2008
|
|
w14496 |
Andrew Ang
Vineer Bhansali
Yuhang Xing
|
Taxes on Tax-Exempt Bonds |
|
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 |
|
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 |
|
w14411 |
Anthony W. Lynch
Jessica A. Wachter
|
Using Samples of Unequal Length in Generalized Method of Moments Estimation |
|
w14398 |
Gary B. Gorton
|
The Subprime Panic |
|
w14390 |
Cédric Tille
Eric van Wincoop
|
International Capital Flows under Dispersed Information: Theory and Evidence |
|
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 |
|
w14366 |
Zhiguo He
Arvind Krishnamurthy
|
A Model of Capital and Crises |
|
w14358 |
Gary B. Gorton
|
The Panic of 2007 |
|
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
Erica X. N. Li
Lu Zhang
|
Costly External Equity: Implications for Asset Pricing Anomalies |
|
w14340 |
Isaac Ehrlich
William A. Hamlen Jr.
Yong Yin
|
Asset Management, Human Capital, and the Market for Risky Assets |
|
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 |
|
w14243 |
Lars Peter Hansen
|
Modeling the Long Run: Valuation in Dynamic Stochastic Economies |
|
w14232 |
Lauren Cohen
Andrea Frazzini
Christopher Malloy
|
Hiring Cheerleaders: Board Appointments of "Independent" Directors |
|
w14228 |
Markus K. Brunnermeier
Filippos Papakonstantinou
Jonathan A. Parker
|
An Economic Model of the Planning Fallacy |
|
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
Helene Rey
|
Global Portfolio Rebalancing Under the Microscope |
|
w14158 |
Paul Asquith
Rebecca Oman
Christopher Safaya
|
Short Sales and Trade Classification Algorithms |
|
w14148 |
Alexander Peter Groh
Oliver Gottschalg
|
Measuring the Risk-Adjusted Performance of US Buyouts |
|
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 |
|
w14119 |
Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill
|
Crashes and Recoveries in Illiquid Markets |
|
w14111 |
Robin Greenwood
Stefan Nagel
|
Inexperienced Investors and Bubbles |
|
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 |
|
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 |
|
w14054 |
A. Craig Burnside
Martin S. Eichenbaum
Isaac Kleshchelski
Sergio Rebelo
|
Do Peso Problems Explain the Returns to the Carry Trade? |
|
w14019 |
Michael D. Bordo
Michael J. Dueker
David C. Wheelock
|
Inflation, Monetary Policy and Stock Market Conditions |
|
w14013 |
Jennifer Huang
Jiang Wang
|
Liquidity and Market Crashes |
|
w13979 |
John Geanakoplos
Stephen P. Zeldes
|
Reforming Social Security with Progressive Personal Accounts |
|
w13976 |
John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian
|
How are Preferences Revealed? |
|
w13973 |
Andrea Frazzini
Christopher Malloy
Lauren Cohen
|
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? |
|
w13943 |
John B. Taylor
John C. Williams
|
A Black Swan in the Money Market |
|
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 |
|
w13822 |
Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson
|
Learning in the Credit Card Market |
|
w13812 |
Hanno Lustig
Adrien Verdelhan
|
Note on The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk |
|
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? |
|
w13768 |
Stephanie E. Curcuru
Tomas Dvorak
Francis E. Warnock
|
Cross-Border Returns Differentials |
|
w13762 |
Malcolm Baker
Robin Greenwood
Jeffrey Wurgler
|
Catering Through Nominal Share Prices |
|
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 |
2007
|
|
w13713 |
Ernesto Reuben
Paola Sapienza
Luigi Zingales
|
Procrastination and Impatience |
|
w13693 |
Todd Sinai
Nicholas S. Souleles
|
Net Worth and Housing Equity in Retirement |
|
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
|
The Flypaper Effect in Individual Investor Asset Allocation |
|
w13650 |
Dirk Krueger
Hanno Lustig
Fabrizio Perri
|
Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data |
|
w13640 |
Murillo Campello
John Graham
|
Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble |
|
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 |
|
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 |
|
w13569 |
James D. Hamilton
|
Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts |
|
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 |
|
w13553 |
Robert J. Shiller
|
Understanding Recent Trends in House Prices and Home Ownership |
|
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 |
|
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 |
|
w13430 |
Xavier Gabaix
|
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices |
|
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 |
|
w13401 |
Bernard Dumas
Alexander Kurshev
Raman Uppal
|
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility |
|
w13366 |
Stijn Van Nieuwerburgh
Laura Veldkamp
|
Information Immobility and the Home Bias Puzzle |
|
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 |
|
w13283 |
Mihir A. Desai
Li Jin
|
Institutional Tax Clienteles and Payout Policy |
|
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 |
|
w13265 |
Michelle J. White
|
Bankruptcy Reform and Credit Cards |
|
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 |
|
w13207 |
Marvin Goodfriend
Bennett T. McCallum
|
Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration |
|
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 |
|
w13191 |
Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson
|
The Age of Reason: Financial Decisions Over the Lifecycle |
|
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 |
|
w13134 |
Kenneth D. West
Ka-fu Wong
Stanislav Anatolyev
|
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments |
|
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 |
|
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 |
|
w13105 |
John Ameriks
Andrew Caplin
Steven Laufer
Stijn Van Nieuwerburgh
|
The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives |
|
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 |
|
w13061 |
Leonce Bargeron
Frederik Schlingemann
Rene M. Stulz
Chad Zutter
|
Why Do Private Acquirers Pay So Little Compared to Public Acquirers? |
|
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 |
|
w13014 |
Jonathan B. Berk
Richard Stanton
Josef Zechner
|
Human Capital, Bankruptcy and Capital Structure |
|
w13010 |
Richard Clarida
Daniel Waldman
|
Is Bad News About Inflation Good News for the Exchange Rate? |
|
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 |
|
w12948 |
Lars Peter Hansen
|
Beliefs, Doubts and Learning: Valuing Economic Risk |
|
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 |
|
w12936 |
Nicholas Barberis
Ming Huang
|
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices |
|
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 |
|
w12916 |
Craig Burnside
Martin Eichenbaum
Sergio Rebelo
|
The Returns to Currency Speculation in Emerging Markets |
|
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 |
|
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 |
|
w12859 |
Francisco J. Gomes
Laurence J. Kotlikoff
Luis M. Viceira
|
The Excess Burden of Government Indecision |
|
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 |
|
w12834 |
James Poterba
Steven Venti
David A. Wise
|
The Decline of Defined Benefit Retirement Plans and Asset Flows |
|
w12814 |
Lubos Pastor
Robert F. Stambaugh
|
Predictive Systems: Living with Imperfect Predictors |
