2009
|
|
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
|
Multiple Ratings and Credit Spreads |
|
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 |
|
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
|
Intermediated Quantities and Returns |
|
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? |
|
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 Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment |
|
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 Duration of Risky Cash-Flows |
|
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 |
|
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: Neoclassical Foundations for 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 Ait-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? |
1995
|
|
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 |
|
w4288 |
Charles W. Calomiris
R. Glenn Hubbard
|
Internal Finance and Investment: Evidence from the Undistributed Profits Tax of 1936-1937 |
|
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? |
|
w4993 |
Franklin R. Edwards
Frederic S. Mishkin
|
The Decline of Traditional Banking: Implications for Financial Stabilityand Regulatory Policy |
|
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 |
|
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 |
|
w4718 |
James M. Hutchinson
Andrew W. Lo
Tomaso Poggio
|
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
|
w3709 |
Louis Kaplow
|
Taxation and Risk Taking: A General Equilibrium Perspective |
|
w4997 |
Shmuel Kandel
Robert F. Stambaugh
|
On the Predictability of Stock Returns: An Asset-Allocation Perspective |
|
w4984 |
Richard K. Lyons
|
Foreign Exchange Volume: Sound and Fury Signifying Nothing? |
|
w4982 |
Richard K. Lyons
Andrew K. Rose
|
Explaining Forward Exchange Bias..Intraday |
|
w4093 |
Maurice Obstfeld
|
Risk-Taking, Global Diversification, and Growth |
