Research classified by Journal of Economic Literature (JEL) codes

2004

• Jana Fajtová, 2004, "Open-Ending of Closed-End Funds in the CR: Price and Discount Reaction - Empirical Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 1-2, pages 22-49, January.
• Pavel Bouc & Martin Cincibuch, 2004, "An Interpretation of Czech FX Options," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 286-304, July.
• Vladimír Gazda & Karel Koøený & Tomáš Výrost, 2004, "Defection of Traditional Standard Deviation Scaling of Capital Asset Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 325-334, July.
• Samita Sareen & Ali Hortacsu, 2004, "Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions," Working Papers, Fondazione Eni Enrico Mattei, number 2004.145, Dec.
• Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat, 2004, "An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 101-115, December.
• Roger B. Atindéhou, Jean-Pierre Gueyié, 2004, "Canadian Mutual Fund Flows and Capital Market Movements," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 70-84, December.
• John Krainer & Jose A. Lopez, 2004, "Using Securities Market Information for Bank Supervisory Monitoring," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-05, May, DOI: 10.24148/wp2004-05.
• Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2004, "Do actions speak louder than words? the response of asset prices to monetary policy actions and statements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-66.
• Paul Gao & Kevin X. D. Huang, 2004, "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-07.
• Michael J. Fleming & Kenneth D. Garbade & Frank M. Keane, 2004, "Anomalous bidding in short-term Treasury bill auctions," Staff Reports, Federal Reserve Bank of New York, number 184, May.
• Stéphanie LAVIGNE (ESC Toulouse and GRES-LEREPS), 2004, "Modelling an artificial stock market: When cognitive institutions influence market dynamics," Cahiers du GRES (2002-2009), Groupement de Recherches Economiques et Sociales, number 2004-04.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00308982.
• Wassim Daher & Leonard J Mirman, 2004, "Market Structure and Insider Trading," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03322686, Mar.
• Wassim Daher & Leonard J Mirman, 2004, "Cournot duopoly and insider trading with two insiders," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03331519, Sep.
• Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004, "La volatilité des marchés augmente-elle ?," Post-Print, HAL, number hal-00308982.
• Christian Walter, 2004, "Volatilité boursière excessive : irrationalité des comportements ou clivage des esprits ?," Post-Print, HAL, number hal-04529998, DOI: 10.3406/ecofi.2004.5033.
• Edith Ginglinger & Jacques Hamon, 2004, "Actual share repurchases, timing and liquidity," Post-Print, HAL, number halshs-00149200.
• Jean-François Casta, 2004, "Does fair value accounting provide a better representation of a company?," Post-Print, HAL, number halshs-00170461.
• Serge Darolles & Gaëlle Le Fol, 2004, "Nouvelles techniques de gestion et leur impact sur la volatilité," Post-Print, HAL, number halshs-00586095.
• Wassim Daher & Leonard J Mirman, 2004, "Market Structure and Insider Trading," Post-Print, HAL, number halshs-03322686, Mar.
• Wassim Daher & Leonard J Mirman, 2004, "Cournot duopoly and insider trading with two insiders," Post-Print, HAL, number halshs-03331519, Sep.
• Brozynski, Torsten & Menkhoff, Lukas & Schmidt, Ulrich, 2004, "The Impact of Experience on Risk Taking, Overconfidence, and Herding of Fund Managers: Complementary Survey Evidence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-292, Jan.
• Lütje, Torben, 2004, "To Be Good or To Be Better: Asset Managers Attitudes Towards Herding," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-297, May.
• Gerth, Hendrik & Niermann, Stefan, 2004, "Überrenditen durch Point and Figure-Charts: Zufall oder System?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-302, Sep.
• Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004, "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-309, Dec.
• Lütje, Torben, 2004, "Sichtweisen und Anlageverhalten des österreichischen Fondsmanagements," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-310, Dec.
• Bechmann, Ken L. & Raaballe, Johannes, 2004, "The Differences Between Stock Splits and Stock Dividends," Working Papers, Copenhagen Business School, Department of Finance, number 2004-1, Mar.
• Lidén, Erik R., 2004, "Are Underwriter-Analysts More Informed? Scandinavian Evidence," Working Papers in Economics, University of Gothenburg, Department of Economics, number 132, Jun, revised 18 Oct 2007.
• Massa, Massimo & Simonov, Andrei, 2004, "Hedging, Familiarity and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 21, Mar.
• Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004, "Privatization and Stock Market Liquidity," SIFR Research Report Series, Institute for Financial Research, number 23, Apr.
• Dahlquist, Magnus & de Jong, Frank, 2004, "Pseudo Market Timing: Fact or Fiction?," SIFR Research Report Series, Institute for Financial Research, number 24, Jun.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Ansgar Belke & Thorsten Polleit, 2004, "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 244/2004.
• Campbell, John & Vuolteenaho, Tuomo, 2004, "Bad Beta, Good Beta," Scholarly Articles, Harvard University Department of Economics, number 3122489.
• Vuolteenaho, Tuomo & Campbell, John, 2004, "Inflation Illusion and Stock Prices," Scholarly Articles, Harvard University Department of Economics, number 3196090.
• Consuelo Riaño Gil & Francisco Javier Ruiz Cabestre & Rafael Santamaría Aquilué, 2004, "Formación de precios de suscripción en el mercado bursátil español: algunas consideraciones," Investigaciones Economicas, Fundación SEPI, volume 28, issue 1, pages 141-191, January.
• Stephen Bond & Mike Hawkins & Alexander Klemm, 2004, "Stamp duty on shares and its effect on share prices," IFS Working Papers, Institute for Fiscal Studies, number W04/11, Jun.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series, Institute for Advanced Studies, number 155, May.
• Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004, "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series, Institute for Advanced Studies, number 160, Jul.
• Galina Hale, 2005, "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp062, Apr.
• Min-Hsien Chiang & Long-Jainn Hwang & Yui-Chi Wu, 2004, "Insider Trading Performance in the Taiwan Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 3, pages 239-256, December.
• Kitamura, Yukinobu, 2004, "Information Content of Inflation-Indexed Bond Prices: Evaluation of U.S. Treasury Inflation-Protection Securities," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 3, pages 115-143, October.
• Mr. Garry J. Schinasi, 2004, "Private Finance and Public Policy," IMF Working Papers, International Monetary Fund, number 2004/120, Jul.
• Elvio Accinelli, 2004, "Inversión Bajo Incertidumbre," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 1, pages 21-44, Marzo 200.
• Eneas A. Caldiño García, 2004, "An Application Of Gibbons-Ross-Shanken'S Test Of The Efficiency Of A Given Portfolio," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 1, pages 45-53, Marzo 200.
• Elenea Valenzuela D., 2004, "Consideración De Los Intangibles En La Evaluación De Acciones Por Los Analistas Financieros," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 2, pages 101-126, Junio 200.
• Manuel Lobato Osario, 2004, "Insider Trading At The Mexican Stock Exchange: Evidence From Data Augmentation," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 2, pages 169-222, Junio 200.
• Juan Carlos Gómez Sala & María Jesús Pastor, 2004, "Is The Market Over-Optimistic About The Prospects Of Firms That Issue Equity? Evidence For The Spanish Market," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-06, Feb.
• Carlos Forner & Joaquín Marhuenda, 2004, "Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-20, Oct.
• Frenkel Michael & Stadtmann Georg, 2004, "Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventionen im D-Mark/US-Dollar-Markt," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 6, pages 653-672, December, DOI: 10.1515/jbnst-2004-0603.
• Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
• Barry Harrison & David Paton, 2004, "Transition, the Evolution of Stock Market Efficiency and Entry into EU: The Case of Romania," Economic Change and Restructuring, Springer, volume 37, issue 3, pages 203-223, September, DOI: 10.1007/s10644-005-5060-y.
• Rafael Repullo & Javier Suarez, 2004, "Venture Capital Finance: A Security Design Approach," Review of Finance, Springer, volume 8, issue 1, pages 75-108.
• Luis Angel Medrano & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, Springer, volume 8, issue 2, pages 199-277.

2003

• G. Glenn Baigent, 2003, "Competitive Markets and Aggregate Information," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 593-606, Fall.
• Kolodyazhny Georgy & Medvedev Alexey, 2003, "Russian stock market: participants and their strategies," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 01-060e, Jul.
• Cannon, Edmund & Tonks, Ian, 2003, "UK annuity rates and pension replacement ratios 1957-2002," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24832, Apr.
• Blanes i Vidal, Jordi, 2003, "Credibility and cheap talk of securities analysts: theory and evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24897, Nov.
• Maryse Farhi & Marcos Antonio Macedo Cintra, 2003, "O crash de 2002: da “exuberância irracional” à “ganância infecciosa”," Brazilian Journal of Political Economy, FGV EAESP, volume 23, issue 1, pages 39-62, January, DOI: 10.1590/0101-31572004-0704.
• Parisi F, Antonino & Parisi F, Franco & Guerrero C., José Luis, 2003, "Modelos predictivos de redes neuronales en índices bursátiles," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 280, pages 721-744, octubre-d.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: Ambiguity in Estimation," 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-2003-063-F&A, Sep.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: The Importance of Dividends," 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-2003-064-F&A, Sep.
• Alexakis C. & Xanthakis E., 2003, "Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 81-96, January -.
• Christos Alexakis & Panayotis Alexakis & Manolis Xanthakis, 2003, "An investigation of Price – Volume intraday patterns under “Bull” and “Bear” market conditions," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 53-66, July - De.
• Guido BOLLIGER & Manuel KAST, 2003, "Executive Compensation and Analyst Guidance: The Link between CEO Pay and Expectations Management," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp102, Nov.
• Jean-François Bachmann & Guido Bolliger, 2003, "Who are the Best? Local Versus Foreign Analysts on the Latin American Stock Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp75, Apr.
• Gabriella Chiesa & Giovanna Nicodano, 2003, "Privatization and Financial Market Development: Theoretical Issues," Working Papers, Fondazione Eni Enrico Mattei, number 2003.1, Jan.
• Lennart Berg, 2003, "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Finnish Economic Papers, Finnish Economic Association, volume 16, issue 2, pages 61-71, Autumn.
• Jon Wongswan, 2003, "Transmission of information across international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 759.
• Luca Casolaro & Dario Focarelli & Alberto F. Pozzolo, 2003, "The pricing effect of certification on bank loans: evidence from the syndicated credit market," Proceedings, Federal Reserve Bank of Chicago, number 864.
• Michael J. Fleming, 2003, "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
• Joshua V. Rosenberg, 2003, "Nonparametric pricing of multivariate contingent claims," Staff Reports, Federal Reserve Bank of New York, number 162.
• Matthew J. Clayton & Jay C. Hartzell & Joshua V. Rosenberg, 2003, "The impact of CEO turnover on equity volatility," Staff Reports, Federal Reserve Bank of New York, number 166, May.
• John Y. Campbell & Tuomo Vuolteenaho, 2003, "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2016.
• Owen A. Lamont & Jeremy C. Stein, 2003, "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2027.
• Revold Entov & Oleg Lugovoy & S. Paschenko & Dmitry Polevoy & D. Skripkin, 2003, "Financial markets in transition economies: Some issues of development," Research Paper Series, Gaidar Institute for Economic Policy, issue 69P, pages 171-171.
• Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003, "Inventory Information," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-33, Mar.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00265674.
• 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," Post-Print, HAL, number hal-00488374.
• Jean-François Casta, 2003, "La comptabilité en " juste valeur " permet-elle une meilleure représentation de l'entreprise ?," Post-Print, HAL, number halshs-00170460.
• Gunther Capelle-Blancard, 2003, "Marchés dérivés et « trading » de volatilité," Post-Print, HAL, number halshs-00265674.
• Jean-Paul Decamps & Stefano Lovo, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," Working Papers, HAL, number hal-00592016, Jan.
• Marc Flandreau, 2003, "Crises and Punishment : Moral Hazard and the pre-1914 international financial architecture," Working Papers, HAL, number hal-01065035, Feb.
• Lütje, Torben & Menkhoff, Lukas, 2003, "Risk Management, Rational Herding and Institutional Investors: A Macro View," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-285, Oct.
• Brozynski, Torsten & Menkhoff, Lukas & Schmidt, Ulrich, 2003, "The Use of Momentum, Contrarian and Buy-&-Hold Strategies: Survey Evidence from Fund Managers," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-290, Dec.
• Lidén, Erik R., 2003, "Swedish Stock Recommendations: Information Content or Price Pressure?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 98, May, revised 19 Nov 2004.
• Lidén, Erik R., 2003, "Stock Recommendations in Swedish Printed Media: Leading or Misleading?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 99, May, revised 17 Nov 2004.
• Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
• Byström, Hans, 2003, "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Working Papers, Lund University, Department of Economics, number 2003:1, Mar.
• Byström, Hans, 2003, "The Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Working Papers, Lund University, Department of Economics, number 2003:2, Mar.
• Byström, Hans & Kwon, Oh Kang, 2003, "A Simple Continuous Measure of Credit Risk," Working Papers, Lund University, Department of Economics, number 2003:14, Oct, revised 18 Jan 2005.
• Andersson, Magnus & Lomakka, Magnus, 2003, "Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 146, Jan.
• Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2003, "Accounting Anomalies and Information Uncertainty," SIFR Research Report Series, Institute for Financial Research, number 13, Jun.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003, "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers, Hong Kong Institute for Monetary Research, number 032003, Feb.
• Biais, Bruno & Bisière, Christophe & Spatt, Chester, 2003, "Imperfect Competition in Financial Markets: ISLAND versus NASDAQ," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 220, revised Dec 2006.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Market Informational Inefficiency, Risk Aversion and Quantity Grid," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 177.
• Décamps, Jean-Paul & Lovo, Stefano, 2003, "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 246.
• Faure-Grimaud, Antoine & Laffont, Jean-Jacques & Martimort, David, 2003, "Collusion, Delegation and Supervision with Soft Information," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 167.
• Susana Menéndez & Silvia Gómez-Ansón, 2003, "Stock splits: motivations and valuation effects in the Spanish market," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 459-490, September.
• J. Carlos Gómez Sala & Jorge Yzaguirre, 2003, "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 491-531, September.
• Dupont, Dominique Y. & Lee, Gabriel S., 2003, "Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread," Economics Series, Institute for Advanced Studies, number 132, May.
• Gerardo Dubcovsky & Francisco Venegas-Martínez, 2003, "The Kalman Filter In The Event-Study Methodology," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 1, pages 81-93, Marzo 200.
• Adrián Hernández-del-Valle & Federico Reina Sosa & Héctor Allier Campuzano, 2003, "La Eficiencia En Forma Débil Y El Poder Predictivo De Los Modelos Arma-Garch," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 2, pages 95-125, Junio 200.
• Alejandra Cabello & Edgar Ortíz, 2003, "Day Of The Week And Month Of The Year Anomalies In The Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 3, pages 217-241, Septiembr.
• Amit Goyal & Ivo Welch, 2003, "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, volume 49, issue 5, pages 639-654, May, DOI: 10.1287/mnsc.49.5.639.15149.
• Carlos Forner & Joaquín Marhuenda, 2003, "El Efecto Momentum En El Mercado Español De Acciones," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-14, Jul.
• Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003, "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 2, pages 213-223, October, DOI: 10.1023/A:1026137931041.
• Armin Shmilovici & Yael Alon-Brimer & Shmuel Hauser, 2003, "Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 2, pages 273-284, October, DOI: 10.1023/A:1026198216929.
• Robert Neumann & Torben Voetmann, 2003, "Demand Curves for European Stocks Slope Down Too," Review of Finance, Springer, volume 7, issue 3, pages 437-457.
• Kabir, Rezaul & Roosenboom, Peter, 2003, "Can the stock market anticipate future operating performance? Evidence from equity rights issues," Journal of Corporate Finance, Elsevier, volume 9, issue 1, pages 93-113, January.
• Luo, Guo Ying, 2003, "Evolution, efficiency and noise traders in a one-sided auction market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 163-197, April.
• Caballe, Jordi & Sakovics, Jozsef, 2003, "Speculating against an overconfident market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 199-225, April.
• Massa, Massimo & Simonov, Andrei, 2003, "Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 99-141, April.
• Dominguez, Kathryn M. E., 2003, "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, volume 59, issue 1, pages 25-45, January.
• Payne, Richard & Vitale, Paolo, 2003, "A transaction level study of the effects of central bank intervention on exchange rates," Journal of International Economics, Elsevier, volume 61, issue 2, pages 331-352, December.
• Brandt, Loren & Li, Hongbin, 2003, "Bank discrimination in transition economies: ideology, information, or incentives?," Journal of Comparative Economics, Elsevier, volume 31, issue 3, pages 387-413, September.
• Westerhoff, Frank H., 2003, "Expectations driven distortions in the foreign exchange market," Journal of Economic Behavior & Organization, Elsevier, volume 51, issue 3, pages 389-412, July.
• Cordella, Tito, 2003, "Can short-term capital controls promote capital inflows?," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 737-745, October.
• Hon, Mark T. & Tonks, Ian, 2003, "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, volume 13, issue 1, pages 43-70, February.
• Alan Morrison & Nir Vulkan, 2003, "Making Money out of Publicly Available Information," OFRC Working Papers Series, Oxford Financial Research Centre, number 2003fe07.
• Chueh-Yung Tsao & Shu-Heng Chen, 2003, "Financial Modeling based on the Trajectory Domain," Computing in Economics and Finance 2003, Society for Computational Economics, number 36, Aug.
• Giovanni Cespa, 2003, "A Comparison of Stock Market Mechanism," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 94, Apr.
• Giovanni Cespa, 2003, "Giffen Goods and Market Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 97, May.
• Frank Westerhoff, 2003, "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, volume 13, issue 1, pages 53-70, February, DOI: 10.1007/s00191-003-0140-5.
• Ralf Schremper, 2003, "Kapitalmarktrelevanz deutscher Aktienrückkaufprogramme," Schmalenbach Journal of Business Research, Springer, volume 55, issue 6, pages 578-605, September, DOI: 10.1007/BF03372716.
• Giulio Bottazzi & Maria Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/19, Dec.
• Laura Veldkamp, 2003, "Media Frenzies in Markets for Financial Information," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 03-20.
• Chakrabarty, Debajyoti, 2003, "Growth and Business Cycles with Imperfect Credit Markets," Working Papers, University of Sydney, School of Economics, number 7, Jul.
• Philippe Bacchetta & Eric van Wincoop, 2003, "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 03.02, Feb.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• Jan Bo Jakobsen & Torben Voetmann, 2003, "Post-acquisition performance in the short and long run. Evidence from the Copenhagen Stock Exchange 1993-1997," The European Journal of Finance, Taylor & Francis Journals, volume 9, issue 4, pages 323-342, DOI: 10.1080/1351847031000074475.
• Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2003, "Coordination of Expectations in Asset Pricing Experiments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-010/1, Jan.
• Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003, "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-037/2, May, revised 13 Oct 2003.
• Alan B. Krueger & Kenneth N. Fortson, 2003, "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Journal of the European Economic Association, MIT Press, volume 1, issue 4, pages 931-957, June.
• Giulio Bottazzi & Giovanna Devetag, 2003, "Expectations Structure in Asset Pricing Experiments," ROCK Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 022, Jan, revised 12 Jun 2008.
• James Dow, 2003, "Informed Trading, Investment, and Welfare," The Journal of Business, University of Chicago Press, volume 76, issue 3, pages 439-454, July, DOI: 10.1086/375254.
• Owen A. Lamont & Richard H. Thaler, 2003, "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, volume 111, issue 2, pages 227-268, April, DOI: 10.1086/367683.
• Matías Tapia & Andrea Tokman, 2003, "Efectos de las intervenciones en el mercado cambiario: el caso de Chile," Estudios de Economia, University of Chile, Department of Economics, volume 30, issue 1 Year 20, pages 21-53, June.
• Javier DePeña & Luis A. Gil-Alana, 2003, "Serial and cross-correlation in the Spanish Stock Market returns," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/03, Jan.
• Javier De Peña & Luis A. Gil-Alana, 2003, "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 15/03, Dec.
• Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003, "January reversal in the US weekend effect," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-05, Oct.
• He, Wei & Wei, Peihwang P., 2003, "Is overreaction an explanation for the value effect? A study using implied volatility from option prices," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-11.
• José Mª Corcuera & Peter Imkeller & Arturo Kohatsu & David Nualart, 2003, "Additional utility of insiders with imperfect dynamical information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 675, Apr.
• Joachim Grammig & Erik Theissen, 2003, "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-01, Jan.
• Hans Byström & Oh-Kang Kwon, 2003, "A Simple Continuous Measure of Credit Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 111, Oct.
• Hans Byström, 2003, "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 92, Feb.
• Hans Byström, 2003, "The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 93, Feb.
• A. Colin Cameron & Anthony D. Hall, 2003, "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 94, Jun.
• R. M. Eldridge & Maurice Peat & Max Stevenson, 2003, "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 122, Jan.
• Marcos Álvarez-Díaz & Alberto Álvarez, 2003, "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0301, Feb.
• Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003, "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0303, Mar.
• Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003, "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0308, Jun.
• Raquel Arévalo Tomé & José María Chamorro Rivas, 2003, "A Quality Index for Spanish Housing," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0309, Oct.
• Steven Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "Democratization???s Risk Premium: Partisan and Opportunistic Political Business Cycle Effects on Sovereign Ratings in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 546, Feb.
• Steven A. Block & Burkhard N. Schrage & Paul M. Vaaler, 2003, "DEMOCRACY???S SPREAD: Elections and Sovereign Debt in Developing Countries," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-575, May.
• Solomon Tadesse, 2003, "The Allocation and Monitoring Role of Capital Markets: Theory and International Evidence," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp881, Mar.
• Changyun Wang, 2003, "The behavior and performance of major types of futures traders," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 1, pages 1-31, January.
• Ying‐Foon Chow & Haynes H. M. Yung & Hua Zhang, 2003, "Expiration day effects: The case of Hong Kong," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 1, pages 67-86, January.
• Peng Sun & Charles Sutcliffe, 2003, "Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 8, pages 773-797, August.
• Lamon Rutten, 2003, "New types of non-trade related participation in commodity futures markets," Finance, University Library of Munich, Germany, number 0301004, Jan.
• Thomas Schuster, 2003, "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance, University Library of Munich, Germany, number 0303002, Mar.
• Abdelhamid El Bouhadi, 2003, "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance, University Library of Munich, Germany, number 0305007, May, revised 02 Feb 2004.
• Thomas Schuster, 2003, "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, University Library of Munich, Germany, number 0305009, May.
• Ananth Rao, 2003, "Analysis of UAE Bank Stocks," Finance, University Library of Munich, Germany, number 0306001, Jun.
• Thomas Schuster, 2003, "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance, University Library of Munich, Germany, number 0307014, Jul.
• Robert A. Korajczyk & Ronnie Sadka, 2003, "Are Momentum Profits Robust to Trading Costs?," Finance, University Library of Munich, Germany, number 0308004, Aug.
• Erdinc Altay, 2003, "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance, University Library of Munich, Germany, number 0308005, Aug.
• Gil Mehrez & Daniel Kaufmann, 2003, "Transparency, Liberalization and Financial Crises," Finance, University Library of Munich, Germany, number 0308008, Aug.
• Tara Vishwanath & Daniel Kaufmann, 2003, "Towards Transparency in Finance and Governance," Finance, University Library of Munich, Germany, number 0308009, Aug.
• Michael Boguslavsky & Elena Boguslavskaya, 2003, "Optimal Arbitrage Trading," Finance, University Library of Munich, Germany, number 0309012, Sep.
• Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003, "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance, University Library of Munich, Germany, number 0312012, Dec.
• Frank Westerhoff, 2003, "Bubbles And Crashes: Optimism, Trend Extrapolation And Panic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 08, pages 829-837, DOI: 10.1142/S0219024903002237.
• Gina Nicolosi & Liang Peng & Ning Zhu, 2003, "Do Individual Investors Learn from Their Trading Experience?," Yale School of Management Working Papers, Yale School of Management, number ysm439, Nov, revised 01 Sep 2009.
• Oehler, Andreas & Häcker, Mirko, 2003, "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers, University of Bamberg, Chair of Finance, number 20.
• Takalo, Tuomas & Toivanen, Otto, 2003, "Equilibrium in financial markets with adverse selection," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2003.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Franzke, Stefanie A. & Grohs, Stefanie & Laux, Christian, 2003, "Initial public offerings and venture capital in Germany," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/26.
• Hess, Dieter E., 2003, "Determinants of the relative price impact of unanticipated information in US macroeconomic releases," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 46.
• Stolpe, Michael, 2003, "Learning and signalling in the French and German venture capital industries," Kiel Working Papers, Kiel Institute for the World Economy, number 1156.
• Pierdzioch, Christian & Stadtmann, Georg, 2003, "The effectiveness of the interventions of the Swiss National Bank: an event-study analysis," Kiel Working Papers, Kiel Institute for the World Economy, number 1160.