Report NEP-FIN-2004-07-18
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:
- Marios Panayides, 2004. "The Specialist`s Participation in Quoted Prices and the NYSE`s Price Continuity Rule," Yale School of Management Working Papers ysm442, Yale School of Management.
- Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
- Nicholas Economides, 2004. "The Impact of the Internet on Financial Markets," Finance 0407010, University Library of Munich, Germany.
- Pierre-Cyrille Hautcoeur & Muriel Petit-Konczyk, 2004. "The development of the Paris Bourse in the interwar period. What old and new stock indices tell us," DELTA Working Papers 2004-18, DELTA (Ecole normale supérieure).
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, University Library of Munich, Germany.
- Steve Lawford, 2003. "A Hypergeometric Test for Omitted Nonlinearity," Economics and Finance Discussion Papers 03-11, Economics and Finance Section, School of Social Sciences, Brunel University.
- Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm31, Yale School of Management.
- Alexandros Kontonikas & Alberto Montagnoli, 2003. "Optimal Monetary Policy and Asset Price Misalignments," Economics and Finance Discussion Papers 03-22, Economics and Finance Section, School of Social Sciences, Brunel University.
- Anastasios Xepapadeas & Giannis Vardas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 2004.66, Fondazione Eni Enrico Mattei.
- Marta Stryszowska, 2004. "Late and Multiple Bidding in Competing Second Price," Working Papers 2004.16, Fondazione Eni Enrico Mattei.
- Marios Panayides & Andreas Charitou, 2004. "The Role of the Market Maker in International Capital Markets: Challenges and Benefits of Implementation in Emerging Markets," Yale School of Management Working Papers ysm443, Yale School of Management.
- E Philip Davis & Christine Li, 2003. "Demographics And Financial Asset Prices In The Major Industrial Economies," Economics and Finance Discussion Papers 03-07, Economics and Finance Section, School of Social Sciences, Brunel University.
- Roger G. Ibbotson & Peng Chen, 2003. "Long-Run Stock Returns: Participating in the Real Economy," Yale School of Management Working Papers ysm354, Yale School of Management.
- Dengpan Luo, 2003. "Chasing the Market? Driving the Market? A Study of Mutual Fund Cash Flows," Yale School of Management Working Papers ysm396, Yale School of Management.
- Michael Monoyios, 2003. "Performance of utility-based strategies for hedging basis risk," Economics and Finance Discussion Papers 03-13, Economics and Finance Section, School of Social Sciences, Brunel University.
- Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'économie 04.10, Université de Lausanne, Faculté des HEC, Département d’économie.
- Stephen Morris & Hyun Song Shin, 2004. "Catalytic Finance: When Does It Work?," Yale School of Management Working Papers ysm339, Yale School of Management.
- Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc.
- Dengpan Luo, 2003. "Market Volatility and Mutual Fund Cash Flows," Yale School of Management Working Papers ysm395, Yale School of Management, revised 01 Sep 2003.
- N/A, 2004. "Stock Price Volatility in a Multiple Security Overlapping," Yale School of Management Working Papers ysm156, Yale School of Management.
- A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "Liquidity Effects due to Information Costs from Changes in the FTSE 100 List," Economics and Finance Discussion Papers 03-02, Economics and Finance Section, School of Social Sciences, Brunel University.
- William Goetzmann, 2003. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm432, Yale School of Management, revised 01 Mar 2004.
- Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004. "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers 2004.71, Fondazione Eni Enrico Mattei.
- A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK stock market," Economics and Finance Discussion Papers 03-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Corrado Crocetta & Nicola Loperfido, 2003. "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS 12-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Christos Ioannidis, & Oreste Napolitano, 2003. "Optimal Monetary Policy and the Asset Market:A Non-cooperative Game," Economics and Finance Discussion Papers 03-25, Economics and Finance Section, School of Social Sciences, Brunel University.
- Raj Chetty, 2003. "A New Method of Estimating Risk Aversion," NBER Working Papers 9988, National Bureau of Economic Research, Inc.
- Giovanni Villani, 2004. "Valutazione di progetti di investimento e-commerce attraverso le opzioni reali," Quaderni DSEMS 06-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.
- Jakob B Madsen & E Philip Davis, 2003. "Equity Prices, Productivity Growth, And ‘The New Economy’," Economics and Finance Discussion Papers 03-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm327, Yale School of Management, revised 01 Feb 2005.
- Stephen Morris & Franklin Allen & Hyun Song Shin, 2004. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Yale School of Management Working Papers ysm346, Yale School of Management.
- Arturo Bris & Huseyin Gulen & Padmaja Kadiyala & Panambur Raghavendra Rau, 2003. "Closing Time? The Signaling Content of Mutual Fund Closures," Yale School of Management Working Papers ysm440, Yale School of Management.
- John M. Griffin & Jeffrey H. Harris & Selim Topaloglu, 2003. "Investor Behavior over the Rise and Fall of Nasdaq," Yale School of Management Working Papers ysm431, Yale School of Management.
- Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc.
- Alok Kumar & William N. Goetzmann, 2003. "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers ysm441, Yale School of Management.
- Rodolfo Martell & Rene M. Stulz, 2003. "Equity market liberalizations as country IPOs," NBER Working Papers 9481, National Bureau of Economic Research, Inc.
- Lingfeng Li, 2003. "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers ysm324, Yale School of Management.
- Boriss Siliverstovs, 2003. "Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment," Discussion Papers of DIW Berlin 389, DIW Berlin, German Institute for Economic Research.
- Kyriacos Kyriacou & Bryan Mase, 2003. "The Information Contained In The Exercise Of Executive Stock Options," Economics and Finance Discussion Papers 03-17, Economics and Finance Section, School of Social Sciences, Brunel University.
- Bryan Mase, 2003. "A Change Of Focus Stock Market Reclassification In The Uk," Economics and Finance Discussion Papers 03-23, Economics and Finance Section, School of Social Sciences, Brunel University.
- Nicholas Barberis & Ming Huang & Richard Thaler, 2003. "Individual Preferences, Monetary Gambles and the Equity Premium," NBER Working Papers 9997, National Bureau of Economic Research, Inc.
- Dengpan Luo, 2003. "Asset Allocation of Mutual Fund Investors," Yale School of Management Working Papers ysm397, Yale School of Management.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
- Joseph P. Byrne & E. Philip Davis, 2003. "Panel Estimation Of The Impact Of Exchange Rate Uncertainty On Investment In The Major Industrial Countries," Economics and Finance Discussion Papers 03-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc.