NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Financial Economics: General Financial Markets


2014
w20684 Russell Cooper
Guozhong Zhu

Household Finance over the Life-Cycle: What does Education Contribute?

w20682 Kewei Hou
Chen Xue
Lu Zhang

A Comparison of New Factor Models

w20678 Anisha Ghosh
George M. Constantinides

Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes

w20665 Daron Acemoglu
Tarek A. Hassan
Ahmed Tahoun

The Power of the Street: Evidence from Egypt's Arab Spring

w20652 Robert J. Barro
Andrew Mollerus

Safe Assets

w20651 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Growth Expectations, Dividend Yields, and Future Stock Returns

w20638 Hui Chen
Rui Cui
Zhiguo He
Konstantin Milbradt

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

w20623 Veronica Guerrieri
Robert Shimer

Markets with Multidimensional Private Information

w20620 Darrell Duffie
Piotr Dworczak
Haoxiang Zhu

Benchmarks in Search Markets

w20608 Benjamin Lester
Guillaume Rocheteau
Pierre-Olivier Weill

Competing for Order Flow in OTC Markets

w20592 Campbell R. Harvey
Yan Liu
Heqing Zhu

. . . and the Cross-Section of Expected Returns

w20591 Robert Novy-Marx
Understanding Defensive Equity

w20589 Francis Longstaff
Valuing Thinly-Traded Assets

w20588 Songzi Du
Haoxiang Zhu

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

w20571 John D. Burger
Rajeswari Sengupta
Francis E. Warnock
Veronica Cacdac Warnock

U.S. Investment in Global Bonds: As the Fed Pushes, Some EMEs Pull

w20540 Darrell Duffie
Piotr Dworczak

Robust Benchmark Design

w20526 Michael B. Devereux
Changhua Yu

International Financial Integration and Crisis Contagion

w20421 David Chambers
Elroy Dimson
Justin Foo

Keynes, King's and Endowment Asset Management

w20516 Nicolas S. Lambert
Michael Ostrovsky
Mikhail Panov

Strategic Trading in Informationally Complex Environments

w20496 Jonathan Zinman
Household Debt: Facts, Puzzles, Theories, and Policies

w20490 Javier Bianchi
Saki Bigio

Banks, Liquidity Management and Monetary Policy

w20480 Andrea M. Buffa
Dimitri Vayanos
Paul Woolley

Asset Management Contracts and Equilibrium Prices

w20476 Alex Edmans
Luis Goncalves-Pinto
Yanbo Wang
Moqi Xu

Strategic News Releases in Equity Vesting Months

w20459 Asaf Bernstein
Eric Hughson
Marc D. Weidenmier

Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

w20445 Anna Orlik
Laura Veldkamp

Understanding Uncertainty Shocks and the Role of Black Swans

w20439 Kent Daniel
Tobias J. Moskowitz

Momentum Crashes

w20437 Lorenz Kueng
Tax News: Identifying Tax Expectations from Municipal Bonds with an Application to Household Consumption

w20435 Jonathan B. Berk
Jules H. van Binsbergen

Assessing Asset Pricing Models Using Revealed Preference

w20433 Kent Daniel
Robert J. Hodrick
Zhongjin Lu

The Carry Trade: Risks and Drawdowns

w20416 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

Entry and Exit in OTC Derivatives Markets

w20410 Joao Granja
Gregor Matvos
Amit Seru

Selling Failed Banks

w20394 Lars Peter Hansen
Uncertainty Outside and Inside Economic Models

w20391 Peter Benczur
Cosmin L. Ilut

Evidence for Relational Contracts in Sovereign Bank Lending

w20390 Andrew Foerster
Juan Rubio-Ramírez
Daniel F. Waggoner
Tao Zha

Perturbation Methods for Markov-Switching DSGE Models

w20370 Oliver D. Bunn
Robert J. Shiller

Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013

w20345 Alberto Bisin
Piero Gottardi
Guido Ruta

Equilibrium Corporate Finance and Intermediation

w20339 Jens Hilscher
Alon Raviv
Ricardo Reis

Inflating Away the Public Debt? An Empirical Assessment

w20336 Tatiana Didier
Ross Levine
Sergio L. Schmukler

Capital Market Financing, Firm Growth, Firm Size Distribution

w20328 YiLi Chien
Harold L. Cole
Hanno Lustig

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

w20319 David Backus
Axelle Ferriere
Stanley Zin

Risk and Ambiguity in Models of Business Cycles

w20303 Frank Schorfheide
Dongho Song
Amir Yaron

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

w20300 Alex Edmans
Lucius Li
Chendi Zhang

Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World

w20294 Tarek A. Hassan
Rui C. Mano

Forward and Spot Exchange Rates in a Multi-currency World

w20287 Morris A. Davis
Stijn Van Nieuwerburgh

Housing, Finance and the Macroeconomy

w20282 Itamar Drechsler
Qingyi Freda Drechsler

The Shorting Premium and Asset Pricing Anomalies

w20265 Stefan Nagel
The Liquidity Premium of Near-Money Assets

w20255 Tri Vi Dang
Gary Gorton
Bengt Holmström
Guillermo Ordonez

Banks as Secret Keepers

w20246 Marcin Kacperczyk
Jaromir B. Nosal
Luminita Stevens

Investor Sophistication and Capital Income Inequality

w20245 Esben Hedegaard
Robert J. Hodrick

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

w20220 Kris James Mitchener
Kirsten Wandschneider

Capital Controls and Recovery from the Financial Crisis of the 1930s

w20210 Frederico Belo
Xiaoji Lin
Fan Yang

External Equity Financing Shocks, Financial Flows, and Asset Prices

w20209 Jaroslav Borovička
Lars P. Hansen
José A. Scheinkman

Misspecified Recovery

w20199 David le Bris
William N. Goetzmann
Sébastien Pouget

Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946

w20193 Tarek A. Hassan
Thomas M. Mertens

Information Aggregation in a DSGE Model

w20190 Daniel Andrei
Bruce Carlin
Michael Hasler

Model Disagreement and Economic Outlook

w20187 Jaewon Choi
Matthew P. Richardson
Robert F. Whitelaw

On the Fundamental Relation Between Equity Returns and Interest Rates

w20176 Stephen G. Dimmock
William C. Gerken
Zoran Ivković
Scott J. Weisbenner

Capital Gains Lock-In and Governance Choices

w20154 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

No-Bubble Condition: Model-free Tests in Housing Markets

w20141 Itamar Drechsler
Alexi Savov
Philipp Schnabl

A Model of Monetary Policy and Risk Premia

w20138 Jonathan B. Berk
Jules H. van Binsbergen
Binying Liu

Matching Capital and Labor

w20133 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

Very Long-Run Discount Rates

w20115 Drew D. Creal
Jing Cynthia Wu

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

w20117 Jing Cynthia Wu
Fan Dora Xia

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

w20110 George M. Constantinides
Anisha Ghosh

Asset Pricing with Countercyclical Household Consumption Risk

w20089 Raymond Fisman
Yasushi Hamao
Yongxiang Wang

Nationalism and Economic Exchange: Evidence from Shocks to Sino-Japanese Relations

w20081 Francesco Bianchi
Cosmin L. Ilut
Martin Schneider

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

w20080 Paul S. Willen
Lauren Lambie-Hanson
Lynn M. Fisher

The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums

w20076 Bernard Herskovic
Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

w20072 Robert F. Stambaugh
Investment Noise and Trends

w20071 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

Do ETFs Increase Volatility?

w20070 John Y. Campbell
Carolin Pflueger
Luis M. Viceira

Monetary Policy Drivers of Bond and Equity Risks

w20062 Jerry Tsai
Jessica A. Wachter

Rare Booms and Disasters in a Multi-sector Endowment Economy

w20044 Jess Benhabib
Pengfei Wang

Private Information and Sunspots in Sequential Asset Markets

w20041 Simon Gilchrist
Benoît Mojon

Credit Risk in the Euro Area

w20000 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience

w19985 Anne-Laure Delatte
Julien Fouquau
Richard Portes

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts

w19981 Jordi Gali
Luca Gambetti

The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

w19980 Joshua Aizenman
Mahir Binici
Michael M. Hutchison

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

w19975 David Yermack
Yehuda Izhakian

Risk, Ambiguity, and the Exercise of Employee Stock Options

w19974 Yongheng Deng
Xin Liu
Shang-Jin Wei

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?

w19972 Harold L. Cole
Thomas F. Cooley

Rating Agencies

w19969 Esben Hedegaard
Robert J. Hodrick

Estimating the Risk-Return Trade-off with Overlapping Data Inference

w19963 Stephanie E. Curcuru
Charles P. Thomas
Francis E. Warnock
Jon Wongswan

Uncovered Equity Parity and Rebalancing in International Portfolios

w19958 Roger Farmer
Asset Prices in a Lifecycle Economy

w19957 Peter Koudijs
Hans-Joachim Voth

Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending

w19946 Konstantin Milbradt
Martin Oehmke

Maturity Rationing and Collective Short-Termism

w19931 Péter Kondor
Dimitri Vayanos

Liquidity Risk and the Dynamics of Arbitrage Capital

w19930 James M. Poterba
Retirement Security in an Aging Society

w19917 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

Foreign Ownership of U.S. Safe Assets: Good or Bad?

w19892 James D. Hamilton
Jing Cynthia Wu

Effects of Index-Fund Investing on Commodity Futures Prices

w19891 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Scale and Skill in Active Management

w19890 Darrell Duffie
Martin Scheicher
Guillaume Vuillemey

Central Clearing and Collateral Demand

w19887 Mervyn King
David Low

Measuring the ''World'' Real Interest Rate

w19875 Pablo Kurlat
Johannes Stroebel

Testing for Information Asymmetries in Real Estate Markets

w19871 Robert E. Hall
High Discounts and High Unemployment

w19864 Fatih Guvenen
Greg Kaplan
Jae Song

How Risky Are Recessions for Top Earners?

w19854 Xavier Gabaix
Matteo Maggiori

International Liquidity and Exchange Rate Dynamics

w19834 Alexander Ljungqvist
Wenlan Qian

How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation

w19818 Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson

Origins of Stock Market Fluctuations

w19817 Alex Chinco
Christopher Mayer

Misinformed Speculators and Mispricing in the Housing Market

w19814 Dick van Dijk
Robin L. Lumsdaine
Michel van der Wel

Market Set-Up in Advance of Federal Reserve Policy Decisions

w19812 Bryan Kelly
Lubos Pastor
Pietro Veronesi

The Price of Political Uncertainty: Theory and Evidence from the Option Market

w19798 Hyun-Soo Choi
Harrison Hong
Jeffrey Kubik
Jeffrey P. Thompson

When Real Estate is the Only Game in Town

w19788 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Dynamic Dispersed Information and the Credit Spread Puzzle

w19786 Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel

Political Risk Spreads


2013
w19738 Krislert Samphantharak
Robert Townsend

Risk and Return in Village Economies

w19732 Hugh H. Kim
Raimond Maurer
Olivia S. Mitchell

Time is Money: Life Cycle Rational Inertia and Delegation of Investment Management

w19728 Jennie Bai
Thomas Philippon
Alexi Savov

Have Financial Markets Become More Informative?

w19706 Conghui Hu
Wei Xiong

Are Commodity Futures Prices Barometers of the Global Economy?

w19705 Pierre Collin-Dufresne
Michael Johannes
Lars A. Lochstoer

Parameter Learning in General Equilibrium: The Asset Pricing Implications

w19701 Daron Acemoglu
Simon Johnson
Amir Kermani
James Kwak
Todd Mitton

The Value of Connections in Turbulent Times: Evidence from the United States

w19688 Charles Y. Horioka
Akiko Terada-Hagiwara

Corporate Cash Holding in Asia

w19684 Efstathios Avdis
Jessica A. Wachter

Maximum likelihood estimation of the equity premium

w19681 Andrea Frazzini
David Kabiller
Lasse H. Pedersen

Buffett's Alpha

w19676 Fernando Broner
Aitor Erce
Alberto Martin
Jaume Ventura

Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects

w19671 Andrés Fernández
Alessandro Rebucci
Martín Uribe

Are Capital Controls Prudential? An Empirical Investigation

w19670 Ing-Haw Cheng
Wei Xiong

Why Do Hedgers Trade So Much?

w19652 Carmen M. Reinhart
Takeshi Tashiro

Crowding Out Redefined: The Role of Reserve Accumulation

w19643 Jakub W. Jurek
Erik Stafford

The Cost of Capital for Alternative Investments

w19633 William Gornall
Ilya A. Strebulaev

Financing as a Supply Chain: The Capital Structure of Banks and Borrowers

w19625 Charles W. Calomiris
Jonathan Pritchett

Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War

w19623 Hanno Lustig
Andreas Stathopoulos
Adrien Verdelhan

The Term Structure of Currency Carry Trade Risk Premia

w19619 Pierre Collin-Dufresne
Vyacheslav Fos

Moral Hazard, Informed Trading, and Stock Prices

w19612 Morten Sorensen
Neng Wang
Jinqiang Yang

Valuing Private Equity

w19611 Sang Byung Seo
Jessica A. Wachter

Option Prices in a Model with Stochastic Disaster Risk

w19606 Sumit Agarwal
Itzhak Ben-David
Vincent Yao

Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market

w19596 Charles Y. Horioka
Takaaki Nomoto
Akiko Terada-Hagiwara

Why Has Japan's Massive Government Debt Not Wreaked Havoc (Yet)?

w19590 Byeong-Je An
Andrew Ang
Turan G. Bali
Nusret Cakici

The Joint Cross Section of Stocks and Options

w19583 Andreas Hubener
Raimond Maurer
Olivia S. Mitchell

How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios

w19570 Clemens Sialm
Zheng Sun
Lu Zheng

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

w19569 Clemens Sialm
Laura Starks
Hanjiang Zhang

Defined Contribution Pension Plans: Sticky or Discerning Money?

w19531 Yacine Aït-Sahalia
Mehmet Saglam

High Frequency Traders: Taking Advantage of Speed

w19523 Linda S. Goldberg
Christian Grisse

Time Variation in Asset Price Responses to Macro Announcements

w19516 Mark Aguiar
Manuel Amador
Emmanuel Farhi
Gita Gopinath

Crisis and Commitment: Inflation Credibility and the Vulnerability to Sovereign Debt Crises

w19500 Kent Smetters
Xingtan Zhang

A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks

w19466 Bryan Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

Firm Volatility in Granular Networks

w19462 Hyunbae Chun
Jung-Wook Kim
Randall Morck

Productivity Growth and Stock Returns: Firm- and Aggregate-Level Analyses

w19460 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

w19459 Andrew Ang
Richard C. Green
Yuhang Xing

Advance Refundings of Municipal Bonds

w19455 Russell Cooper
Guozhong Zhu

Household Finance: Education, Permanent Income and Portfolio Choice

w19436 Andrew Ang
Dimitris Papanikolaou
Mark Westerfield

Portfolio Choice with Illiquid Assets

w19432 Ing-Haw Cheng
Harrison Hong
Kelly Shue

Do Managers Do Good with Other People's Money?

w19429 Lauren Cohen
Dong Lou
Christopher Malloy

Playing Favorites: How Firms Prevent the Revelation of Bad News

w19420 Alex Edmans
Mirko Heinle
Chong Huang

The Real Costs of Disclosure

w19417 Paul Asquith
Thom Covert
Parag Pathak

The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market

w19416 Ian Dew-Becker
Stefano Giglio

Asset Pricing in the Frequency Domain: Theory and Empirics

w19400 Yuming Fu
Wenlan Qian
Bernard Yeung

Speculative Investors and Tobin's Tax in the Housing Market

w19383 Avanidhar Subrahmanyam
Sheridan Titman

Financial Market Shocks and the Macroeconomy

w19381 Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

w19375 Bryan Kelly
Hao Jiang

Tail Risk and Asset Prices

w19371 Robert Ready
Nikolai Roussanov
Colin Ward

Commodity Trade and the Carry Trade: a Tale of Two Countries

w19360 David Backus
Mikhail Chernov
Stanley E. Zin

Identifying Taylor Rules in Macro-Finance Models

w19358 Ulf Brüggemann
Aditya Kaul
Christian Leuz
Ingrid M. Werner

The Twilight Zone: OTC Regulatory Regimes and Market Quality

w19349 Wayne E. Ferson
Jerchern Lin

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

w19347 Arthur Korteweg
Stefan Nagel

Risk-Adjusting the Returns to Venture Capital

w19336 Charles Engel
Exchange Rates and Interest Parity

w19325 Ralph S.J. Koijen
Tobias J. Moskowitz
Lasse Heje Pedersen
Evert B. Vrugt

Carry

w19309 Andrew Ang
Assaf A. Shtauber
Paul C. Tetlock

Asset Pricing in the Dark: The Cross Section of OTC Stocks

w19290 Yen-cheng Chang
Harrison Hong
Inessa Liskovich

Regression Discontinuity and the Price Effects of Stock Market Indexing

w19284 Luigi Guiso
Paola Sapienza
Luigi Zingales

Time Varying Risk Aversion

w19258 Robert J. Barro
Environmental Protection, Rare Disasters, and Discount Rates

w19246 Robin Greenwood
Samuel Hanson

Waves in Ship Prices and Investment

w19240 Pierre-Olivier Gourinchas
Hélène Rey

External Adjustment, Global Imbalances and Valuation Effects

w19238 Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig

Deflation Risk

w19229 René M. Stulz
Dimitrios Vagias
Mathijs A. van Dijk

Do Firms Issue more equity when markets are more liquid?

w19207 Nicolas Petrosky-Nadeau
Lu Zhang

Unemployment Crises

w19206 Vanya Horneff
Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

w19194 Andrew Ang
Neil Nabar
Sam Wald

Search for a Common Factor in Public and Private Real Estate Returns

w19191 Annamaria Conti
Jerry Thursby
Marie C. Thursby

Patents as Signals for Startup Financing

w19189 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

X-CAPM: An Extrapolative Capital Asset Pricing Model

w19167 Gonzalo Cortazar
Ivo Kovacevic
Eduardo S. Schwartz

Commodity and Asset Pricing Models: An Integration

w19155 Adrian Buss
Bernard Dumas

Financial-market Equilibrium with Friction

w19146 Rajnish Mehra
Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy

w19132 Russell Cooper
Hubert Kempf

Deposit Insurance and Orderly Liquidation without Commitment: Can we Sleep Well?

w19130 Emel Filiz-Ozbay
Jonathan Guryan
Kyle Hyndman
Melissa Schettini Kearney
Erkut Y. Ozbay

Do Lottery Payments Induce Savings Behavior: Evidence from the Lab

w19117 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Finance and the Preservation of Wealth

w19103 Robin L. Lumsdaine
Rogier J.D. Potter van Loon

Wall Street vs. Main Street: An Evaluation of Probabilities

w19095 Lieven Baele
Geert Bekaert
Koen Inghelbrecht
Min Wei

Flights to Safety

w19068 Elena Asparouhova
Peter Bossaerts
Nilanjan Roy
William Zame

'Lucas' In The Laboratory

w19065 Nicole M. Aulerich
Scott H. Irwin
Philip Garcia

Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files

w19056 James D. Hamilton
Jing Cynthia Wu

Risk Premia in Crude Oil Futures Prices

w19039 Viral V. Acharya
Sascha Steffen

The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks

w19032 Jingjing Chai
Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

Exchanging Delayed Social Security Benefits for Lump Sums: Could This Incentivize Longer Work Careers?

w19030 Andrew Ang
Bingxu Chen
Suresh Sundaresan

Liability Investment with Downside Risk

w19022 Guillermo Ordonez
Sustainable Shadow Banking

w19018 Malcolm Baker
Jeffrey Wurgler

Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly

w19017 Randall Morck
Bernard Yeung
Wayne Yu

R-squared and the Economy

w19009 Venky Venkateswaran
Randall Wright

Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity

w19004 Randall Morck
M. Deniz Yavuz
Bernard Yeung

State-controlled Banks and the Effectiveness of Monetary Policy

w18995 Geert Bekaert
Marie Hoerova

The VIX, the Variance Premium and Stock Market Volatility

w18984 Karthik Balakrishnan
Mary B. Billings
Bryan T. Kelly
Alexander Ljungqvist

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

w18968 Viral V. Acharya
Robert Engle
Diane Pierret

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

w18951 Christopher R. Knittel
Robert S. Pindyck

The Simple Economics of Commodity Price Speculation

w18946 Martin Čihák
Asli Demirgüč-Kunt
Erik Feyen
Ross Levine

Financial Development in 205 Economies, 1960 to 2010

w18922 Stéphane Guibaud
Yves Nosbusch
Dimitri Vayanos

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

w18914 Stefano Giglio
Kelly Shue

No News is News: Do Markets Underreact to Nothing?

w18910 Umit G. Gurun
Gregor Matvos
Amit Seru

Advertising Expensive Mortgages

w18909 Bo Becker
Victoria Ivashina

Reaching for Yield in the Bond Market

w18907 Julie Agnew
Joshua Hurwitz

Financial Education and Choice in State Public Pension Systems

w18906 Michael Sockin
Wei Xiong

Informational Frictions and Commodity Markets

w18905 Wei Xiong
Bubbles, Crises, and Heterogeneous Beliefs

w18899 Jesus Fernandez-Villaverde
Luis Garicano
Tano Santos

Political Credit Cycles: The Case of the Euro Zone

w18881 Justine S. Hastings
Ali Hortaçsu
Chad Syverson

Advertising and Competition in Privatized Social Security: The Case of Mexico

w18880 Joseph Gyourko
Joseph Tracy

Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund

w18866 Stephanie E. Curcuru
Charles P. Thomas
Francis E. Warnock

On Returns Differentials

w18860 Yuriy Gorodnichenko
Michael Weber

Are Sticky Prices Costly? Evidence From The Stock Market

w18845 Peter Koudijs
'Those Who Know Most': Insider Trading in 18th c. Amsterdam

w18844 Martin Lettau
Matteo Maggiori
Michael Weber

Conditional Risk Premia in Currency Markets and Other Asset Classes

w18843 Tomasz Piskorski
Amit Seru
James Witkin

Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market

w18836 Holger Kraft
Eduardo S. Schwartz
Farina Weiss

Growth Options and Firm Valuation

w18831 Peter Koudijs
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment

w18793 Berk A. Sensoy
Yingdi Wang
Michael S. Weisbach

Limited Partner Performance and the Maturing of the Private Equity Industry

w18774 Urban Jermann
A Production-Based Model for the Term Structure

w18768 John H. Cochrane
A Mean-Variance Benchmark for Intertemporal Portfolio Theory

w18764 Veronika K. Pool
Clemens Sialm
Irina Stefanescu

It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans

w18762 Jing Wu
Joseph Gyourko
Yongheng Deng

Is There Evidence of a Real Estate Collateral Channel Effect on Listed Firm Investment in China?

w18760 Ellen R. McGrattan
Edward C. Prescott

On Financing Retirement with an Aging Population

w18759 Robert J. Barro
Sanjay P. Misra

Gold Returns

w18743 Stephen G. Dimmock
Roy Kouwenberg
Olivia S. Mitchell
Kim Peijnenburg

Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence

w18741 Massimiliano Caporin
Loriana Pelizzon
Francesco Ravazzolo
Roberto Rigobon

Measuring Sovereign Contagion in Europe

w18737 Ricardo J. Caballero
Emmanuel Farhi

A Model of the Safe Asset Mechanism (SAM): Safety Traps and Economic Policy

w18732 Gary B. Gorton
Guillermo Ordoñez

The Supply and Demand for Safe Assets

w18725 Jacob Boudoukh
Ronen Feldman
Shimon Kogan
Matthew Richardson

Which News Moves Stock Prices? A Textual Analysis

w18724 Robert L. McDonald
Measuring Margin

w18714 Yongyang Cai
Kenneth L. Judd
Greg Thain
Stephen J. Wright

Solving Dynamic Programming Problems on a Computational Grid

w18713 Stephen H. Haber
Aldo Musacchio

These Are the Good Old Days: Foreign Entry and the Mexican Banking System

w18712 Eugene N. White
Competition Among the Exchanges before the SEC: Was the NYSE a Natural Hegemon?

w18709 Yongyang Cai
Kenneth L. Judd
Rong Xu

Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

w18708 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience and Asset Prices

w18706 Claude B. Erb
Campbell R. Harvey

The Golden Dilemma

w18667 Karl E. Case
John M. Quigley
Robert J. Shiller

Wealth Effects Revisited: 1975-2012

w18686 Robin Greenwood
Andrei Shleifer

Expectations of Returns and Expected Returns

w18680 James J. Choi
Li Jin
Hongjun Yan

Informed Trading and Expected Returns

w18675 Olivier Jeanne
Anton Korinek

Macroprudential Regulation Versus Mopping Up After the Crash

w18671 Leonid Kogan
Dimitris Papanikolaou
Noah Stoffman

Technological Innovation: Winners and Losers

w18670 Itay Goldstein
Assaf Razin

Three Branches of Theories of Financial Crises

w18669 Annamaria Lusardi
Pierre-Carl Michaud
Olivia S. Mitchell

Optimal Financial Knowledge and Wealth Inequality


2012
w18647 Roger E.A. Farmer
Carine Nourry
Alain Venditti

The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World

w18646 A. Craig Burnside
Jeremy J. Graveline

On the Asset Market View of Exchange Rates

w18644 Ricardo J. Caballero
Joseph B. Doyle

Carry Trade and Systemic Risk: Why are FX Options so Cheap?

w18627 Karen K. Lewis
Sandy Lai

Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks

w18626 Caroline M. Hoxby
Endowment Management Based on a Positive Model of the University

w18619 Bruce I. Carlin
Francis A. Longstaff
Kyle Matoba

Disagreement and Asset Prices

w18617 Rui Albuquerque
Martin S. Eichenbaum
Sergio Rebelo

Valuation Risk and Asset Pricing

w18582 Fabian Duarte
Justine S. Hastings

Fettered Consumers and Sophisticated Firms: Evidence from Mexico's Privatized Social Security Market

w18600 Jennie Bai
Shang-Jin Wei

When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

w18575 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian
Stephen P. Zeldes

What Makes Annuitization More Appealing?

w18562 Cary Frydman
Nicholas Barberis
Colin Camerer
Peter Bossaerts
Antonio Rangel

Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility

w18560 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

w18558 Andrea Frazzini
Lasse H. Pedersen

Embedded Leverage

w18556 Geert Bekaert
Alexander Popov

On the Link Between the Volatility and Skewness of Growth

w18555 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Building Castles in the Air: Evidence from Industry IPO Waves

w18554 Stefan Nagel
Empirical Cross-Sectional Asset Pricing

w18549 Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin

Repo and Securities Lending

w18548 Harrison Hong
David Sraer

Speculative Betas

w18547 Harrison Hong
David Sraer

Quiet Bubbles

w18541 Takatoshi Ito
Kenta Yamada
Misako Takayasu
Hideki Takayasu

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

w18531 Eugenio Cerutti
Stijn Claessens
Patrick McGuire

Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?

w18510 Jonathan A. Parker
LEADS on Macroeconomic Risks to and from the Household Sector

w18496 Martin L. Weitzman
Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates

w18491 Robert Novy-Marx
Joshua D. Rauh

Linking Benefits to Investment Performance in US Public Pension Systems

w18465 Kristin Forbes
The "Big C": Identifying Contagion

w18454 Alberto Martin
Jaume Ventura

Financial Reforms and Capital Flows: Insights from General Equilibrium

w18452 Pierre Collin-Dufresne
Vyacheslav Fos

Do prices reveal the presence of informed trading?

w18451 Pierre Collin-Dufresne
Vyacheslav Fos

Insider Trading, Stochastic Liquidity and Equilibrium Prices

w18450 Frederico Belo
Pierre Collin-Dufresne
Robert S. Goldstein

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

w18435 Kewei Hou
Chen Xue
Lu Zhang

Digesting Anomalies: An Investment Approach

w18427 Charles W. Calomiris
Joseph R. Mason
Marc Weidenmier
Katherine Bobroff

The Effects of Reconstruction Finance Corporation Assistance on Michigan's Banks' Survival in the 1930s

w18412 Justine S. Hastings
Brigitte C. Madrian
William L. Skimmyhorn

Financial Literacy, Financial Education and Economic Outcomes

w18411 John Y. Campbell
Stefano Giglio
Christopher Polk
Robert Turley

An Intertemporal CAPM with Stochastic Volatility

w18408 Zhiguo He
Konstantin Milbradt

Endogenous Liquidity and Defaultable Bonds

w18406 Florian Scheuer
Adverse Selection In Credit Markets and Regressive Profit Taxation

w18397 Gary B. Gorton
Some Reflections on the Recent Financial Crisis

w18382 Charles Engel
Nelson C. Mark
Kenneth D. West

Factor Model Forecasts of Exchange Rates

w18372 Julien Bengui
Enrique G. Mendoza
Vincenzo Quadrini

Capital Mobility and International Sharing of Cyclical Risk

w18362 Hideaki Hirata
M. Ayhan Kose
Christopher Otrok
Marco E. Terrones

Global House Price Fluctuations: Synchronization and Determinants

w18357 Ravi Bansal
Ivan Shaliastovich

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

w18353 Kristopher Gerardi
Eric Rosenblatt
Paul S. Willen
Vincent Yao

Foreclosure externalities: Some new evidence

w18311 Sumit Agarwal
Gene Amromin
Itzhak Ben-David
Souphala Chomsisengphet
Tomasz Piskorski
Amit Seru

Policy Intervention in Debt Renegotiation: Evidence from the Home Affordable Modification Program

w18312 Lauren Cohen
Umit G. Gurun
Christopher J. Malloy

Resident Networks and Firm Trade

w18305 Ravi Bansal
Dana Kiku
Amir Yaron

Risks For the Long Run: Estimation with Time Aggregation

w18300 Jeffrey Brown
Chichun Fang
Francisco Gomes

Risk and Returns to Education

w18291 Lauren Cohen
Karl B. Diether
Christopher Malloy

Legislating Stock Prices

w18256 Richard M. Levich
FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets

w18251 Dimitri Vayanos
Jiang Wang

Market Liquidity -- Theory and Empirical Evidence

w18247 Kenneth D. West
Econometric Analysis of Present Value Models When the Discount Factor Is near One

w18241 Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman

Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment

w18231 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

w18222 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Prediction Markets for Economic Forecasting

w18211 Ulrike Malmendier
Marcus Matthias Opp
Farzad Saidi

Cash is King - Revaluation of Targets after Merger Bids

w18195 Yuriy Kitsul
Jonathan H. Wright

The Economics of Options-Implied Inflation Probability Density Functions

w18184 Jonathan B. Berk
Jules H. van Binsbergen

Measuring Managerial Skill in the Mutual Fund Industry

w18181 John H. Cochrane
Continuous-Time Linear Models

w18174 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Money Doctors

w18169 Kent Daniel
Ravi Jagannathan
Soohun Kim

Tail Risk in Momentum Strategy Returns

w18158 John Chalmers
Jonathan Reuter

What is the Impact of Financial Advisors on Retirement Portfolio Choices and Outcomes?

w18137 André de Souza
Anthony W. Lynch

Does Mutual Fund Performance Vary over the Business Cycle?

w18135 Christopher T. Downing
Francis A. Longstaff
Michael A. Rierson

Inflation Tracking Portfolios

w18128 Emi Nakamura
Dmitriy Sergeyev
Jón Steinsson

Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence

w18102 Markus K. Brunnermeier
Thomas M. Eisenbach
Yuliy Sannikov

Macroeconomics with Financial Frictions: A Survey

w18104 Ravi Bansal
Dana Kiku
Ivan Shaliastovich
Amir Yaron

Volatility, the Macroeconomy and Asset Prices

w18084 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Financial Risk Measurement for Financial Risk Management

w18080 Edward Kutsoati
Randall Morck

Family Ties, Inheritance Rights, and Successful Poverty Alleviation: Evidence from Ghana

w18066 Mark Huggett
Greg Kaplan

The Money Value of a Man

w18063 Robert Novy-Marx
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars

w18059 Todd M. Sinai
House Price Moments in Boom-Bust Cycles

w18057 Tarek Alexander Hassan
Country Size, Currency Unions, and International Asset Returns

w18052 Kristin Forbes
Marcel Fratzscher
Thomas Kostka
Roland Straub

Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls

w18050 Martijn Cremers
Antti Petajisto
Eric Zitzewitz

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

w18046 Torben G. Andersen
Nicola Fusari
Viktor Todorov

Parametric Inference and Dynamic State Recovery from Option Panels

w18028 Joshua Aizenman
Yothin Jinjarak
Minsoo Lee
Donghyun Park

Developing countries' financial vulnerability to the euro crisis: An event study of equity and bond markets

w18024 Ulrike Malmendier
Enrico Moretti
Florian S. Peters

Winning by Losing: Evidence on the Long-Run Effects of Mergers

w18004 Asli Demirguc-Kunt
Erik Feyen
Ross Levine

The Evolving Importance of Banks and Securities Markets

w18000 Shang-Jin Wei
Xiaobo Zhang
Yin Liu

Status Competition and Housing Prices

w17997 Farley Grubb
Is Paper Money Just Paper Money? Experimentation and Local Variation in the Fiat Paper Monies Issued by the Colonial Governments of British North America, 1690-1775: Part I

w17981 Yan Leung Cheung
P. Raghavendra Rau
Aris Stouraitis

How much do firms pay as bribes and what benefits do they get? Evidence from corruption cases worldwide

w17975 Leonid Kogan
Dimitris Papanikolaou

A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

w17973 Michael D. Hurd
Susann Rohwedder

Stock Price Expectations and Stock Trading

w17940 David Yermack
Tailspotting: Identifying and profiting from CEO vacation trips

w17935 Zhiguo He
Wei Xiong

Debt Financing in Asset Markets

w17929 Sendhil Mullainathan
Markus Noeth
Antoinette Schoar

The Market for Financial Advice: An Audit Study

w17921 Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong

Convective Risk Flows in Commodity Futures Markets

w17911 Olivia S. Mitchell
Stephen Utkus

Target-Date Funds in 401(k) Retirement Plans

w17907 Paul R. Bergin
Ju Hyun Pyun

Multilateral Resistance to International Portfolio Diversification

w17886 Pierluigi Balduzzi
Jonathan Reuter

Heterogeneity in Target-Date Funds: Optimal Risk Taking or Risk Matching?

w17876 Veronica Guerrieri
Robert Shimer

Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality

w17874 Robert S. Harris
Tim Jenkinson
Steven N. Kaplan

Private Equity Performance: What Do We Know?

w17872 Karen K. Lewis
Edith X. Liu

International Consumption Risk Is Shared After All: An Asset Return View

w17863 Annamaria Lusardi
Olivia S. Mitchell
Vilsa Curto

Financial Sophistication in the Older Population

w17848 Wayne E. Ferson
Suresh K. Nallareddy
Biqin Xie

The "Out of Sample" Performance of Long-run Risk Models

w17839 John Ammer
Sara B. Holland
David C. Smith
Francis E. Warnock

U.S. International Equity Investment

w17838 Viral V. Acharya
Nada Mora

Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis

w17832 Manuel Adelino
Antoinette Schoar
Felipe Severino

Credit Supply and House Prices: Evidence from Mortgage Market Segmentation

w17817 Florian Scheuer
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty

w17798 Andrew Ang
Marie Brière
Ombretta Signori

Inflation and Individual Equities

w17797 Bo Becker
Daniel Bergstresser
Guhan Subramanian

Does Shareholder Proxy Access Improve Firm Value? Evidence from the Business Roundtable Challenge

w17795 Leonid Kogan
Dimitris Papanikolaou

Growth Opportunities, Technology Shocks, and Asset Prices

w17772 James D. Hamilton
Jing Cynthia Wu

Identification and Estimation of Gaussian Affine Term Structure Models

w17769 Leonid Kogan
Dimitris Papanikolaou
Amit Seru
Noah Stoffman

Technological Innovation, Resource Allocation, and Growth

w17763 Juan Carlos Gozzi
Ross Levine
Maria Soledad Martinez Peria
Sergio L. Schmukler

How Firms Use Domestic and International Corporate Bond Markets

w17751 Jack Favilukis
David Kohn
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

International Capital Flows and House Prices: Theory and Evidence

w17742 Lars-Alexander Kuehn
Nicolas Petrosky-Nadeau
Lu Zhang

An Equilibrium Asset Pricing Model with Labor Market Search

w17723 Tim Landvoigt
Monika Piazzesi
Martin Schneider

The Housing Market(s) of San Diego


2011
w17719 Philip Bond
Alex Edmans
Itay Goldstein

The Real Effects of Financial Markets

w17691 Nicolas Coeurdacier
Hélène Rey

Home Bias in Open Economy Financial Macroeconomics

w17686 Eric van Wincoop
International Contagion Through Leveraged Financial Institutions

w17670 Nicolas E. Magud
Carmen M. Reinhart
Esteban R. Vesperoni

Capital Inflows, Exchange Rate Flexibility, and Credit Booms

w17666 Kristopher Gerardi
Lauren Lambie-Hanson
Paul S. Willen

Do Borrower Rights Improve Borrower Outcomes? Evidence from the Foreclosure Process

w17653 Stefan Nagel
Evaporating Liquidity

w17652 Emiliano Pagnotta
Thomas Philippon

Competing on Speed

w17641 Maurice Obstfeld
The International Monetary System: Living with Asymmetry

w17615 Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp

Time-Varying Fund Manager Skill

w17592 Yacine Ait-Sahalia
Jianqing Fan
Yingying Li

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

w17586 Giorgia Palladini
Richard Portes

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

w17582 Alex Edmans
Itay Goldstein
Wei Jiang

Feedback Effects and the Limits to Arbitrage

w17581 Charles Yuji Horioka
Akiko Terada-Hagiwara

The Determinants and Long-term Projections of Saving Rates in Developing Asia

w17575 Ravi Bansal
Marcelo Ochoa

Temperature, Aggregate Risk, and Expected Returns

w17567 Alex Edmans
Vivian W. Fang
Emanuel Zur

The Effect of Liquidity on Governance

w17564 Ian Martin
The Forward Premium Puzzle in a Two-Country World

w17563 Ian Martin
The Lucas Orchard

w17561 Andrew Ang
Dennis Kristensen

Testing Conditional Factor Models

w17560 Nicolas Coeurdacier
Pierre-Olivier Gourinchas

When Bonds Matter: Home Bias in Goods and Assets

w17558 Viral V. Acharya
A Transparency Standard for Derivatives

w17555 Arvind Krishnamurthy
Annette Vissing-Jorgensen

The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy

w17548 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

A Theory of Asset Pricing Based on Heterogeneous Information

w17537 Karsten Jeske
Dirk Krueger
Kurt Mitman

Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises

w17522 Kristian Rydqvist
Joshua Spizman
Ilya A. Strebulaev

Government Policy and Ownership of Financial Assets

w17518 Todd A. Gormley
Simon Johnson
Changyong Rhee

Ending "Too Big To Fail": Government Promises vs. Investor Perceptions

w17506 Alp Simsek
Speculation and Risk Sharing with New Financial Assets

w17505 Vasily Kartashov
Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities

w17500 Yiting Li
Guillaume Rocheteau
Pierre-Olivier Weill

Liquidity and the Threat of Fraudulent Assets

w17491 Diane Del Guercio
Jonathan Reuter

Mutual Fund Performance and the Incentive to Generate Alpha

w17484 Ravi Jagannathan
Srikant Marakani

Price Dividend Ratio Factors : Proxies for Long Run Risk

w17454 Tobias Adrian
Markus K. Brunnermeier

CoVaR

w17464 Lubos Pastor
Pietro Veronesi

Political Uncertainty and Risk Premia

w17448 Igor Livshits
James MacGee
Michèle Tertilt

Costly Contracts and Consumer Credit

w17428 David T. Robinson
Berk A. Sensoy

Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity

w17424 Yuriy Gorodnichenko
Anna Mikusheva
Serena Ng

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

w17422 Jakub W. Jurek
Erik Stafford

Crashes and Collateralized Lending

w17416 Jules H. van Binsbergen
Wouter Hueskes
Ralph Koijen
Evert B. Vrugt

Equity Yields

w17415 Christoph Moser
Andrew K. Rose

Who Benefits from Regional Trade Agreements? The View from the Stock Market

w17359 Andrew K. Rose
Mark M. Spiegel

Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

w17358 Claudio Raddatz
Sergio L. Schmukler

On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios

w17357 Marcel Fratzscher
Capital Flows, Push versus Pull Factors and the Global Financial Crisis

w17355 Nicola Cetorelli
Linda S. Goldberg

Liquidity management of U.S. global banks: Internal capital markets in the great recession

w17350 Carol Bertaut
Laurie Pounder DeMarco
Steven B. Kamin
Ralph W. Tryon

ABS Inflows to the United States and the Global Financial Crisis

w17334 Jessica A. Wachter
Missaka Warusawitharana

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

w17331 Athanasios Geromichalos
Ina Simonovska

Asset Liquidity and International Portfolio Choice

w17330 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Information Aggregation, Investment, and Managerial Incentives

w17328 Robert J. Barro
José F. Ursua

Rare Macroeconomic Disasters

w17325 Ralph Koijen
Stijn Van Nieuwerburgh
Motohiro Yogo

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

w17323 Stephen A. Ross
The Recovery Theorem

w17321 Marcin Kacperczyk
Philipp Schnabl

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

w17315 Gene Amromin
Jennifer Huang
Clemens Sialm
Edward Zhong

Complex Mortgages

w17301 Andreas Fuster
Benjamin Hebert
David Laibson

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

w17298 Christopher Avery
Judith A. Chevalier
Richard J. Zeckhauser

The "CAPS" Prediction System and Stock Market Returns

w17295 Darrell Duffie
Semyon Malamud
Gustavo Manso

Information Percolation in Segmented Markets

w17292 Clemens Sialm
T. Mandy Tham

Spillover Effects in Mutual Fund Companies

w17285 Xiaoji Lin
Lu Zhang

Covariances versus Characteristics in General Equilibrium

w17277 François Gourio
Michael Siemer
Adrien Verdelhan

International Risk Cycles

w17276 Farley Grubb
The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment

w17261 Karen K. Lewis
Global Asset Pricing

w17252 Pierre-Olivier Gourinchas
Maurice Obstfeld

Stories of the Twentieth Century for the Twenty-First

w17219 David Backus
Mikhail Chernov
Stanley E. Zin

Sources of Entropy in Representative Agent Models

w17199 Ngoc-Khanh Tran
Richard J. Zeckhauser

The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous

w17197 Robin Greenwood
Samuel G. Hanson

Issuer Quality and the Credit Cycle

w17182 Andrew Ang
Allan Timmermann

Regime Changes and Financial Markets

w17169 Chongyang Chen
Zhonglan Dai
Douglas Shackelford
Harold Zhang

Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?

w17152 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

w17150 Òscar Jordà
Alan M. Taylor

Performance Evaluation of Zero Net-Investment Strategies

w17149 Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

w17134 Jingjing Chai
Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply

w17130 Xiaohong Chen
Jack Favilukis
Sydney C. Ludvigson

An Estimation of Economic Models with Recursive Preferences

w17122 Yael V. Hochberg
Joshua D. Rauh

Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments

w17121 Geert Bekaert
Michael Ehrmann
Marcel Fratzscher
Arnaud J. Mehl

Global Crises and Equity Market Contagion

w17116 Charles Engel
The Real Exchange Rate, Real Interest Rates, and the Risk Premium

w17028 Victor Stango
Jonathan Zinman

Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees

w17027 Tarek A. Hassan
Thomas M. Mertens

The Social Cost of Near-Rational Investment

w17026 Francois Gourio
Credit Risk and Disaster Risk

w17025 Jialun Li
Kent Smetters

Optimal Portfolio Choice with Wage-Indexed Social Security

w17021 Simon Gilchrist
Egon Zakrajšek

Credit Spreads and Business Cycle Fluctuations

w17019 Corbett A. Grainger
Christopher Costello

The Value of Secure Property Rights: Evidence from Global Fisheries

w17007 Robert J. Shiller
Rafal M. Wojakowski
M. Shahid Ebrahim
Mark B. Shackleton

Continuous Workout Mortgages

w17000 Viral V. Acharya
Alberto Bisin

Counterparty Risk Externality: Centralized Versus Over-the-counter Markets

w16996 Martin Lettau
Sydney C. Ludvigson

Shocks and Crashes

w16985 Jesse Bricker
Brian K. Bucks
Arthur Kennickell
Traci L. Mach
Kevin Moore

Drowning or Weathering the Storm? Changes in Family Finances from 2007 to 2009

w16982 Andrew Ang
Francis A. Longstaff

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe

w16976 G. William Schwert
Stock Volatility During the Recent Financial Crisis

w16975 Daniel Paravisini
Veronica Rappoport
Philipp Schnabl
Daniel Wolfenzon

Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data

w16957 Yosef Bonaparte
Russell Cooper
Guozhong Zhu

Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs

w16956 James D. Hamilton
Jing Cynthia Wu

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

w16952 Arindrajit Dube
Ethan Kaplan
Suresh Naidu

Coups, Corporations, and Classified Information

w16950 Anthony W. Lynch
Oliver Randall

Why Surplus Consumption in the Habit Model May be Less Persistent than You Think

w16949 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

How Prediction Markets Can Save Event Studies

w16931 James D. Hamilton
Jing Cynthia Wu

Testable Implications of Affine Term Structure Models

w16911 Xavier Gabaix
A Sparsity-Based Model of Bounded Rationality

w16906 Hui Chen
Scott Joslin

Generalized Transform Analysis of Affine Processes and Applications in Finance

w16903 Carolin E. Pflueger
Luis M. Viceira

Inflation-Indexed Bonds and the Expectations Hypothesis

w16898 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

The Short of It: Investor Sentiment and Anomalies

w16892 Carolin E. Pflueger
Luis M. Viceira

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

w16884 Ian Martin
Simple Variance Swaps

w16875 Viral V. Acharya
Lars A. Lochstoer
Tarun Ramadorai

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

w16868 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking?

w16848 Karl E. Case
John M. Quigley
Robert J. Shiller

Wealth Effects Revisited 1978-2009

w16843 Chong Wang
Neng Wang
Jinqiang Yang

Dynamics of Entrepreneurship under Incomplete Markets

w16842 Yingcong Lan
Neng Wang
Jinqiang Yang

The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation

w16810 Sydney C. Ludvigson
Advances in Consumption-Based Asset Pricing: Empirical Tests

w16808 Patrick Bolton
Hui Chen
Neng Wang

Market Timing, Investment, and Risk Management

w16804 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Cream Skimming in Financial Markets

w16801 Andrew Ang
Sergiy Gorovyy
Gregory B. van Inwegen

Hedge Fund Leverage

w16792 Jeffrey R. Brown
Robert Clark
Joshua Rauh

The Economics of State and Local Public Pensions

w16784 Patrick Bayer
Christopher Geissler
James W. Roberts

Speculators and Middlemen: The Role of Intermediaries in the Housing Market

w16777 Nicolae Gârleanu
Lasse Heje Pedersen

Margin-Based Asset Pricing and Deviations from the Law of One Price

w16770 Ravi Jagannathan
Iwan Meier
Vefa Tarhan

The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data

w16764 Alexander David
Pietro Veronesi

Investors' and Central Bank's Uncertainty Embedded in Index Options

w16726 Bernard Dumas
Karen K. Lewis
Emilio Osambela

Differences of Opinion and International Equity Markets

w16747 Laura Xiaolei Liu
Lu Zhang

A Model of Momentum

w16740 Justine S. Hastings
Olivia S. Mitchell

How Financial Literacy and Impatience Shape Retirement Wealth and Investment Behaviors

w16737 Hans B. Christensen
Luzi Hail
Christian Leuz

Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement

w16731 Harold Pollack
Peter Reuter
Eric L. Sevigny

If Drug Treatment Works So Well, Why Are So Many Drug Users in Prison?

w16712 Harrison Hong
Motohiro Yogo

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

w16696 Pierre-André Chiappori
Krislert Samphantharak
Sam Schulhofer-Wohl
Robert M. Townsend

Heterogeneity and Risk Sharing in Village Economies

w16677 Stephanie E. Curcuru
Charles P. Thomas
Francis E. Warnock
Jon Wongswan

U.S. International Equity Investment and Past and Prospective Returns


2010
w16648 Ralph S.J. Koijen
Stijn Van Nieuwerburgh

Predictability of Returns and Cash Flows

w16640 Fernando A. Broner
Jaume Ventura

Rethinking the Effects of Financial Liberalization

w16634 Craig Burnside
Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

w16630 Anna Pavlova
Roberto Rigobon

International Macro-Finance

w16629 Tatiana Didier
Roberto Rigobon
Sergio L. Schmukler

Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World

w16628 Bruno Biais
Johan Hombert
Pierre-Olivier Weill

Trading and Liquidity with Limited Cognition

w16609 Frederic S. Mishkin
Over The Cliff: From the Subprime to the Global Financial Crisis

w16605 Joshua Aizenman
Gurnain Kaur Pasricha

Determinants of Financial Stress and Recovery during the Great Recession

w16601 Andrea Frazzini
Lasse H. Pedersen

Betting Against Beta

w16591 James J. Choi
Li Jin
Hongjun Yan

What Does Stock Ownership Breadth Measure?

w16586 Christopher J. Mayer
Tomasz Piskorski
Alexei Tchistyi

The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers

w16583 Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel

The European Union, the Euro, and Equity Market Integration

w16574 Vicente Cuñat
Mireia Gine
Maria Guadalupe

The Vote is Cast: The Effect of Corporate Governance on Shareholder Value

orrc10-05 John Chalmers
Jonathan Reuter

What is the Impact of Financial Advisors on Retirement Portfolio Choices & Outcomes?

w16559 Charles W. Calomiris
Inessa Love
Maria Soledad Martinez Peria

Crisis "Shock Factors" and the Cross-Section of Global Equity Returns

w16553 Priyank Gandhi
Hanno Lustig

Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation

w16549 Anders B. Trolle
Eduardo S. Schwartz

An Empirical Analysis of the Swaption Cube

w16534 Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz

What Does Equity Sector Orderflow Tell Us about the Economy?

w16531 Andrew Paciorek
Todd M. Sinai

Does Home Owning Smooth the Variability of Future Housing Consumption?

w16491 Travis J. Berge
Òscar Jordà
Alan M. Taylor

Currency Carry Trades

w16485 Viral V. Acharya
Peter M. DeMarzo
Ilan Kremer

Endogenous Information Flows and the Clustering of Announcements

w16469 Francis X. Diebold
Georg Strasser

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

w16464 Michael D. Hurd
Maarten van Rooij
Joachim Winter

Stock Market Expectations of Dutch Households

w16458 Antje Berndt
Hanno Lustig
Sevin Yeltekin

How Does the U.S. Government Finance Fiscal Shocks?

w16457 Stefan Nagel
Kenneth J. Singleton

Estimation and Evaluation of Conditional Asset Pricing Models

w16456 George Pennacchi
Mahdi Rastad

Portfolio Allocation for Public Pension Funds

w16455 Jules H. van Binsbergen
Michael W. Brandt
Ralph S.J. Koijen

On the Timing and Pricing of Dividends

w16454 Lauren Cohen
Christopher Malloy
Lukasz Pomorski

Decoding Inside Information

w16452 Jere R. Behrman
Olivia S. Mitchell
Cindy Soo
David Bravo

Financial Literacy, Schooling, and Wealth Accumulation

w16437 Lauren Cohen
Christopher Malloy

Friends in High Places

w16428 Eswar S. Prasad
Financial Sector Regulation and Reforms in Emerging Markets: An Overview

w16427 Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan

Countercyclical Currency Risk Premia

w16397 Geert Bekaert
Marie Hoerova
Marco Lo Duca

Risk, Uncertainty and Monetary Policy

w16394 Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

w16385 Ke Tang
Wei Xiong

Index Investment and Financialization of Commodities

w16376 Jeffrey Wurgler
On the Economic Consequences of Index-Linked Investing

w16358 Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

w16337 Adam Ashcraft
Nicolae Gârleanu
Lasse Heje Pedersen

Two Monetary Tools: Interest Rates and Haircuts

w16336 Frederico Belo
Chen Xue
Lu Zhang

Cross-sectional Tobin's Q

w16335 Steven N. Kaplan
Tobias J. Moskowitz
Berk A. Sensoy

The Effects of Stock Lending on Security Prices: An Experiment

w16329 Jonathan Reuter
Eric Zitzewitz

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

orrc10-12 Liran Einav
Amy Finkelstein
Iuliana Pascu
Mark Cullen
MD

How General Are Risk Preference? Choices under Uncertainty in Different Domains

w16316 Jessica A. Wachter
Motohiro Yogo

Why Do Household Portfolio Shares Rise in Wealth?

w16312 Diane Del Guercio
Jonathan Reuter
Paula A. Tkac

Broker Incentives and Mutual Fund Market Segmentation

w16302 George M. Constantinides
Michal Czerwonko
Jens Carsten Jackwerth
Stylianos Perrakis

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

w16282 Paul Asquith
Andrea S. Au
Thomas R. Covert
Parag A. Pathak

The Market for Borrowing Corporate Bonds

w16271 Bruce Ian Carlin
David T. Robinson

What Does Financial Literacy Training Teach Us?

w16263 Jules H. van Binsbergen
Ralph S.J. Koijen

Predictive Regressions: A Present-value Approach

w16255 Jessica Wachter
Asset Allocation

w16249 John D. Burger
Francis E. Warnock
Veronica Cacdac Warnock

Emerging Local Currency Bond Markets

w16245 Charles Courtemanche
Kenneth A. Snowden

Repairing a Mortgage Crisis: HOLC Lending and its Impact on Local Housing Markets

w16244 Kenneth A. Snowden
The Anatomy of a Residential Mortgage Crisis: A Look Back to the 1930s

w16230 Edward L. Glaeser
Joshua D. Gottlieb
Joseph Gyourko

Can Cheap Credit Explain the Housing Boom?

w16223 Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

w16222 John Y. Campbell
Stefano Giglio
Christopher Polk

Hard Times

w16219 Ian Martin
The Valuation of Long-Dated Assets

w16218 David K. Backus
Federico Gavazzoni
Christopher Telmer
Stanley E. Zin

Monetary Policy and the Uncovered Interest Parity Puzzle

w16214 Ravi Jagannathan
Andrei Jirnyi
Ann Sherman

Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms

w16206 Richard Stanton
Nancy Wallace

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

w16193 Mohamad Al-Ississ
Nolan H. Miller

What Does Health Reform Mean for the Healthcare Industry? Evidence from the Massachusetts Special Senate Election

w16191 Alberto Manconi
Massimo Massa
Ayako Yasuda

The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008

w16187 Bruce I. Carlin
Shimon Kogan

Trading Complex Assets

w16183 Anisha Ghosh
George M. Constantinides

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

w16182 Kimie Harada
Takatoshi Ito
Shuhei Takahashi

Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies

w16181 Larry G. Epstein
Martin Schneider

Ambiguity and Asset Markets

w16177 Franklin Allen
Ana Babus
Elena Carletti

Financial Connections and Systemic Risk

w16175 Antje Berndt
Burton Hollifield
Patrik Sandås

The Role of Mortgage Brokers in the Subprime Crisis

w16159 Philippe Bacchetta
Cédric Tille
Eric van Wincoop

Self-Fulfilling Risk Panics

w16153 Ian Martin
Consumption-Based Asset Pricing with Higher Cumulants

w16151 Hui Chen
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

w16145 Christopher L. House
Yusufcan Masatlioglu

Managing Markets for Toxic Assets

w16128 Lubos Pastor
Pietro Veronesi

Uncertainty about Government Policy and Stock Prices

w16085 Bruce Ian Carlin
Shaun William Davies
Andrew Miles Iannaccone

Competing for Attention in Financial Markets

w16080 V.V. Chari
Ali Shourideh
Ariel Zetlin-Jones

Adverse Selection, Reputation and Sudden Collapses in Secondary Loan Markets

w16073 Nikolai Roussanov
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

w16068 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Neglected Risks, Financial Innovation, and Financial Fragility

w16063 Daniel Paravisini
Veronica Rappoport
Enrichetta Ravina

Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios

w16061 Rajnish Mehra
Indian Equity Markets: Measures of Fundamental Value

w16058 Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang

Aggregate Idiosyncratic Volatility

w16052 John D. Burger
Alessandro Rebucci
Francis E. Warnock
Veronica Cacdac Warnock

External Capital Structures and Oil Price Volatility

w16042 Brock Mendel
Andrei Shleifer

Chasing Noise

w16035 Hui Chen
Scott Joslin
Ngoc-Khanh Tran

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

w16031 Lucian A. Bebchuk
Itay Goldstein

Self-Fulfilling Credit Market Freezes

w16022 Yosef Bonaparte
Russell Cooper

Rationalizing Trading Frequency and Returns

w16008 Andrew Ang
Vineer Bhansali
Yuhang Xing

Build America Bonds

w15998 Raj Chetty
Adam Szeidl

The Effect of Housing on Portfolio Choice

w15993 Huseyin Gulen
Yuhang Xing
Lu Zhang

Value versus Growth: Time-Varying Expected Stock Returns

w15992 Hernán Ortiz-Molina
Gordon M. Phillips

Asset Liquidity and the Cost of Capital

w15988 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

w15974 Nicola Cetorelli
Linda S. Goldberg

Global Banks and International Shock Transmission: Evidence from the Crisis

w15950 Jin Ginger Wu
Lu Zhang

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

w15948 Robin Greenwood
Samuel Hanson

Characteristic Timing

w15940 Robert Novy-Marx
The Other Side of Value: Good Growth and the Gross Profitability Premium

w15937 Andrew Ang
Nicolas P.B. Bollen

Locked Up by a Lockup: Valuing Liquidity as a Real Option

w15927 Olivier Jeanne
Anton Korinek

Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach

w15925 Daniel J. Benjamin
James J. Choi
Geoffrey W. Fisher

Religious Identity and Economic Behavior

w15923 Erik Snowberg
Justin Wolfers

Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?

w15920 Emi Nakamura
Jón Steinsson
Robert Barro
José Ursúa

Crises and Recoveries in an Empirical Model of Consumption Disasters

w15912 Lucian A. Bebchuk
Alma Cohen
Charles C.Y. Wang

Learning and the Disappearing Association Between Governance and Returns

w15910 Sergey Chernenko
C. Fritz Foley
Robin Greenwood

Agency Costs, Mispricing, and Ownership Structure

w15890 Jules van Binsbergen
Jesús Fernández-Villaverde
Ralph S.J. Koijen
Juan F. Rubio-Ramírez

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

w15883 George-Marios Angeletos
Guido Lorenzoni
Alessandro Pavan

Beauty Contests and Irrational Exuberance: A Neoclassical Approach

w15866 Craig Burnside
Bing Han
David Hirshleifer
Tracy Yue Wang

Investor Overconfidence and the Forward Premium Puzzle

w15861 Jeffrey Brown
Stephen G. Dimmock
Jun-Koo Kang
Scott Weisbenner

How University Endowments Respond to Financial Market Shocks: Evidence and Implications

w15859 Laurent E. Calvet
Paolo Sodini

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios

w15850 Yacine Aït-Sahalia
Julio Cacho-Diaz
Roger J.A. Laeven

Modeling Financial Contagion Using Mutually Exciting Jump Processes

w15848 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Corporate Bond Default Risk: A 150-Year Perspective

w15835 Fernando E. Alvarez
Luigi Guiso
Francesco Lippi

Durable consumption and asset management with transaction and observation costs

w15833 Allaudeen Hameed
Randall Morck
Jianfeng Shen
Bernard Yeung

Information, analysts, and stock return comovement

w15830 Menzie D. Chinn
Olivier Coibion

The Predictive Content of Commodity Futures

w15829 Andreas Fuster
Paul S. Willen

Insuring Consumption Using Income-Linked Assets

w15821 Denis Gromb
Dimitri Vayanos

Limits of Arbitrage: The State of the Theory

w15809 Yacine Aït-Sahalia
Jochen Andritzky
Andreas Jobst
Sylwia Nowak
Natalia Tamirisa

Market Response to Policy Initiatives during the Global Financial Crisis

w15808 Yacine Aït-Sahalia
Jean Jacod

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

w15807 Holger Kraft
Eduardo S. Schwartz

Cash Flow Multipliers and Optimal Investment Decisions

w15805 Stavros Panageas
Optimal retirement benefit guarantees

w15787 Gary B. Gorton
Questions and Answers about the Financial Crisis

w15783 Robert S. Gibbons
Richard T. Holden
Michael L. Powell

Rational-Expectations Equilibrium in Intermediate Good Markets

w15736 James D. Hamilton
Tatsuyoshi Okimoto

Sources of Variation in Holding Returns for Fed Funds Futures Contracts

w15734 Pierre Collin-Dufresne
Robert S. Goldstein
Fan Yang

On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches

w15733 Pierre Collin-Dufresne
Robert S. Goldstein
Jean Helwege

Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.

w15709 Jonathan Berk
Johan Walden

Limited Capital Market Participation and Human Capital Risk

w15708 Efraim Benmelech
Nittai K. Bergman

Bankruptcy and the Collateral Channel

w15698 Momtchil Pojarliev
Richard M. Levich

Detecting Crowded Trades in Currency Funds

w15688 Ralph S.J. Koijen
Hanno Lustig
Stijn Van Nieuwerburgh

The Cross-Section and Time-Series of Stock and Bond Returns

w15686 Liran Einav
Amy Finkelstein
Iuliana Pascu
Mark R. Cullen

How general are risk preferences? Choices under uncertainty in different domains.

w15682 Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios

w15674 Viral V. Acharya
Douglas Gale
Tanju Yorulmazer

Rollover Risk and Market Freezes

w15670 Kris James Mitchener
Marc D. Weidenmier

Searching for Irving Fisher

w15668 Isaac Ehrlich
Jong Kook Shin
Yong Yin

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets

w15659 Ulrike Malmendier
Geoffrey Tate
Jonathan Yan

Overconfidence and Early-life Experiences: The Impact of Managerial Traits on Corporate Financial Policies

w15646 Lubos Pastor
Robert F. Stambaugh

On the Size of the Active Management Industry

w15634 Angelo Riva
Eugene N. White

Danger on the Exchange: How Counterparty Risk Was Managed on the Paris Bourse in the Nineteenth Century


2009
w15626 Johannes C. Stroebel
John B. Taylor

Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program

w15608 John Chalmers
Jonathan Reuter

How Do Retirees Value Life Annuities? Evidence from Public Employees

w15591 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets

w15573 Eugene N. White
Lessons from the Great American Real Estate Boom and Bust of the 1920s

w15572 James B. Bushnell
Howard Chong
Erin T. Mansur

Profiting from Regulation: An Event Study of the EU Carbon Market

w15563 Alexander David
Pietro Veronesi

What Ties Return Volatilities to Price Valuations and Fundamentals?

w15538 Marcin Kacperczyk
Philipp Schnabl

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

w15533 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

w15528 Katheryn N. Russ
Diego Valderrama

Financial Choice in a Non-Ricardian Model of Trade

w15518 Òscar Jordà
Alan M. Taylor

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

w15515 Christian Laux
Christian Leuz

Did Fair-Value Accounting Contribute to the Financial Crisis?

w15513 Mikhail Golosov
Guido Lorenzoni
Aleh Tsyvinski

Decentralized Trading with Private Information

w15506 Jaroslav Borovička
Lars Peter Hansen
Mark Hendricks
José A. Scheinkman

Risk Price Dynamics

w15504 Ravi Bansal
Dana Kiku
Amir Yaron

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

w15502 William N. Goetzmann
Luc Renneboog
Christophe Spaenjers

Art and Money

w15487 Dimitri Vayanos
Jean-Luc Vila

A Preferred-Habitat Model of the Term Structure of Interest Rates

w15484 Joshua Aizenman
Hoarding International Reserves Versus a Pigovian Tax-Cum-Subsidy Scheme: Reflections on the Deleveraging Crisis of 2008-9, and a Cost Benefit Analysis

w15481 Wei Xiong
Jialin Yu

The Chinese Warrants Bubble

w15479 Ricardo J. Caballero
Alp Simsek

Fire Sales in a Model of Complexity

w15472 Wenli Li
Michelle J. White

Mortgage Default, Foreclosure, and Bankruptcy

w15462 Todd M. Sinai
Nicholas S. Souleles

Can Owning a Home Hedge the Risk of Moving?

w15457 Nicolae Gârleanu
Leonid Kogan
Stavros Panageas

The Demographics of Innovation and Asset Returns

w15452 Eduardo Borensztein
Olivier Jeanne
Damiano Sandri

Macro-Hedging for Commodity Exporters

w15399 François Gourio
Disasters Risk and Business Cycles

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

w15382 Yi-Li Chien
Harold L. Cole
Hanno Lustig

Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?

w15381 David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo

On the Scholes Liquidation Problem

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

Systemic Risk and the Refinancing Ratchet Effect

w15353 Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz

Towards a Common European Monetary Union Risk Free Rate

w15340 Nicolae B. Gârleanu
Stavros Panageas
Jianfeng Yu

Technological Growth and Asset Pricing

w15338 Urban Jermann
Vincenzo Quadrini

Macroeconomic Effects of Financial Shocks

w15336 George O. Aragon
Philip E. Strahan

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

w15335 Narasimhan Jegadeesh
Roman Kräussl
Joshua Pollet

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

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

w15331 Dion Bongaerts
K.J. Martijn Cremers
William N. Goetzmann

Tiebreaker: Certification and Multiple Credit Ratings

w15327 Clemens Sialm
Laura Starks

Mutual Fund Tax Clienteles

w15318 Yong Chen
Wayne Ferson
Helen Peters

Measuring the Timing Ability and Performance of Bond Mutual Funds

w15317 Ning Tang
Olivia S. Mitchell
Gary R. Mottola
Stephen Utkus

The Efficiency of Sponsor and Participant Portfolio Choices in 401(k) Plans

w15307 Motohiro Yogo
Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets

orrc09-15 John Chalmers
Jonathan Reuter

Is Retiree Demand for Life Annuities Rational? Evidence from Public Employees

orrc09-16 Kent Smetters
Optimal Portfolio Choice with Fat Tails

w15298 Stefano DellaVigna
Matthew Gentzkow

Persuasion: Empirical Evidence

w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit

w15295 Yannick Malevergne
Pedro Santa-Clara
Didier Sornette

Professor Zipf goes to Wall Street

w15273 Gary B. Gorton
Andrew Metrick

Haircuts

w15270 Andrew Ang
Jean Boivin
Sen Dong
Rudy Loo-Kung

Monetary Policy Shifts and the Term Structure

w15260 Lieven Baele
Geert Bekaert
Koen Inghelbrecht

The Determinants of Stock and Bond Return Comovements

w15254 Chris Edmond
Pierre-Olivier Weill

Aggregate Implications of Micro Asset Market Segmentation

w15247 Robert J. Barro
Tao Jin

On the Size Distribution of Macroeconomic Disasters

w15243 Fatih Guvenen
A Parsimonious Macroeconomic Model for Asset Pricing

w15240 David Backus
Mikhail Chernov
Ian Martin

Disasters implied by equity index options

w15227 Yosef Bonaparte
Russell Cooper

Costly Portfolio Adjustment

w15223 Gary B. Gorton
Andrew Metrick

Securitized Banking and the Run on Repo

w15222 Geert Bekaert
Eric Engstrom

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

w15219 Long Chen
Lu Zhang

The stock market and aggregate employment

w15215 Dimitri Vayanos
Jiang Wang

Liquidity and Asset Prices: A Unified Framework

w15205 Nicolae B. Garleanu
Lasse H. Pedersen

Dynamic Trading with Predictable Returns and Transaction Costs

w15189 Leonid Kogan
Stephen Ross
Jiang Wang
Mark M. Westerfield

Market Selection

w15188 Sydney C. Ludvigson
Serena Ng

A Factor Analysis of Bond Risk Premia

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

w15170 John Geanakoplos
Stephen P. Zeldes

Market Valuation of Accrued Social Security Benefits

w15145 Luigi Guiso
Paola Sapienza
Luigi Zingales

Moral and Social Constraints to Strategic Default on Mortgages

w15139 Bruce Ian Carlin
Simon Gervais
Gustavo Manso

When Does Libertarian Paternalism Work?

w15128 Marc Flandreau
Juan H. Flores
Norbert Gaillard
Sebastián Nieto-Parra

The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007

w15108 Olivia S. Mitchell
Gary R. Mottola
Stephen P. Utkus
Takeshi Yamaguchi

Default, Framing and Spillover Effects: The Case of Lifecycle Funds in 401(k) Plans

w15079 Jingjing Chai
Wolfram Horneff
Raimond Maurer
Olivia S. Mitchell

Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

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

w15047 Raymond Kan
Cesare Robotti
Jay Shanken

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

w15040 Arvind Krishnamurthy
Amplification Mechanisms in Liquidity Crises

w15038 Vincent Glode
Burton Hollifield
Marcin Kacperczyk
Shimon Kogan

Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry

w15028 Farley Grubb
Land Policy: Founding Choices and Outcomes, 1781-1802

w15024 Geert Bekaert
Eric Engstrom

Inflation and the Stock Market:Understanding the "Fed Model"

w15023 Dhammika Dharmapala
C. Fritz Foley
Kristin J. Forbes

Watch What I Do, Not What I Say: The Unintended Consequences of the Homeland Investment Act

w15020 Yuko Hashimoto
Takatoshi Ito

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture

w15014 John Y. Campbell
Robert J. Shiller
Luis M. Viceira

Understanding Inflation-Indexed Bond Markets

w15010 Andrew B. Abel
Janice C. Eberly
Stavros Panageas

Optimal Inattention to the Stock Market with Information Costs and Transactions Costs

w15009 Bruno Biais
Pierre-Olivier Weill

Liquidity Shocks and Order Book Dynamics

w14997 Ricardo J. Caballero
Alp Simsek

Complexity and Financial Panics

w14972 Bruce I. Carlin
Simon Gervais

Legal Protection in Retail Financial Markets

w14971 Roger K. Loh
René M. Stulz

When are Analyst Recommendation Changes Influential?

w14961 Juan Carlos Gozzi
Ross Levine
Sergio L. Schmukler

Patterns of International Capital Raisings

w14944 Gary B. Gorton
Lixin Huang
Qiang Kang

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

w14932 Joseph Golec
John Vernon

What's the "Interest" in FDA Drug Advisory Committee Conflicts of Interest?

w14931 Söhnke M. Bartram
Gregory Brown
René M. Stulz

Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?

w14913 David S. Bates
U.S. Stock Market Crash Risk, 1926-2006

w14904 Barry Eichengreen
Ashoka Mody
Milan Nedeljkovic
Lucio Sarno

How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads

w14903 Jennifer Huang
Clemens Sialm
Hanjiang Zhang

Risk Shifting and Mutual Fund Performance

w14898 Veronica Guerrieri
Péter Kondor

Fund Managers, Career Concerns, and Asset Price Volatility

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

w14890 Darren J. Kisgen
Philip E. Strahan

Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital?

w14889 Zhi Da
Re-Jin Guo
Ravi Jagannathan

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

w14881 Richard A. Lambert
Christian Leuz
Robert E. Verrecchia

Information Asymmetry, Information Precision, and the Cost of Capital

w14871 Francis A. Longstaff
Brett Myers

Valuing Toxic Assets: An Analysis of CDO Equity

w14866 John Y. Campbell
Stefano Giglio
Parag Pathak

Forced Sales and House Prices

w14863 Simon Gilchrist
Vladimir Yankov
Egon Zakrajsek

Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets

w14859 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?

w14848 Hui Chen
Jianjun Miao
Neng Wang

Entrepreneurial Finance and Non-diversifiable Risk

w14845 Patrick Bolton
Hui Chen
Neng Wang

A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management

w14843 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Financial Openness and Productivity

w14821 Joshua Aizenman
Gurnain Kaur Pasricha

Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation

w14815 Ravi Bansal
Ivan Shaliastovich

Confidence Risk and Asset Prices

w14814 Ravi Bansal
Ivan Shaliastovich

Learning and Asset-Price Jumps

w14813 Ulrike Malmendier
Stefan Nagel

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

w14804 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

w14802 Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel

What Segments Equity Markets?

w14788 Jason Beeler
John Y. Campbell

The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment

w14772 Lars Ljungqvist
Harald Uhlig

Optimal Endowment Destruction under Campbell-Cochrane Habit Formation

w14760 Robert J. Barro
José F. Ursúa

Stock-Market Crashes and Depressions

w14757 Lubos Pastor
Robert F. Stambaugh

Are Stocks Really Less Volatile in the Long Run?

w14735 Reint Gropp
Anil Kashyap

A New Metric for Banking Integration in Europe

w14734 Pierpaolo Benigno
Salvatore Nisticò

International Portfolio Allocation under Model Uncertainty

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

w14699 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Measuring the Financial Sophistication of Households

w14691 Maurice Obstfeld
International Finance and Growth in Developing Countries: What Have We Learned?

w14698 Martin Lettau
Jessica A. Wachter

The Term Structures of Equity and Interest Rates

w14688 Ricardo J. Caballero
Arvind Krishnamurthy

Global Imbalances and Financial Fragility

w14687 Francis A. Longstaff
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?

w14678 Frederic S. Mishkin
Is Monetary Policy Effective During Financial Crises?

w14669 Monika Piazzesi
Martin Schneider

Momentum traders in the housing market: survey evidence and a search model

w14665 Jonathan A. Parker
Annette Vissing-Jorgensen

Who Bears Aggregate Fluctuations and How?

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


2008
w14629 Bernard Dumas
Andrew Lyasoff

Incomplete-Market Equilibria Solved Recursively on an Event Tree

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

w14602 Matthew J. Higgins
Paula E. Stephan
Jerry G. Thursby

Conveying Quality and Value in Emerging Industries: Star Scientists and the Role of Learning in Biotechnology

w14597 Richard M. Levich
Valerio Poti

Predictability and 'Good Deals' in Currency Markets

w14583 Zoran Ivkovich
Scott Weisbenner

Individual Investor Mutual-Fund Flows

w14581 Robert E. Hall
Equity Depletion from Government-Guaranteed Debt

w14571 Miguel A. Ferreira
Pedro Santa-Clara

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

w14544 George M. Constantinides
Jens Carsten Jackwerth
Stylianos Perrakis

Mispricing of S&P 500 Index Options

w14543 George M. Constantinides
Anisha Ghosh

Asset Pricing Tests with Long Run Risks in Consumption Growth

w14528 Stephen Gilmore
Fumio Hayashi

Emerging Market Currency Excess Returns

w14525 Thomas J. Brennan
Andrew W. Lo

Impossible Frontiers

w14523 Dimitri Vayanos
Paul Woolley

An Institutional Theory of Momentum and Reversal

w14518 Kimie Harada
Takatoshi Ito

Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks

w14500 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Price Momentum In Stocks: Insights From Victorian Age Data

w14496 Andrew Ang
Vineer Bhansali
Yuhang Xing

Taxes on Tax-Exempt Bonds

w14476 Alberto Giovannini
Why the European Securities Market is Not Fully Integrated

w14473 Markus K. Brunnermeier
Stefan Nagel
Lasse H. Pedersen

Carry Trades and Currency Crashes

w14465 Amir E. Khandani
Andrew W. Lo

What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

w14463 Jens H.E. Christensen
Francis X. Diebold
Glenn D. Rudebusch

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

w14440 Nicholas C. Barberis
Wei Xiong

Realization Utility

w14427 Alexander W. Blocker
Laurence J. Kotlikoff
Stephen A. Ross

The True Cost of Social Security

w14424 Geetesh Bhardwaj
Gary B. Gorton
K. Geert Rouwenhorst

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

w14422 Asaf Bernstein
Eric Hughson
Marc D. Weidenmier

Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed

w14411 Anthony W. Lynch
Jessica A. Wachter

Using Samples of Unequal Length in Generalized Method of Moments Estimation

w14401 Takeo Hoshi
Anil K Kashyap

Will the U.S. Bank Recapitalization Succeed? Eight Lessons from Japan

w14398 Gary B. Gorton
The Subprime Panic

w14386 Jessica Wachter
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

w14378 William A. Brock
Charles F. Manski

Competitive Lending with Partial Knowledge of Loan Repayment

w14377 Paul W. Rhode
Koleman Strumpf

Historical Political Futures Markets: An International Perspective

w14366 Zhiguo He
Arvind Krishnamurthy

A Model of Capital and Crises

w14355 Momtchil Pojarliev
Richard M. Levich

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

w14351 Rajnish Mehra
Facundo Piguillem
Edward C. Prescott

Costly Financial Intermediation in Neoclassical Growth Theory

w14343 Robert Novy-Marx
Joshua D. Rauh

The Intergenerational Transfer of Public Pension Promises

w14342 Dongmei Li
Lu Zhang

Costly External Finance: Implications for Capital Markets Anomalies

w14341 Josh Lerner
Antoinette Schoar
Jialan Wang

Secrets of the Academy: The Drivers of University Endowment Success

w14340 Isaac Ehrlich
William A. Hamlen Jr.
Yong Yin

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

w14332 Raimond Maurer
Olivia S. Mitchell
Ralph Rogalla

Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints

w14299 Xavier Gabaix
Power Laws in Economics and Finance

w14290 Gerard Hoberg
Gordon M. Phillips

Real and Financial Industry Booms and Busts

w14269 Francis X. Diebold
Kamil Yilmaz

Macroeconomic Volatility and Stock Market Volatility, Worldwide

w14245 Craig Doidge
G. Andrew Karolyi
René M. Stulz

Why Do Foreign Firms Leave U.S. Equity Markets?

w14243 Lars Peter Hansen
Modeling the Long Run: Valuation in Dynamic Stochastic Economies

w14219 Robert E. Hall
Susan E. Woodward

The Burden of the Nondiversifiable Risk of Entrepreneurship

w14218 René M. Stulz
Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization

w14210 Dwight Jaffee
Howard Kunreuther
Erwann Michel-Kerjan

Long Term Insurance (LTI) for Addressing Catastrophe Risk

w14205 Hui Tong
Shang-Jin Wei

Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock?

w14204 Willem H. Buiter
Housing Wealth Isn't Wealth

w14193 Edward L. Glaeser
Joseph Gyourko
Albert Saiz

Housing Supply and Housing Bubbles

w14180 Alexander Ljungqvist
Matthew Richardson
Daniel Wolfenzon

The Investment Behavior of Buyout Funds: Theory and Evidence

w14177 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Fight or Flight? Portfolio Rebalancing by Individual Investors

w14172 Harald Hau
Helene Rey

Home Bias at the Fund Level

w14169 Jon Faust
Jonathan H. Wright

Efficient Prediction of Excess Returns

w14165 Harald Hau
Hélène Rey

Global Portfolio Rebalancing Under the Microscope

w14160 Yuko Hashimoto
Takatoshi Ito
Takaaki Ohnishi
Misako Takayasu
Hideki Takayasu
Tsutomu Watanabe

Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

w14158 Paul Asquith
Rebecca Oman
Christopher Safaya

Short Sales and Trade Classification Algorithms

w14144 Joost Driessen
Tse-Chun Lin
Ludovic Phalippou

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds

w14140 Ulrike Malmendier
Geoffrey Tate

Superstar CEOs

w14119 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crashes and Recoveries in Illiquid Markets

w14113 Luc Laeven
Ross Levine

Bank Governance, Regulation, and Risk Taking

w14111 Robin Greenwood
Stefan Nagel

Inexperienced Investors and Bubbles

w14094 Ian Ayres
Barry J. Nalebuff

Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk

w14083 Christopher J. Mayer
Karen Pence

Subprime Mortgages: What, Where, and to Whom?

w14082 Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan

Common Risk Factors in Currency Markets

w14078 Olivia S. Mitchell
John Piggott
Cagri Kumru

Managing Public Investment Funds: Best Practices and New Challenges

w14068 Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz

Hedge Fund Contagion and Liquidity

w14058 Jennifer Huang
Jiang Wang

Market Liquidity, Asset Prices and Welfare

w14055 Wolfram J. Horneff
Raimond H. Maurer
Olivia S. Mitchell
Michael Z. Stamos

Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts

w14019 Michael D. Bordo
Michael J. Dueker
David C. Wheelock

Inflation, Monetary Policy and Stock Market Conditions

w14015 George-Marios Angeletos
Private Sunspots and Idiosyncratic Investor Sentiment

w14013 Jennifer Huang
Jiang Wang

Liquidity and Market Crashes

w13976 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

How are Preferences Revealed?

w13973 Lauren Cohen
Andrea Frazzini
Christopher Malloy

Sell Side School Ties

w13940 Robert J. Barro
José F. Ursúa

Macroeconomic Crises since 1870

w13966 Francisco J. Gomes
Laurence J. Kotlikoff
Luis M. Viceira

Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds

w13962 Robert J. Shiller
Derivatives Markets for Home Prices

w13944 Andrew Ang
Matthew Rhodes-Kropf
Rui Zhao

Do Funds-of-Funds Deserve Their Fees-on-Fees?

w13908 Kristin J. Forbes
Why do Foreigners Invest in the United States?

w13904 Stijn Van Nieuwerburgh
Laura Veldkamp

Information Acquisition and Under-Diversification

w13896 Hanno Lustig
Stijn Van Nieuwerburgh
Adrien Verdelhan

The Wealth-Consumption Ratio

w13884 Woodrow T. Johnson
James M. Poterba

Taxes and Mutual Fund Inflows Around Distribution Dates

w13874 Efraim Benmelech
Nittai K. Bergman

Collateral Pricing

w13854 Yacine Aït-Sahalia
Michael W. Brandt

Consumption and Portfolio Choice with Option-Implied State Prices

w13848 Bruce Lehmann
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk

w13825 Yacine Ait-Sahalia
Jialin Yu

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

w13811 Francis X. Diebold
Kamil Yilmaz

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

w13806 Robin Greenwood
Dimitri Vayanos

Bond Supply and Excess Bond Returns

w13805 Emmanuel Farhi
Xavier Gabaix

Rare Disasters and Exchange Rates

w13804 Lubos Pastor
Robert F. Stambaugh

Predictive Systems: Living with Imperfect Predictors

w13786 Joseph Chen
Samuel Hanson
Harrison Hong
Jeremy C. Stein

Do Hedge Funds Profit From Mutual-Fund Distress?

w13774 Charles Calomiris
Raymond Fisman
Yongxiang Wang

Profiting from Government Stakes in a Command Economy: Evidence from Chinese Asset Sales

w13768 Stephanie E. Curcuru
Tomas Dvorak
Francis E. Warnock

Cross-Border Returns Differentials

w13723 Itay Goldstein
Assaf Razin
Hui Tong

Liquidity, Institutional Quality and the Composition of International Equity Outflows

w13762 Malcolm Baker
Robin Greenwood
Jeffrey Wurgler

Catering Through Nominal Share Prices

w13748 Jeffrey R. Brown
Jeffrey R. Kling
Sendhil Mullainathan
Marian V. Wrobel

Why Don't People Insure Late Life Consumption: A Framing Explanation of the Under-Annuitization Puzzle

w13739 Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

w13726 Julia Coronado
Olivia S. Mitchell
Steven A. Sharpe
S. Blake Nesbitt

Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values

w13724 Xavier Gabaix
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance

w13721 Woochan Kim
Taeyoon Sung
Shang-Jin Wei

How Does Corporate Governance Risk at Home Affect Investment Choices Abroad?


2007
w13693 Todd Sinai
Nicholas S. Souleles

Net Worth and Housing Equity in Retirement

w13690 Robert J. Barro
Rare Disasters, Asset Prices, and Welfare Costs

w13658 Francis A. Longstaff
Jun Pan
Lasse H. Pedersen
Kenneth J. Singleton

How Sovereign is Sovereign Credit Risk?

orrc07-07 Wolfgang Kuhle
Alexander Ludwig
Axel Boersch-Supan

Demographic Change, and the Equity Premium

w13656 James J. Choi
David Laibson
Brigitte C. Madrian

Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect

w13650 Dirk Krueger
Hanno Lustig
Fabrizio Perri

Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data

w13639 Guido Lorenzoni
Inefficient Credit Booms

w13635 Josephine M. Smith
John B. Taylor

The Long and the Short End of the Term Structure of Policy Rules

w13625 Zhi Da
Pengjie Gao
Ravi Jagannathan

When Does a Mutual Fund's Trade Reveal its Skill?

w13611 Jens H. E. Christensen
Francis X. Diebold
Glenn D. Rudebusch

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

w13604 Joseph H. Golec
John A. Vernon

Financial Risk in the Biotechnology Industry

w13588 Francis X. Diebold
Canlin Li
Vivian Z. Yue

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

w13555 YiLi Chien
Harold Cole
Hanno Lustig

A Multiplier Approach to Understanding the Macro Implications of Household Finance

w13560 Thomas Philippon
Financiers vs. Engineers: Should the Financial Sector be Taxed or Subsidized?

w13559 Fernando A. Broner
Alberto Martin
Jaume Ventura

Enforcement Problems and Secondary Markets

w13558 Robert J. Shiller
Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models

w13537 Jeffrey R. Brown
Rational and Behavioral Perspectives on the Role of Annuities in Retirement Planning

w13525 Jin Ginger Wu
Lu Zhang
X. Frank Zhang

Understanding the Accrual Anomaly

w13504 Harrison Hong
Jose A. Scheinkman
Wei Xiong

Advisors and Asset Prices: A Model of the Origins of Bubbles

w13487 Sumit Agarwal
John C. Driscoll
David Laibson

Optimal Mortgage Refinancing: A Closed Form Solution

w13475 George-Marios Angeletos
Guido Lorenzoni
Alessandro Pavan

Wall Street and Silicon Valley: A Delicate Interaction

w13473 Bronwyn H. Hall
Measuring the Returns to R&D: The Depreciation Problem

w13468 Anna Pavlova
Roberto Rigobon

An Asset-Pricing View of External Adjustment

w13458 Michael Greenstone
Is the "Surge" Working? Some New Facts

w13449 Torben G. Andersen
Oleg Bondarenko

Construction and Interpretation of Model-Free Implied Volatility

w13448 Andrew Ang
Sen Dong
Monika Piazzesi

No-Arbitrage Taylor Rules

w13438 Jeffrey R. Brown
Guaranteed Trouble: The Economic Effects of the Pension Benefit Guaranty Corporation

w13435 Joseph P.H. Fan
Randall Morck
Lixin Colin Xu
Bernard Yeung

Institutions and Foreign Investment: China versus the World

w13430 Xavier Gabaix
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices

w13427 Siddhartha G. Dastidar
Raymond Fisman
Tarun Khanna

Testing Limits to Policy Reversal: Evidence from Indian Privatizations

w13424 Nicolas Coeurdacier
Robert Kollmann
Philippe Martin

International Portfolios with Supply, Demand and Redistributive Shocks

w13423 John Y. Campbell
Estimating the Equity Premium

w13420 Stefano DellaVigna
Psychology and Economics: Evidence from the Field

w13419 David K. Backus
Jonathan H. Wright

Cracking the Conundrum

w13403 Kris James Mitchener
Marc D. Weidenmier

The Baring Crisis and the Great Latin American Meltdown of the 1890s

w13387 Paola Sapienza
Anna Toldra
Luigi Zingales

Understanding Trust

w13381 James Poterba
Steven Venti
David A. Wise

The Changing Landscape of Pensions in the United States

w13366 Stijn Van Nieuwerburgh
Laura Veldkamp

Information Immobility and the Home Bias Puzzle

w13363 Igor Livshits
James MacGee
Michèle Tertilt

Accounting for the Rise in Consumer Bankruptcies

w13361 Ralph S.J Koijen
Otto Van Hemert
Stijn Van Nieuwerburgh

Mortgage Timing

w13357 A. Craig Burnside
Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors

w13355 Stefano DellaVigna
Eliana La Ferrara

Detecting Illegal Arms Trade

w13337 Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro

Imputing Risk Tolerance from Survey Responses

w13320 Boyan Jovanovic
Bubbles in Prices of Exhaustible Resources

w13282 Long Chen
Lu Zhang

Neoclassical Factors

w13281 Mihir A. Desai
Dhammika Dharmapala

Taxes and Portfolio Choice: Evidence from JGTRRA's Treatment of International Dividends

w13251 Rui Albuquerque
Neng Wang

Agency Conflicts, Investment, and Asset Pricing

w13250 Jianjun Miao
Neng Wang

Investment, Consumption, and Hedging under Incomplete Markets

w13249 Gary B. Gorton
Fumio Hayashi
K. Geert Rouwenhorst

The Fundamentals of Commodity Futures Returns

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

w13201 Zoran Ivkovich
Scott Weisbenner

Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices

w13196 Ravi Bansal
Long-Run Risks and Financial Markets

w13189 Malcolm Baker
Jeffrey Wurgler

Investor Sentiment in the Stock Market

w13173 Pierpaolo Benigno
Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles

w13169 Jeffrey R. Brown
Nellie Liang
Scott Weisbenner

Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans

w13168 Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner

Neighbors Matter: Causal Community Effects and Stock Market Participation

w13165 Jessica A. Wachter
Missaka Warusawitharana

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

w13151 Martin D. D. Evans
Richard K. Lyons

Exchange Rate Fundamentals and Order Flow

w13148 Jiandong Ju
Shang-Jin Wei

Domestic Institutions and the Bypass Effect of Financial Globalization

w13132 Mihir A. Desai
Dhammika Dharmapala

Taxes, Institutions and Foreign Diversification Opportunities

w13129 Craig Burnside
The Forward Premium is Still a Puzzle

w13124 Ulrike Malmendier
Devin Shanthikumar

Do Security Analysts Speak in Two Tongues?

w13121 Lauren Cohen
Andrea Frazzini
Christopher Malloy

The Small World of Investing: Board Connections and Mutual Fund Returns

w13118 Laura Alfaro
Andrew Charlton

International Financial Integration and Entrepreneurial Firm Activity

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

w13101 Kenneth N. Kuttner
Adam S. Posen

Do Markets Care Who Chairs the Central Bank?

w13090 Owen Lamont
Andrea Frazzini

The Earnings Announcement Premium and Trading Volume

w13088 John Y. Campbell
Karine Serfaty-de Medeiros
Luis M. Viceira

Global Currency Hedging

w13081 Veronica Cacdac Warnock
Francis E. Warnock

Markets and Housing Finance

w13079 Craig Doidge
G. Andrew Karolyi
Rene M. Stulz

Has New York Become Less Competitive in Global Markets? Evaluating Foreign Listing Choices Over Time

w13076 Fernando A. Broner
Guido Lorenzoni
Sergio L. Schmukler

Why Do Emerging Economies Borrow Short Term?

w13067 William Adams
Liran Einav
Jonathan Levin

Liquidity Constraints and Imperfect Information in Subprime Lending

w13056 Robert E. Hall
Susan E. Woodward

The Incentives to Start New Companies: Evidence from Venture Capital

w13042 Jonathan B. Berk
Ian Tonks

Return Persistence and Fund Flows in the Worst Performing Mutual Funds

w13024 Laura X. L. Liu
Toni Whited
Lu Zhang

Regularities

w12990 Kristian R. Miltersen
Eduardo S. Schwartz

Real Options With Uncertain Maturity and Competition

w12986 Joao F. Gomes
Leonid Kogan
Motohiro Yogo

Durability of Output and Expected Stock Returns

w12970 Jules H. van Binsbergen
Michael W. Brandt

Optimal Asset Allocation in Asset Liability Management

w12963 Torben G. Andersen
Tim Bollerslev
Dobrislav Dobrev

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

w12962 Torben G. Andersen
Luca Benzoni

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models

w12959 Emmanuel Farhi
Mikhail Golosov
Aleh Tsyvinski

A Theory of Liquidity and Regulation of Financial Intermediation

w12957 Monika Piazzesi
Martin Schneider

Inflation Illusion, Credit, and Asset Pricing

w12953 Kathryn M.E. Dominguez
Freyan Panthaki

The Influence of Actual and Unrequited Interventions

w12948 Lars Peter Hansen
Beliefs, Doubts and Learning: Valuing Economic Risk

w12942 Wolfram J. Horneff
Raimond H. Maurer
Olivia S. Mitchell
Michael Z. Stamos

Money in Motion: Dynamic Portfolio Choice in Retirement

w12940 Markus K. Brunnermeier
Christian Gollier
Jonathan A. Parker

Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

w12939 Markus K. Brunnermeier
Lasse Heje Pedersen

Market Liquidity and Funding Liquidity

w12937 Fabio Ghironi
Jaewoo Lee
Alessandro Rebucci

The Valuation Channel of External Adjustment

w12936 Nicholas Barberis
Ming Huang

Stocks as Lotteries: The Implications of Probability Weighting for Security Prices

w12933 Eugene N. White
The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse

w12930 Andrew Ang
Geert Bekaert
Min Wei

The Term Structure of Real Rates and Expected Inflation

w12918 Charles W. Calomiris
Doron Nissim

Activity-Based Valuation of Bank Holding Companies

w12912 Mariano M. Croce
Martin Lettau
Sydney C. Ludvigson

Investor Information, Long-Run Risk, and the Term Structure of Equity

w12897 T. Clifton Green
Narasimhan Jegadeesh
Yue Tang

Gender and Job Performance: Evidence from Wall Street

w12896 Ricardo J. Caballero
Arvind Krishnamurthy

Collective Risk Management in a Flight to Quality Episode

w12887 Nicolae B. Garleanu
Lasse H. Pedersen

Liquidity and Risk Management

w12881 Arvind Krishnamurthy
Annette Vissing-Jorgensen

The Demand for Treasury Debt

w12877 Mark Mitchell
Lasse Heje Pedersen
Todd Pulvino

Slow Moving Capital

w12866 Narasimhan Jegadeesh
Woojin Kim

Do Analysts Herd? An Analysis of Recommendations and Market Reactions

w12847 Borja Larrain
Motohiro Yogo

Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?

w12843 Andrew Ang
Jun Liu

Risk, Return and Dividends

w12842 Jeffrey R. Brown
Scott J. Weisbenner

Who Chooses Defined Contribution Plans?

w12814 Lubos Pastor
Robert F. Stambaugh

Predictive Systems: Living with Imperfect Predictors


2006
w12810 Markus K. Brunnermeier
Christian Julliard

Money Illusion and Housing Frenzies

w12809 Markus K. Brunnermeier
Stefan Nagel

Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

w12797 Laurent E. Calvet
Adlai J. Fisher

Multifrequency Jump-Diffusions: An Equilibrium Approach

w12792 Lubos Pastor
Lucian Taylor
Pietro Veronesi

Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability

w12783 Fernando Broner
Alberto Martin
Jaume Ventura

Sovereign Risk and Secondary Markets

w12781 Wei Xiong
Hongjun Yan

Heterogeneous Expectations and Bond Markets

w12767 Jonathan E. Alevy
Michael S. Haigh
John List

Information Cascades: Evidence from An Experiment with Financial Market Professionals

w12766 Hanno Lustig
Stijn Van Nieuwerburgh

Can Housing Collateral Explain Long-Run Swings in Asset Returns?

w12763 Robert J. Barro
On the Welfare Costs of Consumption Uncertainty

w12751 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Party Influence in Congress and the Economy

w12744 Anders B. Trolle
Eduardo S. Schwartz

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

w12742 Darius Lakdawalla
George Zanjani

Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk-Transfer

w12728 Eric van Wincoop
Francis E. Warnock

Is Home Bias in Assets Related to Home Bias in Goods?

w12726 Alexander D. Rothenberg
Francis E. Warnock

Sudden Flight and True Sudden Stops

w12724 Dirk Jenter
Katharina Lewellen
Jerold B. Warner

Security Issue Timing: What Do Managers Know, and When Do They Know It?

w12698 Peter Blair Henry
Capital Account Liberalization: Theory, Evidence, and Speculation

w12697 Karen K. Lewis
Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US

w12695 Hamid Mehran
Rene M. Stulz

The Economics of Conflicts of Interest in Financial Institutions

w12682 Takatoshi Ito
Yuko Hashimoto

Price Impacts of Deals and Predictability of the Exchange Rate Movements

w12670 Dimitri Vayanos
Pierre-Olivier Weill

A Search-Based Theory of the On-the-Run Phenomenon

w12661 Eugene N. White
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange

w12659 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

Simplification and Saving

w12658 Wayne E. Ferson
Sergei Sarkissian
Timothy Simin

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

w12656 Timothy J. Kehoe
David K. Levine

Bankruptcy and Collateral in Debt Constrained Markets

w12650 Lars Peter Hansen
Jose Scheinkman

Long Term Risk: An Operator Approach

w12644 Charles Calomiris
Devaluation with Contract Redenomination in Argentina

w12633 Eduardo S. Schwartz
Claudio Tebaldi

Illiquid Assets and Optimal Portfolio Choice

w12622 Charles Calomiris
Thanavut Pornrojnangkool

Relationship Banking and the Pricing of Financial Services

w12614 Christian Hellwig
Guido Lorenzoni

Bubbles and Self-Enforcing Debt

w12609 Monika Piazzesi
Martin Schneider

Equilibrium Yield Curves

w12589 Hali J. Edison
Francis E. Warnock

Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets

w12555 Dmitry Livdan
Horacio Sapriza
Lu Zhang

Financially Constrained Stock Returns

w12552 John D. Burger
Francis E. Warnock

Local Currency Bond Markets

w12548 John D. Burger
Francis E. Warnock

Foreign Participation in Local Currency Bond Markets

w12513 Michael W. Brandt
David A. Chapman

Linear Approximations and Tests of Conditional Pricing Models

w12502 Gene Amromin
Jennifer Huang
Clemens Sialm

The Tradeoff Between Mortgage Prepayments and Tax-Deferred Retirement Savings

w12500 John Ammer
Sara B. Holland
David C. Smith
Francis E. Warnock

Look at Me Now: What Attracts U.S. Shareholders?

w12489 Craig Burnside
Martin Eichenbaum
Isaac Kleshchelski
Sergio Rebelo

The Returns to Currency Speculation

w12487 Urban Jermann
The Equity Premium Implied by Production

w12484 M. Ayhan Kose
Eswar Prasad
Kenneth S. Rogoff
Shang-Jin Wei

Financial Globalization: A Reappraisal

w12482 Jaume Ventura
Fernando A. Broner

Globalization and Risk Sharing

w12461 Josef Lakonishok
Louis Chan
Stephen G. Dimmock

Benchmarking Money Manager Performance: Issues and Evidence

w12434 Rajnish Mehra
The Equity Premium in India

w12433 Rajnish Mehra
Recursive Competitive Equilibrium

w12419 Stefania Albanesi
Optimal Taxation of Entrepreneurial Capital with Private Information

w12413 Takatoshi Ito
Yuko Hashimoto

Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System

w12412 Orazio P. Attanasio
Monica Paiella

Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory

w12397 Nicholas Barberis
Wei Xiong

What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation

w12391 Courtney Coile
Kevin Milligan

How Household Portfolios Evolve After Retirement: The Effect of Aging and Health Shocks

w12389 Bong-Chan Kho
René M. Stulz
Francis E. Warnock

Financial Globalization, Governance, and the Evolution of the Home Bias

w12378 Nicholas Barberis
Ming Huang

The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle

w12376 Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz

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

w12367 Leora Friedberg
Anthony Webb

Determinants and Consequences of Bargaining Power in Households

w12362 John Y. Campbell
Jens Hilscher
Jan Szilagyi

In Search of Distress Risk

w12360 Jonathan Lewellen
Stefan Nagel
Jay Shanken

A Skeptical Appraisal of Asset-Pricing Tests

w12346 Charles P. Thomas
Francis E. Warnock
Jon Wongswan

The Performance of International Equity Portfolios

w12343 William O. Brown
Jr.
J. Harold Mulherin
Marc D. Weidenmier

Competing With the NYSE

w12342 Zhonglan Dai
Edward Maydew
Douglas A. Shackelford
Harold H. Zhang

Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?

w12337 Anders B. Trolle
Eduardo S. Schwartz

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

w12333 Elias Papaioannou
Richard Portes
Gregorios Siourounis

Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar

w12330 Miki Kohara
Charles Yuji Horioka

Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan

w12309 Paul Willen
Felix Kubler

Collateralized Borrowing and Life-Cycle Portfolio Choice

w12308 Urban Jermann
Vincenzo Quadrini

Financial Innovations and Macroeconomic Volatility

w12295 Michelle Lowry
Micah S. Officer
G. William Schwert

The Variability of IPO Initial Returns

w12290 Andrew B. Abel
Equity Premia with Benchmark Levels of Consumption: Closed-Form Results

w12283 Bernardo S. de M. Carvalho
Márcio G.P. Garcia

Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties

w12276 Mihir A. Desai
C. Fritz Foley
James R. Hines Jr.

Capital Structure with Risky Foreign Investment

w12270 Alessandro Beber
Michael W. Brandt

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

w12256 James Dow
Gary Gorton

Noise Traders

w12248 Geert Bekaert
Eric Engstrom
Yuhang Xing

Risk, Uncertainty and Asset Prices

w12247 Geert Bekaert
Eric Engstrom
Steven R. Grenadier

Stock and Bond Returns with Moody Investors

w12234 Evan Gatev
Til Schuermann
Philip E. Strahan

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

w12233 Viviana Fernandez
The International CAPM and a Wavelet-Based Decomposition of Value at Risk

w12223 Mark Grinblatt
Matti Keloharju

Sensation Seeking, Overconfidence, and Trading Activity

w12220 Fang Cai
Francis E. Warnock

International Diversification at Home and Abroad

w12214 Charles Engel
Akito Matsumoto

Portfolio Choice in a Monetary Open-Economy DSGE Model

w12210 Francis A. Longstaff
Arvind Rajan

An Empirical Analysis of the Pricing of Collateralized Debt Obligations

w12204 John Y. Campbell
Yves Nosbusch

Intergenerational Risksharing and Equilibrium Asset Prices

w12203 Andrew Ang
Li Gu
Yael V. Hochberg

Is IPO Underperformance a Peso Problem?

w12200 Justin Wolfers
Eric Zitzewitz

Interpreting Prediction Market Prices as Probabilities

w12183 Long Chen
Ralitsa Petkova
Lu Zhang

The Expected Value Premium

w12149 John Y. Campbell
Household Finance

w12146 Clemens Sialm
Investment Taxes and Equity Returns

w12144 Jules H. van Binsbergen
Michael W. Brandt
Ralph S.J. Koijen

Optimal Decentralized Investment Management

w12138 Eugene N. White
Bubbles and Busts: The 1990s in the Mirror of the 1920s

w12109 Martin Lettau
Stijn Van Nieuwerburgh

Reconciling the Return Predictability Evidence

w12107 Patrick Bolton
Jose Scheinkman
Wei Xiong

Pay for Short-Term Performance: Executive Compensation in Speculative Markets

w12098 Wayne E. Ferson
Andrew F. Siegel

Testing Portfolio Efficiency with Conditioning Information

w12090 Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz

Is There Hedge Fund Contagion?

w12084 Gary Gorton
Ping He

Agency-Based Asset Pricing

w12083 Justin Wolfers
Eric Zitzewitz

Prediction Markets in Theory and Practice

w12073 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections

w12060 Justin Wolfers
Eric Zitzewitz

Five Open Questions About Prediction Markets

w12055 Jay Shanken
Guofu Zhou

Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations

w12042 Steven R. Grenadier
Neng Wang

Investment Under Uncertainty and Time-Inconsistent Preferences

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

w12017 Jakub W. Jurek
Luis M. Viceira

Optimal Value and Growth Tilts in Long-Horizon Portfolios

w12011 J. Bradford DeLong
Konstantin Magin

A Short Note on the Size of the Dot-Com Bubble

w12000 Murray Carlson
Zeigham Khokher
Sheridan Titman

Equilibrium Exhaustible Resource Price Dynamics

w11996 Ricardo J. Caballero
Emmanuel Farhi
Pierre-Olivier Gourinchas

An Equilibrium Model of "Global Imbalances" and Low Interest Rates

w11989 Justin Wolfers
Diagnosing Discrimination: Stock Returns and CEO Gender

w11984 Leora Friedberg
Anthony Webb

Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk

w11974 James Poterba
Joshua Rauh
Steven Venti
David Wise

Lifecycle Asset Allocation Strategies and the Distribution of 401(k) Retirement Wealth

w11959 Alan J. Auerbach
Kevin A. Hassett

Dividend Taxes and Firm Valuation: New Evidence

w11941 Lubos Pastor
Meenakshi Sinha
Bhaskaran Swaminathan

Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital

w11929 Refet Gurkaynak
Justin Wolfers

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

w11912 Rene M. Stulz
Financial Globalization, Corporate Governance, and Eastern Europe


2005
w11906 Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang

International Stock Return Comovements

w11903 Andrew Ang
Joseph Chen

CAPM Over the Long Run: 1926-2001

w11894 Ross Levine
Sergio Schmukler

Internationalization and Stock Market Liquidity

w11882 Owen A. Lamont
Jeremy C. Stein

Investor Sentiment and Corporate Finance: Micro and Macro

w11876 Lubos Pastor
Pietro Veronesi

Technological Revolutions and Stock Prices

w11868 Farley Grubb
The Net Asset Position of the U.S. National Government, 1784-1802: Hamilton's Blessing or the Spoils of War?

w11864 Jaime Casassus
Pierre Collin-Dufresne
Bryan R. Routledge

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

w11851 Xavier Gabaix
Arvind Krishnamurthy
Olivier Vigneron

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

w11850 Axel Boersch-Supan
Alexander Ludwig
Joachim Winter

Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model

w11843 Nicolae Garleanu
Lasse Heje Pedersen
Allen M. Poteshman

Demand-Based Option Pricing

w11841 Jacob Boudoukh
Matthew Richardson
Robert Whitelaw

The Myth of Long-Horizon Predictability

w11840 Jacob Boudoukh
Matthew Richardson
Robert Whitelaw

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly

w11838 Sendhil Mullainathan
Andrei Shleifer

Persuasion in Finance

w11834 Ricardo Caballero
Arvind Krishnamurthy

Financial System Risk and Flight to Quality

w11824 Andrew Ang
Joseph Chen
Yuhang Xing

Downside Risk

w11816 Tano Santos
Pietro Veronesi

Cash-Flow Risk, Discount Risk, and the Value Premium

w11803 Bernard Dumas
Alexander Kurshev
Raman Uppal

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

w11775 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

w11769 Kathryn Dominguez
Freyan Panthaki

What Defines "News" in Foreign Exchange Markets?

w11766 Marcin Kacperczyk
Clemens Sialm
Lu Zheng

Unobserved Actions of Mutual Funds

w11756 Clemens Sialm
Tax Changes and Asset Pricing: Time-Series Evidence

w11748 Martin D. D. Evans
Richard K. Lyons

Understanding Order Flow

w11747 Henry Hongbo Jin
Olivia S. Mitchell
John Piggott

Socially Responsible Investment in Japanese Pensions

w11736 Sean D. Campbell
Francis X. Diebold

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

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

w11722 Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley

Institutional Investors and Stock Market Volatility

w11713 William H. Branson
Conor N. Healy

Monetary and Exchange Rate Policy Coordination in ASEAN 1

w11703 Sydeny C. Ludvigson
Serena Ng

Macro Factors in Bond Risk Premia

w11701 Martin D. D. Evans
Viktoria Hnatkovska

International Capital Flows, Returns and World Financial Integration

w11698 Philipp Hartmann
Stefan Straetmans
Casper G. De Vries

Banking System Stability: A Cross-Atlantic Perspective

w11697 Kee-Hong Bae
Rene M. Stulz
Hongping Tan

Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts

t0318 Martin D. D. Evans
Viktoria Hnatkovska

Solving General Equilibrium Models with Incomplete Markets and Many Assets

w11691 Enrique G. Mendoza
Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies

w11687 Hanno Lustig
Christopher Sleet
Sevin Yeltekin

Fiscal Hedging and the Yield Curve

w11683 Stefano DellaVigna
Joshua Pollet

Investor Inattention, Firm Reaction, and Friday Earnings Announcements

orrc05-04 Axel Boersch-Supan
Alexander Ludwig
Joachim Winter

Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model

w11643 Charles Himmelberg
Christopher Mayer
Todd Sinai

Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions

w11633 Philippe Bacchetta
Eric van Wincoop

Rational Inattention: A Solution to the Forward Discount Puzzle

w11618 Ricardo J. Caballero
Arvind Krishnamurthy

Bubbles and Capital Flow Volatility: Causes and Risk Management

w11606 Martin Lettau
Sydney C. Ludvigson

Euler Equation Errors

w11579 Bernadette A. Minton
René Stulz
Rohan Williamson

How Much Do Banks Use Credit Derivatives to Reduce Risk?

w11564 Hanno Lustig
Stijn Van Nieuwerburgh

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

w11559 Jessica A. Wachter
Solving Models with External Habit

w11554 James J. Choi
David Laibson
Brigitte C. Madrian

$100 Bills on the Sidewalk: Suboptimal Investment in 401(k) Plans

w11534 John Y. Campbell
João F. Cocco

How Do House Prices Affect Consumption? Evidence From Micro Data

w11533 Bruce N. Lehmann
Notes for a Contingent Claims Theory of Limit Order Markets

w11526 Andrea Frazzini
Owen A. Lamont

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

w11509 Leonid Kogan
Dmitry Livdan
Amir Yaron

Futures Prices in a Production Economy with Investment Constraints

w11488 Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein

The Only Game in Town: Stock-Price Consequences of Local Bias

w11480 Laura X.L. Liu
Jerold B. Warner
Lu Zhang

Momentum Profits and Macroeconomic Risk

w11477 Sydney C. Ludvigson
Serena Ng

The Empirical Risk-Return Relation: A Factor Analysis Approach

w11476 Lars Peter Hansen
John Heaton
Nan Li

Consumption Strikes Back?: Measuring Long-Run Risk

w11472 Kris James Mitchener
Marc D. Weidenmier

Supersanctions and Sovereign Debt Repayment

w11468 John Y. Campbell
Samuel B. Thompson

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

w11459 Evgeny Lyandres
Le Sun
Lu Zhang

Investment-Based Underperformance Following Seasoned Equity Offerings

w11452 Raj Chetty
Joseph Rosenberg
Emmanuel Saez

The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut?

w11449 Alan J. Auerbach
Kevin A. Hassett

The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study

w11444 Anna Obizhaeva
Jiang Wang

Optimal Trading Strategy and Supply/Demand Dynamics

w11442 Mark Carey
Rene M. Stulz

The Risks of Financial Institutions

w11441 Laurent E. Calvet
Adlai J. Fisher

Multifrequency News and Stock Returns

w11440 Anna Pavlova
Roberto Rigobon

Wealth Transfers, Contagion, and Portfolio Constraints

w11439 John Y. Campbell
Tarun Ramadorai
Tuomo O. Vuolteenaho

Caught On Tape: Institutional Order Flow and Stock Returns

w11426 John R. Graham
Campbell R. Harvey
Hai Huang

Investor Competence, Trading Frequency, and Home Bias

w11413 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Liquidity and Expected Returns: Lessons From Emerging Markets

w11400 Lin Peng
Wei Xiong

Investor Attention: Overconfidence and Category Learning

w11389 John Y. Campbell
Christopher Polk
Tuomo Vuolteenaho

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

w11380 Yacine Ait-Sahalia
Per A. Mykland
Lan Zhang

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

w11372 Kristin J. Forbes
The Microeconomic Evidence on Capital Controls: No Free Lunch

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

w11361 Manju Puri
David Robinson

Optimism and Economic Choice

w11357 Joshua D. Coval
Erik Stafford

Asset Fire Sales (and Purchases) in Equity Markets

w11350 Antonio Geldson de Carvalho
Charles W. Calomiris
Joao Amaro de Matos

Venture Capital as Human Resource Management

w11326 Naiping Lu
Lu Zhang

The Value Spread as a Predictor of Returns

w11323 Murillo Campello
Long Chen
Lu Zhang

Expected Returns, Yield Spreads, and Asset Pricing Tests

w11313 Jeff Dominitz
Charles F. Manski

Measuring and Interpreting Expectations of Equity Returns

w11312 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

w11280 Mitchell A. Petersen
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

w11276 Michael Gallmeyer
Burton Hollifield
Stanley E. Zin

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

w11270 Cade Massey
Richard Thaler

Overconfidence vs. Market Efficiency in the National Football League

w11247 Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

w11243 Andrew W. Lo
Dmitry V. Repin
Brett N. Steenbarger

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

w11222 Claude B. Erb
Campbell R. Harvey

The Tactical and Strategic Value of Commodity Futures

w11220 Richard K. Lyons
Michael J. Moore

An Information Approach to International Currencies

w11214 Genevieve Boyreau-Debray
Shang-Jin Wei

Pitfalls of a State-Dominated Financial System: The Case of China

w11211 Stefano DellaVigna
Joshua M. Pollet

Attention, Demographics, and the Stock Market

w11200 Nicholas Chan
Mila Getmansky
Shane M. Haas
Andrew W. Lo

Systemic Risk and Hedge Funds

w11193 John Cochrane
Financial Markets and the Real Economy

w11188 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Volatility Forecasting

w11180 George-Marios Angeletos
UNINSURED IDIOSYNCRATIC INVESTMENT RISK

w11169 Peter Hecht
Tuomo Vuolteenaho

Explaining Returns with Cash-Flow Proxies

w11162 Craig Doidge
G. Andrew Karolyi
Karl V. Lins
Darius P. Miller
Rene M. Stulz

Private Benefits of Control, Ownership, and the Cross-Listing Decision

w11144 Martin Lettau
Jessica Wachter

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

w11136 Josh Lerner
Antoinette Schoar
Wan Wong

Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle

w11134 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Jin (Ginger) Wu

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

w11122 George M. Constantinides
John B. Donaldson
Rajnish Mehra

Junior is Rich: Bequests as Consumption

w11119 John Y. Campbell
Luis Viceira

The Term Structure of the Risk-Return Tradeoff

w11116 Ali Hortacsu
Samita Sareen

Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions

w11089 Francis X. Diebold
Monika Piazzesi
Glenn Rudebusch

Modeling Bond Yields in Finance and Macroeconomics

w11082 Bart Lambrecht
Stewart C. Myers

A Theory of Takeovers and Disinvestment

w11070 Rene M. Stulz
The Limits of Financial Globalization

w11069 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Practical Volatility and Correlation Modeling for Financial Market Risk Management

w11067 Michelle Hanlon
Terry Shevlin

Bank-Tax Conformity for Corporate Income: An Introduction to the Issues

w11042 Martin D.D. Evans
Richard K. Lyons

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

w11041 Martin D.D. Evans
Richard K. Lyons

Do Currency Markets Absorb News Quickly?

w11037 Philippe Jorion
Bank Trading Risk and Systemic Risk

w11033 Menzie D. Chinn
Michael LeBlanc
Olivier Coibion

The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

w11026 Ravi Jagannathan
Yong Wang

Consumption Risk and the Cost of Equity Capital

w11023 Ross Levine
Sergio L. Schmukler

Internationalization and the Evolution of Corporate Valuation

w11021 Wayne E. Ferson
Andrea Heuson
Tie Su

Weak and Semi-Strong Form Stock Return Predictability Revisited

w11020 Wayne E. Ferson
Andrew F. Siegel
Pisun (Tracy) Xu

Mimicking Portfolios with Conditioning Information

w11018 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis


2004
w11015 George-Marios Angeletos
Ivan Werning

Crises and Prices: Information Aggregation, Multiplicity and Volatility

w11011 David J. Brophy
Paige P. Ouimet
Clemens Sialm

PIPE Dreams? The Performance of Companies Issuing Equity Privately

w11010 Anthony W. Lynch
Sinan Tan

Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice

w10996 Michael W. Brandt
Pedro Santa-Clara
Rossen Valkanov

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

w10994 Anthony W. Lynch
Sinan Tan

Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs

w10990 Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel

Global Growth Opportunities and Market Integration

w10970 Raj Chetty
Adam Szeidl

Consumption Commitments and Habit Formation

w10982 Philip E. Strahan
Evan Gatev
Til Schuermann

How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998

w10981 Charles Engel
Some New Variance Bounds for Asset Prices

w10978 Mihir A. Desai
Alexander Dyck
Luigi Zingales

Theft and Taxes

w10934 Michael W. Brandt
Amit Goyal
Pedro Santa-Clara
Jonathan Storud

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

w10925 Jun Pan
Allen Poteshman

The Information of Option Volume for Future Stock Prices

w10914 Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

w10913 Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov

There is a Risk-Return Tradeoff After All

w10912 Pedro Santa-Clara
Shu Yan

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

w10860 Kevin Milligan
Life-Cycle Asset Accumulation and Allocation in Canada

w10856 Takatoshi Ito
Yuko Hashimoto

Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System

w10852 Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang

The Cross-Section of Volatility and Expected Returns

w10851 James Poterba
The Impact of Population Aging on Financial Markets

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

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

w10847 Edward J. Kane
Charles Kindleberger

w10845 Raghuram G. Rajan
Dollar Shortages and Crises

w10823 Malcolm P. Baker
Ryan Taliaferro
Jeffrey Wurgler

Pseudo Market Timing and Predictive Regressions

w10820 Ravi Bansal
Magnus Dahlquist
Campbell R. Harvey

Dynamic Trading Strategies and Portfolio Choice

w10816 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Over-the-Counter Markets

w10814 Viral V. Acharya
Lasse Heje Pedersen

Asset Pricing with Liquidity Risk

w10813 Ulrike Malmendier
Geoffrey Tate

Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction

w10812 Ulrike Malmendier
Devin Shanthikumar

Are Investors Naive About Incentives?

w10805 Robert P. Flood
Andrew K. Rose

Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk

w10794 Lily Qiu
Ivo Welch

Investor Sentiment Measures

w10785 Mihir A. Desai
C. Fritz Foley

The Comovement of Returns and Investment Within the Multinational Firm

w10756 Pierre Collin-Dufresne
Christopher S. Jones
Robert S. Goldstein

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

w10755 Markus K. Brunnermeier
Lasse Heje Pedersen

Predatory Trading

w10729 Kris James Mitchener
Marc D. Weidenmier

Empire, Public Goods, and the Roosevelt Corollary

w10726 Rene M. Stulz
Craig Doidge
Andrew Karolyi

Why Do Countries Matter So Much for Corporate Governance?

w10719 John M. Griffin
Federico Nardari
Rene M. Stulz

Stock Market Trading and Market Conditions

w10723 Charles Engel
Kenneth D. West

Exchange Rates and Fundamentals

w10704 Michael D. Bordo
David C. Wheelock

Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms

w10689 Wayne E. Ferson
Andrea Heuson
Tie Su

Weak and Semi-Strong Form Stock Return Predictability, Revisited

w10675 Zoran Ivkovich
Clemens Sialm
Scott Weisbenner

Portfolio Concentration and the Performance of Individual Investors

w10659 Owen Lamont
Go Down Fighting: Short Sellers vs. Firms

w10651 Jacob Boudoukh
Roni Michaely
Matthew Richardson
Michael Roberts

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

w10650 Li Jin
Robert Merton
Zvi Bobie

Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?

w10620 Robert C. Merton
Zvi Bodie

The Design of Financial Systems: Towards a Synthesis of Function and Structure

w10616 Francis X. Diebold
Glenn D. Rudebusch
S. Boragan Aruoba

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

w10595 Gary Gorton
K. Geert Rouwenhorst

Facts and Fantasies about Commodity Futures

w10581 Lubos Pastor
Pietro Veronesi

Was There a Nasdaq Bubble in the Late 1990s?

w10574 Rene M. Stulz
Should We Fear Derivatives?

w10567 Armando Gomes
Gary Gorton
Leonardo Madureira

SEC Regulation Fair Disclosure, Information, and the Cost of Capital

w10547 Monika Piazzesi
Eric Swanson

Futures Prices as Risk-adjusted Forecasts of Monetary Policy

w10503 Xiaohong Chen
Sydney C. Ludvigson

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

w10502 Hyuk Choe
Bong-Chan Kho
Rene M. Stulz

Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea

w10483 Amit Goval
Ivo Welch

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

w10468 William N. Goetzmann
Vicente Pons-Sanz
S. Abraham Ravid

Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property

w10458 Marjorie Flavin
Shinobu Nakagawa

A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence

w10454 James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick

Consumption-Wealth Comovement of the Wrong Sign

w10453 Li Jin
Stewart C. Myers

R-Squared Around the World: New Theory and New Tests

w10449 Malcolm Baker
Jeffrey Wurgler

Investor Sentiment and the Cross-Section of Stock Returns

w10448 Yuko Hashimoto
Takatoshi Ito

High-Frequency Contagion Between the Exchange Rates and Stock Prices

w10447 Gopal K. Basak
Ravi Jagannathan
Tongshu Ma

A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

w10436 Zoran Ivkovich
Scott Weisbenner

Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices

w10434 Paul Asquith
Parag A. Pathak
Jay R. Ritter

Short Interest and Stock Returns

w10422 Francis A. Longstaff
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

w10419 Jeffrey R. Brown
Nellie Liang
Scott Weisbenner

401(k) Matching Contributions in Company Stock: Costs and Benefits for Firms and Workers

w10418 Francis A. Longstaff
Sanjay Mithal
Eric Neis

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

w10413 Tano Santos
Pietro Veronesi

Conditional Betas

w10412 Jonathan Berk
Richard Stanton

A Rational Model of the Closed-End Fund Discount

w10411 Francis A. Longstaff
Financial Claustrophobia: Asset Pricing in Illiquid Markets

w10406 Christopher Polk
Samuel Thompson
Tuomo Vuolteenaho

New Forecasts of the Equity Premium

w10402 Ben S. Bernanke
Kenneth N. Kuttner

What Explains the Stock Market's Reaction to Federal Reserve Policy?

w10388 Jeffrey R. Brown
J. David Cummins
Christopher M. Lewis
Ran Wei

An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance

w10372 Michael W. Brandt
Pedro Santa-Clara

Dynamic Portfolio Selection by Augmenting the Asset Space

w10359 Charles F. Manski
Interpreting the Predictions of Prediction Markets

w10355 Kenneth A. Froot
Melvyn Teo

Equity Style Returns and Institutional Investor Flows

w10343 William N. Goetzmann
Massimo Massa
Andrei Simonov

Portfolio Diversification and City Agglomeration

w10340 Olivia S. Mitchell
John Piggott

Unlocking Housing Equity in Japan

w10327 Dimitri Vayanos
Flight to Quality, Flight to Liquidity, and the Pricing of Risk

w10291 Alan J. Auerbach
How Much Equity Does the Government Hold?

w10270 Martin Lettau
Sydney C. Ludvigson
Jessica A. Wachter

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

w10267 Charles Engel
Kenneth D. West

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One

w10264 Josef Lakonishok
Inmoo Lee
Allen M. Poteshman

Investor Behavior in the Option Market

w10263 John Y. Campbell
Tuomo Vuolteenaho

Inflation Illusion and Stock Prices

w10259 Jeremy C. Stein
Why Are Most Funds Open-End? Competition and the Limits of Arbitrage

w10245 Philippe Bacchetta
Eric van Wincoop

A Scapegoat Model of Exchange Rate Fluctuations

w10236 Raymond Fisman
Inessa Love

Financial Development and Growth in the Short and Long Run

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

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

w10228 James J. Choi
David Laibson
Brigitte Madrian
Andrew Metrick

Employees' Investment Decisions about Company Stock

w10218 Owen A. Lamont
Jeremy C. Stein

Aggregate Short Interest and Market Valuations

w10210 Casey B. Mulligan
Robust Aggregate Implications of Stochastic Discount Factor Volatility

w10202 Susan E. Woodward
Robert E. Hall

Benchmarking the Returns to Venture


2003
w10188 Lee Pinkowitz
Rene M. Stulz
Rohan Williamson

Do Firms in Countries with Poor Protection of Investor Rights Hold More Cash?

w10157 Kenneth A. Froot
Paul G. J. O'Connell

The Risk Tolerance of International Investors

w10150 Robert E. Hall
Corporate Earnings Track the Competitive Benchmark

w10141 Sean D. Campbell
Francis X. Diebold

Weather Forecasting for Weather Derivatives

w10131 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

The Price is (Almost) Right

w10111 Lan Zhang
Per A. Mykland
Yacine Ait-Sahalia

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

w10107 Bryan R. Routledge
Stanley E. Zin

Generalized Disappointment Aversion and Asset Prices

w10086 Antonios Sangvinatsos
Jessica A. Wachter

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

w10080 Andrew Ang
Geert Bekaert

How do Regimes Affect Asset Allocation?

w10054 Francis Longstaff
Monika Piazzesi

Corporate Earnings and the Equity Premium

w10048 Francis X. Diebold
Canlin Li

Forecasting the Term Structure of Government Bond Yields

w10042 Andrew Ang
Jun Liu

How to Discount Cashflows with Time-Varying Expected Returns

w10026 John Y. Campbell
Motohiro Yogo

Efficient Tests of Stock Return Predictability

w10018 Martin Uribe
Vivian Z. Yue

Country Spreads and Emerging Countries: Who Drives Whom?

w10013 Harrison Hong
Jeremy C. Stein

Simple Forecasts and Paradigm Shifts

w10009 Peter F. Christoffersen
Francis X. Diebold

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

w9988 Raj Chetty
A New Method of Estimating Risk Aversion

w9974 Jonathan Lewellen
Stefan Nagel

The Conditional CAPM does not Explain Asset-Pricing Anamolies

w9959 Hanno Lustig
Stijn Van Nieuwerburgh

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective

w9951 Sheridan Titman
K.C. John Wei
Feixue Xie

Capital Investments and Stock Returns

w9934 Daron Acemoglu
Simon Johnson

Unbundling Institutions

w9927 Hui Guo
Robert F. Whitelaw

Uncovering the Risk-Return Relation in the Stock Market

w9915 Yacine Ait-Sahalia
Disentangling Volatility from Jumps

w9914 Alessandro Beber
Michael W. Brandt

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

w9894 Patric H. Hendershott
Bryan D. MacGregor

Investor Rationality: Evidence from UK Property Capitalization Rates

w9893 H. Henry Cao
Richard K. Lyons
Martin D.D. Evans

Inventory Information

w9882 Rafael La Porta
Florencio Lopez-de-Silane
Andrei Shleifer

What Works in Securities Law?

w9880 Robert P. Flood
Andrew K. Rose

Financial Integration: A New Methodology and an Illustration

w9875 Kathryn M.E. Dominguez
When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?

w9861 Martin B. Haugh
Leonid Kogan
Jiang Wang

Evaluating Portfolio Policies: A Duality Approach

w9858 Lubos Pastor
Pietro Veronesi

Stock Prices and IPO Waves

w9852 Louis Kaplow
The Value of a Statistical Life and the Coefficient of Relative Risk Aversion

w9848 Martin Lettau
Sydney Ludvigson

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

w9807 Steven Kaplan
Antoinette Schoar

Private Equity Performance: Returns, Persistence and Capital

w9806 Mario Draghi
Francesco Giavazzi
Robert C. Merton

Transparency, Risk Management and International Financial Fragility

w9759 John Y. Campbell
Joao F. Cocco

Household Risk Management and Optimal Mortgage Choice

w9758 James Dow
Gary Gorton
Arvind Krishnamurthy

Equilibrium Asset Prices Under Imperfect Corporate Control

w9743 Kent Daniel
Sheridan Titman

Market Reactions to Tangible and Intangible Information

w9711 Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein

The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers

w9685 Scott Weisbenner
Zoran Ivkovich

Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments

w9677 Andrew Ang
Angela Maddaloni

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

w9674 Richard J. Rendleman
Jr.
Douglas A. Shackelford

Diversification and the Taxation of Capital Gains and Losses

w9664 Michael W. Brandt
Francis X. Diebold

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

w9634 Edward J. Kane
Continuing Dangers of Disinformation in Corporate Accounting Reports

w9614 Ross Levine
Sergio L. Schmukler

Migration, Spillovers,and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity

w9611 Yacine Ait-Sahalia
Per A. Mykland

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

w9605 Martin Lettau
Sydney Ludvigson

Expected Returns and Expected Dividend Growth

w9589 Takatoshi Ito
Kimie Harada

Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives

w9587 Andrew Leigh
Justin Wolfers
Eric Zitzewitz

What Do Financial Markets Think of War in Iraq?

w9582 Raymond Fisman
Inessa Love

Financial Dependence and Growth Revisited

w9574 Chen-Chien Hsun
Shih Hui-Tzu

Initial Public Offering and Corporate Governance in China's Transitional Economy

w9583 Raymond Fisman
Inessa Love

Financial Development and the Composition of Industrial Growth

w9555 Kristin J. Forbes
Menzie D. Chinn

A Decomposition of Global Linkages in Financial Markets Over Time

w9548 Jonathan A. Parker
Consumption Risk and Expected Stock Returns

w9547 John Y. Campbell
George Chacko
Jorge Rodriguez
Luis M. Viciera

Strategic Asset Allocation in a Continuous-Time VAR Model

w9544 Louis K. C. Chan
Jason Karceski
Josef Lakonishok

Analysts' Conflict of Interest and Biases in Earnings Forecasts

w9538 Jonathan A. Parker
Christian Julliard

Consumption Risk and Cross-Sectional Returns

w9528 Glenn Ellison
Drew Fudenberg

Knife Edge of Plateau: When Do Market Models Tip?

w9515 Jacob Boudoukh
Matthew Richardson
YuQing Shen
Robert F. Whitelaw

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market

w9512 Rajnish Mehra
The Equity Premium: Why is it a Puzzle?

w9510 Geert Bekaert
Campbell R. Harvey

Market Integration and Contagion

w9509 John Y. Campbell
Tuomo Vuolteenaho

Bad Beta, Good Beta

w9499 William N. Goetzmann
Massimo Massa

Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias

w9481 Rodolfo Martell
Rene M. Stulz

Equity market liberalizations as country IPOs

w9475 Steven R. Grenadier
An Equilibrium Analysis of Real Estate

w9470 Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Noriyoshi Shirishi
Masahiro Watanabe

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

w9465 William N. Goetzmann
Ning Zhu

Rain or Shine: Where is the Weather Effect?

w9464 Stephen J. Brown
William N. Goetzmann
Bing Liang

Fees on Fees in Funds of Funds

w9461 Bruce N. Lehmann
David M. Modest

Diversification and the Optimal Construction of Basis Portfolios

w9453 Harvey S. Rosen
Stephen Wu

Portfolio Choice and Health Status

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

w9423 Eli Ofek
Matthew Richardson
Robert F. Whitelaw

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

w9422 Steven D. Levitt
How Do Markets Function? An Empirical Analysis of Gambling on the National Football League


2002
w9392 Christopher S. Jones
Jay Shanken

Mutual Fund Performance with Learning Across Funds

w9376 Takatoshi Ito
Yuko Hashimoto

High Frequency Contagion of Currency Crises in Asia

t0286 Yacine Aït-Sahalia
Robert Kimmel

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

w9359 Randolph Cohen
Joshua Coval
Lubos Pastor

Judging Fund Managers by the Company They Keep

w9353 Mark Grinblatt
Jun Liu

Debt Policy, Corporate Taxes, and Discount Rates

w9348 Jeeman Jung
Robert J. Shiller

One Simple Test of Samuelson's Dictum for the Stock Market

w9344 Stefano Cavaglia
Robert J. Hodrick
Moroz Vadim
Xiaoyan Zhang

Pricing the Global Industry Portfolios

w9333 Peter L. Rousseau
Historical Perspectives on Financial Development and Economic Growth

w9331 Steven J. Davis
Felix Kubler
Paul Willen

Borrowing Costs and the Demand for Equity Over the Life Cycle

w9301 Clemens Sialm
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium

w9271 Jeffrey R. Brown
Randall S. Kroszner
Brian H. Jenn

Federal Terrorism Risk Insurance

w9262 Dennis R. Capozza
Patric H. Hendershott
Charlotte Mack
Christopher J. Mayer

Determinants of Real House Price Dynamics

w9251 Antonio E. Bernardo
Ivo Welch

Financial Market Runs

w9246 Paul Asquith
Michael B. Mikhail
Andrea S. Au

Information Content of Equity Analyst Reports

w9241 Jessica Tjornhom Donohue
Kenneth A. Froot

The Persistence of Emerging Market Equity Flows

w9222 Nicholas Barberis
Richard Thaler

A Survey of Behavioral Finance

w9217 Lior Menzly
Tano Santos
Pietro Veronesi

The Time Series of the Cross Section of Asset Prices

w9178 John H. Cochrane
Monika Piazzesi

Bond Risk Premia

w9147 Larry Neal
Marc Weidenmier

Crises in the Global Economy from Tulips to Today: Contagion and Consequences

w9143 Wayne E. Ferson
Sergei Sarkissian
Timothy Simin

Spurious Regressions in Financial Economics?

w9131 Nellie Liang
Scott Weisbenner

Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design

w9116 William Goetzmann
Jonathan Ingersoll
Matthew I. Spiegel
Ivo Welch

Sharpening Sharpe Ratios

w9111 Arik Ben Dor
Ravi Jagannathan

Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis

w9103 Jun Liu
Francis A. Longstaff
Jun Pan

Dynamic Asset Allocation With Event Risk

w9101 Kenneth A. Froot
Tarun Ramadorai

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals

w9087 Peter G. Dunne
Michael J. Moore
Richard Portes

Defining Benchmark Status: An Application using Euro-Area Bonds

w9080 Kenneth A. Froot
Tarun Ramadorai

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals

w9079 Kenneth A. Froot
Jessica D. Tjornhom

Decomposing the Persistence of International Equity Flows

w9075 John Y. Campbell
Luis M. Viceira
Joshua S. White

Foreign Currency for Long-Term Investors

w9056 Michael W. Brandt
Qiang Kang

On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

w9049 Owen A. Lamont
Evaluating Value Weighting: Corporate Events and Market Timing

w9034 Urban Jermann
Vincenzo Quadrini

Stock Market Boom and the Productivity Gains of the 1990s

w9018 Rajeev Dehejia
Roberta Gatti

Child Labor: The Role of Income Variability and Access to Credit Across Countries

w9000 John M. Griffin
Federico Nardari
Rene M. Stulz

Daily Cross-Border Equity Flows: Pushed or Pulled?

w8994 G. Andrew Karolyi
Rene M. Stulz

Are Financial Assets Priced Locally or Globally?

w8991 Lubos Pastor
Pietro Veronesi

Stock Valuation and Learning about Profitability

w8987 John H. Cochrane
Stocks as Money: Convenience Yield and the Tech-Stock Bubble

w8969 Matthias Kahl
Jun Liu
Francis A. Longstaff

Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?

w8961 John Y. Campbell
Glen B. Taksler

Equity Volatility and Corporate Bond Yields

w8960 Raymond Fisman
Inessa Love

Trade Credit, Financial Intermediary Development and Industry Growth

w8959 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

w8956 Yacine Ait-Sahalia
Closed-Form Likelihood Expansions for Multivariate Diffusions

w8944 Yacine Ait-Sahalia
Jefferson Duarte

Nonparametric Option Pricing under Shape Restrictions

w8922 Ravi Jagannathan
Tongshu Ma

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

w8896 Annette Vissing-Jorgensen
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution

w8895 Nicholas Barberis
Andrei Shleifer
Jeffrey Wurgler

Comovement

w8884 Annette Vissing-Jorgensen
Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures

t0276 Yacine Ait-Sahalia
Per A. Mykland

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

w8876 Tobias J. Moskowitz
Annette Vissing-Jorgensen

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

w8867 George M. Constantinides
Stylianos Perrakis

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

w8826 George M. Constantinides
Rational Asset Prices

w8822 Alon Brav
George M. Constantinides
Christopher C. Geczy

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

w8816 Malcolm Baker
Jeremy C. Stein

Market Liquidity as a Sentiment Indicator

w8793 Randolph B. Cohen
Paul A. Gompers
Tuomo Vuolteenaho

Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions

w8791 Heber Farnsworth
Wayne E. Ferson
David Jackson
Steven Todd

Performance Evaluation with Stochastic Discount Factors

w8790 Wayne Ferson
Kenneth Khang

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

w8789 Wayne E. Ferson
Andrew Siegel

Stochastic Discount Factor Bounds with Conditioning Information

w8788 Amit Goyal
Ivo Welch

Predicting the Equity Premium With Dividend Ratios

w8747 Hans-Werner Sinn
The New Systems Competition

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

w8732 Kent Smetters
Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions

w8717 Michael D. Bordo
Anna J. Schwartz

Charles Goodhart's Contributions to the History of Monetary Institutions

w8711 Alexander Dyck
Luigi Zingales

Private Benefits of Control: An International Comparison


2001
w8686 William N. Goetzmann
Alok Kumar

Equity Portfolio Diversification

w8683 Bryan R. Routledge
Stanley E. Zin

Model Uncertainty and Liquidity

w8680 Lee Pinkowitz
Rene M. Stulz
Rohan Williamson

Corporate Governance and the Home Bias

w8678 John R. Graham
Campbell R. Harvey

Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective

w8666 Jay Shanken
Ane Tamayo

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

w8623 Ellen R. McGrattan
Edward C. Prescott

Taxes, Regulations, and Asset Prices

w8622 Ellen R. McGrattan
Edward C. Prescott

The Stock Market Crash of 1929: Irving Fisher Was Right!

w8620 Severin Borenstein
James Bushnell
Christopher R. Knittel
Catherine Wolfram

Trading Inefficiencies in California's Electricity Markets

w8618 Robert C. Apfel
John E. Parsons
G. William Schwert
Geoffrey S. Stewart

Short Sales, Damages and Class Certification in 10b-5 Actions

w8612 William N. Goetzmann
Lingfeng Li
K. Geert Rouwenhorst

Long-Term Global Market Correlations

w8609 Leonid Kogan
Raman Uppal

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

w8607 Yeung Lewis Chan
Leonid Kogan

Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

w8606 Karl E. Case
Robert J. Shiller
John M. Quigley

Comparing Wealth Effects: The Stock Market Versus the Housing Market

w8566 John Y. Campbell
Yeung Lewis Chan
Luis M. Viceira

A Multivariate Model of Strategic Asset Allocation

w8565 Andrew W. Lo
Jiang Wang

Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model

w8557 David S. Bates
The Market for Crash Risk

w8538 Craig Doidge
G. Andrew Karolyi
Rene M. Stulz

Why are Foreign Firms Listed in the U.S. Worth More?

w8510 Torben G. Andersen
Luca Benzoni
Jesper Lund

An Empirical Investigation of Continuous-Time Equity Return Models

w8508 Andrew W. Lo
Dmitry V. Repin

The Psychophysiology of Real-Time Financial Risk Processing

w8506 Sebastian Edwards
Raul Susmel

Volatility Dependence and Contagion in Emerging Equity Markets

w8505 Paul A. Gompers
Josh Lerner

The Really Long-Run Performance of Initial Public Offerings: The Pre-NASDAQ Evidence

w8504 Yacine Ait-Sahalia
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion

w8494 Charles M. Jones
Owen A. Lamont

Short Sale Constraints and Stock Returns

w8491 William P. Killeen
Richard K. Lyons
Michael J. Moore

Fixed versus Flexible: Lessons from EMS Order Flow

w8478 Alberto Abadie
Javier Gardeazabal

The Economic Costs of Conflict: A Case-Control Study for the Basque Country

w8472 Kenneth A. Froot
Tarun Ramadorai

The Information Content of International Portfolio Flows

w8462 Lubos Pastor
Robert F. Stambaugh

Liquidity Risk and Expected Stock Returns

w8456 Joshua Angrist
Alan B. Krueger

Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments

w8436 G. William Schwert
Stock Volatility in the New Millennium: How Wacky Is Nasdaq?

w8429 Michael D. Bordo
Ronald MacDonald

The Inter-War Gold Exchange Standard: Credibility and Monetary Independence

w8417 Yacine Ait-Sahalia
Jonathan A. Parker
Motohiro Yogo

Luxury Goods and the Equity Premium

t0274 Michael W. Brandt
Pedro Santa-Clara

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

w8404 Michael W. Brandt
John H. Cochrane
Pedro Santa-Clara

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

w8386 Stijn Claessens
Daniela Klingebiel
Luc Laeven

Financial Restructuring in Banking and Corporate Sector Crises: What Policies to Pursue?

w8360 Fernando Alvarez
Urban J. Jermann

The Size of the Permanent Component of Asset Pricing Kernels

w8358 Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein

Social Interaction and Stock-Market Participation

w8356 Martin D. D. Evans
Richard K. Lyons

Portfolio Balance, Price Impact, and Secret Intervention

w8354 Stephen G. Cecchetti
Stefan Krause

Financial Structure, Macroeconomic Stability and Monetary Policy

w8340 James M. Poterba
Taxation, Risk-Taking, and Household Portfolio Behavior

w8312 Guillermo Llorente
Roni Michaely
Gideon Saar
Jiang Wang

Dynamic Volume-Return Relation of Individual Stocks

w8311 Andrew W. Lo
Harry Mamaysky
Jiang Wang

Asset Prices and Trading Volume Under Fixed Transactions Costs

w8309 Tano Santos
Pietro Veronesi

Labor Income and Predictable Stock Returns

w8308 Konan Chan
Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok

Earnings Quality and Stock Returns

w8303 Giancarlo Corsetti
Paolo Pesenti
Nouriel Roubini

The Role of Large Players in Currency Crises

w8302 Owen A. Lamont
Richard H. Thaler

Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs

w8282 Louis K.C. Chan
Jason Karceski
Josef Lakonishok

The Level and Persistence of Growth Rates

w8242 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

The Value Spread

w8240 Tuomo Vuolteenaho
What Drives Firm-Level Stock Returns?

w8223 James M. Poterba
Taxation and Portfolio Structure: Issues and Implications

w8222 Rene M. Stulz
Rohan Williamson

Culture, Openness, and Finance

w8221 John Y. Campbell
Robert J. Shiller

Valuation Ratios and the Long-Run Stock Market Outlook: An Update

w8190 Nicholas Barberis
Ming Huang

Mental Accounting, Loss Aversion, and Individual Stock Returns

w8172 Ravi Jagannathan
Ellen R. McGrattan
Anna Scherbina

The Declining U.S. Equity Premium

w8162 Sassan Alizadeh
Michael W. Brandt
Francis X. Diebold

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

w8160 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

Modeling and Forecasting Realized Volatility

w8151 Joseph Chen
Harrison Hong
Jeremy C. Stein

Breadth of Ownership and Stock Returns

w8132 Andrew B. Abel
An Exploration of the Effects of Pessimism and Doubt on Asset Returns

w8131 Andrew B. Abel
Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?

w8127 Yacine Ait-Sahalia
Michael W. Brandt

Variable Selection for Portfolio Choice

w8122 Alan A. Auerbach
David F. Bradford

Generalized Cash Flow Taxation

w8116 Martin D. D. Evans
FX Trading and Exchange Rate Dynamics

w8110 Kenneth A. Froot
The Market for Catastrophe Risk: A Clinical Examination

w8106 Kenneth A. Froot
Steven E. Posner

The Pricing of Event Risks with Parameter Uncertainty

w8092 John H. Boyd
Ravi Jagannathan
Jian Hu

The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks

w8077 Ellen R. McGrattan
Edward C. Prescott

Is the Stock Market Overvalued?

w8073 Hyuk Choe
Bong-Chan Kho
Rene M. Stulz

Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?


2000
w8059 Ravi Bansal
Amir Yaron

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

w8039 Nicholas Barberis
Andrei Shleifer

Style Investing

w8011 Jennifer L. Blouin
Jana Smith Raedy
Douglas A. Shackelford

The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion

w7997 Takatoshi Ito
Kimie Harada

Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises

w7991 James M. Poterba
John B. Shoven
Clemens Sialm

Asset Location for Retirement Savers

w7978 Fernando Alvarez
Urban J. Jermann

Using Asset Prices to Measure the Cost of Business Cycles

w7913 Kee-Hong Bae
G. Andrew Karolyi
Rene M. Stulz

A New Approach to Measuring Financial Contagion

w7905 Steven J. Davis
Paul Willen

Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice

w7900 Michael D. Bordo
Antu P. Murshid

Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?

w7855 Graciela Kaminsky
Richard K. Lyons
Sergio Schmukler

Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets

w7835 Evan Gatev
Stephen A. Ross

Rebels, Conformists, Contrarians and Momentum Traders

w7827 Jennifer L. Blouin
Jana Smith Raedy
Douglas A. Shackelford

Capital Gains Holding Periods and Equity Trading: Evidence from the 1998 Tax Act

w7796 Steven J. Davis
Jeremy Nalewaik
Paul Willen

On the Gains to International Trade in Risky Financial Assets

w7779 Lubos Pastor
Robert F. Stambaugh

Evaluating and Investing in Equity Mutual Funds

w7778 Lubos Pastor
Robert F. Stambaugh

The Equity Premium and Structural Breaks

w7753 Aaron Tornell
Robust-H-infinity Forecasting and Asset Pricing Anomalies

w7748 George Chacko
Peter Tufano
Geoffrey Verter

Cephalon, Inc. Taking Risk Management Theory Seriously

w7687 Joseph Chen
Harrison Hong
Jeremy C. Stein

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

w7683 Francois Degeorge
Dirk Jenter
Alberto Moel
Peter Tufano

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

w7661 Robert J. Hodrick
Xiaoyan Zhang

Evaluating the Specification Errors of Asset Pricing Models

w7644 Jennifer L. Blouin
Jana Smith Raedy
Douglas A. Shackelford

Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements

w7625 Andrew W. Lo
Jiang W. Wang

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

w7622 Brent W. Ambrose
Patric H. Hendershott
Malgorzata M. Klosek

Pricing Upward-Only Adjusting Leases

w7615 Kent D. Daniel
David Hirshleifer
Avanidhar Subrahmanyam

Covariance Risk, Mispricing, and the Cross Section of Security Returns

w7595 Daniel Bergstresser
James Poterba

Do After-Tax Returns Affect Mutual Fund Inflows?

w7590 John Y. Campbell
Martin Lettau
Burton G. Malkiel
Yexiao Xu

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

w7589 John Y. Campbell
Asset Pricing at the Millennium

w6521 Lucian Arye Bebchuk
Andrew T. Guzman

An Economic Analysis of Transnational Bankruptcies

w6130 Yacine Ait-Sahalia
Andrew W. Lo

Nonparametric Risk Management and Implied Risk Aversion

w7532 Alan J. Auerbach
Jonathan M. Siegel

Capital Gains Realizations of the Rich and Sophisticated

w7524 Yin-Wong Cheung
Menzie D. Chinn
Ian W. Marsh

How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?

w7489 Kent Daniel
Sheridan Titman

Market Efficiency in an Irrational World


1999
w7451 Douglas A. Shackelford
Robert E. Verrecchia

Intertemporal Tax Discontinuities

w7448 Peter L. Rousseau
Richard Sylla

Emerging Financial Markets and Early U.S. Growth

w7417 Yin-Wong Cheung
Menzie D. Chinn

Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders

w7416 Yin-Wong Cheung
Menzie D. Chinn

Traders, Market Microstructure and Exchange Rate Dynamics

w7409 Luis M. Viceira
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income

w7406 Alon Brav
George M. Constantinides
Christopher C. Geczy

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

w7396 Owen Lamont
Christopher Polk

The Diversification Discount: Cash Flows vs. Returns

w7392 James M. Poterba
Andrew Samwick

Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s

w7377 George Chacko
Luis M. Viceira

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

w7376 Harrison Hong
Jeremy C. Stein

Differences of Opinion, Rational Arbitrage and Market Crashes

w7346 Geert Bekaert
Steven R. Grenadier

Stock and Bond Pricing in an Affine Economy

w7337 Kathryn M. Dominguez
The Market Microstructure of Central Bank Intervention

w7331 Young-Hye Cho
Robert F. Engle

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

w7330 Young-Hye Cho
Robert F. Engle

Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks

w7325 David Ikenberry
Josef Lakonishok
Theo Vermaelen

Stock Repurchases in Canada: Performance and Strategic Trading

w7317 Martin D.D. Evans
Richard K. Lyons

Order Flow and Exchange Rate Dynamics

w7295 Henry S. Farber
Kevin F. Hallock

Have Employment Reductions Become Good News for Shareholders? The Effect of Job Loss Announcements on Stock Prices, 1970-97

w7284 Lubos Pastor
Robert F. Stambaugh

Comparing Asset Pricing Models: An Investment Perspective

w7254 Kiyohiko G. Nishimura
Fukujyu Yamazaki
Takako Idee
Toshiaki Watanabe

Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices

w7247 Takatoshi Ito
Michael Melvin

Japan's Big Bang and the Transformation of Financial Markets

w7246 Kent Daniel
Sheridan Titman
K.C. John Wei

Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

w7223 Louis K.C. Chan
Josef Lakonishok
Theodore Sougiannis

The Stock Market Valuation of Research and Development Expenditures

w7220 Nicholas Barberis
Ming Huang
Tano Santos

Prospect Theory and Asset Prices

w7219 Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine

The Dynamics of Emerging Market Equity Flows

w7215 Louis K.C. Chan
Hsiu-Lang Chen
Josef Lakonishok

On Mutual Fund Investment Styles

w7201 Michael R. Darby
Qiao Liu
Lynne G. Zucker

Stakes and Stars: The Effect of Intellectual Human Capital on the Level and Variability of High-Tech Firms' Market Values

w7192 John B. Shoven
Clemens Sialm

Asset Location in Tax-Deferred and Conventional Savings Accounts

w7162 A. Craig MacKinlay
Lubos Pastor

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

w7159 Narasimhan Jegadeesh
Sheridan Titman

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

w7105 Darrell Duffie
Jun Pan
Kenneth Singleton

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

w7104 Olivier Jeanne
Andrew K. Rose

Noise Trading and Exchange Rate Regimes

w7069 Klaas Baks
Andrew Metrick
Jessica Wachter

Bayesian Performance Evaluation

w7039 Louis K.C. Chan
Jason Karceski
Josef Lakonishok

On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model

w7015 Thomas E. MaCurdy
John B. Shoven

Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?

w7009 Wayne E. Ferson
Campbell R. Harvey

Conditioning Variables and the Cross-Section of Stock Returns

w7007 John B. Shoven
The Location and Allocation of Assets in Pension and Conventional Savings Accounts

w6984 Bronwyn H. Hall
Innovation and Market Value

w6967 Wayne E. Ferson
Campbell R. Harvey

Economic, Financial, and Fundamental Global Risk In and Out of the EMU

w6953 Fernando Alvarez
Urban J. Jermann

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

w6931 Jeremy Greenwood
Boyan Jovanovic

The IT Revolution and the Stock Market

w6929 Jose M. Campa
P.H. Kevin Chang
James F. Refalo

An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997

w6913 Leslie A. Jeng
Andrew Metrick
Richard Zeckhauser

The Profits to Insider Trading: A Performance-Evaluation Perspective

w6886 Benjamin E. Hermalin
Andrew K. Rose

Risks to Lenders and Borrowers in International Capital Markets

w6885 Mark H. Lang
Douglas A. Shackelford

Capitalization of Capital Gains Taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction

w6884 Assaf Razin
Efraim Sadka
Chi-Wa Yuen

An Information-Based Model of Foreign Direct Investment: The Gains from Trade Revisited


1998
w6845 Francis X. Diebold
Jinyong Hahn
Anthony S. Tay

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

w6844 Peter F. Christoffersen
Francis X. Diebold

How Relevant is Volatility Forecasting for Financial Risk Management?

w6801 John Y. Campbell
Luis M. Viceira

Who Should Buy Long-Term Bonds?

w6774 James M. Poterba
Population Age Structure and Asset Returns: An Empirical Investigation

w6747 S. Rao Aiyagari
Mark Gertler

"Overreaction" of Asset Prices in General Equilibrium

w6745 Jonathan B. Berk
Richard C. Green
Vasant Naik

Valuation and Return Dynamics of New Ventures

w6736 David Backus
Silverio Foresi
Chris Telmer

Discrete-Time Models of Bond Pricing

w6733 Patrick F. Rowland
Linda L. Tesar

Multinationals and the Gains from International Diversification

w6730 Takatoshi Ito
Yuri Nagatake Sasaki

Impacts of the Basle Capital Standard on Japanese Banks' Behavior

w6724 Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine

Dating the Integration of World Equity Markets

w6723 Paul A. Gompers
Andrew Metrick

Institutional Investors and Equity Prices

t0235 Jonathan B. Berk
Sorting Out Sorts

w6683 Andrew B. Abel
Risk Premia and Term Premia in General Equilibrium

w6673 Bengt Holmstrom
Jean Tirole

LAPM: A Liquidity-based Asset Pricing Model

w6661 Hyuk Choe
Bong-Chan Kho
Rene M. Stulz

Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997

w6648 Andrew Metrick
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters

w6627 Jonathan Berk
Richard C. Green
Vasant Naik

Optimal Investment, Growth Options, and Security Returns

w6616 James M. Poterba
Scott J. Weisbenner

Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns

w6567 Orazio Attanasio
James Banks
Sarah Tanner

Asset Holding and Consumption Volatility

w6490 Lubos Pastor
Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing

w6485 John Y. Campbell
Asset Prices, Consumption, and the Business Cycle

w6476 Fernando Alvarez
Urban J. Jermann

Asset Pricing when Risk Sharing is Limited by Default

w6207 John H. Cochrane
Where is the Market Going? Uncertain Facts and Novel Theories

t0222 Yacine Ait-Sahalia
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach

w6389 Marjorie Flavin
Takashi Yamashita

Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle

w6382 Urban J. Jermann
International Portfolio Diversification and Labor/Leisure Choice

w6381 G. William Schwert
Stock Market Volatility: Ten Years After the Crash

w6379 David Backus
Silverio Foresi
Abon Mozumdar
Liuren Wu

Predictable Changes in Yields and Forward Rates

w6365 Tommy Berger
Peter Englund
Patric H. Hendershott
Bengt Turner

Another Look at the Capitalization of Interest Subsidies: Evidence from Sweden

w6354 Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark

Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?


1997
w6325 Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi

The Central Tendency: A Second Factor in Bond Yields

w6250 Dimitris Bertsimas
Leonid Kogan
Andrew W. Lo

Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model

w6218 Sara Fisher Ellison
Wallace P. Mullin

Gradual Incorporation of Information into Stock Prices: Empirical Strategies

w6210 Owen Lamont
Christopher Polk
Jesus Saa-Requejo

Financial Constraints and Stock Returns

t0216 Christian Gollier
Richard J. Zeckhauser

Horizon Length and Portfolio Risk

w6185 James M. Poterba
Andrew A. Samwick

Household Portfolio Allocation Over the Life Cycle

w6158 Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw

Optimal Risk Management Using Options

w6147 Geert Bekaert
Robert J. Hodrick
David A. Marshall

"Peso Problem" Explanations for Term Structure Anomalies

w6098 Louis K. C. Chan
Jason Karceski
Josef Lakonishok

The Risk and Return from Factors

w4890 John R. Graham
Campbell R. Harvey

Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations

t0212 Sanjiv Ranjan Das
An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model

w5974 Jose M. Campa
P. H. Kevin Chang

The Forecasting Ability of Correlations Implied in Foreign Exchange Options

w5950 Patrick K. Asea
Mthuli Ncube

Heterogeneous Information Arrival and Option Pricing

h0096 Alan M. Taylor
Latifundia as Malefactor in Economic Development? Scale, Tenancy, and Agriculture on the Pampas, 1880-1914

w5936 Takatoshi Ito
Richard K. Lyons
Michael T. Melvin

Is There Private Information in the FX Market? The Tokyo Experiment

w5918 Robert F. Stambaugh
Analyzing Investments Whose Histories Differ in Length

t0209 Stefano Athanasoulis
Robert J. Shiller

The Significance of the Market Portfolio

w5906 William N. Goetzmann
Philippe Jorion

Re-emerging Markets

w5901 William N. Goetzmann
Philippe Jorion

A Century of Global Stock Markets

w5882 Willem H. Buiter
Ricardo Lago
Helene Rey

A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies

w5873 Sanjiv Ranjan Das
Rangarajan K. Sundaram

Auction Theory: A Summary with Applications to Treasury Markets


1996
w5857 John Y. Campbell
Luis M. Viceira

Consumption and Portfolio Decisions When Expected Returns are Time Varying

w5852 Judith Chevalier
Glenn Ellison

Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance

w5830 Jon A. Christopherson
Wayne E. Ferson
Debra A. Glassman

Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

w5769 Alan B. Krueger
Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality

w5714 Jeffrey A. Frankel
Sergio L. Schmukler

Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?

w5671 Owen Lamont
Earnings and Expected Returns

w5638 David Backus
Silverio Foresi
Stanley Zin

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

w5623 David Backus
Silverio Foresi
Chris Telmer

Affine Models of Currency Pricing

w5604 Kent Daniel
Sheridan Titman

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

w5588 Peter Klibanoff
Owen Lamont
Thierry A. Wizman

Investor Reaction to Salient News in Closed-End Country Funds

w5587 John Y. Campbell
Robert J. Shiller

A Scorecard for Indexed Government Debt

w5500 Bernard Dumas
Jeff Fleming
Robert E. Whaley

Implied Volatility Functions: Empirical Tests

w5446 Charles M. Jones
Owen Lamont
Robin Lumsdaine

Public Information and the Persistence of Bond Market Volatility


1995
w5381 Kristen L. Willard
Timothy W. Guinnane
Harvey S. Rosen

Turning Points in the Civil War: Views from the Greenback Market

w5376 Graham Elliott
Takatoshi Ito

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

w5375 Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok

Momentum Strategies

w5374 Louis K. C. Chan
Josef Lakonishok

A Cross-Market Comparison of Institutional Equity Trading Costs

w5371 Michael D. Bordo
Bruce Mizrach
Anna J. Schwartz

Real Versus Pseudo-International Systemic Risk: Some Lessons from History

w5358 Takatoshi Ito
Tokuo Iwaisako

Explaining Asset Bubbles in Japan

w5352 Michael P. Dooley
A Survey of Academic Literature on Controls over International Capital Transactions

w5351 Yacine Ait-Sahalia
Andrew W. Lo

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

w5289 Karen K. Lewis
Stochastic Regime Switching and Stabilizing Policies within Regimes

w5233 James Dow
Gary Gorton

Stock Market Efficiency and Economic Efficiency: Is There a Connection?

w5184 Yongheng Deng
John M. Quigley
Robert Van Order

Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy

w5181 Sewin Chan
Residential Mobility and Mortgages

w5180 Wayne Archer
David C. Ling
Gary A. McGill

The Effect of Income and Collateral Constraints on Residential Mortgage Terminations

w5179 Dennis R. Capozza
Paul J. Seguin

Expectations, Efficiency, and Euphoria in the Housing Market

w5141 Benjamin M. Friedman
Economic Implications of Changing Share Ownership

w5129 David S. Bates
Testing Option Pricing Models

w5100 Gary Gorton
Richard Rosen

Banks and Derivatives

w5095 Robert J. Shiller
Stefano Athanasoulis

World Income Components: Measuring and Exploiting International Risk Sharing Opportunities

w5074 William C. LaFayette
Donald R. Haurin
Patric H. Hendershott

Endogenous Mortgage Choice, Borrowing Constraints and the Tenure Decision

w5069 Patric H. Hendershott
William C. LaFayette

Debt Usage and Mortgage Choice: Sensitivity to Default Insurance Costs

w5031 John Y. Campbell
Some Lessons from the Yield Curve

w5027 Andrew W. Lo
A. Craig MacKinlay

Maximizing Predictability in the Stock and Bond Markets

w5019 Marianne Baxter
Urban J. Jermann

The International Diversification Puzzle is Worse Than You Think

w4997 Shmuel Kandel
Robert F. Stambaugh

On the Predictability of Stock Returns: An Asset-Allocation Perspective

w4993 Franklin R. Edwards
Frederic S. Mishkin

The Decline of Traditional Banking: Implications for Financial Stabilityand Regulatory Policy

w4984 Richard K. Lyons
Foreign Exchange Volume: Sound and Fury Signifying Nothing?

w4982 Richard K. Lyons
Andrew K. Rose

Explaining Forward Exchange Bias..Intraday


1994
w4308 Maurice Obstfeld
Are Industrial-Country Consumption Risks Globally Diversified?

w4875 Raghuram G. Rajan
Luigi Zingales

What Do We Know About Capital Structure? Some Evidence from International Data

w4858 James Dow
Gary Gorton

Noise Trading, Delegated Portfolio Management, and Economic Welfare

w4857 Niko Canner
N. Gregory Mankiw
David N. Weil

An Asset Allocation Puzzle

w4801 Michael R. Darby
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System

w4778 Roni Michaely
Richard H. Thaler
Kent Womack

Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?

w4775 Patric H. Hendershott
Rental Adjustment & Valuation of Real Estate in Overbuilt Markets: Fundamental vs. Reported Office Market Values in Sydney Australia

w4774 Jesse M. Abraham
Patric H. Hendershott

Bubbles in Metropolitan Housing Markets

w4756 A. Craig MacKinlay
Multifactor Models Do Not Explain Deviations from the CAPM

w4720 Andrew W. Lo
Jiang Wang

Implementing Option Pricing Models When Asset Returns Are Predictable

w4718 James M. Hutchinson
Andrew W. Lo
Tomaso Poggio

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

w4702 Shmuel Kandel
Robert F. Stambaugh

Portfolio Inefficiency and the Cross-Section of Expected Returns

w4676 David K. Backus
Stanley E. Zin

Reverse Engineering the Yield Curve

t0153 Lars Peter Hansen
Ravi Jagannathan

Assessing Specification Errors in Stochastic Discount Factor Models

w4663 Campbell R. Harvey
Roger D. Huang

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

w4657 Bernard Dumas
A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

w4627 Eugene N. White
Peter Rappoport

The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?

w4624 Geert Bekaert
Robert J. Hodrick
David A. Marshall

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums


1993
t0131 Robert J. Shiller
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures

w4596 David S. Bates
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options

w4595 Wayne E. Ferson
Campbell R. Harvey

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

w4592 Takatoshi Ito
Wen-Ling Lin

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

w4590 Jeffrey A. Frankel
The Internationalization of Equity Markets

w4571 Gikas A. Hardouvelis
Rafael La Porta
Thierry A. Wizman

What Moves the Discount on Country Equity Funds?

w4554 John Y. Campbell
Understanding Risk and Return

t0145 Lars Peter Hansen
John Heaton
Erzo Luttmer

Econometric Evaluation of Asset Pricing Models

w4471 Richard K. Lyons
Tests of Microstructural Hypotheses in the Foreign Exchange Market

w4467 Richard K. Lyons
Optimal Transparency in a Dealership Market with an Application to Foreign Exchange

w4459 Bernard Dumas
Bruno Solnik

The World Price of Foreign Exchange Risk

w4458 Bernard Dumas
L. Peter Jennergren
Bertil Naslund

Realignment Risk and Currency Option Pricing in Target Zones

t0142 John Y. Campbell
Why Long Horizons: A Study of Power Against Persistent Alternatives

w4343 Carsten Kowalczyk
Tomas Sjostrom

Bringing GATT into the Core

w4329 John Campbell
Jianping Mei

Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk

w4315 James Dow
Gary Gorton

Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing

w4314 James Dow
Gary Gorton

Arbitrage Chains

w4294 Charles Engel
Jeffrey A. Frankel
Kenneth A. Froot
Anthony P. Rodrigues

The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market

w4288 Charles W. Calomiris
R. Glenn Hubbard

Internal Finance and Investment: Evidence from the Undistributed Profits Tax of 1936-1937

w4253 Michael Haliassos
Andrew B. Lyon

Progressivity of Capital Gains Taxation with Optimal Portfolio Selection


1992
w4234 Douglas Elmendorf
Mary Hirshfeld
David Weil

The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920

w4217 Rene M. Stulz
Walter Wasserfallen

Foreign Equity Investment Restrictions and Shareholder Wealth Maximization

w4193 John Y. Campbell
Sanford J. Grossman
Jiang Wang

Trading Volume and Serial Correlation in Stock Returns

w4128 Patric Hendershott
Edward J. Kane

Office Market Values During the Past Decade: How Distorted Have Appraisals Been?

w4121 David Romer
Rational Asset Price Movements Without News

t0124 Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

w4110 Andrew B. Abel
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle

w4108 Tim Bollerslev
Robert J. Hodrick

Financial Market Efficiency Tests

w4104 Phillip A. Braun
George M. Constantinides
Wayne E. Ferson

Time Nonseparability in Aggregate Consumption: International Evidence

w4093 Maurice Obstfeld
Risk-Taking, Global Diversification, and Growth

w4083 Robert S. Pindyck
The Present Value Model of Rational Commodity Pricing

w4074 K.C. Chan
G. Andrew Karolyi
Rene M. Stulz

Global Financial Markets and the Risk Premium on U.S. Equity

w4043 Bruce N. Lehmann
Empirical Testing of Asset Pricing Models

w4004 Noriyuki Yanagawa
Gene M. Grossman

Asset Bubbles and Endogenous Growth

w3995 Robert B. Barsky
J. Bradford De Long

Why Does the Stock Market Fluctuate?

w3992 Olivier Jean Blanchard
Philippe Weil

Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty

w3989 John Y. Campbell
Intertemporal Asset Pricing Without Consumption Data

w3975 Philippe Weil
Equilibrium Asset Prices With Undiversifiable Labor Income Risk


1991
w3911 Wen-Ling Lin
Robert F. Engle
Takatoshi Ito

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

w3910 Shang-Jin Wei
Jeffrey A. Frankel

Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?

w3889 Richard K. Lyons
Private Beliefs and Information Externalities in the Foreign Exchange Market

w3888 Jerry A. Hausman
Andrew W. Lo
A. Craig MacKinlay

An Ordered Probit Analysis of Transaction Stock Prices

w3873 Bruce N. Lehmann
Asset Pricing and Intrinsic Values: A Review Essay

w3862 Franklin Allen
Gary Gorton

Stock Price Manipulation, Market Microstructure and Asymmetric Information

w3861 Geert Bekaert
Robert J. Hodrick

On Biases in the Measurement of Foreign Exchange Risk Premiums

w3818 Richard M. Levich
Lee R. Thomas

The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach

t0110 Scott Freeman
Guido Tabellini

The Optimality of Nominal Contracts

w3794 Bronwyn H. Hall
Corporate Restructuring and Investment Horizons

w3790 Geert Bekaert
Robert J. Hodrick

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

t0109 Larry G. Epstein
Stanley E. Zin

The Independence Axiom and Asset Returns

w3760 John Y. Campbell
John Ammer

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

w3752 Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Clark

The Equity Premium and the Risk Free Rate: Matching the Moments

w3742 John Y. Campbell
Ludger Hentschel

No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

w3731 Richard Zeckhauser
Jayendu Patel
Darryll Hendricks

Nonrational Actors and Financial Market Behavior

w3707 Franklin Allen
Gary Gorton

Rational Finite Bubbles

w3709 Louis Kaplow
Taxation and Risk Taking: A General Equilibrium Perspective

w3687 Gary Gorton
James Dow

Trading, Communication and the Response of Price to New Information


Generated Sun Nov 23 00:00:18 2014

 
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