NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Asset Pricing Archive


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

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

w18646 A. Craig Burnside
Jeremy J. Graveline

On the Asset Market View of Exchange Rates

w18627 Karen K. Lewis
Sandy Lai

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

w18621 Nicholas C. Barberis
Thirty Years of Prospect Theory in Economics: A Review and Assessment

w18619 Bruce I. Carlin
Francis A. Longstaff
Kyle Matoba

Disagreement and Asset Prices

w18617 Rui Albuquerque
Martin S. Eichenbaum
Sergio Rebelo

Valuation Risk and Asset Pricing

w18611 Gary Gorton
Andrew Metrick

Securitization

w18609 Sumit Agarwal
Efraim Benmelech
Nittai Bergman
Amit Seru

Did the Community Reinvestment Act (CRA) Lead to Risky Lending?

w18562 Cary Frydman
Nicholas Barberis
Colin Camerer
Peter Bossaerts
Antonio Rangel

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

w18560 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

w18558 Andrea Frazzini
Lasse H. Pedersen

Embedded Leverage

w18555 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Building Castles in the Air: Evidence from Industry IPO Waves

w18554 Stefan Nagel
Empirical Cross-Sectional Asset Pricing

w18549 Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin

Repo and Securities Lending

w18548 Harrison Hong
David Sraer

Speculative Betas

w18547 Harrison Hong
David Sraer

Quiet Bubbles

w18541 Takatoshi Ito
Kenta Yamada
Misako Takayasu
Hideki Takayasu

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

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

w18491 Robert Novy-Marx
Joshua D. Rauh

Linking Benefits to Investment Performance in US Public Pension Systems

w18455 Gary B. Gorton
Andrew Metrick

Who Ran on Repo?

w18452 Pierre Collin-Dufresne
Vyacheslav Fos

Do prices reveal the presence of informed trading?

w18451 Pierre Collin-Dufresne
Vyacheslav Fos

Insider Trading, Stochastic Liquidity and Equilibrium Prices

w18450 Frederico Belo
Pierre Collin-Dufresne
Robert S. Goldstein

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

w18435 Kewei Hou
Chen Xue
Lu Zhang

Digesting Anomalies: An Investment Approach

w18411 John Y. Campbell
Stefano Giglio
Christopher Polk
Robert Turley

An Intertemporal CAPM with Stochastic Volatility

w18408 Zhiguo He
Konstantin Milbradt

Endogenous Liquidity and Defaultable Bonds

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

w18400 Karl E. Case
Robert J. Shiller
Anne Thompson

What Have They Been Thinking? Home Buyer Behavior in Hot and Cold Markets

w18398 Markus K. Brunnermeier
Martin Oehmke

Bubbles, Financial Crises, and Systemic Risk

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

w18394 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market

w18391 Francis X. Diebold
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

w18382 Charles Engel
Nelson C. Mark
Kenneth D. West

Factor Model Forecasts of Exchange Rates

w18367 Hui Chen
Yu Xu
Jun Yang

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

w18358 Michael J. Fishman
Jonathan A. Parker

Valuation, Adverse Selection, and Market Collapses

w18357 Ravi Bansal
Ivan Shaliastovich

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

w18339 John Y. Campbell
Mortgage Market Design

w18321 Ralph S.J. Koijen
Motohiro Yogo

The Cost of Financial Frictions for Life Insurers

w18312 Lauren Cohen
Umit G. Gurun
Christopher J. Malloy

Resident Networks and Firm Trade

w18305 Ravi Bansal
Dana Kiku
Amir Yaron

Risks For the Long Run: Estimation with Time Aggregation

w18304 Efraim Benmelech
An Empirical Analysis of the Fed's Term Auction Facility

w18300 Jeffrey Brown
Chichun Fang
Francisco Gomes

Risk and Returns to Education

w18291 Lauren Cohen
Karl B. Diether
Christopher Malloy

Legislating Stock Prices

w18251 Dimitri Vayanos
Jiang Wang

Market Liquidity — Theory and Empirical Evidence

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

w18241 Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman

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

w18231 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

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

w18222 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Prediction Markets for Economic Forecasting

w18184 Jonathan B. Berk
Jules H. van Binsbergen

Measuring Managerial Skill in the Mutual Fund Industry

w18181 John H. Cochrane
Continuous-Time Linear Models

w18174 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Money Doctors

w18173 William N. Goetzmann
Sharon Oster

Competition Among University Endowments

w18169 Kent Daniel
Ravi Jagannathan
Soohun Kim

Tail Risk in Momentum Strategy Returns

w18137 André de Souza
Anthony W. Lynch

Does Mutual Fund Performance Vary over the Business Cycle?

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

Inflation Tracking Portfolios

w18128 Emi Nakamura
Dmitriy Sergeyev
Jón Steinsson

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

w18102 Markus K. Brunnermeier
Thomas M. Eisenbach
Yuliy Sannikov

Macroeconomics with Financial Frictions: A Survey

w18104 Ravi Bansal
Dana Kiku
Ivan Shaliastovich
Amir Yaron

Volatility, the Macroeconomy and Asset Prices

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

Financial Risk Measurement for Financial Risk Management

w18078 Fei Chen
Francis X. Diebold
Frank Schorfheide

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

w18077 Thomas Philippon
Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation

w18066 Mark Huggett
Greg Kaplan

The Money Value of a Man

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

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

w18050 Martijn Cremers
Antti Petajisto
Eric Zitzewitz

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

w18046 Torben G. Andersen
Nicola Fusari
Viktor Todorov

Parametric Inference and Dynamic State Recovery from Option Panels

w18035 Fatih Guvenen
Serdar Ozkan
Jae Song

The Nature of Countercyclical Income Risk

w18024 Ulrike Malmendier
Enrico Moretti
Florian S. Peters

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

w18000 Shang-Jin Wei
Xiaobo Zhang
Yin Liu

Status Competition and Housing Prices

w17975 Leonid Kogan
Dimitris Papanikolaou

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

w17951 Hilary W. Hoynes
Douglas L. Miller
Jessamyn Schaller

Who Suffers During Recessions?

w17935 Zhiguo He
Wei Xiong

Debt Financing in Asset Markets

w17929 Sendhil Mullainathan
Markus Noeth
Antoinette Schoar

The Market for Financial Advice: An Audit Study

w17921 Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong

Convective Risk Flows in Commodity Futures Markets

w17904 Nikolai Roussanov
Pavel G. Savor

Status, Marriage, and Managers' Attitudes To Risk

w17876 Veronica Guerrieri
Robert Shimer

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

w17874 Robert S. Harris
Tim Jenkinson
Steven N. Kaplan

Private Equity Performance: What Do We Know?

w17872 Karen K. Lewis
Edith X. Liu

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

w17854 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

w17848 Wayne E. Ferson
Suresh K. Nallareddy
Biqin Xie

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

w17843 James J. Choi
Emily Haisley
Jennifer Kurkoski
Cade Massey

Small Cues Change Savings Choices

w17832 Manuel Adelino
Antoinette Schoar
Felipe Severino

Credit Supply and House Prices: Evidence from Mortgage Market Segmentation

w17798 Andrew Ang
Marie Brière
Ombretta Signori

Inflation and Individual Equities

w17795 Leonid Kogan
Dimitris Papanikolaou

Growth Opportunities, Technology Shocks, and Asset Prices

w17778 Gary B. Gorton
Andrew Metrick

Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide

w17777 Gary B. Gorton
Stefan Lewellen
Andrew Metrick

The Safe-Asset Share

w17772 James D. Hamilton
Jing Cynthia Wu

Identification and Estimation of Gaussian Affine Term Structure Models

w17771 Gary B. Gorton
Guillermo Ordonez

Collateral Crises

w17769 Leonid Kogan
Dimitris Papanikolaou
Amit Seru
Noah Stoffman

Technological Innovation, Resource Allocation, and Growth

w17768 Arvind Krishnamurthy
Stefan Nagel
Dmitry Orlov

Sizing Up Repo

w17761 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience in Experimental Tests of the Endowment Effect

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

International Capital Flows and House Prices: Theory and Evidence

w17742 Lars-Alexander Kuehn
Nicolas Petrosky-Nadeau
Lu Zhang

An Equilibrium Asset Pricing Model with Labor Market Search

w17723 Tim Landvoigt
Monika Piazzesi
Martin Schneider

The Housing Market(s) of San Diego


2011
w17719 Philip Bond
Alex Edmans
Itay Goldstein

The Real Effects of Financial Markets

w17691 Nicolas Coeurdacier
Hélène Rey

Home Bias in Open Economy Financial Macroeconomics

w17686 Eric van Wincoop
International Contagion Through Leveraged Financial Institutions

w17653 Stefan Nagel
Evaporating Liquidity

w17652 Emiliano Pagnotta
Thomas Philippon

Competing on Speed

w17622 Fatih Guvenen
Macroeconomics With Heterogeneity: A Practical Guide

w17615 Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp

Time-Varying Fund Manager Skill

w17613 Robert Novy-Marx
Logical Implications of GASB’s Methodology for Valuing Pension Liabilities

w17592 Yacine Ait-Sahalia
Jianqing Fan
Yingying Li

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

w17586 Giorgia Palladini
Richard Portes

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

w17582 Alex Edmans
Itay Goldstein
Wei Jiang

Feedback Effects and the Limits to Arbitrage

w17575 Ravi Bansal
Marcelo Ochoa

Temperature, Aggregate Risk, and Expected Returns

w17574 Ravi Bansal
Marcelo Ochoa

Welfare Costs of Long-Run Temperature Shifts

w17568 Wonho Wilson Choi
Andrew Metrick
Ayako Yasuda

A Model of Private Equity Fund Compensation

w17566 Fernando E. Alvarez
Francesco Lippi

Persistent Liquidity Effects and Long Run Money Demand

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

w17563 Ian Martin
The Lucas Orchard

w17561 Andrew Ang
Dennis Kristensen

Testing Conditional Factor Models

w17560 Nicolas Coeurdacier
Pierre-Olivier Gourinchas

When Bonds Matter: Home Bias in Goods and Assets

w17558 Viral V. Acharya
A Transparency Standard for Derivatives

w17555 Arvind Krishnamurthy
Annette Vissing-Jorgensen

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

w17548 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

A Theory of Asset Pricing Based on Heterogeneous Information

w17537 Karsten Jeske
Dirk Krueger
Kurt Mitman

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

w17522 Kristian Rydqvist
Joshua Spizman
Ilya A. Strebulaev

Government Policy and Ownership of Financial Assets

w17516 John Y. Campbell
João F. Cocco

A Model of Mortgage Default

w17506 Alp Simsek
Speculation and Risk Sharing with New Financial Assets

w17500 Yiting Li
Guillaume Rocheteau
Pierre-Olivier Weill

Liquidity and the Threat of Fraudulent Assets

w17491 Diane Del Guercio
Jonathan Reuter

Mutual Fund Performance and the Incentive to Generate Alpha

w17490 Francis X. Diebold
Kamil Yilmaz

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

w17484 Ravi Jagannathan
Srikant Marakani

Price Dividend Ratio Factors : Proxies for Long Run Risk

w17454 Tobias Adrian
Markus K. Brunnermeier

CoVaR

w17464 Lubos Pastor
Pietro Veronesi

Political Uncertainty and Risk Premia

w17428 David T. Robinson
Berk A. Sensoy

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

w17424 Yuriy Gorodnichenko
Anna Mikusheva
Serena Ng

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

w17422 Jakub W. Jurek
Erik Stafford

Crashes and Collateralized Lending

w17421 S. Boragan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song

Improving GDP Measurement: A Forecast Combination Perspective

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

Equity Yields

w17353 Pierre-Olivier Gourinchas
Hélène Rey
Kai Truempler

The Financial Crisis and The Geography of Wealth Transfers

w17334 Jessica A. Wachter
Missaka Warusawitharana

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

w17330 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Information Aggregation, Investment, and Managerial Incentives

w17328 Robert J. Barro
José F. Ursua

Rare Macroeconomic Disasters

w17325 Ralph Koijen
Stijn Van Nieuwerburgh
Motohiro Yogo

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

w17323 Stephen A. Ross
The Recovery Theorem

w17321 Marcin Kacperczyk
Philipp Schnabl

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

w17315 Gene Amromin
Jennifer Huang
Clemens Sialm
Edward Zhong

Complex Mortgages

w17301 Andreas Fuster
Benjamin Hebert
David Laibson

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

w17298 Christopher Avery
Judith A. Chevalier
Richard J. Zeckhauser

The "CAPS" Prediction System and Stock Market Returns

w17296 Darrell Duffie
Bruno Strulovici

Capital Mobility and Asset Pricing

w17295 Darrell Duffie
Semyon Malamud
Gustavo Manso

Information Percolation in Segmented Markets

w17292 Clemens Sialm
T. Mandy Tham

Spillover Effects in Mutual Fund Companies

w17285 Xiaoji Lin
Lu Zhang

Covariances versus Characteristics in General Equilibrium

w17281 Darrell Duffie
Systemic Risk Exposures: A 10-by-10-by-10 Approach

w17280 Darrell Duffie
Yeneng Sun

The Exact Law of Large Numbers for Independent Random Matching

w17278 Craig Burnside
Carry Trades and Risk

w17277 François Gourio
Michael Siemer
Adrien Verdelhan

International Risk Cycles

w17261 Karen K. Lewis
Global Asset Pricing

w17224 Klaus Adam
Pei Kuang
Albert Marcet

House Price Booms and the Current Account

w17219 David Backus
Mikhail Chernov
Stanley E. Zin

Sources of Entropy in Representative Agent Models

w17199 Ngoc-Khanh Tran
Richard J. Zeckhauser

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

w17197 Robin Greenwood
Samuel G. Hanson

Issuer Quality and the Credit Cycle

w17182 Andrew Ang
Allan Timmermann

Regime Changes and Financial Markets

w17169 Chongyang Chen
Zhonglan Dai
Douglas Shackelford
Harold Zhang

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

w17152 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

w17150 Òscar Jordà
Alan M. Taylor

Performance Evaluation of Zero Net-Investment Strategies

w17149 Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

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

w17136 Viral V. Acharya
Itamar Drechsler
Philipp Schnabl

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

w17133 Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò

Risk, Monetary Policy and the Exchange Rate

w17130 Xiaohong Chen
Jack Favilukis
Sydney C. Ludvigson

An Estimation of Economic Models with Recursive Preferences

w17122 Yael V. Hochberg
Joshua D. Rauh

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

w17121 Geert Bekaert
Michael Ehrmann
Marcel Fratzscher
Arnaud J. Mehl

Global Crises and Equity Market Contagion

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

w17115 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

A Model of Shadow Banking

w17090 Lieven Baele
Geert Bekaert
Seonghoon Cho
Koen Inghelbrecht
Antonio Moreno

Macroeconomic Regimes

w17064 Harold L. Cole
Felix Kubler

Recursive Contracts, Lotteries and Weakly Concave Pareto Sets

w17027 Tarek A. Hassan
Thomas M. Mertens

The Social Cost of Near-Rational Investment

w17026 Francois Gourio
Credit Risk and Disaster Risk

w17025 Jialun Li
Kent Smetters

Optimal Portfolio Choice with Wage-Indexed Social Security

w17021 Simon Gilchrist
Egon Zakrajšek

Credit Spreads and Business Cycle Fluctuations

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

Continuous Workout Mortgages

w17000 Viral V. Acharya
Alberto Bisin

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

w16996 Martin Lettau
Sydney C. Ludvigson

Shocks and Crashes

w16995 Viral V. Acharya
Sergei A. Davydenko
Ilya A. Strebulaev

Cash Holdings and Credit Risk

w16982 Andrew Ang
Francis A. Longstaff

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

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

w16972 John H. Cochrane
Discount Rates

w16965 Thomas Philippon
Virgiliu Midrigan

Household Leverage and the Recession

w16956 James D. Hamilton
Jing Cynthia Wu

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

w16952 Arindrajit Dube
Ethan Kaplan
Suresh Naidu

Coups, Corporations, and Classified Information

w16950 Anthony W. Lynch
Oliver Randall

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

w16949 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

How Prediction Markets Can Save Event Studies

w16942 Craig Burnside
Martin S. Eichenbaum
Sergio Rebelo

Carry Trade and Momentum in Currency Markets

w16941 Isil Erel
Brandon Julio
Woojin Kim
Michael S. Weisbach

Macroeconomic Conditions and Capital Raising

w16931 James D. Hamilton
Jing Cynthia Wu

Testable Implications of Affine Term Structure Models

w16911 Xavier Gabaix
A Sparsity-Based Model of Bounded Rationality

w16906 Hui Chen
Scott Joslin

Generalized Transform Analysis of Affine Processes and Applications in Finance

w16903 Carolin E. Pflueger
Luis M. Viceira

Inflation-Indexed Bonds and the Expectations Hypothesis

w16898 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

The Short of It: Investor Sentiment and Anomalies

w16892 Carolin E. Pflueger
Luis M. Viceira

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

w16884 Ian Martin
Simple Variance Swaps

w16875 Viral V. Acharya
Lars A. Lochstoer
Tarun Ramadorai

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

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

Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking?

w16843 Chong Wang
Neng Wang
Jinqiang Yang

Dynamics of Entrepreneurship under Incomplete Markets

w16842 Yingcong Lan
Neng Wang
Jinqiang Yang

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

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

w16808 Patrick Bolton
Hui Chen
Neng Wang

Market Timing, Investment, and Risk Management

w16801 Andrew Ang
Sergiy Gorovyy
Gregory B. van Inwegen

Hedge Fund Leverage

w16788 Qingyuan Du
Shang-Jin Wei

A Darwinian Perspective on "Exchange Rate Undervaluation"

w16777 Nicolae Gârleanu
Lasse Heje Pedersen

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

w16774 Ellen R. McGrattan
Transition to FDI Openness: Reconciling Theory and Evidence

w16770 Ravi Jagannathan
Iwan Meier
Vefa Tarhan

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

w16764 Alexander David
Pietro Veronesi

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

w16726 Bernard Dumas
Karen K. Lewis
Emilio Osambela

Differences of Opinion and International Equity Markets

w16747 Laura Xiaolei Liu
Lu Zhang

A Model of Momentum

w16737 Hans B. Christensen
Luzi Hail
Christian Leuz

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

w16734 Craig Burnside
Martin Eichenbaum
Sergio Rebelo

Understanding Booms and Busts in Housing Markets

w16716 Jeffrey LaFrance
Rulon Pope
Jesse Tack

Risk Response in Agriculture

w16712 Harrison Hong
Motohiro Yogo

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

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

Heterogeneity and Risk Sharing in Village Economies


2010
w16652 Andrew Metrick
Ayako Yasuda

Venture Capital and Other Private Equity: A Survey

w16648 Ralph S.J. Koijen
Stijn Van Nieuwerburgh

Predictability of Returns and Cash Flows

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

w16633 Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò

Second-Order Approximation of Dynamic Models with Time-Varying Risk

w16628 Bruno Biais
Johan Hombert
Pierre-Olivier Weill

Trading and Liquidity with Limited Cognition

w16607 Markus K. Brunnermeier
Martin Oehmke

The Maturity Rat Race

w16601 Andrea Frazzini
Lasse H. Pedersen

Betting Against Beta

w16591 James J. Choi
Li Jin
Hongjun Yan

What Does Stock Ownership Breadth Measure?

w16590 Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz

Are all Credit Default Swap Databases Equal?

w16586 Christopher J. Mayer
Tomasz Piskorski
Alexei Tchistyi

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

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

The European Union, the Euro, and Equity Market Integration

w16577 Jonathan A. Parker
Annette Vissing-Jorgensen

The Increase in Income Cyclicality of High-Income Households and its Relation to the Rise in Top Income Shares

w16559 Charles W. Calomiris
Inessa Love
Maria Soledad Martinez Peria

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

w16553 Priyank Gandhi
Hanno Lustig

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

w16549 Anders B. Trolle
Eduardo S. Schwartz

An Empirical Analysis of the Swaption Cube

w16534 Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz

What Does Equity Sector Orderflow Tell Us about the Economy?

w16531 Andrew Paciorek
Todd M. Sinai

Does Home Owning Smooth the Variability of Future Housing Consumption?

w16491 Travis J. Berge
Òscar Jordà
Alan M. Taylor

Currency Carry Trades

w16485 Viral V. Acharya
Peter M. DeMarzo
Ilan Kremer

Endogenous Information Flows and the Clustering of Announcements

w16469 Francis X. Diebold
Georg Strasser

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

w16468 Xing Hu
Jun Pan
Jiang Wang

Noise as Information for Illiquidity

w16458 Antje Berndt
Hanno Lustig
Sevin Yeltekin

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

w16457 Stefan Nagel
Kenneth J. Singleton

Estimation and Evaluation of Conditional Asset Pricing Models

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

On the Timing and Pricing of Dividends

w16454 Lauren Cohen
Christopher Malloy
Lukasz Pomorski

Decoding Inside Information

w16437 Lauren Cohen
Christopher Malloy

Friends in High Places

w16427 Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan

Countercyclical Currency Risk Premia

w16397 Geert Bekaert
Marie Hoerova
Marco Lo Duca

Risk, Uncertainty and Monetary Policy

w16395 Viral V. Acharya
Ouarda Merrouche

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis

w16394 Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

w16387 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience Theory of Choice Under Risk

w16385 Ke Tang
Wei Xiong

Index Investment and Financialization of Commodities

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

w16358 Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig

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

w16337 Adam Ashcraft
Nicolae Gârleanu
Lasse Heje Pedersen

Two Monetary Tools: Interest Rates and Haircuts

w16336 Frederico Belo
Chen Xue
Lu Zhang

Cross-sectional Tobin's Q

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

The Effects of Stock Lending on Security Prices: An Experiment

w16329 Jonathan Reuter
Eric Zitzewitz

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

w16327 Fatih Guvenen
Anthony Smith

Inferring Labor Income Risk from Economic Choices: An Indirect Inference Approach

w16319 Omar Al-Ubaydli
John A. List
Michael K. Price

The Nature of Excess: Using Randomized Treatments to Investigate Price Dynamics

w16316 Jessica A. Wachter
Motohiro Yogo

Why Do Household Portfolio Shares Rise in Wealth?

w16312 Diane Del Guercio
Jonathan Reuter
Paula A. Tkac

Broker Incentives and Mutual Fund Market Segmentation

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

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

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

The Market for Borrowing Corporate Bonds

w16264 S. Boragan Aruoba
Francis X. Diebold
M. Ayhan Kose
Marco E. Terrones

Globalization, the Business Cycle, and Macroeconomic Monitoring

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

Predictive Regressions: A Present-value Approach

w16255 Jessica Wachter
Asset Allocation

w16242 Kenneth A. Snowden
Covered Farm Mortgage Bonds in the Late Nineteenth Century U.S.

w16237 Veronica Guerrieri
Daniel Hartley
Erik Hurst

Endogenous Gentrification and Housing Price Dynamics

w16223 Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

w16222 John Y. Campbell
Stefano Giglio
Christopher Polk

Hard Times

w16219 Ian Martin
The Valuation of Long-Dated Assets

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

Monetary Policy and the Uncovered Interest Parity Puzzle

w16214 Ravi Jagannathan
Andrei Jirnyi
Ann Sherman

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

w16206 Richard Stanton
Nancy Wallace

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

w16200 Efraim Benmelech
Nittai K. Bergman

Credit Traps

w16187 Bruce I. Carlin
Shimon Kogan

Trading Complex Assets

w16183 Anisha Ghosh
George M. Constantinides

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

w16181 Larry G. Epstein
Martin Schneider

Ambiguity and Asset Markets

w16175 Antje Berndt
Burton Hollifield
Patrik Sandås

The Role of Mortgage Brokers in the Subprime Crisis

w16159 Philippe Bacchetta
Cédric Tille
Eric van Wincoop

Self-Fulfilling Risk Panics

w16153 Ian Martin
Consumption-Based Asset Pricing with Higher Cumulants

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

w16145 Christopher L. House
Yusufcan Masatlioglu

Managing Markets for Toxic Assets

w16128 Lubos Pastor
Pietro Veronesi

Uncertainty about Government Policy and Stock Prices

w16094 Patrick Bolton
Christopher Harris

The Dynamics of Optimal Risk Sharing

w16087 John H. Cochrane
Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic

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

w16068 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Neglected Risks, Financial Innovation, and Financial Fragility

w16063 Daniel Paravisini
Veronica Rappoport
Enrichetta Ravina

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

w16061 Rajnish Mehra
Indian Equity Markets: Measures of Fundamental Value

w16058 Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang

Aggregate Idiosyncratic Volatility

w16042 Brock Mendel
Andrei Shleifer

Chasing Noise

w16035 Hui Chen
Scott Joslin
Ngoc-Khanh Tran

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

w16008 Andrew Ang
Vineer Bhansali
Yuhang Xing

Build America Bonds

w15998 Raj Chetty
Adam Szeidl

The Effect of Housing on Portfolio Choice

w15993 Huseyin Gulen
Yuhang Xing
Lu Zhang

Value versus Growth: Time-Varying Expected Stock Returns

w15992 Hernán Ortiz-Molina
Gordon M. Phillips

Asset Liquidity and the Cost of Capital

w15988 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

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

w15950 Jin Ginger Wu
Lu Zhang

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

w15948 Robin Greenwood
Samuel Hanson

Characteristic Timing

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

w15937 Andrew Ang
Nicolas P.B. Bollen

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

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

Religious Identity and Economic Behavior

w15923 Erik Snowberg
Justin Wolfers

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

w15920 Emi Nakamura
Jón Steinsson
Robert Barro
José Ursúa

Crises and Recoveries in an Empirical Model of Consumption Disasters

w15919 Zhiguo He
In Gu Khang
Arvind Krishnamurthy

Balance Sheet Adjustments in the 2008 Crisis

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

Learning and the Disappearing Association Between Governance and Returns

w15883 George-Marios Angeletos
Guido Lorenzoni
Alessandro Pavan

Beauty Contests and Irrational Exuberance: A Neoclassical Approach

w15866 Craig Burnside
Bing Han
David Hirshleifer
Tracy Yue Wang

Investor Overconfidence and the Forward Premium Puzzle

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

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

w15859 Laurent E. Calvet
Paolo Sodini

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

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

Modeling Financial Contagion Using Mutually Exciting Jump Processes

w15848 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Corporate Bond Default Risk: A 150-Year Perspective

w15839 Lauren Cohen
Joshua D. Coval
Christopher Malloy

Do Powerful Politicians Cause Corporate Downsizing?

w15837 Viral V. Acharya
S. Viswanathan

Leverage, Moral Hazard and Liquidity

w15835 Fernando E. Alvarez
Luigi Guiso
Francesco Lippi

Durable consumption and asset management with transaction and observation costs

w15821 Denis Gromb
Dimitri Vayanos

Limits of Arbitrage: The State of the Theory

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

Market Response to Policy Initiatives during the Global Financial Crisis

w15808 Yacine Aït-Sahalia
Jean Jacod

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

w15807 Holger Kraft
Eduardo S. Schwartz

Cash Flow Multipliers and Optimal Investment Decisions

w15806 Gara Afonso
Anna Kovner
Antoinette Schoar

Stressed not Frozen: The Fed Funds Market in the Financial Crisis

w15805 Stavros Panageas
Optimal retirement benefit guarantees

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

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

Rational-Expectations Equilibrium in Intermediate Good Markets

w15759 David Laibson
Johanna Mollerstrom

Capital Flows, Consumption Booms and Asset Bubbles: A Behavioural Alternative to the Savings Glut Hypothesis

w15734 Pierre Collin-Dufresne
Robert S. Goldstein
Fan Yang

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

w15733 Pierre Collin-Dufresne
Robert S. Goldstein
Jean Helwege

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

w15730 Viral V. Acharya
Philipp Schnabl
Gustavo Suarez

Securitization without risk transfer

w15709 Jonathan Berk
Johan Walden

Limited Capital Market Participation and Human Capital Risk

w15708 Efraim Benmelech
Nittai K. Bergman

Bankruptcy and the Collateral Channel

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

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

w15674 Viral V. Acharya
Douglas Gale
Tanju Yorulmazer

Rollover Risk and Market Freezes

w15668 Isaac Ehrlich
Jong Kook Shin
Yong Yin

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

w15662 Ricardo Reis
Interpreting the Unconventional U.S. Monetary Policy of 2007-09

w15657 S. Boragan Aruoba
Francis X. Diebold

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

w15653 Zhiguo He
Wei Xiong

Rollover Risk and Credit Risk

w15646 Lubos Pastor
Robert F. Stambaugh

On the Size of the Active Management Industry


2009
w15591 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

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

w15563 Alexander David
Pietro Veronesi

What Ties Return Volatilities to Price Valuations and Fundamentals?

w15545 Alex Edmans
Xavier Gabaix

Tractability in Incentive Contracting

w15542 Arvind Krishnamurthy
How Debt Markets have Malfunctioned in the Crisis

w15538 Marcin Kacperczyk
Philipp Schnabl

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

w15533 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

w15513 Mikhail Golosov
Guido Lorenzoni
Aleh Tsyvinski

Decentralized Trading with Private Information

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

Risk Price Dynamics

w15504 Ravi Bansal
Dana Kiku
Amir Yaron

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

w15487 Dimitri Vayanos
Jean-Luc Vila

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

w15482 Zhiguo He
Wei Xiong

Dynamic Debt Runs

w15481 Wei Xiong
Jialin Yu

The Chinese Warrants Bubble

w15479 Ricardo J. Caballero
Alp Simsek

Fire Sales in a Model of Complexity

w15462 Todd M. Sinai
Nicholas S. Souleles

Can Owning a Home Hedge the Risk of Moving?

w15458 Pietro Veronesi
Luigi Zingales

Paulson's Gift

w15457 Nicolae Gârleanu
Leonid Kogan
Stavros Panageas

The Demographics of Innovation and Asset Returns

w15450 Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp

Rational Attention Allocation Over the Business Cycle

w15414 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crises and Liquidity in Over-the-Counter Markets

w15405 Stavros Panageas
Optimal taxation in the presence of bailouts

w15399 François Gourio
Disasters Risk and Business Cycles

w15382 Yi-Li Chien
Harold L. Cole
Hanno Lustig

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

w15381 David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo

On the Scholes Liquidation Problem

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

Systemic Risk and the Refinancing Ratchet Effect

w15353 Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz

Towards a Common European Monetary Union Risk Free Rate

w15340 Nicolae B. Gârleanu
Stavros Panageas
Jianfeng Yu

Technological Growth and Asset Pricing

w15336 George O. Aragon
Philip E. Strahan

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

w15335 Narasimhan Jegadeesh
Roman Kräussl
Joshua Pollet

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

w15333 Douglas W. Blackburn
William N. Goetzmann
Andrey D. Ukhov

Risk Aversion and Clientele Effects

w15327 Clemens Sialm
Laura Starks

Mutual Fund Tax Clienteles

w15318 Yong Chen
Wayne Ferson
Helen Peters

Measuring the Timing Ability and Performance of Bond Mutual Funds

w15312 Robert B. Barsky
Eric R. Sims

News Shocks

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

w15298 Stefano DellaVigna
Matthew Gentzkow

Persuasion: Empirical Evidence

w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit

w15295 Yannick Malevergne
Pedro Santa-Clara
Didier Sornette

Professor Zipf goes to Wall Street

w15283 Atif R. Mian
Amir Sufi

House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis

w15273 Gary B. Gorton
Andrew Metrick

Haircuts

w15270 Andrew Ang
Jean Boivin
Sen Dong
Rudy Loo-Kung

Monetary Policy Shifts and the Term Structure

w15265 Christopher D. Carroll
Patrick Toche

A Tractable Model of Buffer Stock Saving

w15260 Lieven Baele
Geert Bekaert
Koen Inghelbrecht

The Determinants of Stock and Bond Return Comovements

w15254 Chris Edmond
Pierre-Olivier Weill

Aggregate Implications of Micro Asset Market Segmentation

w15247 Robert J. Barro
Tao Jin

On the Size Distribution of Macroeconomic Disasters

w15243 Fatih Guvenen
A Parsimonious Macroeconomic Model for Asset Pricing

w15240 David Backus
Mikhail Chernov
Ian Martin

Disasters implied by equity index options

w15228 Christopher D. Carroll
Olivier Jeanne

A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds

w15227 Yosef Bonaparte
Russell Cooper

Costly Portfolio Adjustment

w15223 Gary B. Gorton
Andrew Metrick

Securitized Banking and the Run on Repo

w15222 Geert Bekaert
Eric Engstrom

Asset Return Dynamics under Bad Environment Good Environment Fundamentals

w15219 Long Chen
Lu Zhang

The stock market and aggregate employment

w15215 Dimitri Vayanos
Jiang Wang

Liquidity and Asset Prices: A Unified Framework

w15205 Nicolae B. Garleanu
Lasse H. Pedersen

Dynamic Trading with Predictable Returns and Transaction Costs

w15189 Leonid Kogan
Stephen Ross
Jiang Wang
Mark M. Westerfield

Market Selection

w15188 Sydney C. Ludvigson
Serena Ng

A Factor Analysis of Bond Risk Premia

w15184 Stefano DellaVigna
Joshua M. Pollet

Capital Budgeting vs. Market Timing: An Evaluation Using Demographics

w15170 John Geanakoplos
Stephen P. Zeldes

Market Valuation of Accrued Social Security Benefits

w15158 Nuno Cassola
Ali Hortacsu
Jakub Kastl

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

w15145 Luigi Guiso
Paola Sapienza
Luigi Zingales

Moral and Social Constraints to Strategic Default on Mortgages

w15143 Cindy R. Alexander
Mark A. Chen
Duane J. Seppi
Chester S. Spatt

The Role of Advisory Services in Proxy Voting

w15084 Nicola Gennaioli
Andrei Shleifer

What Comes to Mind

w15072 Harald Uhlig
A Model of a Systemic Bank Run

w15062 Emmanuel Farhi
Samuel Paul Fraiberger
Xavier Gabaix
Romain Ranciere
Adrien Verdelhan

Crash Risk in Currency Markets

w15058 Stavros Panageas
Bailouts, the Incentive to Manage Risk, and Financial Crises

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

w15047 Raymond Kan
Cesare Robotti
Jay Shanken

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

w15045 Efraim Benmelech
Jennifer Dlugosz

The Credit Rating Crisis

w15040 Arvind Krishnamurthy
Amplification Mechanisms in Liquidity Crises

w15038 Vincent Glode
Burton Hollifield
Marcin Kacperczyk
Shimon Kogan

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

w15029 Diego A. Comin
Mark Gertler
Ana Maria Santacreu

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations

w15024 Geert Bekaert
Eric Engstrom

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

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

Understanding Inflation-Indexed Bond Markets

w15010 Andrew B. Abel
Janice C. Eberly
Stavros Panageas

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

w15009 Bruno Biais
Pierre-Olivier Weill

Liquidity Shocks and Order Book Dynamics

w15008 Philippe Bacchetta
Eric van Wincoop

On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals

w14999 David Kelly
Subsidies to Industry and the Environment

w14997 Ricardo J. Caballero
Alp Simsek

Complexity and Financial Panics

w14947 Nicholas C. Barberis
A Model of Casino Gambling

w14944 Gary B. Gorton
Lixin Huang
Qiang Kang

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

w14929 Thomas Philippon
Philipp Schnabl

Efficient Recapitalization

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

w14903 Jennifer Huang
Clemens Sialm
Hanjiang Zhang

Risk Shifting and Mutual Fund Performance

w14898 Veronica Guerrieri
Péter Kondor

Fund Managers, Career Concerns, and Asset Price Volatility

w14889 Zhi Da
Re-Jin Guo
Ravi Jagannathan

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

w14881 Richard A. Lambert
Christian Leuz
Robert E. Verrecchia

Information Asymmetry, Information Precision, and the Cost of Capital

w14871 Francis A. Longstaff
Brett Myers

Valuing Toxic Assets: An Analysis of CDO Equity

w14867 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Outside and Inside Liquidity

w14866 John Y. Campbell
Stefano Giglio
Parag Pathak

Forced Sales and House Prices

w14862 Marvin Goodfriend
Robert G. King

The Great Inflation Drift

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

How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?

w14848 Hui Chen
Jianjun Miao
Neng Wang

Entrepreneurial Finance and Non-diversifiable Risk

w14845 Patrick Bolton
Hui Chen
Neng Wang

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

w14843 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Financial Openness and Productivity

w14815 Ravi Bansal
Ivan Shaliastovich

Confidence Risk and Asset Prices

w14814 Ravi Bansal
Ivan Shaliastovich

Learning and Asset-Price Jumps

w14813 Ulrike Malmendier
Stefan Nagel

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

w14804 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

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

w14802 Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel

What Segments Equity Markets?

w14788 Jason Beeler
John Y. Campbell

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

w14772 Lars Ljungqvist
Harald Uhlig

Optimal Endowment Destruction under Campbell-Cochrane Habit Formation

w14764 Roland Bénabou
Groupthink: Collective Delusions in Organizations and Markets

w14761 Vasiliki Skreta
Laura Veldkamp

Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation

w14760 Robert J. Barro
José F. Ursúa

Stock-Market Crashes and Depressions

w14757 Lubos Pastor
Robert F. Stambaugh

Are Stocks Really Less Volatile in the Long Run?

w14754 Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro

Risk Preferences in the PSID: Individual Imputations and Family Covariation

w14739 Douglas W. Diamond
Raghuram Rajan

The Credit Crisis: Conjectures about Causes and Remedies

w14734 Pierpaolo Benigno
Salvatore Nisticò

International Portfolio Allocation under Model Uncertainty

w14727 Markus K. Brunnermeier
Motohiro Yogo

A Note on Liquidity Risk Management

w14701 John Y. Campbell
Adi Sunderam
Luis M. Viceira

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

w14699 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Measuring the Financial Sophistication of Households

w14698 Martin Lettau
Jessica A. Wachter

The Term Structures of Equity and Interest Rates

w14688 Ricardo J. Caballero
Arvind Krishnamurthy

Global Imbalances and Financial Fragility

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

w14669 Monika Piazzesi
Martin Schneider

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

w14665 Jonathan A. Parker
Annette Vissing-Jorgensen

Who Bears Aggregate Fluctuations and How?

w14663 Michael G. Palumbo
Jonathan A. Parker

The Integrated Financial and Real System of National Accounts for the United States: Does It Presage the Financial Crisis?

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

w14646 Lubos Pastor
Pietro Veronesi

Learning in Financial Markets

w14644 Thomas Philippon
Ariell Reshef

Wages and Human Capital in the U.S. Financial Industry: 1909-2006


2008
w14629 Bernard Dumas
Andrew Lyasoff

Incomplete-Market Equilibria Solved Recursively on an Event Tree

w14612 Markus K. Brunnermeier
Deciphering the Liquidity and Credit Crunch 2007-08

w14609 Zhi Da
Pengjie Gao
Ravi Jagannathan

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

w14601 Kirstin Hubrich
Kenneth D. West

Forecast Evaluation of Small Nested Model Sets

w14574 Zhiguo He
Wei Xiong

Delegated Asset Management, Investment Mandates, and Capital Immobility

w14571 Miguel A. Ferreira
Pedro Santa-Clara

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

w14544 George M. Constantinides
Jens Carsten Jackwerth
Stylianos Perrakis

Mispricing of S&P 500 Index Options

w14543 George M. Constantinides
Anisha Ghosh

Asset Pricing Tests with Long Run Risks in Consumption Growth

w14525 Thomas J. Brennan
Andrew W. Lo

Impossible Frontiers

w14523 Dimitri Vayanos
Paul Woolley

An Institutional Theory of Momentum and Reversal

w14517 Zhiguo He
Arvind Krishnamurthy

Intermediary Asset Pricing

w14500 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Price Momentum In Stocks: Insights From Victorian Age Data

w14496 Andrew Ang
Vineer Bhansali
Yuhang Xing

Taxes on Tax-Exempt Bonds

w14473 Markus K. Brunnermeier
Stefan Nagel
Lasse H. Pedersen

Carry Trades and Currency Crashes

w14465 Amir E. Khandani
Andrew W. Lo

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

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

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

w14440 Nicholas C. Barberis
Wei Xiong

Realization Utility

w14424 Geetesh Bhardwaj
Gary B. Gorton
K. Geert Rouwenhorst

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

w14411 Anthony W. Lynch
Jessica A. Wachter

Using Samples of Unequal Length in Generalized Method of Moments Estimation

w14398 Gary B. Gorton
The Subprime Panic

w14390 Cédric Tille
Eric van Wincoop

International Capital Flows under Dispersed Information: Theory and Evidence

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

w14378 William A. Brock
Charles F. Manski

Competitive Lending with Partial Knowledge of Loan Repayment

w14366 Zhiguo He
Arvind Krishnamurthy

A Model of Capital and Crises

w14358 Gary B. Gorton
The Panic of 2007

w14351 Rajnish Mehra
Facundo Piguillem
Edward C. Prescott

Costly Financial Intermediation in Neoclassical Growth Theory

w14343 Robert Novy-Marx
Joshua D. Rauh

The Intergenerational Transfer of Public Pension Promises

w14342 Dongmei Li
Lu Zhang

Costly External Finance: Implications for Capital Markets Anomalies

w14340 Isaac Ehrlich
William A. Hamlen Jr.
Yong Yin

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

w14299 Xavier Gabaix
Power Laws in Economics and Finance

w14290 Gerard Hoberg
Gordon M. Phillips

Real and Financial Industry Booms and Busts

w14269 Francis X. Diebold
Kamil Yilmaz

Macroeconomic Volatility and Stock Market Volatility, Worldwide

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

w14232 Lauren Cohen
Andrea Frazzini
Christopher Malloy

Hiring Cheerleaders: Board Appointments of "Independent" Directors

w14228 Markus K. Brunnermeier
Filippos Papakonstantinou
Jonathan A. Parker

An Economic Model of the Planning Fallacy

w14177 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Fight or Flight? Portfolio Rebalancing by Individual Investors

w14172 Harald Hau
Helene Rey

Home Bias at the Fund Level

w14169 Jon Faust
Jonathan H. Wright

Efficient Prediction of Excess Returns

w14165 Harald Hau
Hélène Rey

Global Portfolio Rebalancing Under the Microscope

w14158 Paul Asquith
Rebecca Oman
Christopher Safaya

Short Sales and Trade Classification Algorithms

w14148 Alexander Peter Groh
Oliver Gottschalg

The Opportunity Cost of Capital of US Buyouts

w14144 Joost Driessen
Tse-Chun Lin
Ludovic Phalippou

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

w14119 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crashes and Recoveries in Illiquid Markets

w14111 Robin Greenwood
Stefan Nagel

Inexperienced Investors and Bubbles

w14083 Christopher J. Mayer
Karen Pence

Subprime Mortgages: What, Where, and to Whom?

w14082 Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan

Common Risk Factors in Currency Markets

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

Hedge Fund Contagion and Liquidity

w14058 Jennifer Huang
Jiang Wang

Market Liquidity, Asset Prices and Welfare

w14054 A. Craig Burnside
Martin S. Eichenbaum
Isaac Kleshchelski
Sergio Rebelo

Do Peso Problems Explain the Returns to the Carry Trade?

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

Inflation, Monetary Policy and Stock Market Conditions

w14013 Jennifer Huang
Jiang Wang

Liquidity and Market Crashes

w13979 John Geanakoplos
Stephen P. Zeldes

Reforming Social Security with Progressive Personal Accounts

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

How are Preferences Revealed?

w13973 Lauren Cohen
Andrea Frazzini
Christopher Malloy

Sell Side School Ties

w13940 Robert J. Barro
José F. Ursúa

Macroeconomic Crises since 1870

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

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

w13962 Robert J. Shiller
Derivatives Markets for Home Prices

w13944 Andrew Ang
Matthew Rhodes-Kropf
Rui Zhao

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

w13943 John B. Taylor
John C. Williams

A Black Swan in the Money Market

w13904 Stijn Van Nieuwerburgh
Laura Veldkamp

Information Acquisition and Under-Diversification

w13896 Hanno Lustig
Stijn Van Nieuwerburgh
Adrien Verdelhan

The Wealth-Consumption Ratio

w13884 Woodrow T. Johnson
James M. Poterba

Taxes and Mutual Fund Inflows Around Distribution Dates

w13874 Efraim Benmelech
Nittai K. Bergman

Collateral Pricing

w13854 Yacine Aït-Sahalia
Michael W. Brandt

Consumption and Portfolio Choice with Option-Implied State Prices

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

w13825 Yacine Ait-Sahalia
Jialin Yu

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

w13822 Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson

Learning in the Credit Card Market

w13812 Hanno Lustig
Adrien Verdelhan

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

w13811 Francis X. Diebold
Kamil Yilmaz

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

w13806 Robin Greenwood
Dimitri Vayanos

Bond Supply and Excess Bond Returns

w13805 Emmanuel Farhi
Xavier Gabaix

Rare Disasters and Exchange Rates

w13804 Lubos Pastor
Robert F. Stambaugh

Predictive Systems: Living with Imperfect Predictors

w13786 Joseph Chen
Samuel Hanson
Harrison Hong
Jeremy C. Stein

Do Hedge Funds Profit From Mutual-Fund Distress?

w13768 Stephanie E. Curcuru
Tomas Dvorak
Francis E. Warnock

Cross-Border Returns Differentials

w13762 Malcolm Baker
Robin Greenwood
Jeffrey Wurgler

Catering Through Nominal Share Prices

w13739 Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang

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

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

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

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


2007
w13713 Ernesto Reuben
Paola Sapienza
Luigi Zingales

Procrastination and Impatience

w13693 Todd Sinai
Nicholas S. Souleles

Net Worth and Housing Equity in Retirement

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

How Sovereign is Sovereign Credit Risk?

w13656 James J. Choi
David Laibson
Brigitte C. Madrian

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 Forward Premium is Still a Puzzle

w13124 Ulrike Malmendier
Devin Shanthikumar

Do Security Analysts Speak in Two Tongues?

w13121 Lauren Cohen
Andrea Frazzini
Christopher Malloy

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

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 Term Structure of Equity

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 Asymmetric Information Using 'Unused Observables' in Insurance Markets: Evidence from the U.K. Annuity Market

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
João F. Cocco

How Do House Prices Affect Consumption? Evidence From Micro Data

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

w11526 Andrea Frazzini
Owen A. Lamont

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

w11509 Leonid Kogan
Dmitry Livdan
Amir Yaron

Futures Prices in a Production Economy with Investment Constraints

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

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

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

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

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

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

w6002 Olivia S. Mitchell
James M. Poterba
Mark J. Warshawsky

New Evidence on the Money's Worth of Individual Annuities

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

w5962 Lars E. O. Svensson
Inflation Targeting: Some Extensions

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

w5783 Torben G. Andersen
Tim Bollerslev

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

w5752 Torben G. Andersen
Tim Bollerslev

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

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

w5312 Charles Engel
The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence

w5311 Rafael La Porta
Josef Lakonishok
Andrei Shleifer
Robert Vishny

Good News for Value Stocks: Further Evidence on Market Efficiency

w5307 Geert Bekaert
Campbell R. Harvey

Emerging Equity Market Volatility

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

w5227 Andrew B. Abel
Avinash K. Dixit
Janice C. Eberly
Robert S. Pindyck

Options, the Value of Capital, and Investment

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

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

w5141 Benjamin M. Friedman
Economic Implications of Changing Share Ownership

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

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

w4990 Geert Bekaert
Michael S. Urias

Diversification, Integration and Emerging Market Closed-End Funds

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

w4863 G. William Schwert
Mark-Up Pricing in Mergers and Acquisitions

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

w4818 Geert Bekaert
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

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

w4718 James M. Hutchinson
Andrew W. Lo
Tomaso Poggio

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

w4702 Shmuel Kandel
Robert F. Stambaugh

Portfolio Inefficiency and the Cross-Section of Expected Returns

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

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

w4396 Robert J. Shiller
Aggregate Income Risks and Hedging Mechanisms

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

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


1992
w4234 Douglas Elmendorf
Mary Hirshfeld
David Weil

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

t0132 Daniel B. Nelson
Dean P. Foster

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model

w4217 Rene M. Stulz
Walter Wasserfallen

Foreign Equity Investment Restrictions and Shareholder Wealth Maximization

t0128 Kenneth D. West
Hali J. Edison
Dongchul Cho

A Utility Based Comparison of Some Models of Exchange Rate Volatility

w4193 John Y. Campbell
Sanford J. Grossman
Jiang Wang

Trading Volume and Serial Correlation in Stock Returns

w4134 Karen K. Lewis
Martin D. Evans

Do Expected Shifts in Inflation Policy Affect Real Rates?

w4121 David Romer
Rational Asset Price Movements Without News

w4116 Martin D. Evans
Karen K. Lewis

Trends in Expected Returns in Currency and Bond Markets

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

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

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

w4108 Tim Bollerslev
Robert J. Hodrick

Financial Market Efficiency Tests

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

Time Nonseparability in Aggregate Consumption: International Evidence

w4088 John H. Cochrane
Lars Peter Hansen

Asset Pricing Explorations for Macroeconomics

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

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

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

w4054 J. Bradford De Long
Marco Becht

"Excess Volatility" and the German Stock Market, 1876-1990

w4043 Bruce N. Lehmann
Empirical Testing of Asset Pricing Models

w4036 Orley Ashenfelter
David Genesove

Testing for Price Anomalies in Real Estate Auctions

w4025 John H. Cochrane
A Cross-Sectional Test of a Production-Based Asset Pricing Model

w4003 Martin D. Evans
Karen K. Lewis

Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets

w3995 Robert B. Barsky
J. Bradford De Long

Why Does the Stock Market Fluctuate?

w3992 Olivier Jean Blanchard
Philippe Weil

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

w3989 John Y. Campbell
Intertemporal Asset Pricing Without Consumption Data

w3976 Miles Kimball
Philippe Weil

Precautionary Saving and Consumption Smoothing Across Time and Possibilities

w3975 Philippe Weil
Equilibrium Asset Prices With Undiversifiable Labor Income Risk

w3954 Zvi Bodie
Robert C. Merton
William F. Samuelson

Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model


1991
w3937 Mark Schankerman
Revisions and Investment Plans and the Stock Market Rate of Return

w3911 Wen-Ling Lin
Robert F. Engle
Takatoshi Ito

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

w3910 Shang-Jin Wei
Jeffrey A. Frankel

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

w3904 Douglas W. Elmendorf
Miles S. Kimball

Taxation of Labor Income and the Demand For Risky Assets

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

An Ordered Probit Analysis of Transaction Stock Prices

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

w3862 Franklin Allen
Gary Gorton

Stock Price Manipulation, Market Microstructure and Asymmetric Information

w3861 Geert Bekaert
Robert J. Hodrick

On Biases in the Measurement of Foreign Exchange Risk Premiums


Generated Sat Aug 30 00:00:23 2014

 
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