Research classified by Journal of Economic Literature (JEL) codes

2004

• Chor-yiu SIN, 2004, "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings, Econometric Society, number 92, Aug.
• Jae H. Kim, 2004, "Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test," Econometric Society 2004 Australasian Meetings, Econometric Society, number 98, Aug.
• Charles R. Nelson & Jinho Bae, 2004, "Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 452, Aug.
• Katsumi Shimotsu & Alex Maynard, 2004, "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 518, Aug.
• Yuko Hashimoto, 2004, "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 679, Aug.
• Ryuichi Nakagawa & Hirofumi Uchida, 2004, "Herd Behavior In The Japanese Loan Market: Evidence From Bank Panel Data," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 737, Aug.
• Helena Beltran & Albert J. Menkveld, 2004, "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings, Econometric Society, number 142, Aug.
• Augusto Castillo, 2004, "The Announcement Effect of Bond and Equity Issues: Evidence from Chile," Econometric Society 2004 Latin American Meetings, Econometric Society, number 218, Aug.
• José L. Negrin, 2004, "The Importance of Borrowers’ History on Credit Behavior: The Mexican Experience," Econometric Society 2004 Latin American Meetings, Econometric Society, number 226, Aug.
• R. Fischer & C. Bonilla, 2004, "Endogenous Credit Constraints and Factor Market Rigidities: the case of Bankruptcy," Econometric Society 2004 Latin American Meetings, Econometric Society, number 240, Aug.
• Sergio L. Schmukler & Eduardo Levy-Yeyati & Maria Soledad Martinez Peria, 2004, "Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies," Econometric Society 2004 Latin American Meetings, Econometric Society, number 318, Aug.
• L.A. Gil-Alana & G.M. caporale, 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings, Econometric Society, number 344, Aug.
• Olivier Vigneron, & Xavier Gabaix & Arvind Krishnamurthy, 2004, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 430, Aug.
• Chor-yiu SIN, 2004, "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 476, Aug.
• Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004, "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 477, Aug.
• Duane Seppi & Michael Gallmeyer & Burton Hollifield, 2004, "Liquidity Discovery and Asset Pricing," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 525, Aug.
• Gina Nicolosi & Liang Peng, 2004, "Do individual investors learn from their trading experience," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 532, Aug.
• Konstantin Tyurin, 2004, "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 579, Aug.
• Laura Veldkamp, 2004, "Media Frenzies in Markets for Financial Information," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 4, Aug.
• Mathias Drehmann & Jörg Oechssler, 2004, "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 55, Aug.
• Dan HU, 2004, "The Usefulness of Financial Statements under Chinese-GAAP vs. IAS: Evidence from the Shanghai Stock Exchange in PRC," Kobe Economic & Business Review, Research Institute for Economics & Business Administration, Kobe University, volume 48, pages 1-25, February.
• Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers, University of Copenhagen. Department of Economics, number 04-07, Mar.
• Nikolaus Hautsch & Dieter Hess, 2004, "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers, University of Copenhagen. Department of Economics, number 04-17, Sep.
• Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/03, Sep.
• Nikolaus Hautsch & Dieter Hess, 2004, "Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/06, Sep.
• Anthony D. Hall & Nikolaus Hautsch, 2004, "Order Aggressiveness and Order Book Dynamics," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/04, Dec.
• Robin Boadway & Michael Keen, 2004, "Financing New Investments under Asymmetric Information: a General Approach," Cahiers de recherche, CIRPEE, number 0407.
• Ken L. Bechmann, 2004, "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 1-2, pages 3-34, March-Jun.
• Ronan G. Powell, 2004, "Takeover Prediction Models and Portfolio Strategies: A Multinomial Approach," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 1-2, pages 35-72, March-Jun.
• Gertjan Schut & Ruud van Frederikslust, 2004, "Shareholders Wealth Effects of Joint Venture Strategies," Multinational Finance Journal, Multinational Finance Journal, volume 8, issue 3-4, pages 211-225, september.
• Daniele CHECCHI & Massimo FLORIO & Jorge CARRERA, 2004, "Privatization discontent and its determinants: evidence from Latin America," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2004-023, Jan.
• Daniele CHECCHI & Massimo FLORIO & Jorge CARRERA, 2004, "Privatization discontent and its determinants: evidence from Latin America," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2004-23, Jan.
• Bedri Tas, 2004, "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 100, Sep.
• Martin Cincibuch & David Vavra, 2004, "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 16, Sep.
• Norbert Kiss M., 2004, "The Effects of Macroeconomic News on Money Markets," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/30.
• Costanza Torricelli & Marianna Brunetti, 2004, "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0472, Nov.
• Wassim Daher & Leonard J. Mirman, 2004, "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04025, Mar.
• Wassim Daher & Leonard J. Mirman, 2004, "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04077, Sep.
• Suzi Kerr & Andrew Aitken & Arthur Grimes, 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 04_02, May.
• Owen A. Lamont & Jeremy C. Stein, 2004, "Aggregate Short Interest and Market Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 10218, Jan.
• John Y. Campbell & Tuomo Vuolteenaho, 2004, "Inflation Illusion and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10263, Feb.
• William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004, "Portfolio Diversification and City Agglomeration," NBER Working Papers, National Bureau of Economic Research, Inc, number 10343, Mar.
• Kenneth A. Froot & Melvyn Teo, 2004, "Equity Style Returns and Institutional Investor Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 10355, Mar.
• Jeffrey R. Brown & J. David Cummins & Christopher M. Lewis & Ran Wei, 2004, "An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 10388, Mar.
• Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004, "New Forecasts of the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 10406, Apr.
• Jonathan Berk & Richard Stanton, 2004, "A Rational Model of the Closed-End Fund Discount," NBER Working Papers, National Bureau of Economic Research, Inc, number 10412, Apr.
• Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004, "Short Interest and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10434, Apr.
• Li Jin & Stewart C. Myers, 2004, "R-Squared Around the World: New Theory and New Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 10453, Apr.
• Amit Goval & Ivo Welch, 2004, "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers, National Bureau of Economic Research, Inc, number 10483, May.
• Li Jin & Robert Merton & Zvi Bobie, 2004, "Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10650, Jul.
• Owen Lamont, 2004, "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers, National Bureau of Economic Research, Inc, number 10659, Jul.
• Lily Qiu & Ivo Welch, 2004, "Investor Sentiment Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 10794, Sep.
• Robert P. Flood & Andrew K. Rose, 2004, "Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 10805, Oct.
• Ulrike Malmendier & Geoffrey Tate, 2004, "Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction," NBER Working Papers, National Bureau of Economic Research, Inc, number 10813, Oct.
• Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004, "Pseudo Market Timing and Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10823, Oct.
• Charles Engel, 2004, "Some New Variance Bounds for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10981, Dec.
• Rafael Repullo & Javier Suarez, 2004, "Venture Capital Finance: A Security Design Approach," Review of Finance, European Finance Association, volume 8, issue 1, pages 75-108.
• Luis Angel Medran & Xavier Vives, 2004, "Regulating Insider Trading When Investment Matters," Review of Finance, European Finance Association, volume 8, issue 2, pages 199-277.
• Biagio Bossone & Jong-Kun Lee, 2004, "In Finance, Size Matters," IMF Staff Papers, Palgrave Macmillan, volume 51, issue 1, pages 1-2.
• Bacha, Obiyathulla I., 2004, "Pricing Hybrid Securities: The Case of Malaysian ICULS," MPRA Paper, University Library of Munich, Germany, number 12764, revised Jun 2004.
• Ulibarri, Carlos A., 2004, "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper, University Library of Munich, Germany, number 14821.
• Giulio, Cifarelli, 2004, "Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts," MPRA Paper, University Library of Munich, Germany, number 28655, Feb.
• Blecker, Thorsten & Abdelkafi, Nizar & Kreutler, Gerold, 2004, "A Multi-Agent based Configuration Process for Mass Customization," MPRA Paper, University Library of Munich, Germany, number 5287.
• Blecker, Thorsten & Abdelkafi, Nizar & Kreutler, Gerold & Friedrich, Gerhard, 2004, "Dynamic Multi-Agent Based Variety Formation and Steering in Mass Customization," MPRA Paper, University Library of Munich, Germany, number 8968, Apr.
• Zdeněk Dvorný, 2004, "Efficiency of the Secondary T-Bill Market," Prague Economic Papers, Prague University of Economics and Business, volume 2004, issue 1, pages 17-25, DOI: 10.18267/j.pep.228.
• Grace Wong, 2004, "Has SARS Infected the Property Market? Evidence from Hong Kong," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 11, Apr.
• 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-t-elle ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 17-44, DOI: 10.3406/ecofi.2004.5030.
• Delphine Lautier & Yves Simon, 2004, "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 45-84, DOI: 10.3406/ecofi.2004.5031.
• Christian Walter, 2004, "Volatilité boursière excessive : irrationalité des comportements ou clivage des esprits ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 85-104, DOI: 10.3406/ecofi.2004.5033.
• Jean-Paul Pollin, 2004, "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 139-156, DOI: 10.3406/ecofi.2004.5036.
• Éric Jondeau, 2004, "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 157-175, DOI: 10.3406/ecofi.2004.5037.
• Olivier Davanne, 2004, "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 177-201, DOI: 10.3406/ecofi.2004.5038.
• Esther Jeffers & Damien Moyé, 2004, "Dow Jones, CAC 40, SBF 120 : comment expliquer que le CAC 40 est le plus volatil ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 203-218, DOI: 10.3406/ecofi.2004.5039.
• Serge Darolles & Gaëlle Le Fol, 2004, "Nouvelles techniques de gestion et leur impact sur la volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 231-243, DOI: 10.3406/ecofi.2004.5042.
• Alain Leclair & Carlos Pardo, 2004, "La volatilité, conséquence ou cause de l'instabilité des marchés financiers ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 245-252, DOI: 10.3406/ecofi.2004.5043.
• Robin Boadway & Michael Keen, 2004, "Financing New Investments Under Asymmetric Information: A General Approach," Working Paper, Economics Department, Queen's University, number 1017, Jan.
• Ellis Connolly & Marion Kohler, 2004, "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia, in: Christopher Kent & Simon Guttmann, "The Future of Inflation Targeting".
• Adam Creighton & Luke Gower & Anthony Richards, 2004, "The Impact of Rating Changes in Australian Financial Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-02, Mar.
• Ellis Connolly & Marion Kohler, 2004, "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-10, Nov.
• Chris Brooks & Konstantina Kappou & Charles Ward, 2004, "Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-04, Mar.
• Burton Hollifield & Michael Gallmeyer & Duane Seppi, 2004, "Liquidity Discovery and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics, number 136a.
• Ron Giammarino & Murray Carlson & Adlai Fisher, 2004, "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers, Society for Economic Dynamics, number 812.
• Hyytinen, Ari & Pajarinen, Mika, 2004, "Opacity of Young Firms: Faith or Fact?," Discussion Papers, The Research Institute of the Finnish Economy, number 923.
• Hyytinen, Ari & Pajarinen, Mika, 2004, "Is the Cost of Debt Capital Higher for Younger Firms?," Discussion Papers, The Research Institute of the Finnish Economy, number 946.
• Hyytinen, Ari & Väänänen, Lotta, 2004, "Mandatory Auditor Choice and Small Finance: Evidence from Finland," Discussion Papers, The Research Institute of the Finnish Economy, number 950.
• Shahin Shojai, 2004, "Leveraged Management Buy-Ins: Role of Investors, Means of Exit, and the Predictive Powers of the Financial Markets," Journal of Financial Transformation, Capco Institute, volume 10, pages 129-141.
• Donal Byard & Kenneth Shaw, 2004, "The informational role of financial analysts: Interpreting public disclosures," Journal of Financial Transformation, Capco Institute, volume 11, pages 143-148.
• Andrea Marcello Buffa, 2004, "Strategic Insider Trading with Imperfect Information: A Trading Volume Analysis," Rivista di Politica Economica, SIPI Spa, volume 94, issue 6, pages 101-143, November-.
• Donal Bredin & Stuart Hyde, 2004, "International influences on Irish stock returns," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1164, Mar.
• Bruce Mizrach & Susan Weerts, 2004, "Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room," Departmental Working Papers, Rutgers University, Department of Economics, number 200412, May.
• Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.
• Evelyn Korn, 2004, "Voluntary Disclosure Of Partially Verifiable Information," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 56, issue 2, pages 139-163, April.
• Chiang & Min-Hsien;Fan, 2004, "On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures," Computing in Economics and Finance 2004, Society for Computational Economics, number 119, Aug.
• David Goldbaum, 2004, "On the Possibility of Informationally Efficient Markets," Computing in Economics and Finance 2004, Society for Computational Economics, number 139, Aug.
• Frank Westerhoff, 2004, "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 14, Aug.
• Chia-Hsuan Yeh, 2004, "Statistical Evidences for the Influence of GP's Representation on Forecasting," Computing in Economics and Finance 2004, Society for Computational Economics, number 156, Aug.
• Chueh-Yung Tsao & Shu-Heng Chen, 2004, "Discovering Financial Patterns in the Foreign Exchange Markets," Computing in Economics and Finance 2004, Society for Computational Economics, number 203, Aug.
• Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004, "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004, Society for Computational Economics, number 27, Aug.
• Christian Pierdzioch & Georg Stadtmann, 2004, "The Effectiveness of the Interventions of the Swiss National Bank - An Event-Study Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue II, pages 229-244, June.
• Roland Gillet & Ariane Szafarz, 2004, "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-004.RS, Feb.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Parisi, Antonino & Parisi, Franco & Cornejo, Edinson, 2004, "Algoritmos genéticos y modelos multivariados recursivos en la predicción de índices bursátiles de América del Norte: IPC, TSE, NASDAQ y DJI," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 284, pages 789-809, octubre-d.
• Jacobsen, B. & Marquering, W.A., 2004, "Is it the weather?," 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-2004-100-F&A, Dec.
• HORI Masahiro, 2004, "Does Bank Liquidation Affect Client Firm Performance? Evidence from a Main Bank Failure in Japan," ESRI Discussion paper series, Economic and Social Research Institute (ESRI), number 102, Apr.
• Alessandro BEBER & Michael W. BRANDT, 2004, "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp105, Jan.
• Philippe BACCHETTA & Eric VAN WINCOOP, 2004, "Higher Order Expectations in Asset Pricing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp110, May.
• Li JIN & Stewart C. MYERS, 2004, "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp158, Feb.
• 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

• 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, "The 2002 crash: from “irrational exuberance” to “infectious greed”," Brazilian Journal of Political Economy, Center of Political Economy, volume 23, issue 1, pages 39-62.
• 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.