. Craig MacKinlay, , "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 03-98.
• Lubos Pástor & Robert F. Stambaugh, , "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 04-98.
• Süleyman Basak & Benjamin Croitoru, , "Capital Market Equilibrium with Mispricing and Arbitrage Activity," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 06-98.
• Donald B. Keim & Ananth Madhavan, , "The Information Contained in Stock Exchange Seat Prices," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 07-98.
• Süleyman Basak, , "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 10-98.
• Süleyman Basak & Mike Gallmeyer, , "Capital Market Equilibrium with Differential Taxation," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 12-98.
• Bruce D. Grundy & J. Spencer Martin, , "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 13-98.
• A. Craig MacKinlay & Lubos Pástor, , "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 19-98.
• Koedijk, K.G. & Kool, C.J.M. & Nissen, F.G.J.A. & Schotman, P.C. & Van Dijk, M.A., 1998, "The Cost of Capital in International Financial Markets: Local Versus Global Beta," Papers, Southern California - School of Business Administration, number 99-55.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Post-Print, HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Rolseth, Lars, 1998, "Adjusting Stock Market Values to Exchange Rate Exposure: The Case of ASTRA, SCA and STORA," Working Papers in Economics, University of Gothenburg, Department of Economics, number 6, Oct.
• Säfvenblad, Patrik, 1998, "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 240, May.
• Orazio Attanasio & James Banks & Tanner, Tanner, 1998, "Asset holding and consumption volatility," IFS Working Papers, Institute for Fiscal Studies, number W98/08, Apr.
• Cashin, Paul & McDermott, C John, 1998, "Testing the Consumption-CAPM in Developing Equity Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 3, issue 2, pages 127-141, April.
• Ieda, Akira & Ohba, Toshikazu, 1998, "Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 16, issue 2, pages 113-128, December.
• Michel Normandin & Pascal St-Amour, 1998, "Substitution, risk aversion, taste shocks and equity premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 13, issue 3, pages 265-281.
• Garcia, Rene & Ghysels, Eric, 1998, "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, volume 17, issue 3, pages 455-473, June.
• Barkoulas, John T. & Baum, Christopher F., 1998, "Fractional dynamics in Japanese financial time series," Pacific-Basin Finance Journal, Elsevier, volume 6, issue 1-2, pages 115-124, May.
• Brunnermeier, Markus, 1998, "Buy on rumours - sell on news: a manipulative trading strategy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119135, Nov.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119142, Oct.
• Ortalo-Magné, François & Rady, Sven, 1998, "Housing market fluctuations in a life-cycle economy with credit constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119143, Jul.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Data snooping, technical trading, rule performance, and the bootstrap," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119144, Oct.
• Lotz, Christopher, 1998, "Locally minimizing the credit risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119160, Jan.
• George Papachristou, 1998, "The pricing of Greek Initial Public Offerings: 1985-1995," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 2, issue 2, pages 186-206, Winter.

1997

• Wang, Cheng, 1997, "Incentives, CEO Compensation, and Shareholder Wealth in a Dynamic Agency Model," Journal of Economic Theory, Elsevier, volume 76, issue 1, pages 72-105, September.
• Englund, Peter & Ioannides, Yannis M., 1997, "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics, Elsevier, volume 6, issue 2, pages 119-136, June.
• Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997, "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, volume 40, issue 1, pages 3-39, September.
• Soderlind, Paul & Svensson, Lars, 1997, "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, volume 40, issue 2, pages 383-429, October.
• Leon, Angel & Sentana, Enrique, 1997, "Pricing options on assets with predictable white noise returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119177, Jul.
• J. L. Prigent, 1997, "Option pricing with a general marked point process," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-36.
• Artis, Michael J & Zhang, Wenda, 1997, "Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 1594, Mar.
• Blake, David & Lehmann, Bruce N & Timmermann, Allan G, 1997, "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 1618, Jun.
• Gehrig, Thomas & Jackson, Matthew O., 1997, "Bid-Ask Spreads with Indirect Competition among Specialists," CEPR Discussion Papers, Centre for Economic Policy Research, number 1648, May.
• Nielsen, Lars Tyge & Vassalou, Maria, 1997, "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments," CEPR Discussion Papers, Centre for Economic Policy Research, number 1652, May.
• Dahlquist, Magnus & Söderlind, Paul, 1997, "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 1663, Jun.
• Lettau, Martin & Uhlig, Harald, 1997, "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 1678, Jul.
• Medrano, Luis Angel & Vives, Xavier, 1997, "Strategic Behaviour and Price Discovery," CEPR Discussion Papers, Centre for Economic Policy Research, number 1768, Dec.
• Elyès Jouini, 1997, "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers, Center for Research in Economics and Statistics, number 97-05.
• Elyès Jouini & Hédi Kallal, 1997, "Viability and Equilibrium in Securities Markets with Frictions," Working Papers, Center for Research in Economics and Statistics, number 97-07.
• A, Bizid & Elyès Jouini & Pf. Koehl, 1997, "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers, Center for Research in Economics and Statistics, number 97-51.
• L, Carassus & H, Pham & E, Jouini, 1997, "Arbitrage and Super-Replication Cost with Convex Constraints," Working Papers, Center for Research in Economics and Statistics, number 97-57.
• L, Carassus & E, Jouini, 1997, "Coûts de transaction, contraintes de vente à découvert et taxes : une approche unifiée," Working Papers, Center for Research in Economics and Statistics, number 97-58.
• Tychon, Pierre & Vannetelbosch, Vincent J., 1997, "Debt Valuation and Marketability Risk," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997020, Sep.
• Lo, Andrew W. & Mackinlay, A. Craig, 1997, "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 102-134, January.
• Zhang, Harold H., 1997, "Endogenous Short-Sale Constraint, Stock Prices And Output Cycles," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 228-254, January.