NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Financial Economics

General


2009
w15542 Arvind Krishnamurthy
How Debt Markets have Malfunctioned in the Crisis

w15538 Marcin Kacperczyk
Philipp Schnabl

When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009

w15512 Moritz Schularick
Alan M. Taylor

Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870–2008

w15504 Ravi Bansal
Dana Kiku
Amir Yaron

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

w15482 Zhiguo He
Wei Xiong

Dynamic Debt Runs

w15458 Pietro Veronesi
Luigi Zingales

Paulson's Gift

w15414 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crises and Liquidity in Over-the-Counter Markets

w15404 Ravi Jagannathan
Mudit Kapoor
Ernst Schaumburg

Why are we in a recession? The Financial Crisis is the Symptom not the Disease!

w15395 Courtney Coile
Phillip B. Levine

The Market Crash and Mass Layoffs: How the Current Economic Crisis May Affect Retirement

w15384 René M. Stulz
Credit Default Swaps and the Credit Crisis

w15381 David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo

On the Scholes Liquidation Problem

w15379 Stephen G. Cecchetti
Marion Kohler
Christian Upper

Financial Crises and Economic Activity

w15373 Robert S. Pindyck
Neng Wang

The Economic and Policy Consequences of Catastrophes

w15362 Amir E. Khandani
Andrew W. Lo
Robert C. Merton

Systemic Risk and the Refinancing Ratchet Effect

w15356 Stelios Michalopoulos
Luc Laeven
Ross Levine

Financial Innovation and Endogenous Growth

w15334 William N. Goetzmann
Liang Peng
Jacqueline Yen

The Subprime Crisis and House Price Appreciation

w15333 Douglas W. Blackburn
William N. Goetzmann
Andrey D. Ukhov

Risk Aversion and Clientele Effects

w15332 Rik G.P. Frehen
William N. Goetzmann
K. Geert Rouwenhorst

New Evidence on the First Financial Bubble

w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit

w15283 Atif R. Mian
Amir Sufi

House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis

w15275 Asli Demirguc-Kunt
Ross Levine

Finance and Inequality: Theory and Evidence

w15273 Gary B. Gorton
Andrew Metrick

Haircuts

w15247 Robert J. Barro
Tao Jin

On the Size Distribution of Macroeconomic Disasters

w15212 Rüdiger Fahlenbrach
René M. Stulz

Bank CEO Incentives and the Credit Crisis

w15197 Douglas W. Diamond
Raghuram G. Rajan

Illiquidity and Interest Rate Policy

w15180 Andrea Beltratti
René M. Stulz

Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation

w15158 Nuno Cassola
Ali Hortacsu
Jakub Kastl

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

w15145 Luigi Guiso
Paola Sapienza
Luigi Zingales

Moral and Social Constraints to Strategic Default on Mortgages

w15141 Galina Hale
Assaf Razin
Hui Tong

The Impact of Credit Protection on Stock Prices in the Presence of Credit Crunches

w15118 Willem H. Buiter
Negative Nominal Interest Rates: Three ways to overcome the zero lower bound

w15110 Paul Beaudry
Amartya Lahiri

Risk Allocation, Debt Fueled Expansion and Financial Crisis

w15058 Stavros Panageas
Bailouts, the Incentive to Manage Risk, and Financial Crises

w15052 Robert B. Barsky
The Japanese Bubble: A 'Heterogeneous' Approach

w15045 Efraim Benmelech
Jennifer Dlugosz

The Credit Rating Crisis

w15042 Randall Morck
Bernard Yeung

Never Waste a Good Crisis: An Historical Perspective on Comparative Corporate Governance

w15040 Arvind Krishnamurthy
Amplification Mechanisms in Liquidity Crises

w14952 Isil Erel
Brandon Julio
Woojin Kim
Michael Weisbach

Market Conditions and the Structure of Securities

w14944 Gary B. Gorton
Lixin Huang
Qiang Kang

The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover

w14929 Thomas Philippon
Philipp Schnabl

Efficient Recapitalization

w14925 Douglas W. Diamond
Raghuram G. Rajan

Fear of Fire Sales and the Credit Freeze

w14897 Christian Leuz
Catherine Schrand

Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock

w14892 Eric Hilt
Wall Street's First Corporate Governance Crisis: The Panic of 1826

w14889 Zhi Da
Re-Jin Guo
Ravi Jagannathan

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence

w14878 Efraim Benmelech
Jennifer Dlugosz

The Alchemy of CDO Credit Ratings

w14871 Francis A. Longstaff
Brett Myers

Valuing Toxic Assets: An Analysis of CDO Equity

w14867 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Outside and Inside Liquidity

w14843 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Financial Openness and Productivity

w14815 Ravi Bansal
Ivan Shaliastovich

Confidence Risk and Asset Prices

w14814 Ravi Bansal
Ivan Shaliastovich

Learning and Asset-Price Jumps

w14764 Roland Bénabou
Groupthink: Collective Delusions in Organizations and Markets

w14761 Vasiliki Skreta
Laura Veldkamp

Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation

w14760 Robert J. Barro
José F. Ursúa

Stock-Market Crashes and Depressions

w14733 Jung-Wook Kim
Jason Lee
Randall Morck

Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks

w14701 John Y. Campbell
Adi Sunderam
Luis M. Viceira

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

w14663 Michael G. Palumbo
Jonathan A. Parker

The Integrated Financial and Real System of National Accounts for the United States: Does It Presage the Financial Crisis?

w14649 Gary B. Gorton
Information, Liquidity, and the (Ongoing) Panic of 2007

w14646 Lubos Pastor
Pietro Veronesi

Learning in Financial Markets

w14631 John B. Taylor
The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong


2008
w14625 Patrick Bajari
Chenghuan Sean Chu
Minjung Park

An Empirical Model of Subprime Mortgage Default From 2000 to 2007

w14609 Zhi Da
Pengjie Gao
Ravi Jagannathan

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

w14574 Zhiguo He
Wei Xiong

Multi-market Delegated Asset Management

w14549 Michelle J. White
Bankruptcy: Past Puzzles, Recent Reforms, and the Mortgage Crisis

w14517 Zhiguo He
Arvind Krishnamurthy

Intermediary Asset Pricing

w14340 Isaac Ehrlich
William A. Hamlen Jr.
Yong Yin

Asset Management, Human Capital, and the Market for Risky Assets

w14085 Sharon Katz
Earnings Quality and Ownership Structure: The Role of Private Equity Sponsors

w13763 Laurence J. Kotlikoff
Ben Marx
David Rapson

To Roth or Not? -- That is the Question


2007
w13713 Ernesto Reuben
Paola Sapienza
Luigi Zingales

Procrastination and Impatience

w13607 Dale F. Gray
Robert C. Merton
Zvi Bodie

New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability

w13245 Michael F. Gallmeyer
Burton Hollifield
Francisco Palomino
Stanley E. Zin

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

w13220 John Donaldson
Rajnish Mehra

Risk Based Explanations of the Equity Premium

w13196 Ravi Bansal
Long-Run Risks and Financial Markets

w13108 Ravi Bansal
Robert Dittmar
Dana Kiku

Cointegration and Consumption Risks in Asset Returns

w13107 Ravi Bansal
A. Ronald Gallant
George Tauchen

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

w12970 Jules H. van Binsbergen
Michael W. Brandt

Optimal Asset Allocation in Asset Liability Management


2006
w12797 Laurent E. Calvet
Adlai J. Fisher

Multifrequency Jump-Diffusions: An Equilibrium Approach

w12634 Dirk Krueger
Hanno Lustig

When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?

w12609 Monika Piazzesi
Martin Schneider

Equilibrium Yield Curves

w12542 Stephen G. Cecchetti
Measuring the Macroeconomic Risks Posed by Asset Price Booms

w12513 Michael W. Brandt
David A. Chapman

Linear Approximations and Tests of Conditional Pricing Models

w12501 Luigi Guiso
Paola Sapienza
Luigi Zingales

The Cost of Banking Regulation

w12376 Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz

Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market

w12297 Vojislav Maksimovic
Gordon Phillips

The Industry Life Cycle and Acquisitions and Investment: Does Firm Organization Matter?

w12049 Alberto Alesina
Silvia Ardagna
Francesco Trebbi

Who Adjusts and When? On the Political Economy of Reforms

w12036 Monika Piazzesi
Martin Schneider
Selale Tuzel

Housing, Consumption, and Asset Pricing

w12026 John H. Cochrane
The Dog That Did Not Bark: A Defense of Return Predictability

w12020 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Valuation in Over-the-Counter Markets


2005
w11843 Nicolae Garleanu
Lasse Heje Pedersen
Allen M. Poteshman

Demand-Based Option Pricing

w11728 Raghuram G. Rajan
Has Financial Development Made the World Riskier?

w11692 Dale T. Mortensen
Eva Nagypal

More on Unemployment and Vacancy Fluctuations

w11574 Qiang Dai
Thomas Philippon

Fiscal Policy and the Term Structure of Interest Rates

w11457 Richard B. Freeman
Does Globalization of the Scientific/Engineering Workforce Threaten U.S. Economic Leadership?

w11400 Lin Peng
Wei Xiong

Investor Attention: Overconfidence and Category Learning

w11367 Harrison Hong
Jose Scheinkman
Wei Xiong

Asset Float and Speculative Bubbles

w11362 Jianping Mei
Jose Scheinkman
Wei Xiong

Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia

w11329 Patric Hendershott
Robert J. Hendershott
Bryan D. MacGregor

Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique

w11307 Igal Hendel
Aviv Nevo

Measuring the Implications of Sales and Consumer Inventory Behavior

w11294 Armando Gomes
Gordon Phillips

Why Do Public Firms Issue Private and Public Securities?

w11276 Michael Gallmeyer
Burton Hollifield
Stanley E. Zin

Taylor Rules, McCallum Rules and the Term Structure of Interest Rates

w11132 Hanno Lustig
Yi-Li Chien

The Market Price of Aggregate Risk and the Wealth Distribution

w11104 Hanno Lustig
Adrien Verdelhan

The Cross-Section of Currency Risk Premia and US Consumption Growth Risk


2004
w11005 Luigi Guiso
Paola Sapienza
Luigi Zingales

Cultural Biases in Economic Exchange

w10996 Michael W. Brandt
Pedro Santa-Clara
Rossen Valkanov

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

w10979 Thorsten Beck
Asli Demirguc-Kunt
Ross Levine

Finance, Inequality, and Poverty: Cross-Country Evidence

w10978 Mihir A. Desai
Alexander Dyck
Luigi Zingales

Theft and Taxes

w10955 Hanno Lustig
Stijn Van Nieuwerburgh

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

w10937 Hyunbae Chun
Jung-Wook Kim
Jason Lee
Randall Morck

Patterns of Comovement: The Role of Information Technology in the U.S. Economy

w10850 William M. Gentry
Charles M. Jones
Christopher J. Mayer

Do Stock Prices Really Reflect Fundamental Values? The Case of REITs

w10816 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Over-the-Counter Markets

w10814 Viral V. Acharya
Lasse Heje Pedersen

Asset Pricing with Liquidity Risk

w10786 Ricardo J. Caballero
Stavros Panageas

Contingent Reserves Management: An Applied Framework

w10766 Ross Levine
Finance and Growth: Theory and Evidence

w10755 Markus K. Brunnermeier
Lasse Heje Pedersen

Predatory Trading

w10692 Randall Morck
Daniel Wolfenzon
Bernard Yeung

Corporate Governance, Economic Entrenchment and Growth

w10689 Wayne E. Ferson
Andrea Heuson
Tie Su

Weak and Semi-Strong Form Stock Return Predictability, Revisited

w10581 Lubos Pastor
Pietro Veronesi

Was There a Nasdaq Bubble in the Late 1990s?

w10579 Yacine Ait-Sahalia
Robert Kimmel

Maximum Likelihood Estimation of Stochastic Volatility Models

w10556 Alessandro Barbarino
Boyan Jovanovic

Shakeouts and Market Crashes

w10547 Monika Piazzesi
Eric Swanson

Futures Prices as Risk-adjusted Forecasts of Monetary Policy

w10410 Jung-Wook Kim
Jason Lee
Randall K. Morck

Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks

w10400 Mervyn King
The Institutions of Monetary Policy

w10372 Michael W. Brandt
Pedro Santa-Clara

Dynamic Portfolio Selection by Augmenting the Asset Space

w10235 Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner

The Geography of Stock Market Participation: The Influence of Communities and Local Firms


2003
w10132 Thomas Cooley
Ramon Marimon
Vincenzo Quadrini

Aggregate Consequences of Limited Contract Enforceability

w10107 Bryan R. Routledge
Stanley E. Zin

Generalized Disappointment Aversion and Asset Prices

w9914 Alessandro Beber
Michael W. Brandt

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

w9839 Laurent Calvet
Adlai Fisher

Regime-Switching and the Estimation of Multifractal Processes

w9791 Sergey Iskoz
Jiang Wang

How to Tell if a Money Manager Knows More?

w9778 Ricardo J. Caballero
Stavros Panageas

Hedging Sudden Stops and Precautionary Contractions

w9595 Luigi Zingales
Raghuram G. Rajan

Banks and Markets: The Changing Character of European Finance

w9581 Baruch Lev
Suresh Radhakrishnan

The Measurement of Firm-Specific Organization Capital

w9529 Michael W. Brandt
Kenneth A. Kavajecz

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

w9466 William N. Goetzmann
Ning Zhu
Arturo Bris

Efficiency and the Bear: Short Sales and Markets around the World

w9458 Michael W. Brandt
Amir Yaron

Time-Consistent No-Arbitrage Models of the Term Structure

w9454 Alexander Ljungqvist
Matthew Richardson

The cash flow, return and risk characteristics of private equity

w9441 Wayne E. Ferson
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

w9434 Leonid Kogan
Stephen Ross
Jiang Wang
Mark Westerfield

The Price Impact and Survival of Irrational Traders


2002
w9353 Mark Grinblatt
Jun Liu

Debt Policy, Corporate Taxes, and Discount Rates

w9214 Patric H. Hendershott
Charles W.R. Ward

Valuing and Pricing Retail Leases with Renewal and Overage Options

w9138 Ross Levine
Bank-Based or Market-Based Financial Systems: Which is Better?

w9116 William Goetzmann
Jonathan Ingersoll
Matthew I. Spiegel
Ivo Welch

Sharpening Sharpe Ratios

w9082 Thorsten Beck
Ross Levine

Stock Markets, Banks, and Growth: Panel Evidence

w9050 Neil Doherty
Kent Smetters

Moral Hazard in Reinsurance Markets

w8982 Thorsten Beck
Ross Levine

Industry Growth and Capital Allocation: Does Having a Market- or Bank-Based System Matter?

w8970 Stephen G. Cecchetti
Hans Genberg
Sushil Wadhwani

Asset Prices in a Flexible Inflation Targeting Framework

w8928 Gary Gorton
Andrew Winton

Financial Intermediation

w8923 Luigi Guiso
Paola Sapienza
Luigi Zingales

Does Local Financial Development Matter?

w8746 Bhagwan Chowdhry
Mark Grinblatt
David Levine

Information Aggregation, Security Design and Currency Swaps

w8745 Mark Grinblatt
Matti Keloharju

Tax-Loss Trading and Wash Sales

w8744 Mark Grinblatt
Tobias J. Moskowitz

What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

w8734 Mark Grinblatt
Bing Han

The Disposition Effect and Momentum


2001
w8686 William N. Goetzmann
Alok Kumar

Equity Portfolio Diversification

w8654 Randall Morck
Fan Yang

The Mysterious Growing Value of S&P 500 Membership

w8572 Simon Johnson
John McMillan
Christopher Woodruff

Courts and Relational Contracts

w8554 Robert F. Engle
Kevin Sheppard

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

w8173 Stephen J. Brown
William N. Goetzmann

Hedge Funds With Style

w8167 Qiang Dai
Kenneth J. Singleton

Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure

w8098 Ravi Jagannathan
Zhenyu Wang

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods

w8066 John H. Cochrane
The Risk and Return of Venture Capital


2000
w7971 Ricardo Caballero
Arvind Krishnamurthy

International and Domestic Collateral Constraints in a Model of Emerging Market Crises

w7878 James J. Choi
David Laibson
Andrew Metrick

Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans

w7835 Evan Gatev
Stephen A. Ross

Rebels, Conformists, Contrarians and Momentum Traders

w7763 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Emerging Equity Markets and Economic Development

w7683 Francois Degeorge
Dirk Jenter
Alberto Moel
Peter Tufano

Selling Company Shares to Reluctant Employees: France Telecom's Experience

w7488 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian


1999
w7418 Barry Eichengreen
Ricardo Hausmann

Exchange Rates and Financial Fragility

w7237 John Y. Campbell
John H. Cochrane

Explaining the Poor Performance of Consumption-Based Asset Pricing Models

w7214 Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw

Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

w7213 Jacob Boudoukh
Matthew Richardson

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

w7170 John H. Cochrane
Portfolio Advice for a Multifactor World

w7169 John H. Cochrane
New Facts in Finance

w7157 Robert J. Hodrick
David Tat-Chee Ng
Paul Sengmueller

An International Dynamic Asset Pricing Model

w7009 Wayne E. Ferson
Campbell R. Harvey

Conditioning Variables and the Cross-Section of Stock Returns


1998
w6843 Ricardo J. Caballero
Arvind Krishnamurthy

Emerging Market Crises: An Asset Markets Perspective

w6611 Fernando Restoy
Philippe Weil

Approximate Equilibrium Asset Prices


1997
w6312 Geert Bekaert
Campbell R. Harvey

Foreign Speculators and Emerging Equity Markets

w5080 Frederic S. Mishkin
John Simon

An Empirical Examination of the Fisher Effect in Australia

w5307 Geert Bekaert
Campbell R. Harvey

Emerging Equity Market Volatility

t0209 Stefano Athanasoulis
Robert J. Shiller

The Significance of the Market Portfolio


1996
w5860 Wayne E. Ferson
Campbell R. Harvey

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing


1995
w3779 Assaf Razin
Efraim Sadka

International Fiscal Policy Coordination and Competition: An Exposition


1994
w4843 Geert Bekaert
Campbell R. Harvey

Time-Varying World Market Integration

w4663 Campbell R. Harvey
Roger D. Huang

The Impact of the Federal Reserve Bank's Open Market Operations

w4660 Campbell R. Harvey
Bruno Solnik
Guofu Zhou

What Determines Expected International Asset Returns?

w4623 Campbell R. Harvey
Conditional Asset Allocation in Emerging Markets

w4621 Campbell R. Harvey
Predictable Risk and Returns in Emerging Markets


1992
w4036 Orley Ashenfelter
David Genesove

Testing for Price Anomalies in Real Estate Auctions


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