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
|
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 |
|
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 |
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 |
|
w12792 |
Lubos Pastor
Lucian Taylor
Pietro Veronesi
|
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability |
|
w12787 |
Edward L. Glaeser
Joseph Gyourko
|
Housing Dynamics |
|
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? |
|
w12753 |
Ricardo J. Caballero
|
On the Macroeconomics of Asset Shortages |
|
w12751 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Party Influence in Congress and the Economy |
|
w12746 |
Christopher D. Carroll
Misuzu Otsuka
Jirka Slacalek
|
How Large Is the Housing Wealth Effect? A New Approach |
|
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 |
|
w12724 |
Dirk Jenter
Katharina Lewellen
Jerold B. Warner
|
Security Issue Timing: What Do Managers Know, and When Do They Know It? |
|
w12720 |
Sendhil Mullainathan
Joshua Schwartzstein
Andrei Shleifer
|
Coarse Thinking and Persuasion |
|
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 |
|
w12690 |
Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo
|
Vector Multiplicative Error Models: Representation and Inference |
|
t0331 |
Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo
|
Vector Multiplicative Error Models: Representation and Inference |
|
w12682 |
Takatoshi Ito
Yuko Hashimoto
|
Price Impacts of Deals and Predictability of the Exchange Rate Movements |
|
w12678 |
Alberto Abadie
Sofia Dermisi
|
Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago |
|
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 |
|
w12658 |
Wayne E. Ferson
Sergei Sarkissian
Timothy Simin
|
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression |
|
w12650 |
Lars Peter Hansen
Jose Scheinkman
|
Long Term Risk: An Operator Approach |
|
w12648 |
Daron Acemoglu
Victor Chernozhukov
Muhamet Yildiz
|
Learning and Disagreement in an Uncertain World |
|
w12638 |
Glenn D. Rudebusch
John C. Williams
|
Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections |
|
w12634 |
Dirk Krueger
Hanno Lustig
|
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)? |
|
w12633 |
Eduardo S. Schwartz
Claudio Tebaldi
|
Illiquid Assets and Optimal Portfolio Choice |
|
w12614 |
Christian Hellwig
Guido Lorenzoni
|
Bubbles and Self-Enforcing Debt |
|
w12609 |
Monika Piazzesi
Martin Schneider
|
Equilibrium Yield Curves |
|
w12557 |
Laura Veldkamp
Justin Wolfers
|
Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement |
|
w12555 |
Dmitry Livdan
Horacio Sapriza
Lu Zhang
|
Financially Constrained Stock Returns |
|
w12538 |
Stijn Van Nieuwerburgh
Pierre-Olivier Weill
|
Why Has House Price Dispersion Gone Up? |
|
w12524 |
Severin Borenstein
|
Customer Risk from Real-Time Retail Electricity Pricing: Bill Volatility and Hedgability |
|
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 |
|
w12470 |
Tommaso Monacelli
|
Optimal Monetary Policy with Collateralized Household Debt and Borrowing Constraints |
|
w12467 |
Raj Chetty
Adam Szeidl
|
Consumption Commitments and Risk Preferences |
|
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 |
|
t0326 |
Kenneth D. West
Todd Clark
|
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models |
|
w12420 |
Roberto Rigobon
Brian Sack
|
Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices |
|
w12397 |
Nicholas Barberis
Wei Xiong
|
What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation |
|
w12392 |
Wolfram J. Horneff
Raimond Maurer
Olivia S. Mitchell
Ivica Dus
|
Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion |
|
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 |
|
w12365 |
Xavier Gabaix
Augustin Landier
|
Why Has CEO Pay Increased So Much? |
|
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 |
|
w12355 |
Joseph Gyourko
Christopher Mayer
Todd Sinai
|
Superstar Cities |
|
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 |
|
w12337 |
Anders B. Trolle
Eduardo S. Schwartz
|
A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives |
|
w12331 |
Janna L. Matlack
Jacob L. Vigdor
|
Do Rising Tides Lift All Prices? Income Inequality and Housing Affordability |
|
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 |
|
w12270 |
Alessandro Beber
Michael W. Brandt
|
Resolving Macroeconomic Uncertainty in Stock and Bond Markets |
|
w12261 |
James J. Choi
David Laibson
Brigitte C. Madrian
|
Why Does the Law of One Price Fail? An Experiment on Index Mutual Funds |
|
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 |
|
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 |
|
w12210 |
Francis A. Longstaff
Arvind Rajan
|
An Empirical Analysis of the Pricing of Collateralized Debt Obligations |
|
w12205 |
Amy Finkelstein
James Poterba
Casey Rothschild
|
Redistribution by Insurance Market Regulation: Analyzing a Ban on Gender-Based Retirement Annuities |
|
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 |
|
w12151 |
Ravi Jagannathan
Ann E. Sherman
|
Why Do IPO Auctions Fail? |
|
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 |
|
w12134 |
Li Gan
Qinghua Zhang
|
The Thick Market Effect on Housing Markets Transactions |
|
w12165 |
Robert Engle
Robert Ferstenberg
|
Execution Risk |
|
w12127 |
Galina Hale
Assaf Razin
Hui Tong
|
Institutional Weakness and Stock Price Volatility |
|
w12112 |
Amy Finkelstein
James Poterba
|
Testing for Adverse Selection with "Unused Observables" |
|
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 |
|
w12075 |
Gary Gorton
Ping He
Lixin Huang
|
Asset Prices When Agents are Marked-to-Market |
|
w12073 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections |
|
w12067 |
Raj Chetty
|
A Bound on Risk Aversion Using Labor Supply Elasticities |
|
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 |
|
w12053 |
Andrew Leigh
Justin Wolfers
|
Competing Approaches to Forecasting Elections: Economic Models, Opinion Polling and Prediction Markets |
|
w12042 |
Steven R. Grenadier
Neng Wang
|
Investment Under Uncertainty and Time-Inconsistent Preferences |
|
w12036 |
Monika Piazzesi
Martin Schneider
Selale Tuzel
|
Housing, Consumption, and Asset Pricing |
|
w12030 |
Laurent E. Calvet
John Y. Campbell
Paolo Sodini
|
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes |
|
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 |
|
w12015 |
Ravi Jagannathan
Alexey Malakhov
Dmitry Novikov
|
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
|
w12014 |
Erica X. N. Li
Dmitry Livdan
Lu Zhang
|
Optimal Market Timing |
|
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 |
|
w11989 |
Justin Wolfers
|
Diagnosing Discrimination: Stock Returns and CEO Gender |
|
w11964 |
Jeffrey Brown
James Poterba
|
Household Ownership of Variable Annuities |
|
w11962 |
Darrell Duffie
Leandro Siata
Ke Wang
|
Multi-Period Corporate Default Prediction With Stochastic Covariates |
|
w11961 |
Sanjiv Das
Darrell Duffie
Nikunj Kapadia
Leandro Saita
|
Common Failings: How Corporate Defaults are Correlated |
|
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 |
|
w11876 |
Lubos Pastor
Pietro Veronesi
|
Technological Revolutions and Stock Prices |
|
w11864 |
Jaime Casassus
Pierre Collin-Dufresne
Bryan R. Routledge
|
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology |
|
w11861 |
Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein
|
Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options |
|
w11851 |
Xavier Gabaix
Arvind Krishnamurthy
Olivier Vigneron
|
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market |
|
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 |
|
w11824 |
Andrew Ang
Joseph Chen
Yuhang Xing
|
Downside Risk |
|
w11816 |
Tano Santos
Pietro Veronesi
|
Cash-Flow Risk, Discount Risk, and the Value Premium |
|
w11804 |
Irene Brambilla
Guido Porto
|
Market Structure, Outgrower contracs and Farm Output. Evidence from Cotton Reforms in Zambia |
|
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 |
|
w11766 |
Marcin Kacperczyk
Clemens Sialm
Lu Zheng
|
Unobserved Actions of Mutual Funds |
|
w11758 |
Bruce N. Lehmann
|
The Role of Beliefs in Inference for Rational Expectations Models |
|
w11756 |
Clemens Sialm
|
Tax Changes and Asset Pricing: Time-Series Evidence |
|
w11748 |
Martin D. D. Evans
Richard K. Lyons
|
Understanding Order Flow |
|
w11741 |
Guenter Franke
Jan Pieter Krahnen
|
Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations |
|
w11736 |
Sean D. Campbell
Francis X. Diebold
|
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
|
w11735 |
David K. Musto
Nicholas S. Souleles
|
A Portfolio View of Consumer Credit |
|
w11722 |
Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley
|
Institutional Investors and Stock Market Volatility |
|
w11703 |
Sydeny C. Ludvigson
Serena Ng
|
Macro Factors in Bond Risk Premia |
|
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 |
|
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 |
|
w11666 |
Loriana Pelizzon
Stephen Schaefer
|
Pillar 1 vs. Pillar 2 Under Risk Management |
|
w11644 |
David W. Galenson
|
Who Are the Greatest Living Artists? The View from the Auction Market |
|
w11643 |
Charles Himmelberg
Christopher Mayer
Todd Sinai
|
Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions |
|
w11608 |
James O'Brien
Jeremy Berkowitz
|
Estimating Bank Trading Risk: A Factor Model Approach |
|
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? |
|
w11574 |
Qiang Dai
Thomas Philippon
|
Fiscal Policy and the Term Structure of Interest Rates |
|
w11573 |
Simi Kedia
Thomas Philippon
|
The Economics of Fraudulent Accounting |
|
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 |
|
w11538 |
Andrew Ang
Geert Bekaert
Min Wei
|
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
|
w11534 |
John Y. Campbell
Joăo 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 |
|
w11493 |
M. Hashem Pesaran
Til Schuermann
Björn-Jakob Treutler
|
Global Business Cycles and Credit Risk |
|
w11489 |
Patric H. Hendershott
Gwilym Pryce
|
The Sensitivity of Homeowner Leverage to the Deductibility of Home Mortgage Interest |
|
w11485 |
Wojciech Kopczuk
Joel Slemrod
|
Denial of Death and Economic Behavior |
|
w11480 |
Laura X.L. Liu
Jerold B. Warner
Lu Zhang
|
Momentum Profits and Macroeconomic Risk |
|
w11478 |
Michael Greenstone
Paul Oyer
Annette Vissing-Jorgensen
|
Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments |
|
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 |
|
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 |
|
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 |
|
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 |
|
w11385 |
Paul Gompers
Anna Kovner
Josh Lerner
David Scharfstein
|
Venture Capital Investment Cycles: The Impact of Public Markets |
|
w11380 |
Yacine Ait-Sahalia
Per A. Mykland
Lan Zhang
|
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
|
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 |
|
w11345 |
Peter Englund
Ake Gunnelin
Patric H. Hendershott
Bo Soderberg
|
Adjustment in Property Space Markets: Estimates from the Stockholm Office Market |
|
w11340 |
Geert Bekaert
Seonghoon Cho
Antonio Moreno
|
New-Keynesian Macroeconomics and the Term Structure |
|
w11329 |
Patric Hendershott
Robert J. Hendershott
Bryan D. MacGregor
|
Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique |
|
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 |
|
w11322 |
Lu Zhang
|
Anomalies |
|
w11319 |
William O. Brown
Richard C. K. Burdekin
Marc D. Weidenmier
|
Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica |
|
w11312 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega
|
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
|
w11310 |
Robert J. Barro
|
Rare Events and the Equity Premium |
|
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 |
|
w11266 |
William N. Goetzmann
Andrey Ukhov
|
British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach |
|
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 |
|
w11225 |
Robert S. Pindyck
|
Pricing Capital Under Mandatory Unbundling and Facilities Sharing |
|
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 |
|
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 |
|
w11190 |
Gary Gorton
Nicholas Souleles
|
Special Purpose Vehicles and Securitization |
|
w11188 |
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
|
Volatility Forecasting |
|
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 |
|
w11155 |
Pierre-Olivier Gourinchas
Helene Rey
|
International Financial Adjustment |
|
w11152 |
David W. Galenson
|
Anticipating Artistic Success (or, How to Beat the Art Market): Lessons from History |
|
w11148 |
Steven R. Grenadier
Neng Wang
|
Investment Timing, Agency, and Information |
|
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 |
|
w11132 |
Hanno Lustig
Yi-Li Chien
|
The Market Price of Aggregate Risk and the Wealth Distribution |
|
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 |
|
w11104 |
Hanno Lustig
Adrien Verdelhan
|
The Cross-Section of Currency Risk Premia and US Consumption Growth Risk |
|
w11103 |
Patrick de Fontnouvelle
John Jordan
Eric Rosengren
|
Implications of Alternative Operational Risk Modeling Techniques |
|
w11098 |
Martin Feldstein
|
Structural Reform of Social Security |
|
w11089 |
Francis X. Diebold
Monika Piazzesi
Glenn Rudebusch
|
Modeling Bond Yields in Finance and Macroeconomics |
|
w11084 |
Martin Feldstein
|
Reducing the Risk of Investment-Based Social Security Reform |
|
t0305 |
Todd E. Clark
Kenneth D. West
|
Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference |
|
w11078 |
Simeon Djankov
Caralee McLiesh
Andrei Shleifer
|
Private Credit in 129 Countries |
|
w11077 |
Menzie D. Chinn
Guy Meredith
|
Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era |
|
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 |
|
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? |
|
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
|
|
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 |
|
w11006 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition |
|
w11004 |
Efraim Benmelech
Mark J. Garmaise
Tobias Moskowitz
|
Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation |
|
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 |
|
w10981 |
Charles Engel
|
Some New Variance Bounds for Asset Prices |
|
w10955 |
Hanno Lustig
Stijn Van Nieuwerburgh
|
A Theory of Housing Collateral, Consumption Insurance and Risk Premia |
|
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 |
|
w10891 |
Peter M. DeMarzo
Ilan Kremer
Andrzej Skrzypacz
|
Bidding With Securities: Auctions and Security Design |
|
w10872 |
Anusha Chari
Paige P. Ouimet
Linda L. Tesar
|
Acquiring Control in Emerging Markets: Evidence from the Stock Market |
|
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 |
|
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 |
|
w10773 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions? |
|
w10770 |
Marcin Kacperczyk
Clemens Sialm
Lu Zheng
|
On the Industry Concentration of Actively Managed Equity Mutual Funds |
|
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 |
|
w10743 |
Darrell Duffie
Ke Wang
|
Multi-Period Corporate Failure Prediction with Stochastic Covariates |
|
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 |
|
w10707 |
Markus K. Brunnermeier
Jonathan A. Parker
|
Optimal Expectations |
|
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 |
|
w10672 |
Andrew Ang
Monika Piazzesi
Min Wei
|
What Does the Yield Curve Tell us about GDP Growth? |
|
w10671 |
Jennifer Dlugosz
Rudiger Fahlenbrach
Paul Gompers
Andrew Metrick
|
Large Blocks of Stock: Prevalence, Size, and Measurement |
|
w10685 |
Malcolm Baker
Lubomir Litov
Jessica A. Wachter
Jeffrey Wurgler
|
Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements |
|
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? |
|
w10616 |
Francis X. Diebold
Glenn D. Rudebusch
S. Boragan Aruoba
|
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach |
|
w10615 |
Peter M. DeMarzo
Yuliy Sannikov
|
A Continuous-Time Agency Model of Optimal Contracting and Capital Structure |
|
w10599 |
Harry DeAngelo
Linda DeAngelo
Rene Stulz
|
Dividend Policy, Agency Costs, and Earned Equity |
|
w10597 |
David Backus
Bryan Routledge
Stanley Zin
|
Exotic Preferences for Macroeconomists |
|
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? |
|
w10579 |
Yacine Ait-Sahalia
Robert Kimmel
|
Maximum Likelihood Estimation of Stochastic Volatility Models |
|
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 |
|
w10563 |
Christopher Polk
Paola Sapienza
|
The Real Effects of Investor Sentiment |
|
w10560 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Growth Volatility and Financial Liberalization |
|
w10559 |
Malcolm Baker
C. Fritz Foley
Jeffrey Wurgler
|
The Stock Market and Investment: Evidence from FDI Flows |
|
w10556 |
Alessandro Barbarino
Boyan Jovanovic
|
Shakeouts and Market Crashes |
|
w10550 |
John R. Graham
Campbell R. Harvey
Shiva Rajgopal
|
The Economic Implications of Corporate Financial Reporting |
|
w10548 |
Paul Beaudry
Franck Portier
|
Stock Prices, News and Economic Fluctuations |
|
w10543 |
Daniel Bergstresser
Mihir A. Desai
Joshua Rauh
|
Earnings Manipulation and Managerial Investment Decisions: Evidence from Sponsored Pension Plans |
|
w10537 |
Simon Gilchrist
Charles P. Himmelberg
Gur Huberman
|
Do Stock Price Bubbles Influence Corporate Investment? |
|
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 |
|
w10476 |
Harald Hau
Helene Rey
|
Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? |
|
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 |
|
w10454 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
Consumption-Wealth Comovement of the Wrong Sign |
|
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 |
|
w10423 |
Francis X. Diebold
|
The Nobel Memorial Prize for Robert F. Engle |
|
w10422 |
Francis A. Longstaff
|
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities |
|
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 |
|
w10410 |
Jung-Wook Kim
Jason Lee
Randall K. Morck
|
Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks |
|
w10406 |
Christopher Polk
Samuel Thompson
Tuomo Vuolteenaho
|
New Forecasts of the Equity Premium |
|
w10395 |
James Poterba
|
Valuing Assets in Retirement Saving Accounts |
|
w10372 |
Michael W. Brandt
Pedro Santa-Clara
|
Dynamic Portfolio Selection by Augmenting the Asset Space |
|
w10355 |
Kenneth A. Froot
Melvyn Teo
|
Equity Style Returns and Institutional Investor Flows |
|
w10352 |
William N. Goetzmann
|
Fibonacci and the Financial Revolution |
|
w10343 |
William N. Goetzmann
Massimo Massa
Andrei Simonov
|
Portfolio Diversification and City Agglomeration |
|
w10333 |
Brian Knight
|
Are Policy Platforms Capitalized into Equity Prices? Evidence from the Bush/Gore 2000 Presidential Election |
|
w10327 |
Dimitri Vayanos
|
Flight to Quality, Flight to Liquidity, and the Pricing of Risk |
|
w10302 |
Sebastian Edwards
|
The Economics of Latin American Art: Creativity Patterns and Rates of Return |
|
w10282 |
Erik Hurst
Paul Willen
|
Social Security and Unsecured Debt |
|
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 |
|
w10258 |
Kristian R. Miltersen
Eduardo S. Schwartz
|
R&D Investments with Competitive Interactions |
|
w10240 |
Paul A. Gompers
Joy Ishii
Andrew Metrick
|
Incentives vs. Control: An Analysis of U.S. Dual-Class Companies |
|
w10235 |
Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner
|
The Geography of Stock Market Participation: The Influence of Communities and Local Firms |
|
w10233 |
Mihir A. Desai
James R. Hines Jr.
|
Market Reactions to Export Subsidies |
|
w10228 |
James J. Choi
David Laibson
Brigitte Madrian
Andrew Metrick
|
Employees' Investment Decisions about Company Stock |
|
w10226 |
Mark Grinblatt
Matti Keloharju
Seppo Ikaheimo
|
Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors |
|
w10218 |
Owen A. Lamont
Jeremy C. Stein
|
Aggregate Short Interest and Market Valuations |
|
w10211 |
Raj Chetty
|
Consumption Commitments, Unemployment Durations, and Local Risk Aversion |
|
w10210 |
Casey B. Mulligan
|
Robust Aggregate Implications of Stochastic Discount Factor Volatility |
|
w10203 |
Edward L. Glaeser
|
Psychology and the Market |
|
w10202 |
Susan E. Woodward
Robert E. Hall
|
Benchmarking the Returns to Venture |
|
w10200 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave |
2003
|
|
w10184 |
Kenneth A. Froot
|
Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers |
|
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 |
|
w10124 |
Edward L. Glaeser
Joseph Gyourko
Raven Saks
|
Why is Manhattan So Expensive? Regulation and the Rise in House Prices |
|
w10117 |
Robert F. Engle
Giampiero M. Gallo
|
A Multiple Indicators Model for Volatility Using Intra-Daily Data |
|
w10116 |
John H. Cochrane
Francis A. Longstaff
Pedro Santa-Clara
|
Two Trees: Asset Price Dynamics Induced by Market Clearing |
|
w10115 |
Gordon M. Bodnar
Bernard Dumas
Richard D. Marston
|
Cross-Border Valuation: The International Cost of Equity Capital |
|
w10114 |
Eduardo S. Schwartz
|
Patents and R&D as Real Options |
|
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 |
|
w10100 |
David M. Blau
Donna B. Gilleskie
|
The Role of Retiree Health Insurance in the Employment Behavior of Older Men |
|
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? |
|
w10063 |
James P. Smith
|
Consequences and Predictors of New Health Events |
|
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 |
|
w10041 |
Jason C. Hsu
Eduardo S. Schwartz
|
A Model of R&D Valuation and the Design of Research Incentives |
|
w10026 |
John Y. Campbell
Motohiro Yogo
|
Efficient Tests of Stock Return Predictability |
|
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 |
|
w9997 |
Nicholas Barberis
Ming Huang
Richard Thaler
|
Individual Preferences, Monetary Gambles and the Equity Premium |
|
w9992 |
Richard B. Freeman
|
What Do Unions Do ... to Voting? |
|
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 |
|
w9927 |
Hui Guo
Robert F. Whitelaw
|
Uncovering the Risk-Return Relation in the Stock Market |
|
w9921 |
Thorsten Beck
Asli Demirguc-Kunt
Ross Levine
|
Bank Concentration and Crises |
|
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 |
|
w9893 |
H. Henry Cao
Richard K. Lyons
Martin D.D. Evans
|
Inventory Information |
|
w9892 |
James Poterba
Joshua Rauh
Steven Venti
David Wise
|
Utility Evaluation of Risk in Retirement Saving Accounts |
|
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 |
|
w9840 |
Laurent Calvet
Martin Gonzalez-Eiras
Paolo Sodini
|
Financial Innovation, Market Participation and Asset Prices |
|
w9834 |
Anna Pavlova
Roberto Rigobon
|
Asset Prices and Exchange Rates |
|
w9817 |
Sebastian Edwards
Javier Gomez Biscarri
Fernando Perez de Gracia
|
Stock Market Cycles, Financial Liberalization and Volatility |
|
w9791 |
Sergey Iskoz
Jiang Wang
|
How to Tell if a Money Manager Knows More? |
|
w9787 |
Graciela Kaminsky
Sergio Schmukler
|
Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization |
|
w9778 |
Ricardo J. Caballero
Stavros Panageas
|
Hedging Sudden Stops and Precautionary Contractions |
|
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 |
|
w9736 |
John A. List
|
Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace |
|
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 |
|
w9673 |
David S. Bates
|
Maximum Likelihood Estimation of Latent Affine Processes |
|
w9664 |
Michael W. Brandt
Francis X. Diebold
|
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
|
w9657 |
Alon Brav
John R. Graham
Campbell R. Harvey
Roni Michaely
|
Payout Policy in the 21st Century |
|
w9647 |
Tokuo Iwaisako
|
Household Portfolios in Japan |
|
w9642 |
Yasushi Hamao
Jianping Mei
Yexiao Xu
|
Idiosyncratic Risk and the Creative Destruction in Japan |
|
w9640 |
Roberto Rigobon
Brian Sack
|
Spillovers Across U.S. Financial Markets |
|
w9620 |
Thorsten Beck
Asli Demirguc-Kunt
Ross Levine
|
Bank Supervision and Corporate Finance |
|
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 |
|
w9609 |
Roberto Rigobon
Brian Sack
|
The Effects of War Risk on U.S. Financial Markets |
|
w9605 |
Martin Lettau
Sydney Ludvigson
|
Expected Returns and Expected Dividend Growth |
|
w9587 |
Andrew Leigh
Justin Wolfers
Eric Zitzewitz
|
What Do Financial Markets Think of War in Iraq? |
|
w9571 |
Mila Getmansky
Andrew W. Lo
Igor Makarov
|
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns |
|
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 |
|
w9541 |
Julan Du
Shang-Jin Wei
|
Does Insider Trading Raise Market Volatility? |
|
w9538 |
Jonathan A. Parker
Christian Julliard
|
Consumption Risk and Cross-Sectional Returns |
|
w9529 |
Michael W. Brandt
Kenneth A. Kavajecz
|
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve |
|
w9525 |
Rajnish Mehra
Edward C. Prescott
|
The Equity Premium in Retrospect |
|
w9523 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Do shareholders of acquiring firms gain from acquisitions? |
|
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 |
|
w9493 |
Andrei Shleifer
|
Will the Sovereign Debt Market Survive? |
|
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 |
|
w9469 |
William N. Goetzmann
Matthew Spiegel
Andrey Ukhov
|
Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares |
|
w9466 |
William N. Goetzmann
Ning Zhu
Arturo Bris
|
Efficiency and the Bear: Short Sales and Markets around the World |
|
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 |
|
w9462 |
Todd Sinai
Nicholas S. Souleles
|
Owner-Occupied Housing as a Hedge Against Rent Risk |
|
w9461 |
Bruce N. Lehmann
David M. Modest
|
Diversification and the Optimal Construction of Basis Portfolios |
|
w9458 |
Michael W. Brandt
Amir Yaron
|
Time-Consistent No-Arbitrage Models of the Term Structure |
|
w9454 |
Alexander Ljungqvist
Matthew Richardson
|
The cash flow, return and risk characteristics of private equity |
|
w9453 |
Harvey S. Rosen
Stephen Wu
|
Portfolio Choice and Health Status |
|
w9442 |
Francesco Caselli
Nicola Gennaioli
|
Dynastic Management |
|
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 |
2002
|
|
w9392 |
Christopher S. Jones
Jay Shanken
|
Mutual Fund Performance with Learning Across Funds |
|
w9388 |
Eduardo Jallath-Coria
Tridas Mukhopadhyay
Amir Yaron
|
How Well Do Banks Manage Their Reserves? |
|
w9383 |
Ravi Bansal
Varoujan Khatachtrian
Amir Yaron
|
Interpretable Asset Markets? |
|
w9366 |
Mark Hugget
Gustavo Ventura
Amir Yaron
|
Human Capital and Earnings Distribution Dynamics |
|
w9365 |
Joao Gomes
Amir Yaron
Lu Zhang
|
Asset Pricing Implications of Firms' Financing Constraints |
|
w9364 |
Joao Gomes
Amir Yaron
Lu Zhang
|
Asset Prices and Business Cycles with Costly External Finance |
|
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 |
|
w9331 |
Steven J. Davis
Felix Kubler
Paul Willen
|
Borrowing Costs and the Demand for Equity Over the Life Cycle |
|
w9312 |
Francis A. Longstaff
|
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices |
|
w9301 |
Clemens Sialm
|
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium |
|
w9277 |
G. William Schwert
|
Anomalies and Market Efficiency |
|
w9275 |
Jonathan B. Berk
Richard C. Green
|
Mutual Fund Flows and Performance in Rational Markets |
|
w9264 |
Pekka Hietala
Steven N. Kaplan
David T. Robinson
|
What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies |
|
w9251 |
Antonio E. Bernardo
Ivo Welch
|
Financial Market Runs |
|
w9246 |
Paul Asquith
Michael B. Mikhail
Andrea S. Au
|
Information Content of Equity Analyst Reports |
|
w9243 |
William Gentry
David M. Schizer
|
Frictions and Tax-Motivated Hedging: An Empirical Exploration of Publicly-Traded Exchangeable Securities |
|
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 |
|
w9214 |
Patric H. Hendershott
Charles W.R. Ward
|
Valuing and Pricing Retail Leases with Renewal and Overage Options |
|
w9210 |
Andrew B. Abel
|
The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security |
|
w9178 |
John H. Cochrane
Monika Piazzesi
|
Bond Risk Premia |
|
w9177 |
Amir Dembo
Jean-Deominique Deuschel
Darrell Duffie
|
Large Portfolio Losses |
|
w9143 |
Wayne E. Ferson
Sergei Sarkissian
Timothy Simin
|
Spurious Regressions in Financial Economics? |
|
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 |
|
w9105 |
Merle Erickson
Austan Goolsbee
Edward Maydew
|
How Prevalent is Tax Arbitrage? Evidence from the Market for Municipal Bonds |
|
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 |
|
w9070 |
Reena Aggarwal
Nagpurnanand R. Prabhala
Manju Puri
|
Institutional Allocation In Initial Public Offerings: Empirical Evidence |
|
w9056 |
Michael W. Brandt
Qiang Kang
|
On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach |
|
w9050 |
Neil Doherty
Kent Smetters
|
Moral Hazard in Reinsurance Markets |
|
w9049 |
Owen A. Lamont
|
Evaluating Value Weighting: Corporate Events and Market Timing |
|
w9047 |
Sergio L. Schmukler
Luis Serven
|
Pricing Currency Risk: Facts and Puzzles from Currency Boards |
|
w9009 |
Boyan Jovanovic
Serguey Braguinsky
|
Bidder Discounts and Target Premia in Takeovers |
|
w9000 |
John M. Griffin
Federico Nardari
Rene M. Stulz
|
Daily Cross-Border Equity Flows: Pushed or Pulled? |
|
w8997 |
Orley Ashenfelter
Kathryn Graddy
|
Art Auctions: A Survey of Empirical Studies |
|
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 |
|
w8990 |
Jun Liu
Francis A. Longstaff
Ravit E. Mandell
|
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads |
|
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 |
|
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 |
|
w8925 |
Lars E.O. Svensson
|
Inflation Targeting: Should It Be Modeled as an Instrument Rule or a Targeting Rule? |
|
w8922 |
Ravi Jagannathan
Tongshu Ma
|
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
|
w8906 |
George M. Constantinides
John B. Donaldson
Rajnish Mehra
|
Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security |
|
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 |
|
w8877 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Confronting Information Asymmetries: Evidence from Real Estate Markets |
|
w8876 |
Tobias J. Moskowitz
Annette Vissing-Jorgensen
|
The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? |
|
w8874 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Informal Financial Networks: Theory and Evidence |
|
w8867 |
George M. Constantinides
Stylianos Perrakis
|
Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs |
|
w8839 |
John H. Cochrane
Monika Piazzesi
|
The Fed and Interest Rates: A High-Frequency Identification |
|
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 |
|
w8795 |
Geert Bekaert
Min Wei
Yuhang Xing
|
Uncovered Interest Rate Parity and the Term Structure |
|
w8794 |
Roberto Rigobon
Brian P. Sack
|
The Impact of Monetary Policy on Asset Prices |
|
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 |
|
w8781 |
James M. Poterba
John B. Shoven
|
Exchange Traded Funds: A New Investment Option for Taxable Investors |
|
w8750 |
Malcolm Baker
Jeremy C. Stein
Jeffrey Wurgler
|
When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms |
|
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? |
|
w8740 |
Boyan Jovanovic
Peter L. Rousseau
|
The Q-Theory of Mergers |
|
w8734 |
Mark Grinblatt
Bing Han
|
The Disposition Effect and Momentum |
|
w8731 |
Marie-Eve Lachance
Olivia S. Mitchell
|
Guaranteeing Defined Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise |
|
w8719 |
Ravi Jagannathan
Iwan Meier
|
Do We Need CAPM for Capital Budgeting? |
|
w8700 |
Michael F. Bryan
Stephen G. Cecchetti
Roisin O'Sullivan
|
Asset Prices in the Measurement of Inflation |
2001
|
|
w8686 |
William N. Goetzmann
Alok Kumar
|
Equity Portfolio Diversification |
|
w8683 |
Bryan R. Routledge
Stanley E. Zin
|
Model Uncertainty and Liquidity |
|
w8682 |
Ravi Jagannathan
Andrew Kaplin
Steve Guoqiang Sun
|
An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
|
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 |
|
w8655 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
Defined Contribution Pensions: Plan Rules, Participant Decisions, and the Path of Least Resistance |
|
w8654 |
Randall Morck
Fan Yang
|
The Mysterious Growing Value of S&P 500 Membership |
|
w8653 |
Mary Margaret Myers
James M. Poterba
Douglas A. Shackelford
|
Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry |
|
w8651 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
For Better or For Worse: Default Effects and 401(k) Savings Behavior |
|
w8649 |
Andrew B. Abel
|
On the Invariance of the Rate of Return to Convex Adjustment Costs |
|
w8643 |
Andrew Ang
Joseph Chen
Yuhang Xing
|
Downside Risk and the Momentum Effect |
|
w8641 |
Sheridan Titman
|
The Modigliani and Miller Theorem and Market Efficiency |
|
w8636 |
Roberto Rigobon
|
The Curse of Non-Investment Grade Countries |
|
w8630 |
Eli Ofek
Matthew Richardson
|
DotCom Mania: The Rise and Fall of Internet Stock Prices |
|
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! |
|
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 |
|
w8610 |
James M. Poterba
Steven F. Venti
David A. Wise
|
The Transition to Personal Accounts and Increasing Retirement Wealth: Macro and Micro Evidence |
|
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 |
|
w8586 |
Michelle Lowry
G. William Schwert
|
Biases in the IPO Pricing Process |
|
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 |
|
w8554 |
Robert F. Engle
Kevin Sheppard
|
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
|
w8538 |
Craig Doidge
G. Andrew Karolyi
Rene M. Stulz
|
Why are Foreign Firms Listed in the U.S. Worth More? |
|
w8533 |
John H. Cochrane
|
A Rehabilitation of Stochastic Discount Factor Methodology |
|
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 |
|
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 |
|
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 |
|
w8453 |
Kathryn M.E. Dominguez
Linda L. Tesar
|
Exchange Rate Exposure |
|
w8452 |
Campbell R. Harvey
Karl V. Lins
Andrew H. Roper
|
The Effect of Capital Structure When Expected Agency Costs are Extreme |
|
w8449 |
Paul A. Gompers
Joy L. Ishii
Andrew Metrick
|
Corporate Governance and Equity Prices |
|
w8439 |
Andrei Shleifer
Robert W. Vishny
|
Stock Market Driven Acquisitions |
|
w8436 |
G. William Schwert
|
Stock Volatility in the New Millennium: How Wacky Is Nasdaq? |
|
w8417 |
Yacine Ait-Sahalia
Jonathan A. Parker
Motohiro Yogo
|
Luxury Goods and the Equity Premium |
|
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) |
|
w8367 |
Luis Garicano
Tano Santos
|
Referrals |
|
w8363 |
Andrew Ang
Monika Piazzesi
|
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables |
|
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 |
|
w8350 |
Roberto Rigobon
Brian Sack
|
Measuring the Reaction of Monetary Policy to the Stock Market |
|
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 |
|
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 |
|
w8265 |
Anusha Chari
Peter Blair Henry
|
Stock Market Liberalizations and the Repricing of Systematic Risk |
|
w8246 |
Monika Piazzesi
|
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects |
|
w8245 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Does Financial Liberalization Spur Growth? |
|
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 |
|
w8221 |
John Y. Campbell
Robert J. Shiller
|
Valuation Ratios and the Long-Run Stock Market Outlook: An Update |
|
w8218 |
Jordi Gali
Mark Gertler
J. David Lopez-Salido
|
European Inflation Dynamics |
|
w8207 |
Andrew Ang
Geert Bekaert
|
Stock Return Predictability: Is it There? |
|
w8190 |
Nicholas Barberis
Ming Huang
|
Mental Accounting, Loss Aversion, and Individual Stock Returns |
|
w8173 |
Stephen J. Brown
William N. Goetzmann
|
Hedge Funds With Style |
|
w8172 |
Ravi Jagannathan
Ellen R. McGrattan
Anna Scherbina
|
The Declining U.S. Equity Premium |
|
w8167 |
Qiang Dai
Kenneth J. Singleton
|
Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure |
|
w8166 |
Boyan Jovanovic
Peter L. Rousseau
|
Vintage Organization Capital |
|
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 |
|
w8143 |
David Genesove
Christopher Mayer
|
Loss Aversion and Seller Behavior: Evidence from the Housing Market |
|
w8135 |
Kenneth L. Judd
Sy-Ming Guu
|
Asymptotic Methods for Asset Market Equilibrium Analysis |
|
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 |
|
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 |
|
w8098 |
Ravi Jagannathan
Zhenyu Wang
|
Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
|
w8093 |
Artyom Durnev
Randall Morck
Bernard Yeung
|
Does Firm-specific Information in Stock Prices Guide Capital Allocation? |
|
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? |
|
w8066 |
John H. Cochrane
|
The Risk and Return of Venture Capital |
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 |
|
w7995 |
Kjetil Storesletten
Chris I. Telmer
Amir Yaron
|
Consumption and Risk Sharing Over the Life Cycle |
|
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 |
|
w7948 |
Sendhil Mullainathan
Richard H. Thaler
|
Behavioral Economics |
|
w7933 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Heiko Ebens
|
The Distribution of Stock Return Volatility |
|
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 |
|
w7879 |
David Laibson
Andrea Repetto
Jeremy Tobacman
|
A Debt Puzzle |
|
w7878 |
James J. Choi
David Laibson
Andrew Metrick
|
Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans |
|
w7873 |
Frederik P. Schlingemann
Rene M. Stulz
Ralph A. Walkling
|
Asset Liquidity and Segment Divestitures |
|
w7861 |
Martin Feldstein
Elena Ranguelova
|
Accumulated Pension Collars: A Market Approach to Reducing the Risk of Investment-Based Social Security Reform |
|
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 |
|
w7808 |
Hyun-Han Shin
Rene M. Stulz
|
Firm Value, Risk, and Growth Opportunities |
|
w7803 |
Owen Lamont
Christopher Polk
|
Does Diversification Destroy Value? Evidence From Industry Shocks |
|
w7796 |
Steven J. Davis
Jeremy Nalewaik
Paul Willen
|
On the Gains to International Trade in Risky Financial Assets |
|
w7783 |
Andrew Ang
Geert Bekaert
Jun Liu
|
Why Stocks May Disappoint |
|
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 |
|
w7763 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Emerging Equity Markets and Economic Development |
|
w7753 |
Aaron Tornell
|
Robust-H-infinity Forecasting and Asset Pricing Anomalies |
|
w7739 |
Andrew B. Abel
|
The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks |
|
w7699 |
Jonathan Lewellen
Jay Shanken
|
Estimation Risk, Market Efficiency, and the Predictability of Returns |
|
w7687 |
Joseph Chen
Harrison Hong
Jeremy C. Stein
|
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices |
|
w7684 |
Bart Hobijn
Boyan Jovanovic
|
The Information Technology Revolution and the Stock Market: Evidence |
|
w7661 |
Robert J. Hodrick
Xiaoyan Zhang
|
Evaluating the Specification Errors of Asset Pricing Models |
|
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 |
|
w7613 |
Andrew W. Lo
Harry Mamaysky
Jiang Wang
|
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
|
w7609 |
Geert Bekaert
Robert J. Hodrick
|
Expectations Hypotheses Tests |
|
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 |
|
w6130 |
Yacine Ait-Sahalia
Andrew W. Lo
|
Nonparametric Risk Management and Implied Risk Aversion |
|
w6002 |
Olivia S. Mitchell
James M. Poterba
Mark J. Warshawsky
|
New Evidence on the Money's Worth of Individual Annuities |
|
w7567 |
William N. Goetzmann
Massimo Massa
|
Daily Momentum and Contrarian Behavior of Index Fund Investors |
|
w7566 |
Bradford Case
William N. Goetzmann
K. Geert Rouwenhorst
|
Global Real Estate Markets - Cycles and Fundamentals |
|
w7565 |
Philippe Jorion
William N. Goetzmann
|
A Century of Global Stock Markets |
|
w7559 |
Ben Bernanke
Mark Gertler
|
Monetary Policy and Asset Price Volatility |
|
w7529 |
Rene M. Stulz
|
U.S. Banks, Crises, and Bailouts: From Mexico to LTCM |
|
w7498 |
John H. Cochrane
|
Money as Stock: Price Level Determination with no Money Demand |
|
w7489 |
Kent Daniel
Sheridan Titman
|
Market Efficiency in an Irrational World |
|
w7488 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys
|
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
|
w7480 |
Ravi Jagannathan
Shaker B. Srinivasan
|
Does Product Market Competition Reduce Agency Costs? |
1999
|
|
w7445 |
Trevor S. Harris
R. Glenn Hubbard
Deen Kemsley
|
The Share Price Effects of Dividend Taxes and Tax Imputation Credits |
|
w5962 |
Lars E. O. Svensson
|
Inflation Targeting: Some Extensions |
|
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 |
|
w7403 |
Rafael La Porta
Florencio Lopez-deSilanes
Andrei Shleifer
Robert W. Vishny
|
Investor Protection and Corporate Valuation |
|
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 |
|
w7341 |
Robert F. Engle
Simone Manganelli
|
CAViaR: Conditional Value at Risk by Quantile Regression |
|
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 |
|
w7287 |
Kenneth A. Froot
|
The Evolving Market for Catastrophic Event Risk |
|
w7286 |
Kenneth A. Froot
|
The Market for Catastrophe Risk: A Clinical Examination |
|
w7284 |
Lubos Pastor
Robert F. Stambaugh
|
Comparing Asset Pricing Models: An Investment Perspective |
|
w7267 |
Kristin Forbes
Roberto Rigobon
|
No Contagion, Only Interdependence: Measuring Stock Market Co-movements |
|
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? |
|
w7237 |
John Y. Campbell
John H. Cochrane
|
Explaining the Poor Performance of Consumption-Based Asset Pricing Models |
|
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 |
|
w7214 |
Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw
|
Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns |
|
w7213 |
Jacob Boudoukh
Matthew Richardson
|
A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility |
|
w7192 |
John B. Shoven
Clemens Sialm
|
Asset Location in Tax-Deferred and Conventional Savings Accounts |
|
w7170 |
John H. Cochrane
|
Portfolio Advice for a Multifactor World |
|
w7169 |
John H. Cochrane
|
New Facts in Finance |
|
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 |
|
w7157 |
Robert J. Hodrick
David Tat-Chee Ng
Paul Sengmueller
|
An International Dynamic Asset Pricing Model |
|
w7144 |
John Y. Campbell
Martin Lettau
|
Dispersion and Volatility in Stock Returns: An Empirical Investigation |
|
w7105 |
Darrell Duffie
Jun Pan
Kenneth Singleton
|
Transform Analysis and Asset Pricing for Affine Jump-Diffusions |
|
w7085 |
G. William Schwert
|
Hostility in Takeovers: In the Eyes of the Beholder? |
|
w7075 |
Severin Borenstein
Joseph Farrell
|
Do Investors Forecast Fat Firms? Evidence from the Gold Mining Industry |
|
w7069 |
Klaas Baks
Andrew Metrick
Jessica Wachter
|
Bayesian Performance Evaluation |
|
w7067 |
Charles Engel
|
On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models |
|
w5445 |
Geert Bekaert
Stephen F. Gray
|
Target Zones and Exchange Rates: An Empirical Investigation |
|
w7055 |
Owen Lamont
|
Economic Tracking Portfolios |
|
w7039 |
Louis K.C. Chan
Jason Karceski
Josef Lakonishok
|
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model |
|
w7033 |
William N. Goetzmann
Massimo Massa
|
Index Funds and Stock Market Growth |
|
w7032 |
Evan G. Galev
William N. Goetzmann
K. Geert Rouwenhorst
|
Pairs Trading: Performance of a Relative Value Arbitrage Rule |
|
w7029 |
John Y. Campbell
Joao F. Cocco
Francisco J. Gomes
Pascal J. Maenhout
|
Investing Retirement Wealth: A Life-Cycle Model |
|
w7021 |
Rene M. Stulz
|
Globalization of Equity Markets and the Cost of Capital |
|
w7020 |
Steven Huddart
Ravi Jagannathan
Jane Saly
|
Valuing the Reload Features of Executive Stock Options |
|
w7009 |
Wayne E. Ferson
Campbell R. Harvey
|
Conditioning Variables and the Cross-Section of Stock Returns |
|
w6991 |
Andrew B. Abel
|
The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation |
|
w6967 |
Wayne E. Ferson
Campbell R. Harvey
|
Economic, Financial, and Fundamental Global Risk In and Out of the EMU |
|
w6961 |
Torben Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys
|
The Distribution of Exchange Rate Volatility |
|
w6953 |
Fernando Alvarez
Urban J. Jermann
|
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints |
|
w6928 |
Francis X. Diebold
Lutz Kilian
|
Unit Root Tests Are Useful for Selecting Forecasting Models |
|
w6913 |
Leslie A. Jeng
Andrew Metrick
Richard Zeckhauser
|
The Profits to Insider Trading: A Performance-Evaluation Perspective |
|
w6880 |
Geert Bekaert
Jun Liu
|
Conditioning Information and Variance Bounds on Pricing Kernels |
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 |
|
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 |
|
w6687 |
Kenneth A. Froot
Paul G.J. O'Connell
Mark S. Seasholes
|
The Portfolio Flows of International Investors, I |
|
w6683 |
Andrew B. Abel
|
Risk Premia and Term Premia in General Equilibrium |
|
w6678 |
Jonathan B. Berk
|
A Simple Approach for Deciding When to Invest |
|
w6673 |
Bengt Holmstrom
Jean Tirole
|
LAPM: A Liquidity-based Asset Pricing Model |
|
w6669 |
Geert Bekaert
Campbell R. Harvey
|
Capital Flows and the Behavior of Emerging Market Equity Returns |
|
w6666 |
Torben G. Anderson
Tim Bollerslev
Ashish Das
|
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment |
|
w6656 |
Josef Lakonishok
Inmoo Lee
|
Are Insiders' Trades Informative? |
|
w6648 |
Andrew Metrick
|
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters |
|
w6644 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Fee Speech: Adverse Selection and the Regulation of Mutual Funds |
|
w6641 |
Robert J. Shiller
|
Social Security and Institutions for Intergenerational, Intragenerational, and International Risk Sharing |
|
w6639 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
On the Regulation of Fee Structures in Mutual Funds |
|
w6635 |
Sanjiv R. Das
Rangarajan K. Sundaram
|
A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives |
|
w6634 |
Rajesh Aggarwal
Andrew A. Samwick
|
The Other Side of the Tradeoff: The Impact of Risk on Executive Compensation |
|
w6631 |
Sanjiv R. Das
|
Poisson-Guassian Processes and the Bond Markets |
|
w6627 |
Jonathan Berk
Richard C. Green
Vasant Naik
|
Optimal Investment, Growth Options, and Security Returns |
|
w6617 |
George M. Constantinidies
John B. Donaldson
Rajnish Mehra
|
Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle |
|
w6616 |
James M. Poterba
Scott J. Weisbenner
|
Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns |
|
w6611 |
Fernando Restoy
Philippe Weil
|
Approximate Equilibrium Asset Prices |
|
w6583 |
Joel Slemrod
Timothy Greimel
|
Did Steve Forbes Scare the Municipal Bond Market? |
|
w6572 |
Kenneth A. Froot
Emil Dabora
|
How are Stock Prices Affected by the Location of Trade? |
|
w6553 |
Harrison Hong
Terence Lim
Jeremy C. Stein
|
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies |
|
w6552 |
Robert J. Shiller
Allan N. Weiss
|
Moral Hazard in Home Equity Conversion |
|
w6508 |
Andrew Ang
Geert Bekaert
|
Regime Switches in Interest Rates |
|
w6505 |
David Bates
Roger Craine
|
Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash |
|
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 |
|
w6434 |
Connie Becker
Wayne Ferson
David Myers
Michael Schill
|
Conditional Market Timing with Benchmark Investors |
|
w6427 |
Stephen J. Brown
William N. Goetzmann
James Park
|
Hedge Funds and the Asian Currency Crisis of 1997 |
|
w6413 |
William N. Goetzmann
Jonathan Ingersoll
Jr.
Stephen A. Ross
|
High Water Marks |
|
w6412 |
Stephen J. Brown
William N. Goetzmann
Mark Grinblatt
|
Positive Portfolio Factors |
|
w6207 |
John H. Cochrane
|
Where is the Market Going? Uncertain Facts and Novel Theories |
|
w4412 |
Andrew B. Abel
Janice C. Eberly
|
An Exact Soultion for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility |
|
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 |
|
w6375 |
Robert J. Shiller
|
Human Behavior and the Efficiency of the Financial System |
|
w6354 |
Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark
|
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True? |
|
w6351 |
Karen K. Lewis
|
International Home Bias in International Finance and Business Cycles |
|
w6347 |
Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Toshiyuki Otsuki
Noriyoshi Shiraishi
|
The Japanese Open-End Fund Puzzle |
1997
|
|
w6325 |
Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi
|
The Central Tendency: A Second Factor in Bond Yields |
|
w6324 |
Harrison Hong
Jeremy C. Stein
|
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets |
|
w6312 |
Geert Bekaert
Campbell R. Harvey
|
Foreign Speculators and Emerging Equity Markets |
|
w6257 |
Andrew W. Lo
A. Craig MacKinlay
June Zhang
|
Econometric Models of Limit-Order Executions |
|
w6250 |
Dimitris Bertsimas
Leonid Kogan
Andrew W. Lo
|
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
|
w6243 |
John M. Griffin
Rene M. Stulz
|
International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns |
|
w6222 |
Joshua V. Rosenberg
Robert F. Engle
|
Option Hedging Using Empirical Pricing Kernels |
|
w6218 |
Sara Fisher Ellison
Wallace P. Mullin
|
Gradual Incorporation of Information into Stock Prices: Empirical Strategies |
|
w6210 |
Owen Lamont
Christopher Polk
Jesus Saa-Requejo
|
Financial Constraints and Stock Returns |
|
w5213 |
Robert B. Barsky
Miles S. Kimball
F. Thomas Juster
Matthew D. Shapiro
|
Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey |
|
t0216 |
Christian Gollier
Richard J. Zeckhauser
|
Horizon Length and Portfolio Risk |
|
w6158 |
Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw
|
Optimal Risk Management Using Options |
|
w6147 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
"Peso Problem" Explanations for Term Structure Anomalies |
|
w6129 |
Robert F. Engle
Joe Lange
|
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
|
w6128 |
Qiang Dai
Kenneth J. Singleton
|
Specification Analysis of Affine Term Structure Models |
|
w6098 |
Louis K. C. Chan
Jason Karceski
Josef Lakonishok
|
The Risk and Return from Factors |
|
w5307 |
Geert Bekaert
Campbell R. Harvey
|
Emerging Equity Market Volatility |
|
w4890 |
John R. Graham
Campbell R. Harvey
|
Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations |
|
t0212 |
Sanjiv Ranjan Das
|
An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model |
|
w6045 |
George Chacko
Sanjiv Ranjan Das
|
Average Interest |
|
w6025 |
Kenneth A. Froot
|
The Limited Financing of Catastrophe Risk: An Overview |
|
w6023 |
Torben G. Andersen
Tim Bollerslev
|
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
|
w6022 |
Geert Bekaert
Guojun Wu
|
Asymmetric Volatility and Risk in Equity Markets |
|
w6011 |
Kenneth A. Froot
Paul G. J. O'Connell
|
On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance |
|
w6001 |
James M. Poterba
|
The History of Annuities in the United States |
|
w5991 |
Karen K. Lewis
|
Are Countries with Official International Restrictions "Liquidity Constrained?" |
|
w5976 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance |
|
w5974 |
Jose M. Campa
P. H. Kevin Chang
|
The Forecasting Ability of Correlations Implied in Foreign Exchange Options |
|
w5950 |
Patrick K. Asea
Mthuli Ncube
|
Heterogeneous Information Arrival and Option Pricing |
|
w5936 |
Takatoshi Ito
Richard K. Lyons
Michael T. Melvin
|
Is There Private Information in the FX Market? The Tokyo Experiment |
|
w5926 |
Nicholas Barberis
Andrei Shleifer
Robert W. Vishny
|
A Model of Investor Sentiment |
|
w5918 |
Robert F. Stambaugh
|
Analyzing Investments Whose Histories Differ in Length |
|
w5913 |
David M. Cutler
Richard J. Zeckhauser
|
Reinsurance for Catastrophes and Cataclysms |
|
t0209 |
Stefano Athanasoulis
Robert J. Shiller
|
The Significance of the Market Portfolio |
|
w5909 |
Stephen J. Brown
William N. Goetzmann
Roger G. Ibbotson
|
Offshore Hedge Funds: Survival and Performance 1989-1995 |
|
w5906 |
William N. Goetzmann
Philippe Jorion
|
Re-emerging Markets |
|
w5901 |
William N. Goetzmann
Philippe Jorion
|
A Century of Global Stock Markets |
|
w5894 |
David S. Bates
|
Post-'87 Crash Fears in S&P 500 Futures Options |
|
w5877 |
Paul Soderlind
Lars E. O. Svensson
|
New Techniques to Extract Market Expectations from Financial Instruments |
|
w5873 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Auction Theory: A Summary with Applications to Treasury Markets |
1996
|
|
w5860 |
Wayne E. Ferson
Campbell R. Harvey
|
Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing |
|
w5857 |
John Y. Campbell
Luis M. Viceira
|
Consumption and Portfolio Decisions When Expected Returns are Time Varying |
|
w5852 |
Judith Chevalier
Glenn Ellison
|
Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance |
|
w5830 |
Jon A. Christopherson
Wayne E. Ferson
Debra A. Glassman
|
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance |
|
w5821 |
David G. Barr
John Y. Campbell
|
Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices |
|
w5819 |
Jun-Koo Kang
Yong-Cheol Kim
Rene M. Stulz
|
The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan |
|
w5816 |
Robert F. Engle
|
The Econometrics of Ultra-High Frequency Data |
|
w5312 |
Charles Engel
|
The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence |
|
w5227 |
Andrew B. Abel
Avinash K. Dixit
Janice C. Eberly
Robert S. Pindyck
|
Options, the Value of Capital, and Investment |
|
w5783 |
Torben G. Andersen
Tim Bollerslev
|
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
|
w5141 |
Benjamin M. Friedman
|
Economic Implications of Changing Share Ownership |
|
w4818 |
Geert Bekaert
|
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective |
|
w4025 |
John H. Cochrane
|
A Cross-Sectional Test of a Production-Based Asset Pricing Model |
|
w5752 |
Torben G. Andersen
Tim Bollerslev
|
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
|
w4990 |
Geert Bekaert
Michael S. Urias
|
Diversification, Integration and Emerging Market Closed-End Funds |
|
w4863 |
G. William Schwert
|
Mark-Up Pricing in Mergers and Acquisitions |
|
w5714 |
Jeffrey A. Frankel
Sergio L. Schmukler
|
Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors? |
|
w5671 |
Owen Lamont
|
Earnings and Expected Returns |
|
t0198 |
James H. Stock
Jonathan Wright
|
Asymptotics for GMM Estimators with Weak Instruments |
|
w5638 |
David Backus
Silverio Foresi
Stanley Zin
|
Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing |
|
w5635 |
David I. Laibson
|
Hyperbolic Discount Functions, Undersaving, and Savings Policy |
|
w5623 |
David Backus
Silverio Foresi
Chris Telmer
|
Affine Models of Currency Pricing |
|
w5610 |
John Y. Campbell
|
Consumption and the Stock Market: Interpreting International Experience |
|
w5607 |
N. Gregory Mankiw
James M. Poterba
|
Stock Market Yields and the Pricing of Municipal Bonds |
|
w5588 |
Peter Klibanoff
Owen Lamont
Thierry A. Wizman
|
Investor Reaction to Salient News in Closed-End Country Funds |
|
w5587 |
John Y. Campbell
Robert J. Shiller
|
A Scorecard for Indexed Government Debt |
|
w5505 |
Blake LeBaron
|
Technical Trading Rule Profitability and Foreign Exchange Intervention |
|
w5500 |
Bernard Dumas
Jeff Fleming
Robert E. Whaley
|
Implied Volatility Functions: Empirical Tests |
|
w5496 |
Jeremy C. Stein
|
Rational Capital Budgeting in an Irrational World |
|
w5489 |
John H. Cochrane
Jesus Saa-Requejo
|
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets |
|
w5479 |
Yacine Ait-Sahalia
|
Dynamic Equilibrium and Volatility in Financial Asset Markets |
|
w5446 |
Charles M. Jones
Owen Lamont
Robin Lumsdaine
|
Public Information and the Persistence of Bond Market Volatility |
|
w5403 |
Kenneth A. Froot
Jeremy C. Stein
|
Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach |
|
t0191 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates |
1995
|
|
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 |
|
w5363 |
Andrew B. Abel
Janice C. Eberly
|
The Effects of Irreversibility and Uncertainty on Capital Accumulation |
|
w5351 |
Yacine Ait-Sahalia
Andrew W. Lo
|
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
|
w5346 |
Yacine Ait-Sahalia
|
Testing Continuous-Time Models of the Spot Interest Rate |
|
w5345 |
Yacine Ait-Sahalia
|
Nonparametric Pricing of Interest Rate Derivative Securities |
|
w5323 |
Eli Bartov
Gordon M. Bodnar
Aditya Kaul
|
Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System |
|
w5311 |
Rafael La Porta
Josef Lakonishok
Andrei Shleifer
Robert Vishny
|
Good News for Value Stocks: Further Evidence on Market Efficiency |
|
w5289 |
Karen K. Lewis
|
Stochastic Regime Switching and Stabilizing Policies within Regimes |
|
w5262 |
Michele Boldrin
Lawrence J. Christiano
Jonas D.M. Fisher
|
Asset Pricing Lessons for Modeling Business Cycles |
|
w5203 |
Karen K. Lewis
|
What Can Explain the Apparent Lack of International Consumption Risk Sharing? |
|
w5172 |
Jiang Wang
|
The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors |
|
w5167 |
Andrei Shleifer
Robert W. Vishny
|
The Limits of Arbitrage |
|
w5166 |
Jun-Koo Kang
Rene M. Stulz
|
Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan |
|
w5165 |
Larry Lang
Eli Ofek
Rene M. Stulz
|
Leverage, Investment, and Firm Growth |
|
t0183 |
Kenneth D. West
|
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator |
|
w5129 |
David S. Bates
|
Testing Option Pricing Models |
|
w5128 |
Robert F. Engle
Joshua V. Rosenberg
|
GARCH Gamma |
|
w5100 |
Gary Gorton
Richard Rosen
|
Banks and Derivatives |
|
w5096 |
Robert C. Merton
|
Financial Innovation and the Management and Regulation of Financial Institutions |
|
w5095 |
Robert J. Shiller
Stefano Athanasoulis
|
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities |
|
w5078 |
Karl E. Case
Robert J. Shiller
Allan N. Weiss
|
Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate |
|
t0179 |
Charles Goodhart
Takatoshi Ito
Richard Payne
|
One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System |
|
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 |
|
w5010 |
Hua He
Jiang Wang
|
Differential Information and Dynamic Behavior of Stock Trading Volume |
|
w4718 |
James M. Hutchinson
Andrew W. Lo
Tomaso Poggio
|
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
|
t0173 |
Francis X. Diebold
Jose A. Lopez
|
Measuring Volatility Dynamics |
|
w4997 |
Shmuel Kandel
Robert F. Stambaugh
|
On the Predictability of Stock Returns: An Asset-Allocation Perspective |
|
w4995 |
John Y. Campbell
John H. Cochrane
|
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior |
|
w4988 |
William A. Brock
Blake D. LeBaron
|
A Dynamic Structural Model for Stock Return Volatility and Trading Volume |
1994
|
|
w4966 |
Robert F. Engle
Jeffrey R. Russell
|
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
|
w4958 |
Robert F. Engle
Joshua Rosenberg
|
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
|
w4951 |
Karen K. Lewis
|
Puzzles in International Financial Markets |
|
w4858 |
James Dow
Gary Gorton
|
Noise Trading, Delegated Portfolio Management, and Economic Welfare |
|
w4857 |
Niko Canner
N. Gregory Mankiw
David N. Weil
|
An Asset Allocation Puzzle |
|
w4843 |
Geert Bekaert
Campbell R. Harvey
|
Time-Varying World Market Integration |
|
w4830 |
Robert J. Shiller
Allan N. Weiss
|
Home Equity Insurance |
|
t0163 |
Dean P. Foster
Daniel B. Nelson
|
Continuous Record Asymptotics for Rolling Sample Variance Estimators |
|
t0162 |
Daniel B. Nelson
|
Asymptotic Filtering Theory for Multivariate ARCH Models |
|
t0161 |
Daniel B. Nelson
|
Asymptotically Optimal Smoothing with ARCH Models |
|
w4801 |
Michael R. Darby
|
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System |
|
w4778 |
Roni Michaely
Richard H. Thaler
Kent Womack
|
Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? |
|
w4756 |
A. Craig MacKinlay
|
Multifactor Models Do Not Explain Deviations from the CAPM |
|
w4743 |
K.C. Chan
Wai-Ming Fong
Rene M. Stulz
|
Information, Trading and Stock Returns: Lessons from Dually-Listed Securities |
|
w4727 |
Peter C. Reiss
Ingrid M. Werner
|
Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange |
|
w4720 |
Andrew W. Lo
Jiang Wang
|
Implementing Option Pricing Models When Asset Returns Are Predictable |
|
w4702 |
Shmuel Kandel
Robert F. Stambaugh
|
Portfolio Inefficiency and the Cross-Section of Expected Returns |
|
t0129 |
Daniel B. Nelson
Dean P. Foster
|
Asypmtotic Filtering Theory for Univariate Arch Models |
|
w4676 |
David K. Backus
Stanley E. Zin
|
Reverse Engineering the Yield Curve |
|
t0153 |
Lars Peter Hansen
Ravi Jagannathan
|
Assessing Specification Errors in Stochastic Discount Factor Models |
|
w4663 |
Campbell R. Harvey
Roger D. Huang
|
The Impact of the Federal Reserve Bank's Open Market Operations |
|
w4660 |
Campbell R. Harvey
Bruno Solnik
Guofu Zhou
|
What Determines Expected International Asset Returns? |
|
w4657 |
Bernard Dumas
|
A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables |
|
w4654 |
Larry Lang
Annette Poulsen
Rene M. Stulz
|
Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion |
|
w4645 |
Rene M. Stulz
|
International Portfolio Choice and Asset Pricing: An Integrative Survey |
|
w4632 |
Olivia S. Mitchell
Ping Lung Hsin
|
"Public Sector Pension Governance and Performance" |
|
w4624 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
The Implications of First-Order Risk Aversion for Asset Market Risk Premiums |
|
w4623 |
Campbell R. Harvey
|
Conditional Asset Allocation in Emerging Markets |
|
w4622 |
Wayne E. Ferson
Campbell R. Harvey
|
Sources of Risk and Expected Returns in Global Equity Markets |
|
w4621 |
Campbell R. Harvey
|
Predictable Risk and Returns in Emerging Markets |
|
w4611 |
Linda L. Tesar
Ingrid M. Werner
|
International Equity Transactions and U.S. Portfolio Choice |
|
t0152 |
Kenneth D. West
Dongchul Cho
|
The Predictive Ability of Several Models of Exchange Rate Volatility |
|
t0151 |
Douglas Staiger
James H. Stock
|
Instrumental Variables Regression with Weak Instruments |
1993
|
|
t0131 |
Robert J. Shiller
|
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures |
|
w4596 |
David S. Bates
|
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options |
|
w4595 |
Wayne E. Ferson
Campbell R. Harvey
|
An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns |
|
w4587 |
John Y. Campbell
Kenneth A. Froot
|
International Experiences with Securities Transaction Taxes |
|
w4554 |
John Y. Campbell
|
Understanding Risk and Return |
|
w4524 |
Larry G. Epstein
Angelo Melino
|
A Revealed Preference Analysis of Asset Pricing Under Recursive Utility |
|
w4522 |
Bernard Dumas
L. Peter Jennergren
Bertil Naslund
|
Currency Option Pricing in Credible Target Zones |
|
w4520 |
Jaesun Noh
Robert F. Engle
Alex Kane
|
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
|
w4519 |
Robert F. Engle
Alex Kane
Jaesun Noh
|
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
|
t0145 |
Lars Peter Hansen
John Heaton
Erzo Luttmer
|
Econometric Evaluation of Asset Pricing Models |
|
w4459 |
Bernard Dumas
Bruno Solnik
|
The World Price of Foreign Exchange Risk |
|
w4458 |
Bernard Dumas
L. Peter Jennergren
Bertil Naslund
|
Realignment Risk and Currency Option Pricing in Target Zones |
|
w4446 |
Bernard Dumas
|
Partial- Vs. General-Equilibrium Models of the International Capital Market |
|
t0142 |
John Y. Campbell
|
Why Long Horizons: A Study of Power Against Persistent Alternatives |
|
t0141 |
Lars Peter Hansen
Jose Alexandre Scheinkman
|
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes |
|
t0140 |
Robert F. Stambaugh
|
Estimating Conditional Expectations when Volatility Fluctuates |
|
w4396 |
Robert J. Shiller
|
Aggregate Income Risks and Hedging Mechanisms |
|
w4083 |
Robert S. Pindyck
|
The Present Value Model of Rational Commodity Pricing |
|
w4373 |
Jeremy C. Stein
|
Prices and Trading Volume in the Housing Market: A Model with Downpayment Effects |
|
w4369 |
Shlomo Benartzi
Richard H. Thaler
|
Myopic Loss Aversion and the Equity Premium Puzzle |
|
w4360 |
Josef Lakonishok
Robert W. Vishny
Andrei Shleifer
|
Contrarian Investment, Extrapolation, and Risk |
|
w4355 |
Kenneth A. Froot
|
Currency Hedging over Long Horizons |
|
t0134 |
Shmuel Kandel
Robert McCulloch
Robert F. Stambaugh
|
Bayesian Inference and Portfolio Efficiency |
|
w4347 |
Pierluigi Balduzzi
Giuseppe Bertola
Silverio Foresi
|
A Model of Target Changes and the Term Structure of Interest Rates |
|
w4329 |
John Campbell
Jianping Mei
|
Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk |
|
w4315 |
James Dow
Gary Gorton
|
Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing |
|
w4314 |
James Dow
Gary Gorton
|
Arbitrage Chains |
|
w4088 |
John H. Cochrane
Lars Peter Hansen
|
Asset Pricing Explorations for Macroeconomics |
|
w4294 |
Charles Engel
Jeffrey A. Frankel
Kenneth A. Froot
Anthony P. Rodrigues
|
The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market |
|
t0133 |
David K. Backus
Stanley E. Zin
|
Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates |
|
w4249 |
John Heaton
Deborah Lucas
|
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing |
