Research classified by Journal of Economic Literature (JEL) codes

2003

• Chris D'Souza & Charles Gaa & Jing Yang, 2003, "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers, Bank of Canada, number 03-28, DOI: 10.34989/swp-2003-28.
• Giovanni Cespa, 2015, "A comparison of stock market mechanisms," Working Papers, Barcelona School of Economics, number 50, Sep.
• Giovanni Cespa, 2015, "Giffen Goods and Market Making," Working Papers, Barcelona School of Economics, number 68, Sep.
• Peter Temin & Hans-Joachim Voth, 2015, "Riding the South Sea Bubble," Working Papers, Barcelona School of Economics, number 91, Sep.
• Benjamin H. Cohen & Hyun Song Shin, 2003, "Positive feedback trading under stress: Evidence from the US Treasury securities market," BIS Working Papers, Bank for International Settlements, number 122, Jan.
• David Hirshleifer & Siew Hong Teoh, 2003, "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, volume 9, issue 1, pages 25-66, March, DOI: 10.1111/1468-036X.00207.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003, "The Value Spread," Journal of Finance, American Finance Association, volume 58, issue 2, pages 609-641, April, DOI: 10.1111/1540-6261.00539.
• Paul A. Gompers & Josh Lerner, 2003, "The Really Long‐Run Performance of Initial Public Offerings: The Pre‐Nasdaq Evidence," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1355-1392, August, DOI: 10.1111/1540-6261.00570.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Hasan Bakhshi & George Kapetanios & Anthony Yates, 2003, "Rational expectations and fixed-event forecasts: an application to UK inflation," Bank of England working papers, Bank of England, number 176, Feb.
• Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003, "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers, Bank of Greece, number 08, Dec.
• Benjamin Miranda Tabak & Sandro Canesso de Andrade, 2003, "Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 1, pages 19-43.
• Marco Bonomo & Ivana Dall'Agnol, 2003, "Abnormal Returns and Contrarian Strategies," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 165-215.
• Ailton Cassetari, 2003, "The Maximum Entropy Principle and the Modern Portfolio Theory," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 271-300.
• Alan D. Morrison & Nir Vulcan, 2003, "Making Money out of Publicly Available Information," The Centre for Market and Public Organisation, The Centre for Market and Public Organisation, University of Bristol, UK, number 03/065, Feb.
• Alexis Cellier, 2003, "Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 65-82.
• Rudy De Winne & Christophe Majois, 2003, "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 4, pages 91-136.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et trading de volatilité," Revue économique, Presses de Sciences-Po, volume 54, issue 3, pages 663-673.
• Oscar Jorda & Holly Liu & Jeffrey Williams, 2003, "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers, University of California, Davis, Department of Economics, number 41, Jan.
• Shreekant Gupta, 2003, "Do Stock Markets Penalise Environment-Unfriendly Behaviour? Evidence from India," Working papers, Centre for Development Economics, Delhi School of Economics, number 116, Mar.
• Fatum, Rasmus & Scholnick, Barry, 2003, "Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market," Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz, number qt4cc3291n, May.
• Kelly, David L. & Steigerwald, Douglas G, 2003, "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt00n4h4mw, Aug.
• Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003, "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6zf5469f, Apr.
• Rodolfo Apreda, 2003, "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 239, Jul.
• Matías Tapia & Andrea Tokman, 2003, "Efectos de las Intervenciones en el Mercado Cambiario: El Caso de Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 206, Mar.
• Richard K. Lyons, 2003, "Explaining and Forecasting Exchange Rates with Order Flows," Economie Internationale, CEPII research center, issue 96, pages 107-127.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Pauline Hyme, 2003, "La teoría de los mercados de capitales eficientes. Un examen crítico," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003, "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003029, Mar.
• Flandreau, Marc, 2003, "Crises and Punishment: Moral Hazard and the Pre-1914 International Financial Architecture," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3742, Feb.
• Bacchetta, Philippe & van Wincoop, Eric, 2003, "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3808, Feb.
• Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003, "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3900, May.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003, "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4091, Oct.
• Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003, "Explaining movements in UK stock prices:," Working Papers, University of Crete, Department of Economics, number 0302, Jan.
• Pascal Barneto, 2003, "La scission d'Eridania-Béghin-Say:essai d'évaluation par un modèle d'options réelles," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 2, pages 5-42, June.
• Salim Chahine & Jean-Pierre Mathieu, 2003, "Valorisation stratégique par contextes de valeur:le cas des introductions sur le Nouveau marché," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 2, pages 91-114, June.
• Fabrice Hervé, 2003, "La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires," Revue Finance Contrôle Stratégie, revues.org, volume 6, issue 3, pages 41-77, September.
• LOVO, Stefano & DECAMPS, Jean-Paul, 2003, "Market informational inefficiency, risk aversion and quantity grid," HEC Research Papers Series, HEC Paris, number 770, Jan.
• Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003, "Does anonymity matter in electronic limit order markets ?," HEC Research Papers Series, HEC Paris, number 784, Jul.
• Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 177, Jun.
• Grinblatt, Mark & Han, Bing, 2003, "The Disposition Effect and Momentum," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-3, Dec.
• Malmendier, Ulrike M. & Tate, Geoffrey, 2003, "Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction," Research Papers, Stanford University, Graduate School of Business, number 1798, Dec.

2002

• Gunther Capelle-Blancard & Séverine Vandelanoite, 2002, "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
• Haigh, Michael S. & Nomikos, Nikos K. & Bessler, David A., 2002, "Integration And Causality In International Freight Markets--Modeling With Error Correction And Directed Acyclic Graphs," Working Papers, University of Maryland, Department of Agricultural and Resource Economics, number 28558, DOI: 10.22004/ag.econ.28558.
• Nikolai Stoichev, 2002, "Information Noise in the Stock Market and Profitability of the Financial Asset," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 88-115.
• Orlin Todorov, 2002, "The Impact of Information Asymmetry on Financial Markets and Hypotheses for Rationing of Assets to Finance for the Small and Medium-Sized Enterprises," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 147-168.
• Nikolay Stoychev, 2002, "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
• Chris D'Souza, 2002, "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Staff Working Papers, Bank of Canada, number 02-16, DOI: 10.34989/swp-2002-16.
• Veronika Dolar & Césaire Meh, 2002, "Financial Structure and Economic Growth: A Non-Technical Survey," Staff Working Papers, Bank of Canada, number 02-24, DOI: 10.34989/swp-2002-24.
• Nicolas Audet & Toni Gravelle & Jing Yang, 2002, "Alternative Trading Systems: Does One Shoe Fit All?," Staff Working Papers, Bank of Canada, number 02-33, DOI: 10.34989/swp-2002-33.
• Chris D'Souza, 2002, "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers, Bank of Canada, number 02-34, DOI: 10.34989/swp-2002-34.
• Luis Eduardo Arango & Yanneth R.Betancourth, 2002, "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia, Banco de la Republica de Colombia, number 216, Aug, DOI: 10.32468/be.216.
• Benjamin Cohen & Hyun Song Shin, 2002, "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Market functioning and central bank policy".
• Jan Hanousek & Richard Podpiera, 2002, "Information–driven trading at the Prague Stock Exchange: Evidence from Intra–Day Data," The Economics of Transition, The European Bank for Reconstruction and Development, volume 10, issue 3, pages 747-759, November, DOI: 10.1111/1468-0351.t01-1-00132.
• Martin D. D. Evans, 2002, "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, volume 57, issue 6, pages 2405-2447, December, DOI: 10.1111/1540-6261.00501.
• J.-H. Steffi Yang & Satchell, S.E., 2002, "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0219, Jul.
• Jorge M.Streb & Javier Bolzico & Pablo Druck & Alejandro Henke & José Rutman & Walter Sosa Escudero, 2002, "Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 216, May.
• Peter Christoffersen & Francis X. Diebold, 2002, "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers, CIRANO, number 2002s-02, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• Jackson, Matthew O. & Kremer, Ilan, 2002, "On the Concentration of Allocations and Comparisons of Auctions in Large Economies," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 1146, Nov.
• Luis Eduardo Arango & Yanneth R. Betancourt, 2002, "A Signal Of Imperfect Portfolio Capital Adjustments From The Relationschip Between Yields Of Domestic And Foreign Colombian Debt," Borradores de Economia, Banco de la Republica, number 1934, Aug.
• Ignacio V√©lez-Pareja, 2002, "Costo de capital para empresas no transadas en bolsa," Proyecciones Financieras y Valoración, Master Consultores, number 2207, May.
• DURENARD, Eugene & VEREDAS, David, 2002, "Macro surprises and short-term behaviour in bond futures," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002037, Jun.
• GIOT, Pierre & GRAMMIG, Joachim, 2002, "How large is liquidity risk in an automated auction market ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002054, Oct.
• MODICA, Salvatore, 2002, "Asset trading with informed price makers," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002066, Oct.
• Voth, Hans-Joachim, 2002, "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3254, Mar.
• Biais, Bruno & Glosten, Larry & Spatt, Chester S, 2002, "The Microstructure of Stock Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3288, Mar.
• Vives, Xavier & Medrano, Luis Angel, 2002, "Regulating Insider Trading when Investment Matters," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3292, Apr.
• Foucault, Thierry & Desgranges, Gabriel, 2002, "Reputation-Based Pricing and Price Improvements in Dealership Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3359, May.
• Jenkinson, Tim & Jones, Howard, 2002, "Bids and Allocations in European IPO Bookbuilding," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3644, Nov.
• Hau, Harald, 2002, "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3651, Nov.
• Hollifield, Burton & SandÃ¥s, Patrik & Miller, Robert A. & Slive, Joshua, 2002, "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3676, Dec.
• Edmund H. Mantell, 2002, "A Stochastic Theory of Limit Order Transactions in Securities Markets," Annals of Economics and Finance, Society for AEF, volume 3, issue 1, pages 149-167, May.
• Robert J. Shiller, 2002, "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1385, Oct.
• Jeeman Jung & Robert J. Shiller, 2002, "One Simple Test of Samuelson's Dictum for the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1386, Oct.
• Pierre-Xavier Meschi & Jérôme Hubler, 2002, "Alliances internationales, accumulation d'expérience et création de valeur pour les actionnaires:le cas des coentreprises sino-françaises," Revue Finance Contrôle Stratégie, revues.org, volume 5, issue 3, pages 169-194, September.
• Chau, Minh, 2002, "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 02025, Nov.
• LOVO, Stefano & DECAMPS, Jean-Paul, 2002, "Risk aversion and herd behavior in financial markets," HEC Research Papers Series, HEC Paris, number 758, May.
• Manganelli, Simone, 2002, "Duration, volume and volatility impact of trades," Working Paper Series, European Central Bank, number 125, Feb.
• Grande, Giuseppe & Ventura, Luigi, 2002, "Labor income and risky assets under market incompleteness: Evidence from Italian data," Journal of Banking & Finance, Elsevier, volume 26, issue 2-3, pages 597-620, March.
• Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002, "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 171-205.
• Jones, Charles M. & Lamont, Owen A., 2002, "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 207-239.
• Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002, "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 409-462.
• William Schwert, G., 2002, "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 3-26, January.
• Cowan, Arnold R. & Howell, Jann C. & Power, Mark L., 2002, "Wealth effects of banks' rights to market and originate annuities," The Quarterly Review of Economics and Finance, Elsevier, volume 42, issue 3, pages 487-503.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012, "Prediction Markets for Economic Forecasting," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-33, Jul.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013, "What do the Fama-French Factors Add to C-CAPM?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-23, May.
• Hon, Mark T. & Tonks, Ian, 2002, "Momentum in the UK stock market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24909, Feb.
• Zigrand, Jean-Pierre, 2002, "Rational asset pricing implications from realistic trading frictions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24933, Mar.
• Maillet, Bertrand & Michel, Thierry, 2002, "How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24936, Jul.
• Farinós Viñas, José Emilio & García, C. José & Ibáñez, Ana M.ª, 2002, "Problemas en la estimación y en el contraste de los rendimientos anormales a largo plazo: Estado de la cuestión," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Martínez Sedano, Miguel Ángel & Rubio Irigoyen, Gonzalo & Tapia, Mikel, 2002, "Understanding the ex-ante cost of liquidity in the limit order book: A note," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
• G. Dionne & F. Giuliano & P. Picard, 2002, "Optimal auditing for insurance fraud," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2002-32.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-91-F&A, Oct.
• Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002, "Dividing the Pie," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-101-F&A, Oct.
• Kabir, R. & Roosenboom, P.G.J., 2002, "Can the stock market anticipate future operating performance? Evidence from equity rights issues," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-102-F&A, Nov.
• Andrew Hughes Hallett & Christian R. Richter, 2002, "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," The Economic and Social Review, Economic and Social Studies, volume 33, issue 3, pages 333-356.
• Angelo Ranaldo, 2002, "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp45, Feb.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
• Michael J. Fleming, 2002, "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports, Federal Reserve Bank of New York, number 145.
• Ian Tonks & Mark T Hon, 2002, "Mommentum in the UK Stock Market," FMG Discussion Papers, Financial Markets Group, number dp405, Feb.
• Thierry Michel & Bertrand Maillet, 2002, "How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks," FMG Discussion Papers, Financial Markets Group, number dp417, Jul.
• John Y. Campbell & Tuomo Vuolteenaho, 2002, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1971.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1977.
• Koulouriotis, D.E. & Emiris, D.M. & Diakoulakis, I.E. & Zopounidis, C., 2002, "Behavioristic Analysis And Comparative Evaluation Of Intelligent Methodologies For Short-Term Stock Price Forecasting," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 23-57, November.
• Daniel Levy & Shantanu Dutta & Mark Bergen, 2002, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data," Post-Print, HAL, number hal-02386496, DOI: 10.1353/mcb.2002.0031.
• Jean-François Gajewski & Edith Ginglinger, 2002, "Seasoned equity issues in a closely held market: evidence from France," Post-Print, HAL, number halshs-00138293, DOI: 10.1023/A:1022024925877.
• Karine Michalon, 2002, "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print, HAL, number halshs-00142776.
• Jean-Paul Decamps & Stefano Lovo, 2002, "Risk Aversion and Herd Behavior in Financial Markets," Working Papers, HAL, number hal-00593657, May.
• Jozsef Molnar, 2002, "Preemptive Horizontal Mergers: Theory and Evidence," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0213, Dec.
• Bechmann, Ken L., 2002, "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers, Copenhagen Business School, Department of Finance, number 2002-2, Mar.
• Daunfeldt, Sven-Olov, 2002, "Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden," Umeå Economic Studies, Umeå University, Department of Economics, number 585, Feb.
• Brännäs, Kurt, 2002, "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," Umeå Economic Studies, Umeå University, Department of Economics, number 592, Oct.
• Neringa Jarmalaite Pritchard, 2002, "The Relationship between Accounting Numbers and Returns in the Baltic Stock Markets," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0206.
• Jorge M. Streb & Javier Bolzico & Pablo Druck & Alejandro Henke & José Rutman & Walter Sosa Escudero, 2002, "Bank Relationships: Effect on the Availability and Marginal Cost of Credit for Firms in Argentina," Research Department Publications, Inter-American Development Bank, Research Department, number 3140, May.
• John Cable & Andrew Henley & Kevin Holland, 2002, "Pot of gold or winner's curse? An event study of the auctions of 3G mobile telephone licences in the UK," Fiscal Studies, Institute for Fiscal Studies, volume 23, issue 4, pages 447-462, December.
• Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2002, "The Day-of-the-Week Effect Revisited: An Alternative Testing Approach," Economics Series, Institute for Advanced Studies, number 127, Nov.
• Qi Li, 2002, "Market Opening and Stock Market Behavior: Taiwan's Experience," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 9-16, April.
• Juan Carlos Gómez Sala & Ana Gil & Francisco Poveda, 2002, "Revisión De Expectativas En Las Presentaciones De Empresa Ante Los Analistas Financieros," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-19, Aug.
• Johann Burgstaller, 2002, "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2002-07, Jul.
• Krämer Walter, 2002, "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 2, pages 210-229, April, DOI: 10.1515/jbnst-2002-0204.
• Dionne, Georges & Gagne, Robert, 2002, "Replacement Cost Endorsement and Opportunistic Fraud in Automobile Insurance," Journal of Risk and Uncertainty, Springer, volume 24, issue 3, pages 213-230, May.
• Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002, "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, volume 19, issue 4, pages 611-639, August.
• Cordella, Tito & Yeyati, Eduardo Levy, 2002, "Financial opening, deposit insurance, and risk in a model of banking competition," European Economic Review, Elsevier, volume 46, issue 3, pages 471-485, March.
• Cespa, Giovanni, 2002, "Short-term investment and equilibrium multiplicity," European Economic Review, Elsevier, volume 46, issue 9, pages 1645-1670, October.
• Gerhard, Frank & Hautsch, Nikolaus, 2002, "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, volume 9, issue 1, pages 57-89, January.
• Hong, Harrison & Rady, Sven, 2002, "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, volume 5, issue 4, pages 419-450, October.
• Komáromi, György, 2002, "A hatékony piacok elméletének elméleti és gyakorlati relevanciája
  [The theoretical and practical relevance of the theory of efficient markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 377-395.
• Livio Stracca, 2002, "Behavioural Finance and Aggregate Market Behaviour: Where do we Stand?," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 02/10, May.
• David Hojman & Robert F. K. Wynn, 2002, "Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis," Working Papers, University of Liverpool, Department of Economics, number 2002_03.
• Fabrice Herve, 2002, "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers, Laboratoire Orléanais de Gestion - université d'Orléans, number 2002-3.
• Levy, Daniel & Dutta, Shantanu & Bergen, Mark, 2002, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Microlevel Data," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 1, pages 197-220, February.
• Fleming, Michael J, 2002, "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 707-735, August.
• George Athanassakos, 2002, "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 1-27, March.
• Bilgehan Yazici & Gulnur Muradoglu, 2002, "Dissemination of Stock Recommendations and Small Investors: Who Benefits?," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 29-42, March.
• Rashid Al-Qenae & Carmen Li & Bob Wearing, 2002, "The Information Content of Earnings on Stock Prices: The Kuwait Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 3-4, pages 197-221, September.
• Zoe McLaren, 2002, "The Effectiveness Of Reserve Bank Of Australia Foreign Exchange Intervention," Department of Economics - Working Papers Series, The University of Melbourne, number 849.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-17.
• Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002, "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2002.
• Alberto Zazzaro, 2002, "The Allocation of Entrepreneurial Talent under Imperfect Lending Decisions," Rivista italiana degli economisti, Società editrice il Mulino, issue 3, pages 303-330.
• Amit Goyal & Ivo Welch, 2002, "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers, National Bureau of Economic Research, Inc, number 8788, Feb.
• Wayne Ferson & Kenneth Khang, 2002, "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 8790, Feb.
• Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002, "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 8791, Feb.
• Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002, "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8793, Feb.
• Malcolm Baker & Jeremy C. Stein, 2002, "Market Liquidity as a Sentiment Indicator," NBER Working Papers, National Bureau of Economic Research, Inc, number 8816, Feb.
• Urban Jermann & Vincenzo Quadrini, 2002, "Stock Market Boom and the Productivity Gains of the 1990s," NBER Working Papers, National Bureau of Economic Research, Inc, number 9034, Jun.
• Owen A. Lamont, 2002, "Evaluating Value Weighting: Corporate Events and Market Timing," NBER Working Papers, National Bureau of Economic Research, Inc, number 9049, Jul.
• Arik Ben Dor & Ravi Jagannathan, 2002, "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 9111, Aug.
• Paul Asquith & Michael B. Mikhail & Andrea S. Au, 2002, "Information Content of Equity Analyst Reports," NBER Working Papers, National Bureau of Economic Research, Inc, number 9246, Oct.
• Jeeman Jung & Robert J. Shiller, 2002, "One Simple Test of Samuelson's Dictum for the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 9348, Nov.
• Patrick Lenain & Marcos Bonturi & Vincent Koen, 2002, "The Economic Consequences of Terrorism," OECD Economics Department Working Papers, OECD Publishing, number 334, Jul, DOI: 10.1787/511778841283.
• George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2002, "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 117, issue 1, pages 269-296.
• Nikolaus Hautsch & Dieter Hess, 2002, "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, volume 6, issue 2, pages 133-161.
• Jean-François Gajewski & Edith Ginglinger, 2002, "Seasoned Equity Issues in a Closely Held Market: Evidence from France," Review of Finance, European Finance Association, volume 6, issue 3, pages 291-319.
• Robert R. Bliss & Mark J. Flannery, 2002, "Market Discipline in the Governance of U.S. Bank Holding Companies: Monitoring vs. Influencing," Review of Finance, European Finance Association, volume 6, issue 3, pages 361-396.
• Alexander Guembel & Itay Goldstein, 2002, "Manipulation, the allocational role of prices and production externalities," Economics Series Working Papers, University of Oxford, Department of Economics, number 2002-FE-02, Feb.
• Ana Paula Serra, 2002, "Event Study Tests: A brief survey," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 117, May.
• Boyer, Tristan, 2002, "Gouvernement d'entreprise et décisions d'emploi
  [Corporate Governance and employment decisions]," MPRA Paper, University Library of Munich, Germany, number 10287.
• Hernandez-Verme, Paula, 2002, "Inflation, Growth and Exchange Rate Regimes in Small Open Economies," MPRA Paper, University Library of Munich, Germany, number 16699, Aug, revised Aug 2009.