Content
2013
- 13-03 The Balassa-Samuelson and the Penn Effect: Are They Really the Same?
by Cosimo Pancaro - 13-02 The Sentiment of the Fed
by Michel Fuksa & Didier Sornette - 13-01 The Sentiment of the Fed
by Michel Fuksa & Didier Sornette
2012
- 12-45 Systemic Risk in Europe
by Robert F. Engle & Eric Jondeau & Michael Rockinger - 12-44 Liquidity and Liquidity Risk in the Cross-Section of Stock Returns
by Volodymyr Vovchak - 12-43 The Information Content of Option Demand
by Kerstin Kehrle & Tatjana Xenia Puhan - 12-42 Dividend Growth Predictability and the Price-Dividend Ratio
by Ilaria Piatti & Fabio Trojani - 12-41 Mixture Normal Conditional Correlation Models
by Maria Putintseva - 12-40 The Illusion of the Perpetual Money Machine
by Peter Cauwels & Didier Sornette - 12-39 Utility Rate Equations of Group Population Dynamics in Biological and Social Systems
by Vyacheslav I. Yukalov & E.P. Yukalova & Didier Sornette - 12-38 Understanding Asset Correlations
by Henrik Hasseltoft & Dominic Burkhardt - 12-37 Market Belief Risk and the Cross-Section of Stock Returns
by Rajna Gibson & Songtao Wang - 12-36 Optimal and Naive Diversification in Currency Markets
by Fabian Ackermann & Walt Pohl & Karl Schmedders - 12-35 A Polynomial Optimization Approach to Principal-Agent Problems
by Philipp Renner & Karl Schmedders - 12-34 Peer Effects at Work: The Common Stock Investments of Co-workers
by Hans K. HVIDE & Per ÖSTBERG - 12-33 Evidence of Excess Comovement in US Mergers
by Per Östberg & Christoph Wenk - 12-32 Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds
by Dario Cestau & Richard C. Green & Norman Schürhoff - 12-31 Bank Ratings: What Determines Their Quality?
by Harald Hau & Sam Langfield & David Marques-Ibanez - 12-30 Option Pricing and Hedging with Small Transaction Costs
by Jan Kallsen & Johannes Muhle-Karbe - 12-29 Dealer Intermediation between Markets
by Peter G. Dunne & Harald Hau & Michael Moore - 12-28 Transaction-Based and Appraisal-Based Capitalization Rate Determinants
by Alain Chaney & Martin Hoesli - 12-27 Costs and Benefits of Financial Regulation: Short-Selling Bans and Transaction Taxes
by Terje Lensberg & Klaus Reiner Schenk-Hoppé & Daniel Ladley - 12-26 Valuing American Options Using Fast Recursive Projections
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet - 12-25 Cone-Constrained Continuous-Time Markowitz Problems
by Christoph Czichowsky & Martin Schweizer - 12-24 Convex Duality in Mean Variance Hedging Under Convex Trading Constraints
by Christoph Czichowsky & Martin Schweizer - 12-23 Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube
by Markus Leippold & Jacob Stromberg - 12-22 The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight
by Martin Hoesli & Eva Liljeblom & Anders Löflund - 12-21 Sentiment, Risk Aversion, and Time Preference
by Giovanni Barone-Adesi & Loriano Mancini & Hersh Shefrin - 12-20 Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price
by Andreas D. Huesler & Didier Sornette & C. H. Hommes - 12-19 Bank Capital Regulation with an Opportunistic Rating Agency
by Matthias Efing - 12-18 Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
by Valentina Corradi & Walter Distaso & Antonio Mele - 12-17 Betting Against Beta
by Andrea Frazzini & Lasse Heje Pedersen - 12-16 Corporate Governance and CEO Turnover Decisions
by Theodosios Dimopoulos & Hannes F. Wagner - 12-15 Are REITs Real Estate? Evidence from International Sector Level Data
by Martin Hoesli & Elias Oikarinen - 12-14 Affine Variance Swap Curve Models
by Damir Filipović - 12-13 Homogenization and Asymptotics for Small Transaction Costs
by Halil Mete Soner & Nizar Touzi - 12-12 Misvaluation and Return Anomalies in Distress Stocks
by Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov - 12-11 The Shareholder Base and Payout Policy
by Andriy Bodnaruk & Per Östberg - 12-10 Role of Information in Decision Making of Social Agents
by Vyacheslav I. Yukalov & Didier Sornette - 12-09 Are Ratings the Worst Form of Credit Assessment Apart from All the Others?
by Andreas Bloechlinger & Markus Leippold - 12-08 A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
by Didier Sornette & Alexander I. Saichev - 12-07 The Exchange Rate Effect of Multi-Currency Risk Arbitrage
by Harald Hau - 12-06 Mortgage Interest Deductions and Homeownership: An International Survey
by Steven C. Bourassa & Donald R. Haurin & Patric H. Hendershott & Martin Hoesli - 12-05 Optimal Risk Sharing with Limited Liability
by Semyon Malamud & Huaxia Rui & Andrew B. Whinston - 12-04 Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis
by Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O - 12-03 Aggregate Investment Externalities and Macroprudential Regulation
by Hans Gersbach & Jean-Charles Rochet - 12-02 Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes
by Vladimir Filimonov & Didier Sornette - 12-01 Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds
by Andreas D. Huesler & Yannick Malevergne & Didier Sornette
2011
- 11-64 Crashes and High Frequency Trading
by Didier SORNETTE & Susanne VON DER BECKE - 11-63 Crashes and High Frequency Trading
by Didier SORNETTE & Susanne VON DER BECKE - 11-62 Follow the money: The monetary roots of bubbles and crashes
by Monique JEANBLANC & Didier SORNETTE - 11-61 Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE - 11-60 Follow the money: The monetary roots of bubbles and crashes
by Fulvio CORSI & Didier SORNETTE - 11-59 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter CAUWELS & Didier SORNETTE - 11-58 Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics
by Peter CAUWELS & Didier SORNETTE - 11-57 Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
by Pauline BARRIEU & Henri LOUBERGE - 11-56 The determinants of banks lobbying activities
by Rajna GIBSON BRANDON & Miret PADOVANI - 11-55 Structured finance, acquisitions and debt agency
by Gabriel H. NEUKOMM - 11-54 A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives
by Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG - 11-53 Do Hedge Funds Manipulate Stock Prices?
by Itzhak Ben-David & Francesco A. Franzoni & Augustin Landier & Rabih Moussawi - 11-52 Multivariate Asset Return Prediction with Mixture Models
by Marc S. Paolella - 11-51 Collateral Smile
by Markus LEIPPOLD & Lujing SU - 11-50 Systemic Risk and Sentiment Chapter Contribution to Handbook on Systemic Risk
by Giovanni BARONE-ADESI & Loriano MANCINI & Hersh SHEFRIN - 11-49 Comprehensive model of household tenure choice
by Steven C. BOURASSA & Donald R. HAURIN & Patric H. HENDERSHOTT & Martin HOESLI - 11-48 Preemptive Bidding, Target Resistance, and Takeover Premiums
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 11-47 Preemptive Bidding, Target Resistance, and Takeover Premiums
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 11-46 Robust Repeat Sales Indexes
by Steven C. BOURASSA & Eva CANTONI & Martin HOESLI - 11-45 Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?
by Christoph HARTZ & Marc S. PAOLELLA - 11-44 Capital Supply Uncertainty, Cash Holdings, and Investment
by Julien HUGONNIER & Semyon MALAMUD & Erwan MORELLEC - 11-43 Buyers Versus Sellers: Who Initiates Trades And When?
by Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH - 11-42 Detecting Informed Trading Activities in the Options Markets
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-41 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-40 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-39 Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE - 11-38 Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-37 The Value of Tradeability
by Marc CHESNEY & Alexander KEMPF - 11-36 We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
by Pierre BAJGROWICZ & Olivier SCAILLET - 11-35 The Role of Equity Funds in the Financial Crisis Propagation
by Harald HAU & Sandy LAI - 11-34 The Term Structure of Interbank Risk
by Damir FILIPOVIC & Anders B. TROLLE - 11-33 Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much
by Fabio TROJANI & Christian WIEHENKAMP & Jan WRAMPELMEYER - 11-32 Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
by Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET - 11-31 Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins
by Richard B. EVANS & Rüdiger FAHLENBRACH - 11-30 Investment strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE - 11-29 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou - 11-28 Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences
by Claudia RAVANELLI & Gregor SVINDLAND - 11-27 Extreme-quantile tracking for financial time series
by Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy - 11-26 Role of diversification risk in financial bubbles
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 11-25 When and How is Voluntary Disclosure Quality Reflected in Equity Prices?
by Florian EUGSTER & Alexander F. WAGNER - 11-24 Risk Aversion in the Large and in the Small
by Jorgen HAUG & Thorsten HENS & Peter WOHRMANN - 11-23 Predictive Power of Information Market Prices
by Maria PUTINTSEVA - 11-22 R&D and the Market for Acquisitions
by Gordon PHILLIPS & Alexei ZHDANOV - 11-21 The war puzzle: contradictory effects of international conflicts on stock markets
by Amelie BRUNE & Thorsten HENS & Marc Olivier RIEGER & Mei WANG - 11-20 Density Approximations For Multivariate Affine Jump-Diffusion Processes
by Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER - 11-19 This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis
by Rüdiger FAHLENBRACH & Robert PRILMEIER & René M. STULZ - 11-18 Utility Maximization, Risk Aversion, and Stochastic Dominance
by Mathias BEIGLBÖCK & Johannes MUHLE-KARBE & Johannes TEMME - 11-17 Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios
by Peter MOLNAR & Kjell G. NYBORG - 11-16 International Bond Risk Premia
by Magnus DAHLQUIST & Henrik HASSELTOFT - 11-15 The unconditional and conditional exchange rate exposure of U.S. firms
by Ines CHAIEB & Stefano MAZZOTTA - 11-14 CEO Contract Design: How Do Strong Principals Do It?
by Henrik CRONQVIST & Rüdiger FAHLENBRACH - 11-13 On the Timing and Pricing of Dividends
by Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen - 11-12 Are Shareholders Stupid? On The Surprising Impact of Binding Say-On-Pay On Stock Prices
by Alexander WAGNER & Christoph WENK - 11-11 Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
by Damir FILIPOVIC & Robert KREMSLEHNER & Alexander MUERMANN - 11-10 Collateral Requirements and Asset Prices
by Johannes Brumm & Michael GRILL & Felix KUBLER & Karl SCHMEDDERS - 11-09 Weak Approximation of G-Expectations
by Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER - 11-08 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-07 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-06 Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals
by Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov - 11-05 The US stock market leads the Federal funds rate and Treasury bond yields
by Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE - 11-04 Regulating Asset Price Risk
by Philippe BACCHETTA & Cedric TILLE & Eric VAN WINCOOP - 11-03 Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM
by Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN - 11-02 Approaches to conditional risk
by Damir FILIPOVIC & Michael KUPPER & Nicolas VOGELPOTH - 11-01 Entrepreneurial Spawning and Firm Characteristics
by Michel A. HABIB & Ulrich HEGE & Pierre MELLA-BARRAL
2010
- 10-46 Do Public Real Estate Returns Really Lead Private Returns?
by Alena AUDZEYEVA & Barbara SUMMERS & Klaus Reiner SCHENK-HOPPE - 10-45 Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
by Kenneth L. JUDD & Philipp RENNER & Karl SCHMEDDERS - 10-44 Conditional Density Models for Asset Pricing
by Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA - 10-43 Moment Component Analysis: An Illustration with International Stock Markets
by Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER - 10-42 Nonmyopic Optimal Portfolios in Viable Markets
by Jaksa CVITANIC & Semyon MALAMUD - 10-41 Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
by Eric JONDEAU & Michael ROCKINGER - 10-40 Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns
by Martin HOESLI & Kustrim REKA - 10-39 A Simple Model of the Firm Life Cycle
by Klaus REINER SCHENK-HOPPE & Urs SCHWERI - 10-38 Consumption Paths under Prospect Utility in an Optimal Growth Model
by Reto FOELLMI & Rina ROSENBLATT-WISCH & Klaus REINER SCHENK-HOPPE - 10-37 Banking System Stability with respect to Funding Liquidity Risk
by Mario HAEFELI - 10-36 An evolutionary financial market model with a risk-free asset
by Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE - 10-35 The performance of the Eurosystem's fixed rate tenders since 2004: Theory and evidence
by Christian EWERHART & Nuno CASSOLA & Natacha VALLA - 10-34 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
by Jeffrey SATINOVER & Didier SORNETTE - 10-33 The value of the liability insurance for Credit Suisse and UBS
by Mario HAEFELI & Matthias P. JUTTNER - 10-32 Self-Fulfilling Risk Panics
by Philippe BACCHETTA & Cédric TILLE & Eric VAN WINCOOP - 10-31 Alternative Models For Hedging Yield Curve Risk: An Empirical Comparison
by Nicola CARCANO & Hakim DALL'O - 10-30 Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change
by Zhihua CHEN & Aziz A. LOOKMAN & Norman SCHURHOFF & Duane J. SEPPI - 10-29 A structural analysis of the health expenditures and portfolio choices of retired agents
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 10-28 Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem
by Élise PAYZAN LE NESTOUR - 10-27 ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails
by Marc S. PAOLELLA - 10-26 Price Impact and Portfolio Impact
by Jaksa CVITANIC & Semyon MALAMUD - 10-25 Money and Liquidity in Financial Markets
by Kjell G. NYBORG & Per OSTBERG - 10-24 Bank Bailout Menus
by Sudipto BHATTACHARYA & Kjell G. NYBORG - 10-23 Microinformation, Nonlinear Filtering and Granularity
by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT - 10-22 Replicating Hedge Fund Indices with Optimization Heuristics
by Manfred GILLI & Enrico SCHUMANN & Gerda CABEJ & Jonela LULA - 10-21 Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
by Felix KUBLER & Karl SCHMEDDERS - 10-20 The Price of Liquidity: Bank Characteristics and Market Conditions
by Falko FECHT & Kjell G. NYBORG & Jörg ROCHOLL - 10-19 Macroeconomic Conditions, Growth Opportunities and the Cross-Section of Credit Risk
by Marc ARNOLD & Alexander F. WAGNER & Ramona WESTERMANN - 10-18 Risk-taking Incentives, Governance,and Losses in the Financial Crisis
by Marc CHESNEY & Jacob STROMBERG & Alexander F. WAGNER - 10-17 The Dark Side of Outside Directors: Do they Quit When They are Most Needed?
by Rüdiger Fahlenbrach & Angie Low & René M. Stulz - 10-16 Bubbles Everywhere in Human Affairs
by Monika GISLER & Didier SORNETTE - 10-15 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 10-14 Three Solutions to the Pricing Kernel Puzzle
by Thorsten HENS & Christian REICHLIN - 10-13 The Interest Rate Sensitivity of Real Estate
by Alain CHANEY & Martin HOESLI - 10-12 Exuberant innovation: The Human Genome Project
by Monika GISLER & Didier SORNETTE & Ryan WOODARD - 10-11 Former CEO Directors: Lingering CEOs or Valuable Resources?
by Rüdiger FAHLENBRACH & Bernadette A. MINTON & Carrie H. PAN - 10-10 Optimal Securitization with Heterogeneous Investors
by Semyon Malamud & Huaxia Rui & Andrew B. Whinston - 10-09 Information Percolation in Segmented Markets
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 10-08 Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
by Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER - 10-07 Efficient Derivative Pricing By The Extended Method of Moments
by Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT - 10-06 The Lehman Brothers Effect and Bankruptcy Cascades
by Pawel SIECZKA & Didier SORNETTE & Janusz A. HOLYST - 10-05 Realizing Smiles: Pricing Options with Realized Volatility
by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA - 10-04 Lemons and Money Market?
by Christian EWERHART & Patricia FEUBLI - 10-03 Is the Price Kernel Monotone?
by Giovanni BARONE-ADESI & Hakim DALL'O - 10-02 Exploring the Nature of 'Trader Intuition'
by Antoine J. BRUGUIER & Steven R. QUARTZ & Peter BOSSAERTS - 10-01 Housing and its Role in the Household Portfolio in Colombia
by Camilo SERRANO & Martin HOESLI
2009
- 09-50 An Experimental Study On Real Option Strategies
by Mei WANG & Abraham BERNSTEIN & Marc CHESNEY - 09-49 Evolutionary Finance and Dynamic Games
by Rabah AMIR & Igor V. EVSTIGNEEV & Thorsten HENS & Le XU - 09-48 An Experimental Study On Real Option Strategies
by Mei WANG & Abraham BERNSTEIN & Marc CHESNEY - 09-47 How Time Preferences Differ: Evidence from 45 Countries
by Mei WANG & Marc Oliver RIEGER & Thorsten HENS - 09-46 Homogeneous Volatility Bridge Estimators
by Alexander SAICHEV & Didier SORNETTE & Vladimir FILIMONOV & Fulvio CORSI - 09-45 Financial Markets Equilibrium with Heterogeneous Agents
by Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP - 09-44 Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums
by Loriano MANCINI & Angelo RANALDO & Jan WRAMPELMEYER - 09-43 Private Equity Performance and Liquidity Risk
by Francesco FRANZONI & Eric NOWAK & Ludovic PHALIPPOU - 09-42 House Prices,Disposable Income,and Permanent and Temporary Shocks
by Patricia FRASER & Martin HOESLI & Lynn MCALEVEY - 09-41 Endogenous completeness of diffusion driven equilibrium markets
by Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ - 09-40 Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
by Y. Malevergne & V. Pisarenko & D. Sornette - 09-39 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS - 09-38 Robust Resampling Methods for Time Series
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI - 09-37 Growing wealth with fixed-mix strategies
by Michael A.H. DEMPSTER & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE - 09-36 Dragon-Kings, Black Swans and the Prediction of Crises
by Didier SORNETTE - 09-35 Most Efficient Homogeneous Volatility Estimators
by Alexander I. SAICHEV & Didier SORNETTE & Vladimir FILIMONOV - 09-34 Equilibrium Driven by Discounted Dividend Volatility
by Jaksa CVITANIC & Semyon MALAMUD - 09-33 The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 09-32 Survival and Evolutionary Stability of the Kelly Rule
by Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE - 09-31 Other-regarding preferences and altruistic punishment: A Darwinian perspective
by Moritz HETZER & Didier SORNETTE - 09-30 Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity
by Eric JONDEAU & Florian PELGRIN - 09-29 Firm Migration and Stock Returns
by Giovanni W. PUOPOLO - 09-28 Short Selling Regulation after the Financial Crisis – First Principles Revisited
by Seraina GRUENEWALD & Alexander F. WAGNER & Rolf H. WEBER - 09-27 Bank CEO Incentives and the Credit Crisis
by Rüdiger FAHLENBRACH & René M. STULZ - 09-26 Linkages Between Direct and Securitized Real Estate
by Elias OIKARINEN & Martin HOESLI & Camilo SERRANO - 09-25 Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting
by Enrico G. DE GIORGI & Shane LEGG - 09-24 Optimal Liquidation Strategies in Illiquid Markets
by Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER - 09-23 Fourth Order Pseudo Maximum Likelihood Methods
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - 09-22 The time-varying prediction of successful mergers
by Giovanni BARONE-ADESI & Giuseppe CORVASCE - 09-21 Financial Crisis: Estimating the Risk of Assets in Balance
by Giovanni BARONE-ADESI & Giuseppe CORVASCE - 09-20 Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets
by Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame - 09-19 A Satiscing Alternative to Prospect Theory
by David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM - 09-18 Health and (other) Asset Holdings
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 09-17 An Intergenerational Cross-Country Swap
by Miret PADOVANI & Paolo VANINI - 09-16 The Swiss Housing Market
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO - 09-15 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier SORNETTE & Ryan WOODARD - 09-14 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
by Li LIN & Ruo En REN & Didier SORNETTE - 09-13 Variance Covariance Orders and Median Preserving
by Semyon MALAMUD & Fabio TROJANI - 09-12 Efficiency in Large Dynamic Panel Models with Common Factor
by Patrick GAGLIARDINI & Christian GOURIEROUX - 09-11 The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
by Ramazan GENCA & Rajna GIBSON & Yi XUE