Report NEP-FIN-2004-02-29

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

This report is closed
Other reports in NEP-FIN

The following items were announced in this report:

• Wickens, Michael R., 2003. "Microeconomic Sources of Equity Risk," CEPR Discussion Papers 4070, C.E.P.R. Discussion Papers.
• Item repec:sbs:wpsefe:2004fe06 is not listed on IDEAS anymore

• Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
• Timmermann, Allan & Lunde, Asger, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
• Yakov Ben-Haim & Karsten Jeske, 2003. "Home bias in financial markets: robust satisficing with info gaps," FRB Atlanta Working Paper 2003-35, Federal Reserve Bank of Atlanta.
• Guiso, Luigi & Jappelli, Tullio, 2004. "Awareness and Stock Market Participation," CEPR Discussion Papers 4182, C.E.P.R. Discussion Papers.
• Silviu Iulian Alb, 2004. "Would the CAPM Hold in a Risk-Indifferent World?," Finance 0402020, University Library of Munich, Germany.
• Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
• Zechner, Josef & Dangl, Thomas, 2003. "Credit Risk and Dynamic Capital Structure Choice," CEPR Discussion Papers 4132, C.E.P.R. Discussion Papers.
• Prat, Andrea & Dasgupta, Amil, 2003. "Trading Volume with Career Concerns," CEPR Discussion Papers 4034, C.E.P.R. Discussion Papers.
• Roberto Blanco & Simon Brennan & Ian W Marsh, 2004. "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England.
• Koen Minderhoud, 2003. "Systemic Risk in the Dutch Financial Sector," MEB Series (discontinued) 2003-17, Netherlands Central Bank, Monetary and Economic Policy Department.
• Zechner, Josef & Stoughton, Neal, 2004. "Optimal Capital Allocation Using RAROC(tm) and EVA," CEPR Discussion Papers 4169, C.E.P.R. Discussion Papers.
• Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
• Jon R. Moen & Ellis W. Tallman, 2003. "The call loan market in the U.S. financial system prior to the Federal Reserve System," FRB Atlanta Working Paper 2003-43, Federal Reserve Bank of Atlanta.
• Christopher J. Neely & Drew B. Winters, 2005. "Year-end seasonality in one-month LIBOR derivatives," Working Papers 2003-040, Federal Reserve Bank of St. Louis.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A Feasible Central Limit Theory for Realised Volatility Under Leverage," Economics Papers 2004-W03, Economics Group, Nuffield College, University of Oxford.
• Marsh, Ian W & Wagner, Wolf, 2004. "Credit Risk Transfer and Financial Sector Performance," CEPR Discussion Papers 4265, C.E.P.R. Discussion Papers.
• Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
• Dellas, Harris, 2003. "The Informational Role of the Business Cycle," CEPR Discussion Papers 4076, C.E.P.R. Discussion Papers.
• Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers.
• Scott L. Baier & Charles T. Carlstrom & Ralph Chami & Thomas F. Cosimano & Timothy S. Fuerst & Connel R. Fullenkamp, 2003. "Capital trading, stock trading, and the inflation tax on equity: a note," Working Papers (Old Series) 0321, Federal Reserve Bank of Cleveland.
• Fernando Rubio, 2004. "Some Technical Analysis On The Stock Market: Spain And Usa," Finance 0402017, University Library of Munich, Germany, revised 27 Jul 2005.
• Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.
• John H. Boyd & Bruce A. Champ, 2003. "Inflation and financial market performance: what have we learned in the last ten years?," Working Papers (Old Series) 0317, Federal Reserve Bank of Cleveland.
• Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
• Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
• Palomino, Frédéric & Sadrieh, Abdolkarim, 2004. "Overconfidence and Delegated Portfolio Management," CEPR Discussion Papers 4231, C.E.P.R. Discussion Papers.
• Campbell, John Y & Viceira, Luis & Rodriguez, Jorge & Chacko, George, 2003. "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers 4160, C.E.P.R. Discussion Papers.
• R. Alton Gilbert & Andrew P. Meyer & Mark D. Vaughan, 2003. "Can feedback from the jumbo-CD market improve bank surveillance?," Working Papers 2003-041, Federal Reserve Bank of St. Louis.