2013
|
|
w19056 |
James D. Hamilton
Jing Cynthia Wu
|
Risk Premia in Crude Oil Futures Prices |
|
w19039 |
Viral V. Acharya
Sascha Steffen
|
The “Greatest” Carry Trade Ever? Understanding Eurozone Bank Risks |
|
w19037 |
Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright
|
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices. |
|
w19030 |
Andrew Ang
Bingxu Chen
Suresh Sundaresan
|
Liability Investment with Downside Risk |
|
w18995 |
Geert Bekaert
Marie Hoerova
|
The VIX, the Variance Premium and Stock Market Volatility |
|
w18984 |
Karthik Balakrishnan
Mary B. Billings
Bryan T. Kelly
Alexander Ljungqvist
|
Shaping Liquidity: On the Causal Effects of Voluntary Disclosure |
|
w18954 |
S. Boraǧan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song
|
Improving GDP Measurement: A Measurement-Error Perspective |
|
w18951 |
Christopher R. Knittel
Robert S. Pindyck
|
The Simple Economics of Commodity Price Speculation |
|
w18944 |
John H. Cochrane
|
Finance: Function Matters, not Size. |
|
w18922 |
Stéphane Guibaud
Yves Nosbusch
Dimitri Vayanos
|
Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt |
|
w18914 |
Stefano Giglio
Kelly Shue
|
No News is News: Do Markets Underreact to Nothing? |
|
w18912 |
Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill
|
The Market for OTC Derivatives |
|
w18906 |
Michael Sockin
Wei Xiong
|
Feedback Effects of Commodity Futures Prices |
|
w18905 |
Wei Xiong
|
Bubbles, Crises, and Heterogeneous Beliefs |
|
w18904 |
Ing-Haw Cheng
Sahil Raina
Wei Xiong
|
Wall Street and the Housing Bubble |
|
w18903 |
Jongha Lim
Berk A. Sensoy
Michael S. Weisbach
|
Indirect Incentives of Hedge Fund Managers |
|
w18882 |
Yihui Pan
Tracy Yue Wang
Michael S. Weisbach
|
Learning about CEO Ability and Stock Return Volatility |
|
w18870 |
Ulrich Mueller
Mark W. Watson
|
Measuring Uncertainty about Long-Run Prediction |
|
w18860 |
Yuriy Gorodnichenko
Michael Weber
|
Are Sticky Prices Costly? Evidence From The Stock Market |
|
w18845 |
Peter Koudijs
|
'Those Who Know Most': Insider Trading in 18th c. Amsterdam |
|
w18844 |
Martin Lettau
Matteo Maggiori
Michael Weber
|
Conditional Risk Premia in Currency Markets and Other Asset Classes |
|
w18843 |
Tomasz Piskorski
Amit Seru
James Witkin
|
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market |
|
w18836 |
Holger Kraft
Eduardo S. Schwartz
Farina Weiss
|
Growth Options and Firm Valuation |
|
w18831 |
Peter Koudijs
|
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment |
|
w18774 |
Urban Jermann
|
A Production-Based Model for the Term Structure |
|
w18768 |
John H. Cochrane
|
A Mean-Variance Benchmark for Intertemporal Portfolio Theory |
|
w18764 |
Veronika K. Pool
Clemens Sialm
Irina Stefanescu
|
It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans |
|
w18759 |
Robert J. Barro
Sanjay P. Misra
|
Gold Returns |
|
w18732 |
Gary B. Gorton
Guillermo Ordoñez
|
The Supply and Demand for Safe Assets |
|
w18725 |
Jacob Boudoukh
Ronen Feldman
Shimon Kogan
Matthew Richardson
|
Which News Moves Stock Prices? A Textual Analysis |
|
w18724 |
Robert L. McDonald
|
Measuring Margin |
|
w18708 |
Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Salience and Asset Prices |
|
w18706 |
Claude B. Erb
Campbell R. Harvey
|
The Golden Dilemma |
|
w18667 |
Karl E. Case
John M. Quigley
Robert J. Shiller
|
Wealth Effects Revisited: 1975-2012 |
|
w18686 |
Robin Greenwood
Andrei Shleifer
|
Expectations of Returns and Expected Returns |
|
w18680 |
James J. Choi
Li Jin
Hongjun Yan
|
Informed Trading and Expected Returns |
|
w18671 |
Leonid Kogan
Dimitris Papanikolaou
Noah Stoffman
|
Technological Innovation: Winners and Losers |
2012
|
|
w18647 |
Roger E.A. Farmer
Carine Nourry
Alain Venditti
|
The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World |
|
w18646 |
A. Craig Burnside
Jeremy J. Graveline
|
Exchange Rate Determination, Risk Sharing and the Asset Market View |
|
w18627 |
Karen K. Lewis
Sandy Lai
|
Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks |
|
w18621 |
Nicholas C. Barberis
|
Thirty Years of Prospect Theory in Economics: A Review and Assessment |
|
w18619 |
Bruce I. Carlin
Francis A. Longstaff
Kyle Matoba
|
Disagreement and Asset Prices |
|
w18617 |
Rui Albuquerque
Martin S. Eichenbaum
Sergio Rebelo
|
Valuation Risk and Asset Pricing |
|
w18611 |
Gary Gorton
Andrew Metrick
|
Securitization |
|
w18609 |
Sumit Agarwal
Efraim Benmelech
Nittai Bergman
Amit Seru
|
Did the Community Reinvestment Act (CRA) Lead to Risky Lending? |
|
w18562 |
Cary Frydman
Nicholas Barberis
Colin Camerer
Peter Bossaerts
Antonio Rangel
|
Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility |
|
w18560 |
Robert F. Stambaugh
Jianfeng Yu
Yu Yuan
|
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle |
|
w18558 |
Andrea Frazzini
Lasse H. Pedersen
|
Embedded Leverage |
|
w18555 |
Zhi Da
Ravi Jagannathan
Jianfeng Shen
|
Building Castles in the Air: Evidence from Industry IPO Waves |
|
w18554 |
Stefan Nagel
|
Empirical Cross-Sectional Asset Pricing |
|
w18549 |
Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin
|
Repo and Securities Lending |
|
w18548 |
Harrison Hong
David Sraer
|
Speculative Betas |
|
w18547 |
Harrison Hong
David Sraer
|
Quiet Bubbles |
|
w18541 |
Takatoshi Ito
Kenta Yamada
Misako Takayasu
Hideki Takayasu
|
Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets |
|
w18510 |
Jonathan A. Parker
|
LEADS on Macroeconomic Risks to and from the Household Sector |
|
w18491 |
Robert Novy-Marx
Joshua D. Rauh
|
Linking Benefits to Investment Performance in US Public Pension Systems |
|
w18455 |
Gary B. Gorton
Andrew Metrick
|
Who Ran on Repo? |
|
w18452 |
Pierre Collin-Dufresne
Vyacheslav Fos
|
Do prices reveal the presence of informed trading? |
|
w18451 |
Pierre Collin-Dufresne
Vyacheslav Fos
|
Insider Trading, Stochastic Liquidity and Equilibrium Prices |
|
w18450 |
Frederico Belo
Pierre Collin-Dufresne
Robert S. Goldstein
|
Endogenous Dividend Dynamics and the Term Structure of Dividend Strips |
|
w18435 |
Kewei Hou
Chen Xue
Lu Zhang
|
Digesting Anomalies: An Investment Approach |
|
w18411 |
John Y. Campbell
Stefano Giglio
Christopher Polk
Robert Turley
|
An Intertemporal CAPM with Stochastic Volatility |
|
w18408 |
Zhiguo He
Konstantin Milbradt
|
Endogenous Liquidity and Defaultable Bonds |
|
w18406 |
Florian Scheuer
|
Adverse Selection In Credit Markets and Regressive Profit Taxation |
|
w18400 |
Karl E. Case
Robert J. Shiller
Anne Thompson
|
What Have They Been Thinking? Home Buyer Behavior in Hot and Cold Markets |
|
w18398 |
Markus K. Brunnermeier
Martin Oehmke
|
Bubbles, Financial Crises, and Systemic Risk |
|
w18397 |
Gary B. Gorton
|
Some Reflections on the Recent Financial Crisis |
|
w18394 |
John Y. Campbell
Tarun Ramadorai
Benjamin Ranish
|
How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market |
|
w18391 |
Francis X. Diebold
|
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
|
w18382 |
Charles Engel
Nelson C. Mark
Kenneth D. West
|
Factor Model Forecasts of Exchange Rates |
|
w18367 |
Hui Chen
Yu Xu
Jun Yang
|
Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads |
|
w18358 |
Michael J. Fishman
Jonathan A. Parker
|
Valuation, Adverse Selection, and Market Collapses |
|
w18357 |
Ravi Bansal
Ivan Shaliastovich
|
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets |
|
w18339 |
John Y. Campbell
|
Mortgage Market Design |
|
w18321 |
Ralph S.J. Koijen
Motohiro Yogo
|
The Cost of Financial Frictions for Life Insurers |
|
w18312 |
Lauren Cohen
Umit G. Gurun
Christopher J. Malloy
|
Resident Networks and Firm Trade |
|
w18305 |
Ravi Bansal
Dana Kiku
Amir Yaron
|
Risks For the Long Run: Estimation with Time Aggregation |
|
w18304 |
Efraim Benmelech
|
An Empirical Analysis of the Fed's Term Auction Facility |
|
w18300 |
Jeffrey Brown
Chichun Fang
Francisco Gomes
|
Risk and Returns to Education |
|
w18291 |
Lauren Cohen
Karl B. Diether
Christopher Malloy
|
Legislating Stock Prices |
|
w18251 |
Dimitri Vayanos
Jiang Wang
|
Market Liquidity — Theory and Empirical Evidence |
|
w18247 |
Kenneth D. West
|
Econometric Analysis of Present Value Models When the Discount Factor Is near One |
|
w18241 |
Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman
|
Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment |
|
w18231 |
Robert F. Stambaugh
Jianfeng Yu
Yu Yuan
|
The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns |
|
w18222 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Prediction Markets for Economic Forecasting |
|
w18184 |
Jonathan B. Berk
Jules H. van Binsbergen
|
Measuring Managerial Skill in the Mutual Fund Industry |
|
w18181 |
John H. Cochrane
|
Continuous-Time Linear Models |
|
w18174 |
Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny
|
Money Doctors |
|
w18173 |
William N. Goetzmann
Sharon Oster
|
Competition Among University Endowments |
|
w18169 |
Kent Daniel
Ravi Jagannathan
Soohun Kim
|
Tail Risk in Momentum Strategy Returns |
|
w18137 |
André de Souza
Anthony W. Lynch
|
Does Mutual Fund Performance Vary over the Business Cycle? |
|
w18135 |
Christopher T. Downing
Francis A. Longstaff
Michael A. Rierson
|
Inflation Tracking Portfolios |
|
w18128 |
Emi Nakamura
Dmitriy Sergeyev
Jón Steinsson
|
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence |
|
w18102 |
Markus K. Brunnermeier
Thomas M. Eisenbach
Yuliy Sannikov
|
Macroeconomics with Financial Frictions: A Survey |
|
w18104 |
Ravi Bansal
Dana Kiku
Ivan Shaliastovich
Amir Yaron
|
Volatility, the Macroeconomy and Asset Prices |
|
w18084 |
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
|
Financial Risk Measurement for Financial Risk Management |
|
w18078 |
Fei Chen
Francis X. Diebold
Frank Schorfheide
|
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
|
w18077 |
Thomas Philippon
|
Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation |
|
w18066 |
Mark Huggett
Greg Kaplan
|
The Money Value of a Man |
|
w18063 |
Robert Novy-Marx
|
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars |
|
w18057 |
Tarek Alexander Hassan
|
Country Size, Currency Unions, and International Asset Returns |
|
w18050 |
Martijn Cremers
Antti Petajisto
Eric Zitzewitz
|
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation |
|
w18046 |
Torben G. Andersen
Nicola Fusari
Viktor Todorov
|
Parametric Inference and Dynamic State Recovery from Option Panels |
|
w18035 |
Fatih Guvenen
Serdar Ozkan
Jae Song
|
The Nature of Countercyclical Income Risk |
|
w18024 |
Ulrike Malmendier
Enrico Moretti
Florian S. Peters
|
Winning by Losing: Evidence on the Long-Run Effects of Mergers |
|
w18000 |
Shang-Jin Wei
Xiaobo Zhang
Yin Liu
|
Status Competition and Housing Prices |
|
w17975 |
Leonid Kogan
Dimitris Papanikolaou
|
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks |
|
w17951 |
Hilary W. Hoynes
Douglas L. Miller
Jessamyn Schaller
|
Who Suffers During Recessions? |
|
w17935 |
Zhiguo He
Wei Xiong
|
Debt Financing in Asset Markets |
|
w17929 |
Sendhil Mullainathan
Markus Noeth
Antoinette Schoar
|
The Market for Financial Advice: An Audit Study |
|
w17921 |
Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong
|
Convective Risk Flows in Commodity Futures Markets |
|
w17904 |
Nikolai Roussanov
Pavel G. Savor
|
Status, Marriage, and Managers' Attitudes To Risk |
|
w17876 |
Veronica Guerrieri
Robert Shimer
|
Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality |
|
w17874 |
Robert S. Harris
Tim Jenkinson
Steven N. Kaplan
|
Private Equity Performance: What Do We Know? |
|
w17872 |
Karen K. Lewis
Edith X. Liu
|
International Consumption Risk Is Shared After All: An Asset Return View |
|
w17854 |
Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev
|
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective |
|
w17848 |
Wayne E. Ferson
Suresh K. Nallareddy
Biqin Xie
|
The "Out of Sample" Performance of Long-run Risk Models |
|
w17843 |
James J. Choi
Emily Haisley
Jennifer Kurkoski
Cade Massey
|
Small Cues Change Savings Choices |
|
w17832 |
Manuel Adelino
Antoinette Schoar
Felipe Severino
|
Credit Supply and House Prices: Evidence from Mortgage Market Segmentation |
|
w17798 |
Andrew Ang
Marie Brière
Ombretta Signori
|
Inflation and Individual Equities |
|
w17795 |
Leonid Kogan
Dimitris Papanikolaou
|
Growth Opportunities, Technology Shocks, and Asset Prices |
|
w17778 |
Gary B. Gorton
Andrew Metrick
|
Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide |
|
w17777 |
Gary B. Gorton
Stefan Lewellen
Andrew Metrick
|
The Safe-Asset Share |
|
w17772 |
James D. Hamilton
Jing Cynthia Wu
|
Identification and Estimation of Gaussian Affine Term Structure Models |
|
w17771 |
Gary B. Gorton
Guillermo Ordonez
|
Collateral Crises |
|
w17769 |
Leonid Kogan
Dimitris Papanikolaou
Amit Seru
Noah Stoffman
|
Technological Innovation, Resource Allocation, and Growth |
|
w17768 |
Arvind Krishnamurthy
Stefan Nagel
Dmitry Orlov
|
Sizing Up Repo |
|
w17761 |
Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Salience in Experimental Tests of the Endowment Effect |
|
w17751 |
Jack Favilukis
David Kohn
Sydney C. Ludvigson
Stijn Van Nieuwerburgh
|
International Capital Flows and House Prices: Theory and Evidence |
|
w17742 |
Lars-Alexander Kuehn
Nicolas Petrosky-Nadeau
Lu Zhang
|
An Equilibrium Asset Pricing Model with Labor Market Search |
|
w17723 |
Tim Landvoigt
Monika Piazzesi
Martin Schneider
|
The Housing Market(s) of San Diego |
