Research classified by Journal of Economic Literature (JEL) codes

1997

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

1996

• Philippe Henrotte, 1996, "Construction of a state space for interrelated securities with an application to temporary equilibrium theory (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 3, pages 423-459.
• Mordecai Kurz & Martin Schneider, 1996, "Coordination and correlation in Markov rational belief equilibria (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 3, pages 489-520.
• 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.
• Barkoulas, John T. & Baum, Christopher F., 1996, "Long-term dependence in stock returns," Economics Letters, Elsevier, volume 53, issue 3, pages 253-259, December.
• Tauchen, George & Zhang, Harold & Liu, Ming, 1996, "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, volume 74, issue 1, pages 177-208, September.
• 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, January.
• 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.
• 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.
• Danthine, Jean-Pierre & Donaldson, John B, 1996, "Labour Contracts, Operating Leverage and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 1353, Feb.
• Davidson, Malcolm, 1996, "Arbitrage, Hedging and Financial Innovation," CEPR Discussion Papers, Centre for Economic Policy Research, number 1454, Aug.
• Michel Normandin & Pascal St-Amour, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 39, Jan.
• Giovanna Nicodamo & Alessandro Sembenelli, 1996, "Shareholders’ Voting Power And Block Transaction Premia: An Empirical Analysis Of Italian Listed Companies," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 199617, Dec.
• Mella-Baral, Pierre & Tychon, Pierre, 1996, "Default risk in asset pricing," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1996021, Sep.
• Gurdip S. Bakshi & Zhiwu Chen, 1996, "The Spirit of Capitalism and Stock-Market Prices," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 511.
• John Y. Campbell & Robert J. Shiller, 1996, "A Scorecard for Indexed Government Debt," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1125, May.
• Cabrales, Antonio & Hoshi, Takeo, 1996, "Heterogeneous beliefs, wealth accumulation, and asset price dynamics," Journal of Economic Dynamics and Control, Elsevier, volume 20, issue 6-7, pages 1073-1100.
• Detemple, Jerome B. & Giannikos, Christos I., 1996, "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, volume 20, issue 8, pages 1451-1504, August.
• 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.
• 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.
• Anthony J. Richards, 1996, "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?," IMF Staff Papers, Palgrave Macmillan, volume 43, issue 3, pages 461-501, September.
• Benoit F. Leleux & Veronique M. Matthys & Julian E. Lange, 1996, "Pricing High Growth Firms: Arbitrage Opportunities in the Inc. 100," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 5, issue 1, pages 43-60, Spring.
• Lowell W. Busenitz & James O. Fiet, 1996, "The Effects of Early Stage Venture Capitalist Actions on Eventual Venture Disposition," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 5, issue 2, pages 97-114, Summer.
• Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996, "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 5, issue 3, pages 251-269, Fall.
• Cebula, Richard, 1996, "The Rate of Return on Savings and Loan Assets," MPRA Paper, University Library of Munich, Germany, number 51018, Jun.
• Bruce Mizrach, 1996, "Learning and Conditional Heteroscedasticity in Asset Returns," Departmental Working Papers, Rutgers University, Department of Economics, number 199526, Jul.
• Donaldson, R.G. & Kamstra, M., 1996, "Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles," Discussion Papers, Department of Economics, Simon Fraser University, number dp96-02.
• Bo Martin Bibby & Michael SÛrensen, 1996, "A hyperbolic diffusion model for stock prices (*)," Finance and Stochastics, Springer, volume 1, issue 1, pages 25-41.
• 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.