Research classified by Journal of Economic Literature (JEL) codes

2005

• Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005, "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, volume 24, issue 7, pages 1108-1125, November.
• Rosa, Carlo & Verga, Giovanni, 2005, "The importance of the wording of the ECB," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 19888, Jun.

2004

• Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2004, "The accuracy of press reports regarding the foreign exchange interventions of the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 14, issue 1, pages 25-36, February.
• Bystrom, Hans N. E., 2004, "The market's view on the probability of banking sector failure: cross-country comparisons," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 14, issue 5, pages 419-438, December.
• Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004, "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 4, pages 589-609.
• Norden, Lars & Weber, Martin, 2004, "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, volume 28, issue 11, pages 2813-2843, November.
• Block, Steven A. & Vaaler, Paul M., 2004, "The price of democracy: sovereign risk ratings, bond spreads and political business cycles in developing countries," Journal of International Money and Finance, Elsevier, volume 23, issue 6, pages 917-946, October.
• Brown, Jeffrey R. & Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2004, "An empirical analysis of the economic impact of federal terrorism reinsurance," Journal of Monetary Economics, Elsevier, volume 51, issue 5, pages 861-898, July.
• Kane, Edward J., 2004, "Continuing dangers of disinformation in corporate accounting reports," Review of Financial Economics, Elsevier, volume 13, issue 1-2, pages 149-164.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Tapia, Matías & Tokman, Andrea, 2004, "Effects of foreign exchange intervention under public information: the Chilean case," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123134, Apr.
• P. Chandy & Salil Sarkar & Niranjan Tripathy, 2004, "Empirical evidence on the effects of delisting from the National Market System," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 1, pages 46-55, March, DOI: 10.1007/BF02761454.
• James Payne & Anandi Sahu, 2004, "Random walks, cointegration, and the transmission of shocks across global real estate and equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 198-210, June, DOI: 10.1007/BF02761611.
• Jun Peng & Peter Brucato, 2004, "An empirical analysis of market and institutional mechanisms for alleviating information asymmetry in the municipal bond market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 226-238, June, DOI: 10.1007/BF02761613.
• Pietro Reichlin & Paolo Siconolfi, 2004, "Optimal debt contracts and moral hazard along the business cycle," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 24, issue 1, pages 75-109, July, DOI: 10.1007/s00199-003-0413-0.
• Paula Hernandez-Verme, 2004, "Inflation, growth and exchange rate regimes in small open economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 24, issue 4, pages 839-856, November, DOI: 10.1007/s00199-002-0338-z.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2004, "Information Immobility and the Home Bias Puzzle," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 04-32.
• Philippe Bacchetta & Eric van Wincoop, 2004, "Higher Order Expectations in Asset Pricing," Working Papers, Swiss National Bank, Study Center Gerzensee, number 04.03, May.
• Andrew Worthington & Abbas Valadkhani, 2004, "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 19, pages 2177-2186, DOI: 10.1080/0003684042000282489.
• Antonis Demos & Fragkiskos Filippaios & Marina Papanastassiou, 2004, "An event study analysis of outward foreign direct investment: the case of Greece," International Journal of the Economics of Business, Taylor & Francis Journals, volume 11, issue 3, pages 329-348, DOI: 10.1080/1357151042000286438.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004, "Do countries or industries explain momentum in Europe?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 73c21ccd-7c67-4e11-8eac-5.
• Alexander Guembel & Oren Sussman, 2004, "Optimal Exchange Rates: A Market Microstructure Approach," Journal of the European Economic Association, MIT Press, volume 2, issue 6, pages 1242-1274, December.
• Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004, "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 3, May.
• Kaie Kerem & Enn Listra & Katrin Rahu, 2004, "Market Efficiency and Rational Expectations," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 112.
• Augusto Castillo, 2004, "The announcement effect of bond and equity issues: evidence from Chile," Estudios de Economia, University of Chile, Department of Economics, volume 31, issue 2 Year 20, pages 177-205, December.
• Eduardo Levy Yeyati & Maria Soledad Martinez Peria & Sergio Schmukler, 2004, "Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies," Business School Working Papers, Universidad Torcuato Di Tella, number systemicrisk.
• Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2004, "A comparison of financial duration models via density forecast," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136218.
• Daniel Beunza Ibáñez & Raghu Garud, 2004, "Security analysts as frame-makers," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 733, Jan, revised Sep 2005.
• Diego García & Branko Urosevic, 2004, "Noise and aggregation of information in large markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 785, Oct.
• Peter Temin & Joachim Voth, 2004, "Riding the South Sea bubble," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 861, Dec.
• Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 121, Mar.
• Martin T. Bohl & Pierre Siklos, 2004, "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 137, Oct.
• Bikker, Jacob A. & Spierdijk, Laura & Sluis, Pieter Jelle van der, 2004, "The Implementation Shortfall of Institutional Equity Trades," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0009.
• Levy-Yeyati, Eduardo & Martinez Peria, Maria Soledad & Schmukler, Sergio L., 2004, "Market discipline under systemic risk - evidence from bank runs in emerging economies," Policy Research Working Paper Series, The World Bank, number 3440, Nov.
• Art A. Durnev & Amrita S. Nain, 2004, "The Unanticipated Effects of Insider Trading Regulation," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-695, May.
• Saltuk Ozerturk, 2004, "Direct sale of information when precision is unobservable," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 2, pages 269-293, May, DOI: 10.1111/j.0008-4085.2004.00002.x.
• Edward J. Kane, 2004, "Continuing dangers of disinformation in corporate accounting reports," Review of Financial Economics, John Wiley & Sons, volume 13, issue 1-2, pages 149-164, DOI: 10.1016/j.rfe.2003.09.007.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Paolo Laureti & Peter Ruch & Joseph Wakeling & Yi-Cheng Zhang, 2004, "The Interactive Minority Game: a Web based investigation of human market interactions," Experimental, University Library of Munich, Germany, number 0402004, Feb.
• Fernando Rubio, 2004, "Simple Trading Rules: Trading On Ibex At Meff," Finance, University Library of Munich, Germany, number 0402001, Feb, revised 28 Jul 2005.
• Fernando Rubio, 2004, "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance, University Library of Munich, Germany, number 0402002, Feb.
• Fernando Rubio, 2004, "Factores De Riesgo No Sistematico En La Explicacion De Los Retornos De Las Acciones En El Mercado Bursatil Chileno," Finance, University Library of Munich, Germany, number 0402010, Feb.
• Fernando Rubio, 2004, "La Informacion Contable Y La Valuacion De Activos De Capital En El Sector De Inversiones Chileno," Finance, University Library of Munich, Germany, number 0402012, Feb.
• Fernando Rubio, 2004, "Some Technical Analysis On The Stock Market: Spain And Usa," Finance, University Library of Munich, Germany, number 0402017, Feb, revised 27 Jul 2005.
• Jose Maria Liberti, 2004, "Initiative, Incentives and Soft Information. How Does Delegation Impact The Role of Bank Relationship Managers?," Finance, University Library of Munich, Germany, number 0404023, Apr.
• Tuomas Takalo & Otto Toivanen, 2004, "Equilibrium in financial markets with adverse selection," Finance, University Library of Munich, Germany, number 0405001, May.
• Fernando Rubio, 2004, "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance, University Library of Munich, Germany, number 0405009, May.
• Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004, "Return-volatility linkages in the international equity and currency markets," Finance, University Library of Munich, Germany, number 0405022, May.
• Fernando Rubio, 2004, "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance, University Library of Munich, Germany, number 0405033, May, revised 01 Jul 2004.
• José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004, "Efficiency tests in the Iberian stock markets," Finance, University Library of Munich, Germany, number 0406001, Jun.
• Philip Kostov & Seamus McErlean, 2004, "Estimating the probability of large negative stock market," Finance, University Library of Munich, Germany, number 0409011, Sep.
• Massoud Heidari & Liuren Wu, 2004, "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance, University Library of Munich, Germany, number 0409017, Sep.
• Cornelis A. Los, 2004, "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance, University Library of Munich, Germany, number 0409033, Sep.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004, "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance, University Library of Munich, Germany, number 0409037, Sep.
• Cornelis A. Los, 2004, "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance, University Library of Munich, Germany, number 0409040, Sep.
• Cornelis A. Los & Joanna M. Lipka, 2004, "Long-Term Dependence Characteristics of European Stock Indices," Finance, University Library of Munich, Germany, number 0409044, Sep.
• Cornelis A. Los, 2004, "Measuring Financial Cash Flow and Term Structure Dynamics," Finance, University Library of Munich, Germany, number 0409046, Sep.
• Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004, "Persistence Characteristics of Latin American Financial Markets," Finance, University Library of Munich, Germany, number 0409048, Sep.
• Sutthisit Jamdee & Cornelis A. Los, 2004, "Long Memory Options: Valuation," Finance, University Library of Munich, Germany, number 0409049, Sep.
• David S. Bieri & Ludwig B. Chincarini, 2004, "Riding the Yield Curve: Diversification of Strategies," Finance, University Library of Munich, Germany, number 0410002, Oct.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," Finance, University Library of Munich, Germany, number 0410015, Oct.
• Charlotte S. Hansen & Bjorn E. Tuypens, 2004, "Proxying for Expected Returns with Price Earnings Ratios," Finance, University Library of Munich, Germany, number 0410019, Oct.
• Silvio John Camilleri & Christopher J. Green, 2004, "The Impact of the Suspension of Opening and Closing Call," Finance, University Library of Munich, Germany, number 0411012, Nov.
• Akash Gupta & Samik Metia & Prashant Trivedi, 2004, "The Effects of Option Expiration on NSE volume and prices," Finance, University Library of Munich, Germany, number 0411035, Nov.
• Cornelis A. Los, 2004, "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance, University Library of Munich, Germany, number 0411037, Nov.
• Cornelis A. Los, 2004, "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance, University Library of Munich, Germany, number 0412014, Dec.
• Julius Moschitz, 2004, "Spillovers across High Yield Markets," Finance, University Library of Munich, Germany, number 0412024, Dec.
• David Hirshleifer & SONYA SEONGYEON LIM & Siew Hong Teoh, 2004, "Disclosure to an Audience with Limited Attention," Game Theory and Information, University Library of Munich, Germany, number 0412002, Dec.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "Characterizing Asymmetric Information in International Equity Markets," International Finance, University Library of Munich, Germany, number 0405005, May.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance, University Library of Munich, Germany, number 0405006, May.
• Guneratne Banda Wickremasinghe, 2004, "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance, University Library of Munich, Germany, number 0406004, Jun.
• Guneratne Banda Wickremasinghe, 2004, "Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float," International Trade, University Library of Munich, Germany, number 0406007, Jun.
• Daniel Levy & Shantanu Dutta & Mark Bergen, 2004, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data," Macroeconomics, University Library of Munich, Germany, number 0402021, Feb.
• Rose Cunningham, 2004, "Finance Constraints and Inventory Investment: Empirical Tests with Panel Data," Macroeconomics, University Library of Munich, Germany, number 0411015, Nov.
• Arthur Grimes & Andrew Aitken & Suzi Kerr, 2004, "House Price Efficiency: Expectations, Sales, Symmetry," Urban/Regional, University Library of Munich, Germany, number 0408001, Aug.
• Mircea Gligor, 2004, "An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 06, pages 723-739, DOI: 10.1142/S021902490400261X.
• Mohammad S. Hasan, 2004, "On The Validity Of The Random Walk Hypothesis Applied To The Dhaka Stock Exchange," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 08, pages 1069-1085, DOI: 10.1142/S0219024904002797.
• Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004, "Fees on Fees in Funds of Funds," Yale School of Management Working Papers, Yale School of Management, number ysm18, Mar.
• William N. Goetzmann & Ning Zhu, 2004, "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers, Yale School of Management, number ysm28, Mar.
• Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004, "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers, Yale School of Management, number ysm30, Mar.
• Aristeidis G. Samitas, 2004, "Testing the Efficient Market Hypothesis in The Greek Secondary Capital Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 7, issue 1, pages 23-38, May.
• Luis Ferruz Agudo & Mar�a S. Vargas Magall�n, 2004, "Persistencia en la performance de los fondos de inversi�n espa�oles de renta variable nacional (1994-2002)," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2004-01, Jan.
• Laakkonen, Helinä, 2004, "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2004.
• Jokivuolle, Esa & Lanne, Markku, 2004, "Trading Nokia: the roles of the Helsinki vs the New York stock exchanges," Bank of Finland Research Discussion Papers, Bank of Finland, number 26/2004.
• Nöldeke, Georg & Tröger, Thomas, 2004, "On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 19/2004.
• Hautsch, Nikolaus & Hess, Dieter, 2004, "Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 04-10.
• Tykvová, Tereza & Walz, Uwe, 2004, "Are IPOs of different VCs different?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/02.
• Norden, Lars & Weber, Martin, 2004, "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/20.
• Heidorn, Thomas & Siragusano, Tindaro, 2004, "Die Anwendbarkeit der Behavioral Finance im Devisenmarkt," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 52.
• Heidorn, Thomas & Meyer, Bernd & Pietrowiak, Alexander, 2004, "Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 57.
• Stolpe, Michael, 2004, "Non-market interaction in primary equity markets: evidence from France and Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1211.
• Pierdzioch, Christian, 2004, "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers, Kiel Institute for the World Economy, number 1213.
• Berneburg, Marian, 2004, "Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 193/2004.
• Tykvová, Tereza & Walz, Uwe, 2004, "Are IPOs of Different VCs Different?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-32.
• Korczak, Piotr & Tavakkol, Amir, 2004, "Institutional investors and the information content of earnings announcements: the case of Poland," Economic Systems, Elsevier, volume 28, issue 2, pages 193-208, June.
• Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004, "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 461-481, September.
• Hwang, Soosung & Salmon, Mark, 2004, "Market stress and herding," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 585-616, September.
• Baker, Malcolm & Stein, Jeremy C., 2004, "Market liquidity as a sentiment indicator," Journal of Financial Markets, Elsevier, volume 7, issue 3, pages 271-299, June.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, volume 94, issue 2, pages 19-23, May, DOI: 10.1257/0002828041301533.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," American Economic Review, American Economic Association, volume 94, issue 2, pages 29-32, May, DOI: 10.1257/0002828041301759.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Bad Beta, Good Beta," American Economic Review, American Economic Association, volume 94, issue 5, pages 1249-1275, December.
• Peter Temin & Hans-Joachim Voth, 2004, "Riding the South Sea Bubble," American Economic Review, American Economic Association, volume 94, issue 5, pages 1654-1668, December.
• Arne Feddersen & Wolfgang Maennig, 2004, "Sporting Success and Capital Market Performance: An Event Study of Borussia Dortmund," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 124, issue 2, pages 282-303.
• Kerr, Suzi & Aitken, Andrew & Grimes, Arthur, 2004, "Land Taxes and Revenue Needs as Communities Grow and Decline: Evidence from New Zealand," Motu Working Papers, Motu Economic and Public Policy Research, number 292982, Jan, DOI: 10.22004/ag.econ.292982.
• Grimes, Arthur & Aitken, Andrew & Kerr, Suzi, 2004, "House Price Efficiency: Expectations, Sales, Symmetry," Motu Working Papers, Motu Economic and Public Policy Research, number 292987, May, DOI: 10.22004/ag.econ.292987.
• Boadway, Robin & Keen, Michael, 2004, "Financing New Investments under Asymmetric Information: A General Approach," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273453, Jan, DOI: 10.22004/ag.econ.273453.
• Diógenes Manoel Leiva Martin & Eduardo Kazuo Kayo & Herbert Kimura & Wilson Toshiro Nakamura, 2004, "Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 5, issue 3, pages 219-252.
• Dante Mendes Aldrighi, 2004, "Algumas Das Contribuições De Stiglitz À Teoria Dos Mercados Financeiros," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 005.
• Diógenes Manoel Leiva Martin & Herbert Kimura & Wilson Toshiro Nakamura & Eduardo Kazuo Kayo, 2004, "Identificando Bolhas Especulativas Racionais No Ibovespa (Pós-Plano Real), A Partir De Regimes Markovianos De Conversão," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 064.
• Chris D'Souza & Charles Gaa, 2004, "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers, Bank of Canada, number 04-16, DOI: 10.34989/swp-2004-16.
• Rose Cunningham, 2004, "Finance Constraints and Inventory Investment: Empirical Tests with Panel Data," Staff Working Papers, Bank of Canada, number 04-38, DOI: 10.34989/swp-2004-38.
• Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
• Gregory Bauer & Clara Vega, 2004, "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers, Bank of Canada, number 04-47, DOI: 10.34989/swp-2004-47.
• Rose Cunningham, 2004, "Trade Credit and Credit Rationing in Canadian Firms," Staff Working Papers, Bank of Canada, number 04-49, DOI: 10.34989/swp-2004-49.
• Peter Temin & Hans-Joachim Voth, 2015, "Riding the South See Bubble," Working Papers, Barcelona School of Economics, number 213, Sep.
• Marian Micu & Eli M Remolona & Philip D Wooldridge, 2004, "The price impact of rating announcements: evidence from the credit default swap market," BIS Quarterly Review, Bank for International Settlements, June.
• Fabio Fornari, 2004, "Macroeconomic announcements and implied volatilities in swaption markets," BIS Quarterly Review, Bank for International Settlements, September.
• Wolfers Justin & Zitzewitz Eric, 2004, "Experimental Political Betting Markets and the 2004 Election," The Economists' Voice, De Gruyter, volume 1, issue 2, pages 1-8, October, DOI: 10.2202/1553-3832.1016.
• Luciano Martin Rostagno & Gilberto de Oliveira Kloeckner & João Luiz Becker, 2004, "Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 183-206.
• Daniella Acker & Nigel W. Duck, 2004, "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 04/557, Jan.
• 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 Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt4cc3291n, May.
• Rodolfo Apreda, 2004, "Differential rates, residual information sets and transactional algebras," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 256, Feb.
• Karin Joeveer, 2004, "Does bank failure affect client firms? Micro evidence from Estonia," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp224, May.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp237, Sep.
• Michal Ostatnicky, 2004, "Coase’s conjecture in finite horizon," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp241, Nov.
• Alexandr Cerny, 2004, "Stock market integration and the speed of information transmission," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp242, Nov.
• Marc-Andreas Muendler, 2004, "The Existence of Informationally Efficient Markets When Individuals Are Rational," CESifo Working Paper Series, CESifo, number 1295.
• Kurt Brännäs & Niklas Nordman, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series, CESifo, number 448.
• Matías Tapia & Andrea Tokman, 2004, "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile, Central Bank of Chile, number 255, Jan.
• Eric Nowak & Roland Rott & Till G. Mahr, 2006, "The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes - Evidence from the German Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-11, Apr.
• Saltuk Ozerturk, 2004, "Direct sale of information when precision is unobservable," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 2, pages 269-293, May.
• Nikita Ratanov, 2004, "A Jump Telegraph Model for Option Pricing," Borradores de Investigación, Universidad del Rosario, number 1919, Nov.
• Nikita Ratanov, 2004, "Option Pricing Model Based on Telegraph Processes with Jumps," Borradores de Investigación, Universidad del Rosario, number 4330, Jul.
• Carlos Alberto CASTRO, 2004, "Eficiencia -X en el sector bancario colombiano," Archivos de Economía, Departamento Nacional de Planeación, number 2439, Nov.
• Avelino Martínez Sandoval & Harold Londono Martínez, 2004, "El Racionamiento del Crédito en los Mercados Financieros," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Isabel Cristina Montoya Osorio & Juan Manuel Restrepo Puerta, 2004, "¿Existe el Enigma de la Prima de Riesgo en el Mercado Bursátil Colombiano? 1993-2002," Revista Ecos de Economía, Universidad EAFIT.
• PASCUAL, Roberto & VEREDAS, David, 2004, "What pieces of limit order book information are informative ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004033, Jun.
• Temin, Peter & Voth, Hans-Joachim, 2004, "Riding the South Sea Bubble," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4221, Jan.
• Weber, Martin & Norden, Lars, 2004, "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4250, Feb.
• Salmon, Mark & Hwang, Soosung, 2004, "Market Stress and Herding," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4340, Apr.
• Servaes, Henri & McConnell, John J., 2004, "Changes in Equity Ownership and Changes in the Market Value of the Firm," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4411, Jun.
• de Jong, Frank & Bortolotti, Bernardo & Nicodano, Giovanna & Schindele, Ibolya, 2004, "Privatization and Stock Market Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4449, Jun.
• Vitale, Paolo, 2004, "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4530, Aug.
• Vitale, Paolo & Breedon, Francis, 2004, "An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4586, Aug.
• de Jong, Frank & Dahlquist, Magnus, 2004, "Pseudo Market Timing: Fact or Fiction?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4609, Sep.
• Keloharju, Matti & Torstila, Sami & Knüpfer, Samuli, 2004, "Do Retail Incentives Work in Privatizations?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4612, Sep.
• Cespa, Giovanni, 2004, "Information Sales and Insider Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4667, Oct.
• La Ferrara, Eliana & Guidolin, Massimo, 2004, "Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4668, Oct.
• Weber, Martin & Norden, Lars, 2004, "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4674, Oct.
• Flood, Robert P & Rose, Andrew, 2004, "Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4684, Oct.
• Goetzmann, William & Massa, Massimo & Simonov, Andrei, 2004, "Portfolio Diversification, Proximity Investment and City Agglomeration," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4786, Dec.
• Massa, Massimo, 2004, "Mutual Fund Competition and Stock Market Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4787, Dec.
• Massa, Massimo & Simonov, Andrei, 2004, "Hedging, Familiarity and Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4789, Dec.
• Massa, Massimo & Simonov, Andrei, 2004, "History versus Geography: The Role of College Interaction in Portfolio Choice and Stock Market Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4815, Dec.
• Massa, Massimo & Phalippou, Ludovic, 2004, "Mutual Funds and the Market for Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4818, Dec.
• Kandel, Eugene & Massa, Massimo & Simonov, Andrei & Bodnaruk, Andriy, 2004, "Shareholder Diversification and IPOs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4820, Dec.
• Béatrice DUMONT, 2004, "L’efficacité du Contrôle Communautaire des Concentrations : une approche par la méthode événementielle," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2004033, Sep.
• Warren Bailey & Yuan Gao & Connie X. Mao, 2004, "Business, Government, and the Information Environment: Stock Trading and Earnings Shocks in China, Indonesia, and Singapore," Annals of Economics and Finance, Society for AEF, volume 5, issue 1, pages 165-195, May.
• Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004, "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, volume 5, issue 1, pages 79-92, May.
• Bappaditya Mukhopadhyay, 2004, "Moral Hazard with Rating Agency: An Incentive Contracting Approach," Annals of Economics and Finance, Society for AEF, volume 5, issue 2, pages 313-333, November.
• Marquering, Wessel & Verbeek, Marno, 2004, "The Economic Value of Predicting Stock Index Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 2, pages 407-429, June.
• Tadesse, Solomon, 2004, "The Allocation and Monitoring Role of Capital Markets: Theory and International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 4, pages 701-730, December.
• Gannon, Gerard & Au-Yeung, Siu Pang, 2004, "Structural effects and spillovers in HSIF, HSI and S&P500 volatility," Working Papers, Deakin University, Department of Economics, number aef_2004_08, Jan, DOI: 10.1016/j.ribaf.2004.04.005.
• Gerard Gannon, 2004, "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Working Papers, Deakin University, Department of Economics, number 2004_09, May.
• Gerard Gannon, 2004, "Simultaneous Volatility Transmissions and Spillover Effects," Working Papers, Deakin University, Department of Economics, number 2004_10, Jul.
• Gerard Gannon & Siu Pang Au-Yeung, 2004, "Regulatory Change, Structural Breaks and Transmission Effects in HSIF abd HSI Volatility," Working Papers, Deakin University, Department of Economics, number 2004_11, Jul.
• Yoshiro Tsutsui & Kenjiro Hirayama, 2004, "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0620, Oct.
• Al-Rjoub, S. & Hassan, M.K., 2004, "Transaction Cost and the Small Stock Puzzle: The Impact of Outliers in the NYSE, 1970-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 3, pages 103-114.
• Enria, Andrea & Cappiello, Lorenzo & Dierick, Frank & Sergio, Grittini & Haralambous, Andrew & Maddaloni, Angela & Molitor, Philippe & Pires, Fatima & Poloni, Paolo, 2004, "Fair value accounting and financial stability," Occasional Paper Series, European Central Bank, number 13, Apr.
• Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004, "Measuring financial integration in the euro area," Occasional Paper Series, European Central Bank, number 14, May.
• Albuquerque, Rui & Bauer, Gregory H. & Schneider, Martin, 2004, "International equity flows and returns: a quantative equilibrium approach," Working Paper Series, European Central Bank, number 310, Feb.
• Ehrmann, Michael & Fratzscher, Marcel, 2004, "Taking stock: monetary policy transmission to equity markets," Working Paper Series, European Central Bank, number 354, May.
• Christoffersen, Peter & Mazzotta, Stefano, 2004, "The informational content of over-the-counter currency options," Working Paper Series, European Central Bank, number 366, Jun.
• Cassola, Nuno & Ejerskov, Steen & Ewerhart, Christian & Valla, Natacha, 2004, "Liquidity, information, and the overnight rate," Working Paper Series, European Central Bank, number 378, Jul.
• Breedon, Francis & Vitale, Paolo, 2004, "An empirical study of liquidity and information effects of order flow on exchange rates," Working Paper Series, European Central Bank, number 424, Dec.
• Ian Tonks & Edmund Cannon, 2004, "UK Annuity Rates And Pension Replacement Ratios 1957-2002," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 71, Sep.
• Zhixiong Zeng, 2004, "The Price Of Size And Financial Market Allocations," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 86, Sep.
• Hirshleifer, David & Lim, Seongyeon & Teoh, Siew Hong, 2004, "Disclosure to an Audience with Limited Attention," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-21, Oct.
• Bailey, Warren & Karolyi, G. Andrew & Salva, Carolina, 2004, "The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-7, Jun.
• Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004, "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings, Econometric Society, number 142, Aug.
• Ryuichi Nakagawa & Hirofumi Uchida, 2004, "Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 161, Aug.