Research classified by Journal of Economic Literature (JEL) codes

1996

• Eric Ghysels & Serena Ng, 1996, "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers, CIRANO, number 96s-18, Jul.
• René Garcia & Eric Ghysels, 1996, "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers, CIRANO, number 96s-34, Nov.
• Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996, "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 977, Jul.
• Dana, Rose-Anne & Le Van, Cuong, 1996, "Arbitrage, duality and asset equilibria," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9613.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996, "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9616.
• G Sandmann & Siem Jan Koopman, 1996, "Maximum Likelihood Estimation of Stochastic Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp248, Oct.
• Pierre Mella-Barral & Pierre Tychon, 1996, "Default Risk in Asset Pricing," FMG Discussion Papers, Financial Markets Group, number dp250, Oct.
• Hooper, V. & Pointon, J., 1996, "Call Features and Term to Maturity of Callable Foreign Bonds," Papers, Australian National University - Department of Economics, number 306.
• Garvey, G.T. & Grant, S. & King, S.P., 1996, "A Model of Myopic Corporate Behaviour with Efficient Stock Markets and Optimal Management Incentive Programs," Papers, Australian National University - Department of Economics, number 307.
• Caruso, M., 1996, "Stock Prices and Money Velocity: A Multi-Country Analysis," Papers, Banca Italia - Servizio di Studi, number 264.
• Kutz, M. & Schneider, M., 1996, "Coordination and Correlation in Markov Rational Belief Equilibria," Papers, Banca Italia - Servizio di Studi, number 281.
• Kurz, M. & Beltratti, A., 1996, "The Equity Premium Is No Puzzle," Papers, Banca Italia - Servizio di Studi, number 282.
• Rubio, E.M., 1996, "Testing the CCAPM on Spanish Data: A New Approach," Papers, Centro de Estudios Monetarios Y Financieros-, number 9603.
• Browne, S., 1996, "Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management," Papers, Columbia - Graduate School of Business, number 96-16.
• Nielsen, L-T & Vassalou, M, 1996, "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments," Papers, Columbia - Graduate School of Business, number 96-23.
• Moussu, C. & Thibierge, C., 1996, "Politique financiere, opportunites d'investissement et actifs incorporels en Europe: Theorie et etude empirique," Papers, Ecole Superieure de Commerce de Paris. Groupe ESCP-, number 96/129.
• Fell, J.P.C. & Levy, A., 1996, "Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles," Papers, European Monetary Institute, number 6.
• Comte, F. & Renault, E., 1996, "Long Memory in Continuous Time Stochastic Volatility Models," Papers, Toulouse - GREMAQ, number 96.406.
• Renault, E., 1996, "Econometric Models of Option Pricing Errors," Papers, Toulouse - GREMAQ, number 96.407.
• John Y. Campbell, 1996, "Consumption and the Stock Market: Interpreting International Experience," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1763.
• Chollet, P. & Ginglinger, E., 1996, "La sous-evaluation des actions a bons de souscription d'actions a l'emission en France," Papers, Institut de Recherche en Gestion. Universite de Paris XII-, number 96-10.
• Normandin, M. & St-Amour, P., 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers, Laval - Recherche en Politique Economique, number 9606.
• Faff, R. & Brooks, R., 1996, "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers, Melbourne - Centre in Finance, number 96-10.
• Jesev, T. & Brailsford, T., 1996, "The Impact of the Return Interval on The estimation of Systematic Risk in Australia," Papers, Melbourne - Centre in Finance, number 96-8.
• Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996, "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-12, Aug.
• David Backus & Silverio Foresi & Stanley Zin, 1996, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-8, Apr.
• David Backus & Silverio Foresi & Chris Telmer, 1996, "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-9, Apr.
• Andrew B. Abel & Avinash K. Dixit & Janice B. Eberly & Robert S. Pindyck, , "Options, the Value of Capital, and Investment," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 15-95.
• Domenico Cuoco & Jaksa Cvitanic, , "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 4-96.
• Namur, D., 1996, "Diversification internationale sous contrainte et couverture contre le risque de change," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9606.
• Irvine, P.J.A., 1996, "Do Analystz' Reports Generate Trade for Their Firms? Evidence from the Toronto Stock Exchange," Papers, Rochester, Business - Ph.D.,, number 77.
• Elden, R.M., 1996, "The Relation between Mutual-Fund Flow, Trading Activity and Performance," Papers, Rochester, Business - Ph.D.,, number 80.
• Soderlind, P & Svensson, L-E-O, 1996, "New Techniques to Extract Market Expectations from Financial Instruments," Papers, Stockholm - International Economic Studies, number 621.
• Ber, H. & Yafeh, Y. & Yosha, O., 1996, "The Post-Issue Performance of IPO Firms when Banking Is Concentrated and Universal," Papers, Tel Aviv, number 26-96.
• Englund, P. & Ioannides, Y.M., 1996, "House Price Dynamics: An International Empirical Perspective," Papers, Uppsala - Working Paper Series, number 1996-01.
• Björk, Tomas & Näslund, Bertil, 1996, "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 122, Sep.
• Björk, Tomas, 1996, "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 133, Nov.
• Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996, "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 143, Dec.
• Campbell, John, 1996, "Understanding Risk and Return," Scholarly Articles, Harvard University Department of Economics, number 3153293.
• Boeheim, Rene & Boss, Michael, 1996, "Consumption Based Capital Asset Pricing and the Austrian Stock Exchange," Economics Series, Institute for Advanced Studies, number 29, May.
• Lewis, Karen K, 1996, "Stochastic Regime Switching and Stabilizing Policies within Regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 1, issue 2, pages 71-85, April.
• Mr. Anthony J. Richards, 1996, "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?," IMF Working Papers, International Monetary Fund, number 1996/029, Apr.

1995

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

1994

• Sophie Manigart & Peter Joos & Donaat De Vos, 1994, "The Performance of Publicly Traded European Venture Capital Companies," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 3, issue 2, pages 111-125, Spring.
• Daniel L. McConaughy & Manjeet S. Dhatt & Yong H. Kim, 1994, "Corporate Efficiency, Profitability, and Value Changes after the IPO," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 3, issue 2, pages 167-170, Spring.
• Terry Dorsey, 1994, "Portfolio Management for Privately-Held Securities: Investment Selection and Performance Measurement," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 3, issue 2, pages 171-176, Spring.
• Dilip B. Madan & Frank Milne, 1994, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper, Economics Department, Queen's University, number 1158, Jul.
• William Perraudin & Bent Sørensen, 1994, "Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing," Discussion Papers, University of Copenhagen. Department of Economics, number 94-16, Dec.
• Ghysels, E. & Jasiak, J., 1994, "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9403.
• Ghysels, E. & Jasiak, J., 1994, "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9403.
• Bernard Dumas, 1994, "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, National Bureau of Economic Research, Inc, "The Internationalization of Equity Markets".
• Lars Peter Hansen & Ravi Jagannathan, 1994, "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0153, Feb.
• Andrea E. Beltratti & Robert J. Shiller, 1991, "Actual and Warranted Relations Between Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 3640, Mar.
• Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994, "The Implications of First-Order Risk Aversion for Asset Market Risk Premiums," NBER Working Papers, National Bureau of Economic Research, Inc, number 4624, Jan.
• Eugene N. White & Peter Rappoport, 1994, "The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?," NBER Working Papers, National Bureau of Economic Research, Inc, number 4627, Jan.
• Bernard Dumas, 1994, "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Working Papers, National Bureau of Economic Research, Inc, number 4657, Feb.
• David K. Backus & Stanley E. Zin, 1994, "Reverse Engineering the Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc, number 4676, Mar.
• Shmuel Kandel & Robert F. Stambaugh, 1994, "Portfolio Inefficiency and the Cross-Section of Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 4702, Apr.
• A. Craig MacKinlay, 1994, "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers, National Bureau of Economic Research, Inc, number 4756, Jun.
• Jesse M. Abraham & Patric H. Hendershott, 1994, "Bubbles in Metropolitan Housing Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 4774, Jun.
• Patric H. Hendershott, 1994, "Rental Adjustment & Valuation of Real Estate in Overbuilt Markets: Fundamental vs. Reported Office Market Values in Sydney Australia," NBER Working Papers, National Bureau of Economic Research, Inc, number 4775, Jun.
• Roni Michaely & Richard H. Thaler & Kent Womack, 1994, "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," NBER Working Papers, National Bureau of Economic Research, Inc, number 4778, Jun.
• Thomas Gehrig & Matthew Jackson, 1994, "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1107, Oct.
• Tzavalis, E. & Wickens, M.R., 1994, "The Persistence in Volatility of the US Term Premium 1970-1986," Discussion Papers, University of Exeter, Department of Economics, number 9409.
• Lars Norden, 1994, "Daily distribution of Swedish OMX-index returns over intraday-to-intraday time intervals," Finnish Economic Papers, Finnish Economic Association, volume 7, issue 1, pages 3-16, Spring.
• Kim Nummelin, 1994, "Risk aversion, multivariate proxies and the behavior of asset returns," Finnish Economic Papers, Finnish Economic Association, volume 7, issue 2, pages 94-107, Autumn.
• Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994, "The implications of first-order risk aversion for asset market risk premiums," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago, number 94-22.
• Lars Peter Hansen & Ravi Jagannathan, 1994, "Assessing specification errors in stochastic discount factor models," Staff Report, Federal Reserve Bank of Minneapolis, number 167, DOI: 10.21034/sr.167.
• Backus, D.K. & Foresi, S. & Zin, S.E., 1994, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Papers, Columbia - Graduate School of Business, number 95-02.
• Schwert, G.W., 1994, "Mark-up Pricing in Mergers and Acquisitions," Papers, Rochester, Business - Financial Research and Policy Studies, number 95-01.
• Bernard Dumas & Bruno Solnik, 1994, "The world price of foreign exchange risk," Working Papers, HAL, number hal-00607984.
• Svensson, Lars E O, 1994, "The Simplest Test of Inflation Target Credibility," CEPR Discussion Papers, Centre for Economic Policy Research, number 940, Apr.
• Svensson, Lars E O, 1994, "Monetary Policy with Flexible Exchange Rates and Forward Interest Rates as Indicators," CEPR Discussion Papers, Centre for Economic Policy Research, number 941, Apr.
• Dumas, B. & Solnik, B., 1994, "The World Price of Foreign Exchange Risk," DELTA Working Papers, DELTA (Ecole normale supérieure), number 94-05.
• Dumas, B., 1994, "A Test of the International Capm using Business Cycles Indicators as Instrumental Variables," DELTA Working Papers, DELTA (Ecole normale supérieure), number 94-07.
• Magill, Michael & Quinzii, Martine, 1994, "Infinite Horizon Incomplete Markets," Econometrica, Econometric Society, volume 62, issue 4, pages 853-880, July.
• G. Booth & Mustafa Chowdhury & Teppo Martikainen, 1994, "The effect of foreign ownership restrictions on stock price dynamics," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 130, issue 4, pages 730-746, December, DOI: 10.1007/BF02707534.
• David K. Backus & Stanley E. Zin, 1994, "Reverse Engineering the Yield Curve," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 94-09.
• David K. Backus & Silverio Foresi & Stanley E. Zin, 1994, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 94-28.
• Dow, James & Gorton, Gary, 1994, "Arbitrage Chains," Journal of Finance, American Finance Association, volume 49, issue 3, pages 819-849, July.
• Dilip B. Madan & Frank Milne, 1994, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, volume 4, issue 3, pages 223-245, July, DOI: 10.1111/j.1467-9965.1994.tb00093.x.
• Marco Bonomo & René Garcia, 1994, "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers, CIRANO, number 94s-14, Oct.
• Svensson, Lars E O, 1994, "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers, Centre for Economic Policy Research, number 1051, Oct.
• Begoña Basarrate & Gonzalo Rubio, 1994, "El efecto maquillaje de la instituciones de inversión colectiva la legislación fiscal y la estacionalidad del mercado de valores," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 36-51.
• Lorenzo de Cristobal y de Nicolás, 1994, "Evolución de los productos derivados sobre tipos de interés en España: análisis de sus riestos y ventajas," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 52-69.
• Arturo de la Lama López-Areal, 1994, "Regulación y control de los nuevos riesgos," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 70-93.
• Angel Berges Lobera, 1994, "El seguro en la moderna teoría financiera," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 94-109.
• Agustín Garmendia Iribar, 1994, "Deuda pública de Euskadi," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 126-147.
• Alberto Alberdi & Leyre Barrena & Arantza Olalde, 1994, "Aproximación a las cuentas financieras de la economía vasca 1985-1991," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 178-229.

1993

• James Dow & Gary Gorton, 1993, "Arbitrage Chains," CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX., number 0035, Oct.
• Pindyck, Robert S, 1993, "The Present Value Model of Rational Commodity Pricing," Economic Journal, Royal Economic Society, volume 103, issue 418, pages 511-530, May.
• Garcia, R. & Bonomo, M., 1993, "Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9334.
• John Y. Campbell, 1993, "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0142, Sep.
• Lars Peter Hansen & John Heaton & Erzo G.J. Luttmer, 1993, "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0145, Oct.
• Robert S. Pindyck, 1992, "The Present Value Model of Rational Commodity Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 4083, May.
• Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1993, "The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 4294, Mar.
• James Dow & Gary Gorton, 1993, "Arbitrage Chains," NBER Working Papers, National Bureau of Economic Research, Inc, number 4314, Apr.
• James Dow & Gary Gorton, 1993, "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 4315, Apr.
• John Campbell & Jianping Mei, 1993, "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 4329, Apr.
• Bernard Dumas & Bruno Solnik, 1993, "The World Price of Foreign Exchange Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 4459, Sep.
• John Y. Campbell, 1993, "Understanding Risk and Return," NBER Working Papers, National Bureau of Economic Research, Inc, number 4554, Nov.
• Beltratti, Andrea E & Shiller, Robert J, 1993, "Actual and Warranted Relations between Asset Prices," Oxford Economic Papers, Oxford University Press, volume 45, issue 3, pages 387-402, July.
• Zuliu Hu, 1993, "The Yield Curve and Real Activity," IMF Staff Papers, Palgrave Macmillan, volume 40, issue 4, pages 781-806, December.
• Robert M. Hull & Richard Fortin, 1993, "Issuance Expenses and Common Stock Offerings for Over-the-Counter Firms," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 3, issue 1, pages 1-16, Fall.
• Sung-Il Cho, 1993, "Who Failed to Go Public with Best Efforts Offerings," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 3, issue 1, pages 63-77, Fall.
• Marco Antonio Bonomo & Rene Garcia, 1993, "Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 308, Sep.
• Per Frennberg & Björn Hansson, 1993, "Some distributional properties of monthly stock returns in Sweden 1919-1990," Finnish Economic Papers, Finnish Economic Association, volume 6, issue 2, pages 108-122, Autumn.
• Dumas, B. & Solnik, B., 1993, "The World Price of Foreign Exchange Risk," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 93-9.