Research classified by Journal of Economic Literature (JEL) codes

2005

• Steve Bond & Mike Hawkins & Alexander Klemm, 2005, "Stamp Duty on Shares and Its Effect on Share Prices," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 61, issue 3, pages 275-297, November.
• Alexander Gümbel, 2005, "Trading on Short-Term Information," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 161, issue 3, pages 428-452, September.
• D. Beggs & C.L. Skeels, 2005, "Market Arbitrage of Cash Dividends and Franking Credits," Department of Economics - Working Papers Series, The University of Melbourne, number 947.
• Katrin Tinn, 2005, "Optimal research in financial markets with heterogeneous private information; a rational expectations model," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 6, Sep.
• Szilárd Erhart, 2005, "Driving factors behind O/N interbank interest rates – the Hungarian experiences," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/34.
• Csaba Csávás & Szilárd Erhart, 2005, "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/44.
• V. Moriggia & S. Muzzioli & C. Torricelli, 2005, "The no arbitrage condition in option implied trees: evidence from the Italian index options market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0491, May.
• Martin Hellwig, 2005, "Market Discipline, Information Processing, and Corporate Governance," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2005_19, Oct.
• Julien Reynaud & Rofikoh Rokhim, 2005, "Do banking crises enhance efficiency? A case study of 1994 Turkish and 1997 Indonesian crises," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla05007, Jan.
• Gunther Capelle-Blancard & Nicolas Couderc, 2005, "What drives the market value of firms in the Defense industry?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla06037, Dec, revised Apr 2006, DOI: 10.1016/j.rfe.2007.02.001.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-04.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 04-2005.
• Alain Durré & Pierre Giot, 2005, "An international analysis of earnings, stock prices and bond yields," Working Paper Research, National Bank of Belgium, number 73, Sep.
• Refet Gürkaynak & Justin Wolfers, 2005, "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2005".
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11018, Jan.
• Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005, "Mimicking Portfolios with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 11020, Jan.
• Wayne E. Ferson & Andrea Heuson & Tie Su, 2005, "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 11021, Jan.
• Antonio Geldson de Carvalho & Charles W. Calomiris & Joao Amaro de Matos, 2005, "Venture Capital as Human Resource Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 11350, May.
• Joshua D. Coval & Erik Stafford, 2005, "Asset Fire Sales (and Purchases) in Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11357, May.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11389, Jun.
• Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005, "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11413, Jun.
• Evgeny Lyandres & Le Sun & Lu Zhang, 2005, "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers, National Bureau of Economic Research, Inc, number 11459, Jul.
• Andrea Frazzini & Owen A. Lamont, 2005, "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 11526, Aug.
• Kee-Hong Bae & Rene M. Stulz & Hongping Tan, 2005, "Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts," NBER Working Papers, National Bureau of Economic Research, Inc, number 11697, Oct.
• Sendhil Mullainathan & Andrei Shleifer, 2005, "Persuasion in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 11838, Dec.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005, "Demand-Based Option Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 11843, Dec.
• Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2005, "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 11851, Dec.
• Owen A. Lamont & Jeremy C. Stein, 2005, "Investor Sentiment and Corporate Finance: Micro and Macro," NBER Working Papers, National Bureau of Economic Research, Inc, number 11882, Dec.
• Klaus Abbink & Bettina Rockenbach, 2005, "Option Pricing by Students and Professional Traders: A Behavioural Investigation," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2005-12, Jul.
• Del Brio, Esther & Elías Tobar, José, 2005, "Rentabilidad a Corto Plazo de los Insiders en los Mercados Español y Británico," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas"., Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto, number 2005-10, Dec.
• Del Brio, Esther & Gómez, Gerardo, 2005, "Insider trading en la banca española," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas"., Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto, number 2005-13, Dec.
• Horobeţ Alexandra, 2005, "Expunerea la riscul valutar a firmelor româneşti: o analiză sectorială," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 04, December.
• Hisashi Hashimoto, 2005, "Transaction Pattern and Liquidity Parameters (in Japanese)," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-25, Sep.
• Jeeman Jung & Robert J. Shiller, 2005, "Samuelson's Dictum and the Stock Market," Economic Inquiry, Western Economic Association International, volume 43, issue 2, pages 221-228, April.
• Enrico C. Perotti, 2005, "Dominant Investors and Strategic Transparency," The Journal of Law, Economics, and Organization, Oxford University Press, volume 21, issue 1, pages 76-102, April.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2005, "Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 120, issue 2, pages 639-668.
• Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005, "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 3, pages 875-924.
• Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2005, "Coordination of Expectations in Asset Pricing Experiments," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 3, pages 955-980.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 4, pages 1171-1217.
• Maciej Firla-CuchraTim Jenkinson, 2005, "Why Are Securitization Issues Tranched?," Economics Series Working Papers, University of Oxford, Department of Economics, number 2005-FE-04, Mar.
• Maciej Firla-Cuchra & Tim Jenkinson, 2005, "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers, University of Oxford, Department of Economics, number 225, Mar.
• Maciej Firla-Cuchra, 2005, "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers, University of Oxford, Department of Economics, number 230, Mar.
• Ross Jennings & Gustavo Maturana, 2005, "The Usefulness Of Chilean Inflation Accounting," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 8, issue 1, pages 85-118.
• Jorge Farinha & Miguel Sôro, 2005, "Ex-dividend pricing, taxes and arbitrage opportunities: the case of the Portuguese stock exchange," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0508, Dec.
• Carlos F. Alves & F. Teixeira dos Santos, 2005, "The Informativeness of Quarterly Financial Reporting: The Portuguese Case," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 177, Jun.
• Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005, "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper, University Library of Munich, Germany, number 13586, Jul, revised 10 Oct 2008.
• Asimakopoulos, Ioannis & Athanasoglou, Panayiotis & Georgiou, Evangelia, 2005, "The effect of M&A announcement on Greek bank stock returns," MPRA Paper, University Library of Munich, Germany, number 16450, Jan.
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2005, "Hurst exponents, Markov processes, and nonlinear diffusion equations," MPRA Paper, University Library of Munich, Germany, number 2152, Dec.
• Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.
• Joshi, Nayan & K.C, Fatta Bahadur, 2005, "The Nepalese stock market: Efficiency and calendar anomalies," MPRA Paper, University Library of Munich, Germany, number 26999, Apr.
• Espinosa Méndez, Christian, 2005, "Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
  [Evidence Of Chaotic Behavior In American Stock Markets]," MPRA Paper, University Library of Munich, Germany, number 2794, Oct, revised 30 Jun 2006.
• Wiszniewska-Matyszkiel, Agnieszka, 2005, "Stock market as a dynamic game with continuum of players," MPRA Paper, University Library of Munich, Germany, number 32982, revised 2006.
• Caratelli, Massimo, 2005, "Transparency between banks and their customers. information needs and public intervention," MPRA Paper, University Library of Munich, Germany, number 37108, Jan.
• Simarmata, Djamester A., 2005, "Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997," MPRA Paper, University Library of Munich, Germany, number 41843, Jul.
• Mattarocci, Gianluca, 2005, "Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating," MPRA Paper, University Library of Munich, Germany, number 4295, Jan, revised Mar 2005.
• Gallego, Oscar D, 2005, "The Day �of� The� Week Effect in the Colombia Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 43112, May.
• Han, Bing & Hirshleifer, David & Wang, Tracy, 2005, "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper, University Library of Munich, Germany, number 6497, Jun, revised Dec 2007.
• Camilleri, Silvio John, 2005, "Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data," MPRA Paper, University Library of Munich, Germany, number 84574, Jan.
• Lukáš Vácha & Miloslav S. Vošvrda, 2005, "Dynamical Agents' Strategies and the Fractal Market Hypothesis," Prague Economic Papers, Prague University of Economics and Business, volume 2005, issue 2, pages 163-170, DOI: 10.18267/j.pep.260.
• Jan Pudlák & Pavel Neset, 2005, "ZvláŠtnosti vzniku českého kapitálového trhu
  [Specific features of the emerging of the czech capital markets]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 1, DOI: 10.18267/j.polek.495.
• François-Louis Michaud, 2005, "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 79-93, DOI: 10.3406/ecofi.2005.3971.
• Olivier Davanne & Thierry Pujol, 2005, "Allocation d’actifs, variation des primes de risque et benchmarks," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 95-111, DOI: 10.3406/ecofi.2005.3973.
• Christian Walter, 2005, "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, volume 79, issue 2, pages 113-136, DOI: 10.3406/ecofi.2005.3974.
• Alexander S. Sangare, 2005, "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 107-132, DOI: 10.3406/ecofi.2005.4015.
• Jean Matouk & Jean-Louis Monino, 2005, "Le marché de Paris a la mémoire courte !," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 133-155, DOI: 10.3406/ecofi.2005.4016.
• Eric Bayle & Marc Schwartz, 2005, "A quoi servent les analystes financiers ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 211-235, DOI: 10.3406/ecofi.2005.4020.
• Bagnoli, Mark & Clement, Michael & Watts, Susan G., 2005, "Around-the-Clock Media Coverage and the Timing of Earnings Announcements," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1184, Dec.
• Jonathan Kearns & Phil Manners, 2005, "The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2005-02, Apr.
• Alessio Caldarera & Celso Brunetti, 2005, "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers, Society for Economic Dynamics, number 288.
• Joel Peress, 2005, "The Stock Market and the Allocation of Capital in a Production Economy," 2005 Meeting Papers, Society for Economic Dynamics, number 534.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2005, "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers, Society for Economic Dynamics, number 77.
• Stéphanie Lavigne, 2005, "Modeling an Artificial Stock Market. When Cognitive Institutions Influence Market Dynamic," European Journal of Economic and Social Systems, Lavoisier, volume 18, issue 2, pages 201-232.
• Bronwyn H. Hall & Adam Jaffe & Manuel Trajtenberg, 2005, "Market Value and Patent Citations," RAND Journal of Economics, The RAND Corporation, volume 36, issue 1, pages 16-38, Spring.
• Neus, Werner & Walz, Uwe, 2005, "Exit timing of venture capitalists in the course of an initial public offering," Journal of Financial Intermediation, Elsevier, volume 14, issue 2, pages 253-277, April.
• Bagella, Michele & Becchetti, Leonardo & Adriani, Fabrizio, 2005, "Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe," Journal of International Money and Finance, Elsevier, volume 24, issue 4, pages 549-581, June.
• 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.

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.
• 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 2, 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.
• 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.