NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Archive of NBER Papers on Asset Pricing

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2014
w20803 Markus K. Brunnermeier
Yuliy Sannikov

International Credit Flows and Pecuniary Externalities
w20813 Boyan Jovanovic
Viktor Tsyrennikov

Trading on Sunspots
w20814 Benjamin Golez
Peter Koudijs

Four Centuries of Return Predictability
w20815 Matti Keloharju
Juhani T. Linnainmaa
Peter Nyberg

Common Factors in Return Seasonalities
w20762 Patrick Bayer
Fernando Ferreira
Stephen L. Ross

Race, Ethnicity and High-Cost Mortgage Lending
w20769 Joel M. David
Espen Henriksen
Ina Simonovska

The Risky Capital of Emerging Markets
w20771 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

Betting the House
w20776 Christopher L. Culp
Yoshio Nozawa
Pietro Veronesi

Option-Based Credit Spreads
w20777 Sergey Chernenko
Samuel G. Hanson
Adi Sunderam

The Rise and Fall of Demand for Securitizations
w20744 Martin Lettau
Sydney C. Ludvigson
Sai Ma

Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
w20746 Julien Hugonnier
Benjamin Lester
Pierre-Olivier Weill

Heterogeneity in Decentralized Asset Markets
w20721 Robert Novy-Marx
Mihail Velikov

A Taxonomy of Anomalies and their Trading Costs
w20726 Laura Alfaro
Anusha Chari
Fabio Kanczuk

The Real Effects of Capital Control Taxes: Firm-Level Evidence from a Policy Experiment
w20712 Stephen Foerster
Juhani T. Linnainmaa
Brian T. Melzer
Alessandro Previtero

Retail Financial Advice: Does One Size Fit All?
w20691 Markus K. Brunnermeier
Alp Simsek
Wei Xiong

A Welfare Criterion for Models with Distorted Beliefs
w20700 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Do Funds Make More When They Trade More?
w20674 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

Does Uncertainty about Management Affect Firms' Costs of Borrowing?
w20678 Anisha Ghosh
George M. Constantinides

Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
w20682 Kewei Hou
Chen Xue
Lu Zhang

A Comparison of New Factor Models
w20660 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Momentum Trading, Return Chasing, and Predictable Crashes
w20665 Daron Acemoglu
Tarek A. Hassan
Ahmed Tahoun

The Power of the Street: Evidence from Egypt's Arab Spring
w20638 Hui Chen
Rui Cui
Zhiguo He
Konstantin Milbradt

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
w20651 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Growth Expectations, Dividend Yields, and Future Stock Returns
w20652 Robert J. Barro
Andrew Mollerus

Safe Assets
w20610 Patrick Bolton
Neng Wang
Jinqiang Yang

Investment Under Uncertainty and the Value of Real and Financial Flexibility
w20613 John H. Cochrane
Monetary Policy with Interest on Reserves
w20616 George Alessandria
Horag Choi
Joseph P. Kaboski
Virgiliu Midrigan

Microeconomic Uncertainty, International Trade, and Aggregate Fluctuations
w20620 Darrell Duffie
Piotr Dworczak
Haoxiang Zhu

Benchmarks in Search Markets
w20623 Veronica Guerrieri
Robert Shimer

Markets with Multidimensional Private Information
w20588 Songzi Du
Haoxiang Zhu

Welfare and Optimal Trading Frequency in Dynamic Double Auctions
w20589 Francis Longstaff
Valuing Thinly-Traded Assets
w20591 Robert Novy-Marx
Understanding Defensive Equity
w20592 Campbell R. Harvey
Yan Liu
Heqing Zhu

. . . and the Cross-Section of Expected Returns
w20608 Benjamin Lester
Guillaume Rocheteau
Pierre-Olivier Weill

Competing for Order Flow in OTC Markets
w20540 Darrell Duffie
Piotr Dworczak

Robust Benchmark Design
w20560 Fatih Guvenen
Greg Kaplan
Jae Song

The Glass Ceiling and The Paper Floor: Gender Differences among Top Earners, 1981-2012
w20421 David Chambers
Elroy Dimson
Justin Foo

Keynes, King's and Endowment Asset Management
w20516 Nicolas S. Lambert
Michael Ostrovsky
Mikhail Panov

Strategic Trading in Informationally Complex Environments
w20480 Andrea M. Buffa
Dimitri Vayanos
Paul Woolley

Asset Management Contracts and Equilibrium Prices
w20486 Eric T. Swanson
John C. Williams

Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
w20459 Asaf Bernstein
Eric Hughson
Marc D. Weidenmier

Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
w20435 Jonathan B. Berk
Jules H. van Binsbergen

Assessing Asset Pricing Models Using Revealed Preference
w20416 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

Entry and Exit in OTC Derivatives Markets
w20418 Sheridan Titman
Ko Wang
Jing Yang

The Dynamics of Housing Prices
w20419 Gara Afonso
Ricardo Lagos

Trade Dynamics in the Market for Federal Funds
w20433 Kent Daniel
Robert J. Hodrick
Zhongjin Lu

The Carry Trade: Risks and Drawdowns
w20437 Lorenz Kueng
Tax News: The Response of Household Spending
to Changes in Expected Taxes
w20439 Kent Daniel
Tobias J. Moskowitz

Momentum Crashes
w20440 William Goetzmann
Elena Mamonova
Christophe Spaenjers

The Economics of Aesthetics and Three Centuries of Art Price Records
w20445 Anna Orlik
Laura Veldkamp

Understanding Uncertainty Shocks and the Role of Black Swans
w20391 Peter Benczur
Cosmin L. Ilut

Evidence for Relational Contracts in Sovereign Bank Lending
w20394 Lars Peter Hansen
Uncertainty Outside and Inside Economic Models
w20408 Cristian Badarinza
John Y. Campbell
Tarun Ramadorai

What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages
w20377 Jianjun Miao
Pengfei Wang
Tao Zha

Liquidity Premia, Price-Rent Dynamics, and Business Cycles
w20345 Alberto Bisin
Piero Gottardi
Guido Ruta

Equilibrium Corporate Finance and Intermediation
w20335 Alan Moreira
Alexi Savov

The Macroeconomics of Shadow Banking
w20339 Jens Hilscher
Alon Raviv
Ricardo Reis

Inflating Away the Public Debt? An Empirical Assessment
w20303 Frank Schorfheide
Dongho Song
Amir Yaron

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
w20319 David Backus
Axelle Ferriere
Stanley Zin

Risk and Ambiguity in Models of Business Cycles
w20282 Itamar Drechsler
Qingyi Freda Drechsler

The Shorting Premium and Asset Pricing Anomalies
w20287 Morris A. Davis
Stijn Van Nieuwerburgh

Housing, Finance and the Macroeconomy
w20294 Tarek A. Hassan
Rui C. Mano

Forward and Spot Exchange Rates in a Multi-currency World
w20298 Lorenz Kueng
Evgeny Yakovlev

How Persistent Are Consumption Habits? Micro-Evidence from Russia
w20268 Bruce I. Carlin
Li Jiang
Stephen A. Spiller

Learning Millennial-Style
w20265 Stefan Nagel
The Liquidity Premium of Near-Money Assets
w20254 Efraim Benmelech
Nittai Bergman
Anna Milanez
Vladimir Mukharlyamov

The Agglomeration of Bankruptcy
w20245 Esben Hedegaard
Robert J. Hodrick

Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
w20246 Marcin Kacperczyk
Jaromir B. Nosal
Luminita Stevens

Investor Sophistication and Capital Income Inequality
w20209 Jaroslav Borovička
Lars P. Hansen
José A. Scheinkman

Misspecified Recovery
w20210 Frederico Belo
Xiaoji Lin
Fan Yang

External Equity Financing Shocks, Financial Flows, and Asset Prices
w20224 Mark Gertler
Peter Karadi

Monetary Policy Surprises, Credit Costs and Economic Activity
w20187 Jaewon Choi
Matthew P. Richardson
Robert F. Whitelaw

On the Fundamental Relation Between Equity Returns and Interest Rates
w20190 Daniel Andrei
Bruce Carlin
Michael Hasler

Model Disagreement and Economic Outlook
w20193 Tarek A. Hassan
Thomas M. Mertens

Information Aggregation in a DSGE Model
w20199 David le Bris
William N. Goetzmann
Sébastien Pouget

Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946
w20176 Stephen G. Dimmock
William C. Gerken
Zoran Ivković
Scott J. Weisbenner

Capital Gains Lock-In and Governance Choices
w20154 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

No-Bubble Condition: Model-free Tests in Housing Markets
w20115 Drew D. Creal
Jing Cynthia Wu

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
w20133 Stefano Giglio
Matteo Maggiori
Johannes Stroebel

Very Long-Run Discount Rates
w20138 Jonathan B. Berk
Jules H. van Binsbergen
Binying Liu

Matching Capital and Labor
w20141 Itamar Drechsler
Alexi Savov
Philipp Schnabl

A Model of Monetary Policy and Risk Premia
w20104 Jaroslav Borovička
Lars P. Hansen
Jose A. Scheinkman

Shock Elasticities and Impulse Responses
w20110 George M. Constantinides
Anisha Ghosh

Asset Pricing with Countercyclical Household Consumption Risk
w20117 Jing Cynthia Wu
Fan Dora Xia

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
w20081 Francesco Bianchi
Cosmin L. Ilut
Martin Schneider

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle
w20070 John Y. Campbell
Carolin Pflueger
Luis M. Viceira

Monetary Policy Drivers of Bond and Equity Risks
w20071 Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi

Do ETFs Increase Volatility?
w20072 Robert F. Stambaugh
Investment Noise and Trends
w20073 Greg Kaplan
Giovanni L. Violante
Justin Weidner

The Wealthy Hand-to-Mouth
w20076 Bernard Herskovic
Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
w20062 Jerry Tsai
Jessica A. Wachter

Rare Booms and Disasters in a Multi-sector Endowment Economy
w20027 Gary B. Gorton
Andrew Metrick
Lei Xie

The Flight from Maturity
w20044 Jess Benhabib
Pengfei Wang

Private Information and Sunspots in Sequential Asset Markets
w20009 Patrick Bolton
Hui Chen
Neng Wang

Debt, Taxes, and Liquidity
w20018 Devin Bunten
Matthew E. Kahn

The Impact of Emerging Climate Risks on Urban Real Estate Price Dynamics
w20000 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
w19984 Nicole Boyson
Rüdiger Fahlenbrach
René M. Stulz

Why Do Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities
w19985 Anne-Laure Delatte
Julien Fouquau
Richard Portes

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
w19969 Esben Hedegaard
Robert J. Hodrick

Estimating the Risk-Return Trade-off with Overlapping Data Inference
w19974 Yongheng Deng
Xin Liu
Shang-Jin Wei

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?
w19975 David Yermack
Yehuda Izhakian

Risk, Ambiguity, and the Exercise of Employee Stock Options
w19981 Jordi Gali
Luca Gambetti

The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
w19957 Peter Koudijs
Hans-Joachim Voth

Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
w19917 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

Foreign Ownership of U.S. Safe Assets: Good or Bad?
w19931 Péter Kondor
Dimitri Vayanos

Liquidity Risk and the Dynamics of Arbitrage Capital
w19927 Ricardo J. Caballero
Emmanuel Farhi

The Safety Trap
w19890 Darrell Duffie
Martin Scheicher
Guillaume Vuillemey

Central Clearing and Collateral Demand
w19892 James D. Hamilton
Jing Cynthia Wu

Effects of Index-Fund Investing on Commodity Futures Prices
w19887 Mervyn King
David Low

Measuring the ''World'' Real Interest Rate
w19891 Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor

Scale and Skill in Active Management
w19864 Fatih Guvenen
Greg Kaplan
Jae Song

How Risky Are Recessions for Top Earners?
w19875 Pablo Kurlat
Johannes Stroebel

Testing for Information Asymmetries in Real Estate Markets
w19871 Robert E. Hall
High Discounts and High Unemployment
w19834 Alexander Ljungqvist
Wenlan Qian

How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation
w19854 Xavier Gabaix
Matteo Maggiori

International Liquidity and Exchange Rate Dynamics
w19798 Hyun-Soo Choi
Harrison Hong
Jeffrey Kubik
Jeffrey P. Thompson

When Real Estate is the Only Game in Town
w19812 Bryan Kelly
Lubos Pastor
Pietro Veronesi

The Price of Political Uncertainty: Theory and Evidence from the Option Market
w19817 Alex Chinco
Christopher Mayer

Misinformed Speculators and Mispricing in the Housing Market
w19818 Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson

Origins of Stock Market Fluctuations
w19778 Roger K. Loh
René M. Stulz

Is Sell-Side Research More Valuable in Bad Times?
w19786 Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel

Political Risk Spreads
w19788 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Dynamic Dispersed Information and the Credit Spread Puzzle
2013
w19738 Krislert Samphantharak
Robert Townsend

Risk and Return in Village Economies
w19728 Jennie Bai
Thomas Philippon
Alexi Savov

Have Financial Markets Become More Informative?
w19704 Javier Bianchi
Enrique G. Mendoza

Optimal Time-Consistent Macroprudential Policy
w19705 Pierre Collin-Dufresne
Michael Johannes
Lars A. Lochstoer

Parameter Learning in General Equilibrium: The Asset Pricing Implications
w19706 Conghui Hu
Wei Xiong

Are Commodity Futures Prices Barometers of the Global Economy?
w19714 Nicholas Bloom
Fluctuations in Uncertainty
w19681 Andrea Frazzini
David Kabiller
Lasse H. Pedersen

Buffett's Alpha
w19684 Efstathios Avdis
Jessica A. Wachter

Maximum likelihood estimation of the equity premium
w19670 Ing-Haw Cheng
Wei Xiong

Why Do Hedgers Trade So Much?
w19633 William Gornall
Ilya A. Strebulaev

Financing as a Supply Chain: The Capital Structure of Banks and Borrowers
w19642 Ing-Haw Cheng
Wei Xiong

The Financialization of Commodity Markets
w19643 Jakub W. Jurek
Erik Stafford

The Cost of Capital for Alternative Investments
w19650 Alessandro Beber
Michael W. Brandt
Maurizio Luisi

Distilling the Macroeconomic News Flow
w19611 Sang Byung Seo
Jessica A. Wachter

Option Prices in a Model with Stochastic Disaster Risk
w19612 Morten Sorensen
Neng Wang
Jinqiang Yang

Valuing Private Equity
w19619 Pierre Collin-Dufresne
Vyacheslav Fos

Moral Hazard, Informed Trading, and Stock Prices
w19623 Hanno Lustig
Andreas Stathopoulos
Adrien Verdelhan

The Term Structure of Currency Carry Trade Risk Premia
w19625 Charles W. Calomiris
Jonathan Pritchett

Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War
w19590 Byeong-Je An
Andrew Ang
Turan G. Bali
Nusret Cakici

The Joint Cross Section of Stocks and Options
w19606 Sumit Agarwal
Itzhak Ben-David
Vincent Yao

Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market
w19564 Li Gan
Qinghua Zhang

Market Thickness and the Impact of Unemployment on Housing Market Outcomes
w19568 Ralph S.J. Koijen
Motohiro Yogo

Shadow Insurance
w19569 Clemens Sialm
Laura Starks
Hanjiang Zhang

Defined Contribution Pension Plans: Sticky or Discerning Money?
w19570 Clemens Sialm
Zheng Sun
Lu Zheng

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
w19531 Yacine Aït-Sahalia
Mehmet Saglam

High Frequency Traders: Taking Advantage of Speed
w19541 Larry G. Epstein
Emmanuel Farhi
Tomasz Strzalecki

How Much Would You Pay to Resolve Long-Run Risk?
w19514 Markus K. Brunnermeier
Martin Oehmke

Predatory Short Selling
w19517 Keith Brown
Cristian Tiu

The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds
w19523 Linda S. Goldberg
Christian Grisse

Time Variation in Asset Price Responses to Macro Announcements
w19500 Kent Smetters
Xingtan Zhang

A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks
w19466 Bryan Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

Firm Volatility in Granular Networks
w19476 John H. Cochrane
The New-Keynesian Liquidity Trap
w19456 Kyle Jurado
Sydney C. Ludvigson
Serena Ng

Measuring Uncertainty
w19459 Andrew Ang
Richard C. Green
Yuhang Xing

Advance Refundings of Municipal Bonds
w19460 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
w19421 Hui Chen
Michael Michaux
Nikolai Roussanov

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
w19417 Paul Asquith
Thom Covert
Parag Pathak

The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market
w19429 Lauren Cohen
Dong Lou
Christopher Malloy

Playing Favorites: How Firms Prevent the Revelation of Bad News
w19436 Andrew Ang
Dimitris Papanikolaou
Mark Westerfield

Portfolio Choice with Illiquid Assets
w19400 Yuming Fu
Wenlan Qian
Bernard Yeung

Speculative Investors and Tobin's Tax in the Housing Market
w19416 Ian Dew-Becker
Stefano Giglio

Asset Pricing in the Frequency Domain: Theory and Empirics
w19371 Robert Ready
Nikolai Roussanov
Colin Ward

Commodity Trade and the Carry Trade: a Tale of Two Countries
w19375 Bryan Kelly
Hao Jiang

Tail Risk and Asset Prices
w19381 Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
w19382 Zheng Liu
Jianjun Miao
Tao Zha

Land Prices and Unemployment
w19383 Avanidhar Subrahmanyam
Sheridan Titman

Financial Market Shocks and the Macroeconomy
w19389 Arvind Krishnamurthy
Stefan Nagel

Interpreting Repo Statistics in the Flow of Funds Accounts
w19349 Wayne E. Ferson
Jerchern Lin

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
w19354 Bo Zhao
Rational Housing Bubble
w19358 Ulf Brüggemann
Aditya Kaul
Christian Leuz
Ingrid M. Werner

The Twilight Zone: OTC Regulatory Regimes and Market Quality
w19360 David Backus
Mikhail Chernov
Stanley E. Zin

Identifying Taylor Rules in Macro-Finance Models
w19362 Anton Korinek
Enrique G. Mendoza

From Sudden Stops to Fisherian Deflation: Quantitative Theory and Policy Implications
w19327 Chong Wang
Neng Wang
Jinqiang Yang

Investment, Tobin's q, and Interest Rates
w19325 Ralph S.J. Koijen
Tobias J. Moskowitz
Lasse Heje Pedersen
Evert B. Vrugt

Carry
w19330 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

CEO Investment Cycles
w19343 Harald Uhlig
Sovereign Default Risk and Banks in a Monetary Union
w19347 Arthur Korteweg
Stefan Nagel

Risk-Adjusting the Returns to Venture Capital
w19284 Luigi Guiso
Paola Sapienza
Luigi Zingales

Time Varying Risk Aversion
w19290 Yen-cheng Chang
Harrison Hong
Inessa Liskovich

Regression Discontinuity and the Price Effects of Stock Market Indexing
w19292 Gary B. Gorton
Andrew Metrick

The Federal Reserve and Financial Regulation: The First Hundred Years
w19309 Andrew Ang
Assaf A. Shtauber
Paul C. Tetlock

Asset Pricing in the Dark: The Cross Section of OTC Stocks
w19246 Robin Greenwood
Samuel Hanson

Waves in Ship Prices and Investment
w19258 Robert J. Barro
Environmental Protection, Rare Disasters, and Discount Rates
w19238 Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig

Deflation Risk
w19240 Pierre-Olivier Gourinchas
Hélène Rey

External Adjustment, Global Imbalances and Valuation Effects
w19204 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

Measuring the Financial Soundness of U.S. Firms, 1926-2012
w19207 Nicolas Petrosky-Nadeau
Lu Zhang

Unemployment Crises
w19208 Nicolas Petrosky-Nadeau
Lu Zhang

Solving the DMP Model Accurately
w19194 Andrew Ang
Neil Nabar
Sam Wald

Search for a Common Factor in Public and Private Real Estate Returns
w19167 Gonzalo Cortazar
Ivo Kovacevic
Eduardo S. Schwartz

Commodity and Asset Pricing Models: An Integration
w19189 Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer

X-CAPM: An Extrapolative Capital Asset Pricing Model
w19146 Rajnish Mehra
Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy
w19155 Adrian Buss
Bernard Dumas

Financial-market Equilibrium with Friction
w19156 David S. Scharfstein
Adi Sunderam

Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates
w19117 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Finance and the Preservation of Wealth
w19103 Robin L. Lumsdaine
Rogier J.D. Potter van Loon

Wall Street vs. Main Street: An Evaluation of Probabilities
w19095 Lieven Baele
Geert Bekaert
Koen Inghelbrecht
Min Wei

Flights to Safety
w19065 Nicole M. Aulerich
Scott H. Irwin
Philip Garcia

Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
w19068 Elena Asparouhova
Peter Bossaerts
Nilanjan Roy
William Zame

'Lucas' In The Laboratory
w19056 James D. Hamilton
Jing Cynthia Wu

Risk Premia in Crude Oil Futures Prices
w19030 Andrew Ang
Bingxu Chen
Suresh Sundaresan

Liability Investment with Downside Risk
w19037 Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright

Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices.
w19039 Viral V. Acharya
Sascha Steffen

The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
w18995 Geert Bekaert
Marie Hoerova

The VIX, the Variance Premium and Stock Market Volatility
w18984 Karthik Balakrishnan
Mary B. Billings
Bryan T. Kelly
Alexander Ljungqvist

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
w18951 Christopher R. Knittel
Robert S. Pindyck

The Simple Economics of Commodity Price Speculation
w18954 S. Boraǧan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song

Improving GDP Measurement: A Measurement-Error Perspective
w18944 John H. Cochrane
Finance: Function Matters, not Size.
w18922 Stéphane Guibaud
Yves Nosbusch
Dimitri Vayanos

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
w18903 Jongha Lim
Berk A. Sensoy
Michael S. Weisbach

Indirect Incentives of Hedge Fund Managers
w18904 Ing-Haw Cheng
Sahil Raina
Wei Xiong

Wall Street and the Housing Bubble
w18906 Michael Sockin
Wei Xiong

Informational Frictions and Commodity Markets
w18905 Wei Xiong
Bubbles, Crises, and Heterogeneous Beliefs
w18912 Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill

The Market for OTC Derivatives
w18914 Stefano Giglio
Kelly Shue

No News is News: Do Markets Underreact to Nothing?
w18882 Yihui Pan
Tracy Yue Wang
Michael S. Weisbach

Learning about CEO Ability and Stock Return Volatility
w18870 Ulrich Mueller
Mark W. Watson

Measuring Uncertainty about Long-Run Prediction
w18836 Holger Kraft
Eduardo S. Schwartz
Farina Weiss

Growth Options and Firm Valuation
w18843 Tomasz Piskorski
Amit Seru
James Witkin

Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market
w18845 Peter Koudijs
'Those Who Know Most': Insider Trading in 18th c. Amsterdam
w18844 Martin Lettau
Matteo Maggiori
Michael Weber

Conditional Risk Premia in Currency Markets and Other Asset Classes
w18860 Yuriy Gorodnichenko
Michael Weber

Are Sticky Prices Costly? Evidence From The Stock Market
w18831 Peter Koudijs
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment
w18774 Urban Jermann
A Production-Based Model for the Term Structure
w18768 John H. Cochrane
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
w18764 Veronika K. Pool
Clemens Sialm
Irina Stefanescu

It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans
w18759 Robert J. Barro
Sanjay P. Misra

Gold Returns
w18725 Jacob Boudoukh
Ronen Feldman
Shimon Kogan
Matthew Richardson

Which News Moves Stock Prices? A Textual Analysis
w18732 Gary B. Gorton
Guillermo Ordoñez

The Supply and Demand for Safe Assets
w18706 Claude B. Erb
Campbell R. Harvey

The Golden Dilemma
w18708 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience and Asset Prices
w18724 Robert L. McDonald
Measuring Margin
w18667 Karl E. Case
John M. Quigley
Robert J. Shiller

Wealth Effects Revisited: 1975-2012
w18686 Robin Greenwood
Andrei Shleifer

Expectations of Returns and Expected Returns
w18671 Leonid Kogan
Dimitris Papanikolaou
Noah Stoffman

Winners and Losers: Creative Destruction and the Stock Market
w18680 James J. Choi
Li Jin
Hongjun Yan

Informed Trading and Expected Returns
2012
w18627 Karen K. Lewis
Sandy Lai

Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks
w18646 A. Craig Burnside
Jeremy J. Graveline

On the Asset Market View of Exchange Rates
w18647 Roger E.A. Farmer
Carine Nourry
Alain Venditti

The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
w18611 Gary Gorton
Andrew Metrick

Securitization
w18617 Rui Albuquerque
Martin S. Eichenbaum
Sergio Rebelo

Valuation Risk and Asset Pricing
w18619 Bruce I. Carlin
Francis A. Longstaff
Kyle Matoba

Disagreement and Asset Prices
w18621 Nicholas C. Barberis
Thirty Years of Prospect Theory in Economics: A Review and Assessment
w18609 Sumit Agarwal
Efraim Benmelech
Nittai Bergman
Amit Seru

Did the Community Reinvestment Act (CRA) Lead to Risky Lending?
w18554 Stefan Nagel
Empirical Cross-Sectional Asset Pricing
w18555 Zhi Da
Ravi Jagannathan
Jianfeng Shen

Building Castles in the Air: Evidence from Industry IPO Waves
w18558 Andrea Frazzini
Lasse H. Pedersen

Embedded Leverage
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
w18541 Takatoshi Ito
Kenta Yamada
Misako Takayasu
Hideki Takayasu

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
w18547 Harrison Hong
David Sraer

Quiet Bubbles
w18548 Harrison Hong
David Sraer

Speculative Betas
w18549 Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin

Repo and Securities Lending
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
w18450 Frederico Belo
Pierre Collin-Dufresne
Robert S. Goldstein

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
w18451 Pierre Collin-Dufresne
Vyacheslav Fos

Insider Trading, Stochastic Liquidity and Equilibrium Prices
w18452 Pierre Collin-Dufresne
Vyacheslav Fos

Do prices reveal the presence of informed trading?
w18455 Gary B. Gorton
Andrew Metrick

Who Ran on Repo?
w18435 Kewei Hou
Chen Xue
Lu Zhang

Digesting Anomalies: An Investment Approach
w18400 Karl E. Case
Robert J. Shiller
Anne Thompson

What Have They Been Thinking? Home Buyer Behavior in Hot and Cold Markets
w18406 Florian Scheuer
Adverse Selection In Credit Markets and Regressive Profit Taxation
w18408 Zhiguo He
Konstantin Milbradt

Endogenous Liquidity and Defaultable Bonds
w18411 John Y. Campbell
Stefano Giglio
Christopher Polk
Robert Turley

An Intertemporal CAPM with Stochastic Volatility
w18382 Charles Engel
Nelson C. Mark
Kenneth D. West

Factor Model Forecasts of Exchange Rates
w18398 Markus K. Brunnermeier
Martin Oehmke

Bubbles, Financial Crises, and Systemic Risk
w18391 Francis X. Diebold
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
w18394 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
w18397 Gary B. Gorton
Some Reflections on the Recent Financial Crisis
w18357 Ravi Bansal
Ivan Shaliastovich

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
w18358 Michael J. Fishman
Jonathan A. Parker

Valuation, Adverse Selection, and Market Collapses
w18367 Hui Chen
Yu Xu
Jun Yang

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads
w18339 John Y. Campbell
Mortgage Market Design
w18300 Jeffrey Brown
Chichun Fang
Francisco Gomes

Risk and Returns to Education
w18304 Efraim Benmelech
An Empirical Analysis of the Fed's Term Auction Facility
w18305 Ravi Bansal
Dana Kiku
Amir Yaron

Risks For the Long Run: Estimation with Time Aggregation
w18312 Lauren Cohen
Umit G. Gurun
Christopher J. Malloy

Resident Networks and Firm Trade
w18321 Ralph S.J. Koijen
Motohiro Yogo

The Cost of Financial Frictions for Life Insurers
w18291 Lauren Cohen
Karl B. Diether
Christopher Malloy

Legislating Stock Prices
w18251 Dimitri Vayanos
Jiang Wang

Market Liquidity -- Theory and Empirical Evidence
w18231 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
w18241 Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman

Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment
w18247 Kenneth D. West
Econometric Analysis of Present Value Models When the Discount Factor Is near One
w18222 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Prediction Markets for Economic Forecasting
w18169 Kent Daniel
Ravi Jagannathan
Soohun Kim

Tail Risk in Momentum Strategy Returns
w18174 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Money Doctors
w18173 William N. Goetzmann
Sharon Oster

Competition Among University Endowments
w18181 John H. Cochrane
Continuous-Time Linear Models
w18184 Jonathan B. Berk
Jules H. van Binsbergen

Measuring Managerial Skill in the Mutual Fund Industry
w18137 André de Souza
Anthony W. Lynch

Does Mutual Fund Performance Vary over the Business Cycle?
w18128 Emi Nakamura
Dmitriy Sergeyev
Jón Steinsson

Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
w18135 Christopher T. Downing
Francis A. Longstaff
Michael A. Rierson

Inflation Tracking Portfolios
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
w18057 Tarek Alexander Hassan
Country Size, Currency Unions, and International Asset Returns
w18063 Robert Novy-Marx
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars
w18066 Mark Huggett
Greg Kaplan

The Money Value of a Man
w18077 Thomas Philippon
Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation
w18050 Martijn Cremers
Antti Petajisto
Eric Zitzewitz

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
w18035 Fatih Guvenen
Serdar Ozkan
Jae Song

The Nature of Countercyclical Income Risk
w18046 Torben G. Andersen
Nicola Fusari
Viktor Todorov

Parametric Inference and Dynamic State Recovery from Option Panels
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
w17935 Zhiguo He
Wei Xiong

Debt Financing in Asset Markets
w17951 Hilary W. Hoynes
Douglas L. Miller
Jessamyn Schaller

Who Suffers During Recessions?
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
w17872 Karen K. Lewis
Edith X. Liu

International Consumption Risk Is Shared After All: An Asset Return View
w17874 Robert S. Harris
Tim Jenkinson
Steven N. Kaplan

Private Equity Performance: What Do We Know?
w17843 James J. Choi
Emily Haisley
Jennifer Kurkoski
Cade Massey

Small Cues Change Savings Choices
w17848 Wayne E. Ferson
Suresh K. Nallareddy
Biqin Xie

The "Out of Sample" Performance of Long-run Risk Models
w17854 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective
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
w17761 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience in Experimental Tests of the Endowment Effect
w17768 Arvind Krishnamurthy
Stefan Nagel
Dmitry Orlov

Sizing Up Repo
w17769 Leonid Kogan
Dimitris Papanikolaou
Amit Seru
Noah Stoffman

Technological Innovation, Resource Allocation, and Growth
w17771 Gary B. Gorton
Guillermo Ordonez

Collateral Crises
w17772 James D. Hamilton
Jing Cynthia Wu

Identification and Estimation of Gaussian Affine Term Structure Models
w17777 Gary B. Gorton
Stefan Lewellen
Andrew Metrick

The Safe-Asset Share
w17778 Gary B. Gorton
Andrew Metrick

Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide
w17742 Lars-Alexander Kuehn
Nicolas Petrosky-Nadeau
Lu Zhang

An Equilibrium Asset Pricing Model with Labor Market Search
w17751 Jack Favilukis
David Kohn
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

International Capital Flows and House Prices: Theory and Evidence
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
w17686 Eric van Wincoop
International Contagion Through Leveraged Financial Institutions
w17691 Nicolas Coeurdacier
Hélène Rey

Home Bias in Open Economy Financial Macroeconomics
w17652 Emiliano Pagnotta
Thomas Philippon

Competing on Speed
w17653 Stefan Nagel
Evaporating Liquidity
w17613 Robert Novy-Marx
Logical Implications of GASB's Methodology for Valuing Pension Liabilities
w17615 Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp

Time-Varying Fund Manager Skill
w17622 Fatih Guvenen
Macroeconomics With Heterogeneity: A Practical Guide
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
w17558 Viral V. Acharya
A Transparency Standard for Derivatives
w17560 Nicolas Coeurdacier
Pierre-Olivier Gourinchas

When Bonds Matter: Home Bias in Goods and Assets
w17561 Andrew Ang
Dennis Kristensen

Testing Conditional Factor Models
w17563 Ian Martin
The Lucas Orchard
w17564 Ian Martin
The Forward Premium Puzzle in a Two-Country World
w17566 Fernando E. Alvarez
Francesco Lippi

Persistent Liquidity Effects and Long Run Money Demand
w17568 Wonho Wilson Choi
Andrew Metrick
Ayako Yasuda

A Model of Private Equity Fund Compensation
w17574 Ravi Bansal
Marcelo Ochoa

Welfare Costs of Long-Run Temperature Shifts
w17575 Ravi Bansal
Marcelo Ochoa

Temperature, Aggregate Risk, and Expected Returns
w17555 Arvind Krishnamurthy
Annette Vissing-Jorgensen

The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy
w17537 Karsten Jeske
Dirk Krueger
Kurt Mitman

Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises
w17548 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

A Theory of Asset Pricing Based on Heterogeneous Information
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
w17500 Yiting Li
Guillaume Rocheteau
Pierre-Olivier Weill

Liquidity and the Threat of Fraudulent Assets
w17506 Alp Simsek
Speculation and Risk Sharing with New Financial Assets
w17454 Tobias Adrian
Markus K. Brunnermeier

CoVaR
w17484 Ravi Jagannathan
Srikant Marakani

Price Dividend Ratio Factors : Proxies for Long Run Risk
w17490 Francis X. Diebold
Kamil Yilmaz

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
w17491 Diane Del Guercio
Jonathan Reuter

Mutual Fund Performance and the Incentive to Generate Alpha
w17464 Lubos Pastor
Pietro Veronesi

Political Uncertainty and Risk Premia
w17416 Jules H. van Binsbergen
Wouter Hueskes
Ralph Koijen
Evert B. Vrugt

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

Improving GDP Measurement: A Forecast Combination Perspective
w17422 Jakub W. Jurek
Erik Stafford

Crashes and Collateralized Lending
w17424 Yuriy Gorodnichenko
Anna Mikusheva
Serena Ng

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
w17428 David T. Robinson
Berk A. Sensoy

Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity
w17353 Pierre-Olivier Gourinchas
Hélène Rey
Kai Truempler

The Financial Crisis and The Geography of Wealth Transfers
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
w17315 Gene Amromin
Jennifer Huang
Clemens Sialm
Edward Zhong

Complex Mortgages
w17321 Marcin Kacperczyk
Philipp Schnabl

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds
w17323 Stephen A. Ross
The Recovery Theorem
w17325 Ralph Koijen
Stijn Van Nieuwerburgh
Motohiro Yogo

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
w17328 Robert J. Barro
José F. Ursua

Rare Macroeconomic Disasters
w17330 Elias Albagli
Christian Hellwig
Aleh Tsyvinski

Information Aggregation, Investment, and Managerial Incentives
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
w17295 Darrell Duffie
Semyon Malamud
Gustavo Manso

Information Percolation in Segmented Markets
w17296 Darrell Duffie
Bruno Strulovici

Capital Mobility and Asset Pricing
w17280 Darrell Duffie
Yeneng Sun

The Exact Law of Large Numbers for Independent Random Matching
w17281 Darrell Duffie
Systemic Risk Exposures: A 10-by-10-by-10 Approach
w17285 Xiaoji Lin
Lu Zhang

Covariances versus Characteristics in General Equilibrium
w17292 Clemens Sialm
T. Mandy Tham

Spillover Effects in Mutual Fund Companies
w17277 François Gourio
Michael Siemer
Adrien Verdelhan

International Risk Cycles
w17278 Craig Burnside
Carry Trades and Risk
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
w17197 Robin Greenwood
Samuel G. Hanson

Issuer Quality and the Credit Cycle
w17199 Ngoc-Khanh Tran
Richard J. Zeckhauser

The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
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?
w17121 Geert Bekaert
Michael Ehrmann
Marcel Fratzscher
Arnaud J. Mehl

Global Crises and Equity Market Contagion
w17122 Yael V. Hochberg
Joshua D. Rauh

Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments
w17130 Xiaohong Chen
Jack Favilukis
Sydney C. Ludvigson

An Estimation of Economic Models with Recursive Preferences
w17133 Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò

Risk, Monetary Policy and the Exchange Rate
w17136 Viral V. Acharya
Itamar Drechsler
Philipp Schnabl

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk
w17149 Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
w17150 Òscar Jordà
Alan M. Taylor

Performance Evaluation of Zero Net-Investment Strategies
w17152 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
w17115 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

A Model of Shadow Banking
w17116 Charles Engel
The Real Exchange Rate, Real Interest Rates, and the Risk Premium
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
w17007 Robert J. Shiller
Rafal M. Wojakowski
M. Shahid Ebrahim
Mark B. Shackleton

Continuous Workout Mortgages
w17021 Simon Gilchrist
Egon Zakrajšek

Credit Spreads and Business Cycle Fluctuations
w17025 Jialun Li
Kent Smetters

Optimal Portfolio Choice with Wage-Indexed Social Security
w17026 Francois Gourio
Credit Risk and Disaster Risk
w17027 Tarek A. Hassan
Thomas M. Mertens

The Social Cost of Near-Rational Investment
w16982 Andrew Ang
Francis A. Longstaff

Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
w16995 Viral V. Acharya
Sergei A. Davydenko
Ilya A. Strebulaev

Cash Holdings and Credit Risk
w17000 Viral V. Acharya
Alberto Bisin

Counterparty Risk Externality: Centralized Versus Over-the-counter Markets
w16996 Martin Lettau
Sydney C. Ludvigson

Shocks and Crashes
w16965 Thomas Philippon
Virgiliu Midrigan

Household Leverage and the Recession
w16972 John H. Cochrane
Discount Rates
w16976 G. William Schwert
Stock Volatility During the Recent Financial Crisis
w16956 James D. Hamilton
Jing Cynthia Wu

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
w16949 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

How Prediction Markets Can Save Event Studies
w16950 Anthony W. Lynch
Oliver Randall

Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
w16952 Arindrajit Dube
Ethan Kaplan
Suresh Naidu

Coups, Corporations, and Classified Information
w16931 James D. Hamilton
Jing Cynthia Wu

Testable Implications of Affine Term Structure Models
w16941 Isil Erel
Brandon Julio
Woojin Kim
Michael S. Weisbach

Macroeconomic Conditions and Capital Raising
w16942 Craig Burnside
Martin S. Eichenbaum
Sergio Rebelo

Carry Trade and Momentum in Currency Markets
w16911 Xavier Gabaix
A Sparsity-Based Model of Bounded Rationality
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
w16906 Hui Chen
Scott Joslin

Generalized Transform Analysis of Affine Processes and Applications in Finance
w16884 Ian Martin
Simple Variance Swaps
w16892 Carolin E. Pflueger
Luis M. Viceira

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
w16868 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking?
w16875 Viral V. Acharya
Lars A. Lochstoer
Tarun Ramadorai

Limits to Arbitrage and Hedging: Evidence from Commodity Markets
w16842 Yingcong Lan
Neng Wang
Jinqiang Yang

The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation
w16843 Chong Wang
Neng Wang
Jinqiang Yang

A Unified Model of Entrepreneurship Dynamics
w16801 Andrew Ang
Sergiy Gorovyy
Gregory B. van Inwegen

Hedge Fund Leverage
w16808 Patrick Bolton
Hui Chen
Neng Wang

Market Timing, Investment, and Risk Management
w16810 Sydney C. Ludvigson
Advances in Consumption-Based Asset Pricing: Empirical Tests
w16788 Qingyuan Du
Shang-Jin Wei

A Darwinian Perspective on "Exchange Rate Undervaluation"
w16774 Ellen R. McGrattan
Transition to FDI Openness: Reconciling Theory and Evidence
w16777 Nicolae Gârleanu
Lasse Heje Pedersen

Margin-Based Asset Pricing and Deviations from the Law of One Price
w16764 Alexander David
Pietro Veronesi

Investors' and Central Bank's Uncertainty Embedded in Index Options
w16770 Ravi Jagannathan
Iwan Meier
Vefa Tarhan

The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
w16726 Bernard Dumas
Karen K. Lewis
Emilio Osambela

Differences of Opinion and International Equity Markets
w16734 Craig Burnside
Martin Eichenbaum
Sergio Rebelo

Understanding Booms and Busts in Housing Markets
w16737 Hans B. Christensen
Luzi Hail
Christian Leuz

Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement
w16747 Laura Xiaolei Liu
Lu Zhang

A Model of Momentum
w16712 Harrison Hong
Motohiro Yogo

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
w16716 Jeffrey LaFrance
Rulon Pope
Jesse Tack

Risk Response in Agriculture
w16696 Pierre-André Chiappori
Krislert Samphantharak
Sam Schulhofer-Wohl
Robert M. Townsend

Heterogeneity and Risk Sharing in Village Economies
2010
w16648 Ralph S.J. Koijen
Stijn Van Nieuwerburgh

Predictability of Returns and Cash Flows
w16652 Andrew Metrick
Ayako Yasuda

Venture Capital and Other Private Equity: A Survey
w16633 Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò

Second-Order Approximation of Dynamic Models with Time-Varying Risk
w16634 Craig Burnside
Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns
w16607 Markus K. Brunnermeier
Martin Oehmke

The Maturity Rat Race
w16628 Bruno Biais
Johan Hombert
Pierre-Olivier Weill

Trading and Liquidity with Limited Cognition
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?
w16601 Andrea Frazzini
Lasse H. Pedersen

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

The European Union, the Euro, and Equity Market Integration
w16586 Christopher J. Mayer
Tomasz Piskorski
Alexei Tchistyi

The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers
w16549 Anders B. Trolle
Eduardo S. Schwartz

An Empirical Analysis of the Swaption Cube
w16553 Priyank Gandhi
Hanno Lustig

Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
w16559 Charles W. Calomiris
Inessa Love
Maria Soledad Martinez Peria

Crisis "Shock Factors" and the Cross-Section of Global Equity Returns
w16531 Andrew Paciorek
Todd M. Sinai

Does Home Owning Smooth the Variability of Future Housing Consumption?
w16534 Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz

What Does Equity Sector Orderflow Tell Us about the Economy?
w16485 Viral V. Acharya
Peter M. DeMarzo
Ilan Kremer

Endogenous Information Flows and the Clustering of Announcements
w16491 Travis J. Berge
Òscar Jordà
Alan M. Taylor

Currency Carry Trades
w16469 Francis X. Diebold
Georg Strasser

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
w16454 Lauren Cohen
Christopher Malloy
Lukasz Pomorski

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

On the Timing and Pricing of Dividends
w16457 Stefan Nagel
Kenneth J. Singleton

Estimation and Evaluation of Conditional Asset Pricing Models
w16458 Antje Berndt
Hanno Lustig
Sevin Yeltekin

How Does the U.S. Government Finance Fiscal Shocks?
w16468 Xing Hu
Jun Pan
Jiang Wang

Noise as Information for Illiquidity
w16437 Lauren Cohen
Christopher Malloy

Friends in High Places
w16427 Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan

Countercyclical Currency Risk Premia
w16385 Ke Tang
Wei Xiong

Index Investment and Financialization of Commodities
w16387 Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer

Salience Theory of Choice Under Risk
w16394 Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath

Liquidity Risk of Corporate Bond Returns: A Conditional Approach
w16395 Viral V. Acharya
Ouarda Merrouche

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis
w16397 Geert Bekaert
Marie Hoerova
Marco Lo Duca

Risk, Uncertainty and Monetary Policy
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
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
w16335 Steven N. Kaplan
Tobias J. Moskowitz
Berk A. Sensoy

The Effects of Stock Lending on Security Prices: An Experiment
w16336 Frederico Belo
Chen Xue
Lu Zhang

Cross-sectional Tobin's Q
w16337 Adam Ashcraft
Nicolae Gârleanu
Lasse Heje Pedersen

Two Monetary Tools: Interest Rates and Haircuts
w16302 George M. Constantinides
Michal Czerwonko
Jens Carsten Jackwerth
Stylianos Perrakis

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
w16312 Diane Del Guercio
Jonathan Reuter
Paula A. Tkac

Broker Incentives and Mutual Fund Market Segmentation
w16316 Jessica A. Wachter
Motohiro Yogo

Why Do Household Portfolio Shares Rise in Wealth?
w16319 Omar Al-Ubaydli
John A. List
Michael K. Price

The Nature of Excess: Using Randomized Treatments to Investigate Price Dynamics
w16282 Paul Asquith
Andrea S. Au
Thomas R. Covert
Parag A. Pathak

The Market for Borrowing Corporate Bonds
w16263 Jules H. van Binsbergen
Ralph S.J. Koijen

Predictive Regressions: A Present-value Approach
w16264 S. Boragan Aruoba
Francis X. Diebold
M. Ayhan Kose
Marco E. Terrones

Globalization, the Business Cycle, and Macroeconomic Monitoring
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
w16206 Richard Stanton
Nancy Wallace

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009
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
w16219 Ian Martin
The Valuation of Long-Dated Assets
w16222 John Y. Campbell
Stefano Giglio
Christopher Polk

Hard Times
w16223 Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
w16187 Bruce I. Carlin
Shimon Kogan

Trading Complex Assets
w16200 Efraim Benmelech
Nittai K. Bergman

Credit Traps
w16175 Antje Berndt
Burton Hollifield
Patrik Sandås

The Role of Mortgage Brokers in the Subprime Crisis
w16181 Larry G. Epstein
Martin Schneider

Ambiguity and Asset Markets
w16183 Anisha Ghosh
George M. Constantinides

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
w16145 Christopher L. House
Yusufcan Masatlioglu

Managing Markets for Toxic Assets
w16151 Hui Chen
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
w16153 Ian Martin
Consumption-Based Asset Pricing with Higher Cumulants
w16159 Philippe Bacchetta
Cédric Tille
Eric van Wincoop

Self-Fulfilling Risk Panics
a0652 Monika Piazzesi
Asset Pricing
w16128 Lubos Pastor
Pietro Veronesi

Uncertainty about Government Policy and Stock Prices
w16087 John H. Cochrane
Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic
w16094 Patrick Bolton
Christopher Harris

The Dynamics of Optimal Risk Sharing
w16068 Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny

Neglected Risks, Financial Innovation, and Financial Fragility
w16073 Nikolai Roussanov
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns
w16058 Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang

Aggregate Idiosyncratic Volatility
w16061 Rajnish Mehra
Indian Equity Markets: Measures of Fundamental Value
w16063 Daniel Paravisini
Veronica Rappoport
Enrichetta Ravina

Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios
w16035 Hui Chen
Scott Joslin
Ngoc-Khanh Tran

Rare Disasters and Risk Sharing with Heterogeneous Beliefs
w16042 Brock Mendel
Andrei Shleifer

Chasing Noise
w16008 Andrew Ang
Vineer Bhansali
Yuhang Xing

Build America Bonds
w15988 Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
w15992 Hernán Ortiz-Molina
Gordon M. Phillips

Asset Liquidity and the Cost of Capital
w15993 Huseyin Gulen
Yuhang Xing
Lu Zhang

Value versus Growth: Time-Varying Expected Stock Returns
w15998 Raj Chetty
Adam Szeidl

The Effect of Housing on Portfolio Choice
w15940 Robert Novy-Marx
The Other Side of Value: Good Growth and the Gross Profitability Premium
w15948 Robin Greenwood
Samuel Hanson

Characteristic Timing
w15950 Jin Ginger Wu
Lu Zhang

Does Risk Explain Anomalies? Evidence from Expected Return Estimates
w15919 Zhiguo He
In Gu Khang
Arvind Krishnamurthy

Balance Sheet Adjustments in the 2008 Crisis
w15920 Emi Nakamura
Jón Steinsson
Robert Barro
José Ursúa

Crises and Recoveries in an Empirical Model of Consumption Disasters
w15923 Erik Snowberg
Justin Wolfers

Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
w15925 Daniel J. Benjamin
James J. Choi
Geoffrey W. Fisher

Religious Identity and Economic Behavior
w15937 Andrew Ang
Nicolas P.B. Bollen

Locked Up by a Lockup: Valuing Liquidity as a Real Option
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
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
w15866 Craig Burnside
Bing Han
David Hirshleifer
Tracy Yue Wang

Investor Overconfidence and the Forward Premium Puzzle
w15837 Viral V. Acharya
S. Viswanathan

Leverage, Moral Hazard and Liquidity
w15839 Lauren Cohen
Joshua D. Coval
Christopher Malloy

Do Powerful Politicians Cause Corporate Downsizing?
w15848 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Corporate Bond Default Risk: A 150-Year Perspective
w15850 Yacine Aït-Sahalia
Julio Cacho-Diaz
Roger J.A. Laeven

Modeling Financial Contagion Using Mutually Exciting Jump Processes
w15821 Denis Gromb
Dimitri Vayanos

Limits of Arbitrage: The State of the Theory
w15835 Fernando E. Alvarez
Luigi Guiso
Francesco Lippi

Durable consumption and asset management with transaction and observation costs
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
w15805 Stavros Panageas
Optimal retirement benefit guarantees
w15806 Gara Afonso
Anna Kovner
Antoinette Schoar

Stressed not Frozen: The Fed Funds Market in the Financial Crisis
w15807 Holger Kraft
Eduardo S. Schwartz

Cash Flow Multipliers and Optimal Investment Decisions
w15783 Robert S. Gibbons
Richard T. Holden
Michael L. Powell

Rational-Expectations Equilibrium in Intermediate Good Markets
w15787 Gary B. Gorton
Questions and Answers about the Financial Crisis
w15759 David Laibson
Johanna Mollerstrom

Capital Flows, Consumption Booms and Asset Bubbles: A Behavioural Alternative to the Savings Glut Hypothesis
w15730 Viral V. Acharya
Philipp Schnabl
Gustavo Suarez

Securitization without risk transfer
w15733 Pierre Collin-Dufresne
Robert S. Goldstein
Jean Helwege

Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.
w15734 Pierre Collin-Dufresne
Robert S. Goldstein
Fan Yang

On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
w15688 Ralph S.J. Koijen
Hanno Lustig
Stijn Van Nieuwerburgh

The Cross-Section and Time-Series of Stock and Bond Returns
w15708 Efraim Benmelech
Nittai K. Bergman

Bankruptcy and the Collateral Channel
w15709 Jonathan Berk
Johan Walden

Limited Capital Market Participation and Human Capital Risk
w15662 Ricardo Reis
Interpreting the Unconventional U.S. Monetary Policy of 2007-09
w15668 Isaac Ehrlich
Jong Kook Shin
Yong Yin

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
w15674 Viral V. Acharya
Douglas Gale
Tanju Yorulmazer

Rollover Risk and Market Freezes
w15646 Lubos Pastor
Robert F. Stambaugh

On the Size of the Active Management Industry
w15653 Zhiguo He
Wei Xiong

Rollover Risk and Credit Risk
w15657 S. Boragan Aruoba
Francis X. Diebold

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
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?
w15542 Arvind Krishnamurthy
How Debt Markets have Malfunctioned in the Crisis
w15545 Alex Edmans
Xavier Gabaix

Tractability in Incentive Contracting
w15533 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
w15538 Marcin Kacperczyk
Philipp Schnabl

When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009
w15504 Ravi Bansal
Dana Kiku
Amir Yaron

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
w15506 Jaroslav Borovička
Lars Peter Hansen
Mark Hendricks
José A. Scheinkman

Risk Price Dynamics
w15513 Mikhail Golosov
Guido Lorenzoni
Aleh Tsyvinski

Decentralized Trading with Private Information
w15479 Ricardo J. Caballero
Alp Simsek

Fire Sales in a Model of Complexity
w15481 Wei Xiong
Jialin Yu

The Chinese Warrants Bubble
w15482 Zhiguo He
Wei Xiong

Dynamic Debt Runs
w15487 Dimitri Vayanos
Jean-Luc Vila

A Preferred-Habitat Model of the Term Structure of Interest Rates
w15457 Nicolae Gârleanu
Leonid Kogan
Stavros Panageas

The Demographics of Innovation and Asset Returns
w15458 Pietro Veronesi
Luigi Zingales

Paulson's Gift
w15462 Todd M. Sinai
Nicholas S. Souleles

Can Owning a Home Hedge the Risk of Moving?
w15450 Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp

Rational Attention Allocation Over the Business Cycle
w15405 Stavros Panageas
Optimal taxation in the presence of bailouts
w15414 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crises and Liquidity in Over-the-Counter Markets
w15399 François Gourio
Disasters Risk and Business Cycles
w15381 David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo

On the Scholes Liquidation Problem
w15382 Yi-Li Chien
Harold L. Cole
Hanno Lustig

Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
w15353 Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz

Towards a Common European Monetary Union Risk Free Rate
w15362 Amir E. Khandani
Andrew W. Lo
Robert C. Merton

Systemic Risk and the Refinancing Ratchet Effect
w15333 Douglas W. Blackburn
William N. Goetzmann
Andrey D. Ukhov

Risk Aversion and Clientele Effects
w15335 Narasimhan Jegadeesh
Roman Kräussl
Joshua Pollet

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
w15336 George O. Aragon
Philip E. Strahan

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy
w15340 Nicolae B. Gârleanu
Stavros Panageas
Jianfeng Yu

Technological Growth and Asset Pricing
w15307 Motohiro Yogo
Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets
w15312 Robert B. Barsky
Eric R. Sims

News Shocks
w15318 Yong Chen
Wayne Ferson
Helen Peters

Measuring the Timing Ability and Performance of Bond Mutual Funds
w15327 Clemens Sialm
Laura Starks

Mutual Fund Tax Clienteles
w15295 Yannick Malevergne
Pedro Santa-Clara
Didier Sornette

Professor Zipf goes to Wall Street
w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit
w15298 Stefano DellaVigna
Matthew Gentzkow

Persuasion: Empirical Evidence
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
w15273 Gary B. Gorton
Andrew Metrick

Haircuts
w15283 Atif R. Mian
Amir Sufi

House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis
w15215 Dimitri Vayanos
Jiang Wang

Liquidity and Asset Prices: A Unified Framework
w15219 Long Chen
Lu Zhang

The stock market and aggregate employment
w15222 Geert Bekaert
Eric Engstrom

Asset Return Dynamics under Bad Environment Good Environment Fundamentals
w15223 Gary B. Gorton
Andrew Metrick

Securitized Banking and the Run on Repo
w15240 David Backus
Mikhail Chernov
Ian Martin

Disasters implied by equity index options
w15243 Fatih Guvenen
A Parsimonious Macroeconomic Model for Asset Pricing
w15247 Robert J. Barro
Tao Jin

On the Size Distribution of Macroeconomic Disasters
w15254 Chris Edmond
Pierre-Olivier Weill

Aggregate Implications of Micro Asset Market Segmentation
w15227 Yosef Bonaparte
Russell Cooper

Costly Portfolio Adjustment
w15260 Lieven Baele
Geert Bekaert
Koen Inghelbrecht

The Determinants of Stock and Bond Return Comovements
w15228 Christopher D. Carroll
Olivier Jeanne

A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds
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
w15184 Stefano DellaVigna
Joshua M. Pollet

Capital Budgeting vs. Market Timing: An Evaluation Using Demographics
w15188 Sydney C. Ludvigson
Serena Ng

A Factor Analysis of Bond Risk Premia
w15158 Nuno Cassola
Ali Hortacsu
Jakub Kastl

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds
w15170 John Geanakoplos
Stephen P. Zeldes

Market Valuation of Accrued Social Security Benefits
w15143 Cindy R. Alexander
Mark A. Chen
Duane J. Seppi
Chester S. Spatt

The Role of Advisory Services in Proxy Voting
w15145 Luigi Guiso
Paola Sapienza
Luigi Zingales

Moral and Social Constraints to Strategic Default on Mortgages
w15084 Nicola Gennaioli
Andrei Shleifer

What Comes to Mind
w15072 Harald Uhlig
A Model of a Systemic Bank Run
w15038 Vincent Glode
Burton Hollifield
Marcin Kacperczyk
Shimon Kogan

Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
w15040 Arvind Krishnamurthy
Amplification Mechanisms in Liquidity Crises
w15045 Efraim Benmelech
Jennifer Dlugosz

The Credit Rating Crisis
w15047 Raymond Kan
Cesare Robotti
Jay Shanken

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
w15052 Robert B. Barsky
The Japanese Bubble: A 'Heterogeneous' Approach
w15058 Stavros Panageas
Bailouts, the Incentive to Manage Risk, and Financial Crises
w15062 Emmanuel Farhi
Samuel Paul Fraiberger
Xavier Gabaix
Romain Ranciere
Adrien Verdelhan

Crash Risk in Currency Markets
w15024 Geert Bekaert
Eric Engstrom

Inflation and the Stock Market:Understanding the "Fed Model"
w15029 Diego A. Comin
Mark Gertler
Ana Maria Santacreu

Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations
w15008 Philippe Bacchetta
Eric van Wincoop

On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals
w15009 Bruno Biais
Pierre-Olivier Weill

Liquidity Shocks and Order Book Dynamics
w15010 Andrew B. Abel
Janice C. Eberly
Stavros Panageas

Optimal Inattention to the Stock Market with Information Costs and Transactions Costs
w15014 John Y. Campbell
Robert J. Shiller
Luis M. Viceira

Understanding Inflation-Indexed Bond Markets
w14997 Ricardo J. Caballero
Alp Simsek

Complexity and Financial Panics
w14999 David Kelly
Subsidies to Industry and the Environment
w14944 Gary B. Gorton
Lixin Huang
Qiang Kang

The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover
w14947 Nicholas C. Barberis
A Model of Casino Gambling
w14929 Thomas Philippon
Philipp Schnabl

Efficient Recapitalization
w14913 David S. Bates
U.S. Stock Market Crash Risk, 1926-2006
w14881 Richard A. Lambert
Christian Leuz
Robert E. Verrecchia

Information Asymmetry, Information Precision, and the Cost of Capital
w14889 Zhi Da
Re-Jin Guo
Ravi Jagannathan

CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
w14898 Veronica Guerrieri
Péter Kondor

Fund Managers, Career Concerns, and Asset Price Volatility
w14903 Jennifer Huang
Clemens Sialm
Hanjiang Zhang

Risk Shifting and Mutual Fund Performance
w14859 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?
w14862 Marvin Goodfriend
Robert G. King

The Great Inflation Drift
w14866 John Y. Campbell
Stefano Giglio
Parag Pathak

Forced Sales and House Prices
w14867 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Outside and Inside Liquidity
w14871 Francis A. Longstaff
Brett Myers

Valuing Toxic Assets: An Analysis of CDO Equity
w14843 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Financial Openness and Productivity
w14845 Patrick Bolton
Hui Chen
Neng Wang

A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management
w14848 Hui Chen
Jianjun Miao
Neng Wang

Entrepreneurial Finance and Non-diversifiable Risk
w14813 Ulrike Malmendier
Stefan Nagel

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
w14814 Ravi Bansal
Ivan Shaliastovich

Learning and Asset-Price Jumps
w14815 Ravi Bansal
Ivan Shaliastovich

Confidence Risk and Asset Prices
w14802 Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel

What Segments Equity Markets?
w14804 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
w14788 Jason Beeler
John Y. Campbell

The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
w14764 Roland Bénabou
Groupthink: Collective Delusions in Organizations and Markets
w14772 Lars Ljungqvist
Harald Uhlig

Optimal Endowment Destruction under Campbell-Cochrane Habit Formation
w14754 Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro

Risk Preferences in the PSID: Individual Imputations and Family Covariation
w14757 Lubos Pastor
Robert F. Stambaugh

Are Stocks Really Less Volatile in the Long Run?
w14760 Robert J. Barro
José F. Ursúa

Stock-Market Crashes and Depressions
w14761 Vasiliki Skreta
Laura Veldkamp

Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation
w14734 Pierpaolo Benigno
Salvatore Nisticò

International Portfolio Allocation under Model Uncertainty
w14739 Douglas W. Diamond
Raghuram Rajan

The Credit Crisis: Conjectures about Causes and Remedies
w14727 Markus K. Brunnermeier
Motohiro Yogo

A Note on Liquidity Risk Management
w14699 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Measuring the Financial Sophistication of Households
w14701 John Y. Campbell
Adi Sunderam
Luis M. Viceira

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
w14687 Francis A. Longstaff
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
w14688 Ricardo J. Caballero
Arvind Krishnamurthy

Global Imbalances and Financial Fragility
w14698 Martin Lettau
Jessica A. Wachter

The Term Structures of Equity and Interest Rates
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?
w14665 Jonathan A. Parker
Annette Vissing-Jorgensen

Who Bears Aggregate Fluctuations and How?
w14669 Monika Piazzesi
Martin Schneider

Momentum traders in the housing market: survey evidence and a search model
w14644 Thomas Philippon
Ariell Reshef

Wages and Human Capital in the U.S. Financial Industry: 1909-2006
w14646 Lubos Pastor
Pietro Veronesi

Learning in Financial Markets
w14649 Gary B. Gorton
Information, Liquidity, and the (Ongoing) Panic of 2007
2008
w14629 Bernard Dumas
Andrew Lyasoff

Incomplete-Market Equilibria Solved Recursively on an Event Tree
w14601 Kirstin Hubrich
Kenneth D. West

Forecast Evaluation of Small Nested Model Sets
w14609 Zhi Da
Pengjie Gao
Ravi Jagannathan

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
w14612 Markus K. Brunnermeier
Deciphering the Liquidity and Credit Crunch 2007-08
w14544 George M. Constantinides
Jens Carsten Jackwerth
Stylianos Perrakis

Mispricing of S&P 500 Index Options
w14571 Miguel A. Ferreira
Pedro Santa-Clara

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
w14574 Zhiguo He
Wei Xiong

Delegated Asset Management, Investment Mandates, and Capital Immobility
w14517 Zhiguo He
Arvind Krishnamurthy

Intermediary Asset Pricing
w14543 George M. Constantinides
Anisha Ghosh

Asset Pricing Tests with Long Run Risks in Consumption Growth
w14523 Dimitri Vayanos
Paul Woolley

An Institutional Theory of Momentum and Reversal
w14525 Thomas J. Brennan
Andrew W. Lo

Impossible Frontiers
w14496 Andrew Ang
Vineer Bhansali
Yuhang Xing

Taxes on Tax-Exempt Bonds
w14500 Benjamin Chabot
Eric Ghysels
Ravi Jagannathan

Price Momentum In Stocks: Insights From Victorian Age Data
w14473 Markus K. Brunnermeier
Stefan Nagel
Lasse H. Pedersen

Carry Trades and Currency Crashes
w14463 Jens H.E. Christensen
Francis X. Diebold
Glenn D. Rudebusch

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
w14465 Amir E. Khandani
Andrew W. Lo

What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
w14440 Nicholas C. Barberis
Wei Xiong

Realization Utility
w14411 Anthony W. Lynch
Jessica A. Wachter

Using Samples of Unequal Length in Generalized Method of Moments Estimation
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
w14398 Gary B. Gorton
The Subprime Panic
w14378 William A. Brock
Charles F. Manski

Competitive Lending with Partial Knowledge of Loan Repayment
w14386 Jessica Wachter
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
w14390 Cédric Tille
Eric van Wincoop

International Capital Flows under Dispersed Information: Theory and Evidence
w14366 Zhiguo He
Arvind Krishnamurthy

A Model of Capital and Crises
w14342 Dongmei Li
Lu Zhang

Costly External Finance: Implications for Capital Markets Anomalies
w14343 Robert Novy-Marx
Joshua D. Rauh

The Intergenerational Transfer of Public Pension Promises
w14351 Rajnish Mehra
Facundo Piguillem
Edward C. Prescott

Costly Financial Intermediation in Neoclassical Growth Theory
w14358 Gary B. Gorton
The Panic of 2007
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
w14228 Markus K. Brunnermeier
Filippos Papakonstantinou
Jonathan A. Parker

An Economic Model of the Planning Fallacy
w14232 Lauren Cohen
Andrea Frazzini
Christopher Malloy

Hiring Cheerleaders: Board Appointments of "Independent" Directors
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
w14158 Paul Asquith
Rebecca Oman
Christopher Safaya

Short Sales and Trade Classification Algorithms
w14165 Harald Hau
Hélène Rey

Global Portfolio Rebalancing Under the Microscope
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
w14148 Alexander Peter Groh
Oliver Gottschalg

The Opportunity Cost of Capital of US Buyouts
w14111 Robin Greenwood
Stefan Nagel

Inexperienced Investors and Bubbles
w14119 Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill

Crashes and Recoveries in Illiquid Markets
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
w14054 A. Craig Burnside
Martin S. Eichenbaum
Isaac Kleshchelski
Sergio Rebelo

Do Peso Problems Explain the Returns to the Carry Trade?
w14058 Jennifer Huang
Jiang Wang

Market Liquidity, Asset Prices and Welfare
w14068 Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz

Hedge Fund Contagion and Liquidity
w14013 Jennifer Huang
Jiang Wang

Liquidity and Market Crashes
w14019 Michael D. Bordo
Michael J. Dueker
David C. Wheelock

Inflation, Monetary Policy and Stock Market Conditions
w13973 Lauren Cohen
Andrea Frazzini
Christopher Malloy

Sell Side School Ties
w13976 John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian

How are Preferences Revealed?
w13979 John Geanakoplos
Stephen P. Zeldes

Reforming Social Security with Progressive Personal Accounts
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
w13943 John B. Taylor
John C. Williams

A Black Swan in the Money Market
w13944 Andrew Ang
Matthew Rhodes-Kropf
Rui Zhao

Do Funds-of-Funds Deserve Their Fees-on-Fees?
w13904 Stijn Van Nieuwerburgh
Laura Veldkamp

Information Acquisition and Under-Diversification
w13896 Hanno Lustig
Stijn Van Nieuwerburgh
Adrien Verdelhan

The Wealth-Consumption Ratio
w13874 Efraim Benmelech
Nittai K. Bergman

Collateral Pricing
w13884 Woodrow T. Johnson
James M. Poterba

Taxes and Mutual Fund Inflows Around Distribution Dates
w13848 Bruce Lehmann
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
w13854 Yacine Aït-Sahalia
Michael W. Brandt

Consumption and Portfolio Choice with Option-Implied State Prices
w13811 Francis X. Diebold
Kamil Yilmaz

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
w13812 Hanno Lustig
Adrien Verdelhan

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
w13822 Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson

Learning in the Credit Card Market
w13825 Yacine Ait-Sahalia
Jialin Yu

High Frequency Market Microstructure Noise Estimates and Liquidity Measures
w13804 Lubos Pastor
Robert F. Stambaugh

Predictive Systems: Living with Imperfect Predictors
w13805 Emmanuel Farhi
Xavier Gabaix

Rare Disasters and Exchange Rates
w13806 Robin Greenwood
Dimitri Vayanos

Bond Supply and Excess Bond Returns
w13768 Stephanie E. Curcuru
Tomas Dvorak
Francis E. Warnock

Cross-Border Returns Differentials
w13786 Joseph Chen
Samuel Hanson
Harrison Hong
Jeremy C. Stein

Do Hedge Funds Profit From Mutual-Fund Distress?
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
w13724 Xavier Gabaix
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance
w13726 Julia Coronado
Olivia S. Mitchell
Steven A. Sharpe
S. Blake Nesbitt

Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values
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?
w13640 Murillo Campello
John Graham

Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble
w13650 Dirk Krueger
Hanno Lustig
Fabrizio Perri

Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
w13656 James J. Choi
David Laibson
Brigitte C. Madrian

Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect
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
w13555 YiLi Chien
Harold Cole
Hanno Lustig

A Multiplier Approach to Understanding the Macro Implications of Household Finance
w13588 Francis X. Diebold
Canlin Li
Vivian Z. Yue

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
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
w13448 Andrew Ang
Sen Dong
Monika Piazzesi

No-Arbitrage Taylor Rules
w13449 Torben G. Andersen
Oleg Bondarenko

Construction and Interpretation of Model-Free Implied Volatility
w13423 John Y. Campbell
Estimating the Equity Premium
w13424 Nicolas Coeurdacier
Robert Kollmann
Philippe Martin

International Portfolios with Supply, Demand and Redistributive Shocks
w13430 Xavier Gabaix
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
w13419 David K. Backus
Jonathan H. Wright

Cracking the Conundrum
w13420 Stefano DellaVigna
Psychology and Economics: Evidence from the Field
w13401 Bernard Dumas
Alexander Kurshev
Raman Uppal

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
w13361 Ralph S.J Koijen
Otto Van Hemert
Stijn Van Nieuwerburgh

Mortgage Timing
w13366 Stijn Van Nieuwerburgh
Laura Veldkamp

Information Immobility and the Home Bias Puzzle
w13355 Stefano DellaVigna
Eliana La Ferrara

Detecting Illegal Arms Trade
w13357 A. Craig Burnside
Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors
w13337 Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro

Imputing Risk Tolerance from Survey Responses
w13281 Mihir A. Desai
Dhammika Dharmapala

Taxes and Portfolio Choice: Evidence from JGTRRA's Treatment of International Dividends
w13282 Long Chen
Lu Zhang

Neoclassical Factors
w13265 Michelle J. White
Bankruptcy Reform and Credit Cards
w13283 Mihir A. Desai
Li Jin

Institutional Tax Clienteles and Payout Policy
w13249 Gary B. Gorton
Fumio Hayashi
K. Geert Rouwenhorst

The Fundamentals of Commodity Futures Returns
w13250 Jianjun Miao
Neng Wang

Investment, Consumption, and Hedging under Incomplete Markets
w13251 Rui Albuquerque
Neng Wang

Agency Conflicts, Investment, and Asset Pricing
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
w13189 Malcolm Baker
Jeffrey Wurgler

Investor Sentiment in the Stock Market
w13191 Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson

The Age of Reason: Financial Decisions Over the Lifecycle
w13196 Ravi Bansal
Long-Run Risks and Financial Markets
w13201 Zoran Ivkovich
Scott Weisbenner

Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices
w13207 Marvin Goodfriend
Bennett T. McCallum

Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration
w13173 Pierpaolo Benigno
Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles
w13165 Jessica A. Wachter
Missaka Warusawitharana

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
w13168 Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner

Neighbors Matter: Causal Community Effects and Stock Market Participation
w13169 Jeffrey R. Brown
Nellie Liang
Scott Weisbenner

Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans
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
w13121 Lauren Cohen
Andrea Frazzini
Christopher Malloy

The Small World of Investing: Board Connections and Mutual Fund Returns
w13124 Ulrike Malmendier
Devin Shanthikumar

Do Security Analysts Speak in Two Tongues?
w13129 Craig Burnside
The Forward Premium is Still a Puzzle
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
w13107 Ravi Bansal
A. Ronald Gallant
George Tauchen

Rational Pessimism, Rational Exuberance, and Asset Pricing Models
w13108 Ravi Bansal
Robert Dittmar
Dana Kiku

Cointegration and Consumption Risks in Asset Returns
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
w13010 Richard Clarida
Daniel Waldman

Is Bad News About Inflation Good News for the Exchange Rate?
w13014 Jonathan B. Berk
Richard Stanton
Josef Zechner

Human Capital, Bankruptcy and Capital Structure
w12986 Joao F. Gomes
Leonid Kogan
Motohiro Yogo

Durability of Output and Expected Stock Returns
w12990 Kristian R. Miltersen
Eduardo S. Schwartz

Real Options With Uncertain Maturity and Competition
w12957 Monika Piazzesi
Martin Schneider

Inflation Illusion, Credit, and Asset Pricing
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
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
w12970 Jules H. van Binsbergen
Michael W. Brandt

Optimal Asset Allocation in Asset Liability Management
w12959 Emmanuel Farhi
Mikhail Golosov
Aleh Tsyvinski

A Theory of Liquidity and Regulation of Financial Intermediation
w12948 Lars Peter Hansen
Beliefs, Doubts and Learning: Valuing Economic Risk
w12930 Andrew Ang
Geert Bekaert
Min Wei

The Term Structure of Real Rates and Expected Inflation
w12936 Nicholas Barberis
Ming Huang

Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
w12939 Markus K. Brunnermeier
Lasse Heje Pedersen

Market Liquidity and Funding Liquidity
w12940 Markus K. Brunnermeier
Christian Gollier
Jonathan A. Parker

Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
w12916 Craig Burnside
Martin Eichenbaum
Sergio Rebelo

The Returns to Currency Speculation in Emerging Markets
w12918 Charles W. Calomiris
Doron Nissim

Activity-Based Valuation of Bank Holding Companies
w12897 T. Clifton Green
Narasimhan Jegadeesh
Yue Tang

Gender and Job Performance: Evidence from Wall Street
w12912 Mariano M. Croce
Martin Lettau
Sydney C. Ludvigson

Investor Information, Long-Run Risk, and the Term Structure of Equity
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
w12859 Francisco J. Gomes
Laurence J. Kotlikoff
Luis M. Viceira

The Excess Burden of Government Indecision
w12866 Narasimhan Jegadeesh
Woojin Kim

Do Analysts Herd? An Analysis of Recommendations and Market Reactions
w12843 Andrew Ang
Jun Liu

Risk, Return and Dividends
w12847 Borja Larrain
Motohiro Yogo

Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
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
w12809 Markus K. Brunnermeier
Stefan Nagel

Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
w12810 Markus K. Brunnermeier
Christian Julliard

Money Illusion and Housing Frenzies
w12792 Lubos Pastor
Lucian Taylor
Pietro Veronesi

Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability
w12781 Wei Xiong
Hongjun Yan

Heterogeneous Expectations and Bond Markets
w12787 Edward L. Glaeser
Joseph Gyourko

Housing Dynamics
w12766 Hanno Lustig
Stijn Van Nieuwerburgh

Can Housing Collateral Explain Long-Run Swings in Asset Returns?
w12767 Jonathan E. Alevy
Michael S. Haigh
John List

Information Cascades: Evidence from An Experiment with Financial Market Professionals
w12744 Anders B. Trolle
Eduardo S. Schwartz

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
w12746 Christopher D. Carroll
Misuzu Otsuka
Jirka Slacalek

How Large Is the Housing Wealth Effect? A New Approach
w12751 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Party Influence in Congress and the Economy
w12753 Ricardo J. Caballero
On the Macroeconomics of Asset Shortages
w12742 Darius Lakdawalla
George Zanjani

Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk-Transfer
w12720 Sendhil Mullainathan
Joshua Schwartzstein
Andrei Shleifer

Coarse Thinking and Persuasion
w12724 Dirk Jenter
Katharina Lewellen
Jerold B. Warner

Security Issue Timing: What Do Managers Know, and When Do They Know It?
t0331 Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo

Vector Multiplicative Error Models: Representation and Inference
w12697 Karen K. Lewis
Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US
w12698 Peter Blair Henry
Capital Account Liberalization: Theory, Evidence, and Speculation
w12690 Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo

Vector Multiplicative Error Models: Representation and Inference
w12678 Alberto Abadie
Sofia Dermisi

Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago
w12682 Takatoshi Ito
Yuko Hashimoto

Price Impacts of Deals and Predictability of the Exchange Rate Movements
w12670 Dimitri Vayanos
Pierre-Olivier Weill

A Search-Based Theory of the On-the-Run Phenomenon
w12661 Eugene N. White
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange
w12648 Daron Acemoglu
Victor Chernozhukov
Muhamet Yildiz

Learning and Disagreement in an Uncertain World
w12650 Lars Peter Hansen
Jose Scheinkman

Long Term Risk: An Operator Approach
w12658 Wayne E. Ferson
Sergei Sarkissian
Timothy Simin

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
w12633 Eduardo S. Schwartz
Claudio Tebaldi

Illiquid Assets and Optimal Portfolio Choice
w12634 Dirk Krueger
Hanno Lustig

When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
w12638 Glenn D. Rudebusch
John C. Williams

Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
w12609 Monika Piazzesi
Martin Schneider

Equilibrium Yield Curves
w12614 Christian Hellwig
Guido Lorenzoni

Bubbles and Self-Enforcing Debt
w12555 Dmitry Livdan
Horacio Sapriza
Lu Zhang

Financially Constrained Stock Returns
w12557 Laura Veldkamp
Justin Wolfers

Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement
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
w12500 John Ammer
Sara B. Holland
David C. Smith
Francis E. Warnock

Look at Me Now: What Attracts U.S. Shareholders?
w12502 Gene Amromin
Jennifer Huang
Clemens Sialm

The Tradeoff Between Mortgage Prepayments and Tax-Deferred Retirement Savings
w12489 Craig Burnside
Martin Eichenbaum
Isaac Kleshchelski
Sergio Rebelo

The Returns to Currency Speculation
w12470 Tommaso Monacelli
Optimal Monetary Policy with Collateralized Household Debt and Borrowing Constraints
w12487 Urban Jermann
The Equity Premium Implied by Production
w12461 Josef Lakonishok
Louis Chan
Stephen G. Dimmock

Benchmarking Money Manager Performance: Issues and Evidence
w12467 Raj Chetty
Adam Szeidl

Consumption Commitments and Risk Preferences
w12433 Rajnish Mehra
Recursive Competitive Equilibrium
w12434 Rajnish Mehra
The Equity Premium in India
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
w12389 Bong-Chan Kho
René M. Stulz
Francis E. Warnock

Financial Globalization, Governance, and the Evolution of the Home Bias
w12391 Courtney Coile
Kevin Milligan

How Household Portfolios Evolve After Retirement: The Effect of Aging and Health Shocks
w12392 Wolfram J. Horneff
Raimond Maurer
Olivia S. Mitchell
Ivica Dus

Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion
w12397 Nicholas Barberis
Wei Xiong

What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
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?
w12378 Nicholas Barberis
Ming Huang

The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle
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
w12331 Janna L. Matlack
Jacob L. Vigdor

Do Rising Tides Lift All Prices? Income Inequality and Housing Affordability
w12337 Anders B. Trolle
Eduardo S. Schwartz

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
w12343 William O. Brown
Jr.
J. Harold Mulherin
Marc D. Weidenmier

Competing With the NYSE
w12290 Andrew B. Abel
Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
w12295 Michelle Lowry
Micah S. Officer
G. William Schwert

The Variability of IPO Initial Returns
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
w12210 Francis A. Longstaff
Arvind Rajan

An Empirical Analysis of the Pricing of Collateralized Debt Obligations
w12223 Mark Grinblatt
Matti Keloharju

Sensation Seeking, Overconfidence, and Trading Activity
w12233 Viviana Fernandez
The International CAPM and a Wavelet-Based Decomposition of Value at Risk
w12200 Justin Wolfers
Eric Zitzewitz

Interpreting Prediction Market Prices as Probabilities
w12203 Andrew Ang
Li Gu
Yael V. Hochberg

Is IPO Underperformance a Peso Problem?
w12204 John Y. Campbell
Yves Nosbusch

Intergenerational Risksharing and Equilibrium Asset Prices
w12205 Amy Finkelstein
James Poterba
Casey Rothschild

Redistribution by Insurance Market Regulation: Analyzing a Ban on Gender-Based Retirement Annuities
w12183 Long Chen
Ralitsa Petkova
Lu Zhang

The Expected Value Premium
w12134 Li Gan
Qinghua Zhang

The Thick Market Effect on Housing Markets Transactions
w12138 Eugene N. White
Bubbles and Busts: The 1990s in the Mirror of the 1920s
w12144 Jules H. van Binsbergen
Michael W. Brandt
Ralph S.J. Koijen

Optimal Decentralized Investment Management
w12146 Clemens Sialm
Investment Taxes and Equity Returns
w12149 John Y. Campbell
Household Finance
w12151 Ravi Jagannathan
Ann E. Sherman

Why Do IPO Auctions Fail?
w12165 Robert Engle
Robert Ferstenberg

Execution Risk
w12112 Amy Finkelstein
James Poterba

Testing for Asymmetric Information Using 'Unused Observables' in Insurance Markets: Evidence from the U.K. Annuity Market
w12127 Galina Hale
Assaf Razin
Hui Tong

Institutional Weakness and Stock Price Volatility
w12098 Wayne E. Ferson
Andrew F. Siegel

Testing Portfolio Efficiency with Conditioning Information
w12107 Patrick Bolton
Jose Scheinkman
Wei Xiong

Pay for Short-Term Performance: Executive Compensation in Speculative Markets
w12109 Martin Lettau
Stijn Van Nieuwerburgh

Reconciling the Return Predictability Evidence
w12067 Raj Chetty
A Bound on Risk Aversion Using Labor Supply Elasticities
w12073 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
w12075 Gary Gorton
Ping He
Lixin Huang

Asset Prices When Agents are Marked-to-Market
w12083 Justin Wolfers
Eric Zitzewitz

Prediction Markets in Theory and Practice
w12084 Gary Gorton
Ping He

Agency-Based Asset Pricing
w12090 Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz

Is There Hedge Fund Contagion?
w12053 Andrew Leigh
Justin Wolfers

Competing Approaches to Forecasting Elections: Economic Models, Opinion Polling and Prediction Markets
w12055 Jay Shanken
Guofu Zhou

Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
w12060 Justin Wolfers
Eric Zitzewitz

Five Open Questions About Prediction Markets
w12020 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Valuation in Over-the-Counter Markets
w12026 John H. Cochrane
The Dog That Did Not Bark: A Defense of Return Predictability
w12030 Laurent E. Calvet
John Y. Campbell
Paolo Sodini

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
w12036 Monika Piazzesi
Martin Schneider
Selale Tuzel

Housing, Consumption, and Asset Pricing
w12042 Steven R. Grenadier
Neng Wang

Investment Under Uncertainty and Time-Inconsistent Preferences
w12000 Murray Carlson
Zeigham Khokher
Sheridan Titman

Equilibrium Exhaustible Resource Price Dynamics
w12011 J. Bradford DeLong
Konstantin Magin

A Short Note on the Size of the Dot-Com Bubble
w12014 Erica X. N. Li
Dmitry Livdan
Lu Zhang

Optimal Market Timing
w12015 Ravi Jagannathan
Alexey Malakhov
Dmitry Novikov

Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
w12017 Jakub W. Jurek
Luis M. Viceira

Optimal Value and Growth Tilts in Long-Horizon Portfolios
w11989 Justin Wolfers
Diagnosing Discrimination: Stock Returns and CEO Gender
w11941 Lubos Pastor
Meenakshi Sinha
Bhaskaran Swaminathan

Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
w11961 Sanjiv Das
Darrell Duffie
Nikunj Kapadia
Leandro Saita

Common Failings: How Corporate Defaults are Correlated
w11962 Darrell Duffie
Leandro Siata
Ke Wang

Multi-Period Corporate Default Prediction With Stochastic Covariates
w11964 Jeffrey Brown
James Poterba

Household Ownership of Variable Annuities
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
w11903 Andrew Ang
Joseph Chen

CAPM Over the Long Run: 1926-2001
w11906 Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang

International Stock Return Comovements
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
w11864 Jaime Casassus
Pierre Collin-Dufresne
Bryan R. Routledge

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
w11876 Lubos Pastor
Pietro Veronesi

Technological Revolutions and Stock Prices
w11838 Sendhil Mullainathan
Andrei Shleifer

Persuasion in Finance
w11840 Jacob Boudoukh
Matthew Richardson
Robert Whitelaw

The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly
w11841 Jacob Boudoukh
Matthew Richardson
Robert Whitelaw

The Myth of Long-Horizon Predictability
w11843 Nicolae Garleanu
Lasse Heje Pedersen
Allen M. Poteshman

Demand-Based Option Pricing
w11851 Xavier Gabaix
Arvind Krishnamurthy
Olivier Vigneron

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
w11816 Tano Santos
Pietro Veronesi

Cash-Flow Risk, Discount Risk, and the Value Premium
w11824 Andrew Ang
Joseph Chen
Yuhang Xing

Downside Risk
w11803 Bernard Dumas
Alexander Kurshev
Raman Uppal

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
w11804 Irene Brambilla
Guido Porto

Market Structure, Outgrower contracs and Farm Output. Evidence from Cotton Reforms in Zambia
w11756 Clemens Sialm
Tax Changes and Asset Pricing: Time-Series Evidence
w11758 Bruce N. Lehmann
The Role of Beliefs in Inference for Rational Expectations Models
w11766 Marcin Kacperczyk
Clemens Sialm
Lu Zheng

Unobserved Actions of Mutual Funds
w11775 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
w11722 Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley

Institutional Investors and Stock Market Volatility
w11735 David K. Musto
Nicholas S. Souleles

A Portfolio View of Consumer Credit
w11736 Sean D. Campbell
Francis X. Diebold

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
w11741 Guenter Franke
Jan Pieter Krahnen

Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations
w11748 Martin D. D. Evans
Richard K. Lyons

Understanding Order Flow
w11703 Sydeny C. Ludvigson
Serena Ng

Macro Factors in Bond Risk Premia
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
w11698 Philipp Hartmann
Stefan Straetmans
Casper G. De Vries

Banking System Stability: A Cross-Atlantic Perspective
w11683 Stefano DellaVigna
Joshua Pollet

Investor Inattention, Firm Reaction, and Friday Earnings Announcements
w11687 Hanno Lustig
Christopher Sleet
Sevin Yeltekin

Fiscal Hedging and the Yield Curve
w11644 David W. Galenson
Who Are the Greatest Living Artists? The View from the Auction Market
w11666 Loriana Pelizzon
Stephen Schaefer

Pillar 1 vs. Pillar 2 Under Risk Management
w11643 Charles Himmelberg
Christopher Mayer
Todd Sinai

Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions
w11606 Martin Lettau
Sydney C. Ludvigson

Euler Equation Errors
w11608 James O'Brien
Jeremy Berkowitz

Estimating Bank Trading Risk: A Factor Model Approach
w11559 Jessica A. Wachter
Solving Models with External Habit
w11564 Hanno Lustig
Stijn Van Nieuwerburgh

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
w11573 Simi Kedia
Thomas Philippon

The Economics of Fraudulent Accounting
w11574 Qiang Dai
Thomas Philippon

Fiscal Policy and the Term Structure of Interest Rates
w11579 Bernadette A. Minton
René Stulz
Rohan Williamson

How Much Do Banks Use Credit Derivatives to Reduce Risk?
w11534 John Y. Campbell
João F. Cocco

How Do House Prices Affect Consumption? Evidence From Micro Data
w11538 Andrew Ang
Geert Bekaert
Min Wei

Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
w11509 Leonid Kogan
Dmitry Livdan
Amir Yaron

Futures Prices in a Production Economy with Investment Constraints
w11526 Andrea Frazzini
Owen A. Lamont

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns
w11533 Bruce N. Lehmann
Notes for a Contingent Claims Theory of Limit Order Markets
w11485 Wojciech Kopczuk
Joel Slemrod

Denial of Death and Economic Behavior
w11489 Patric H. Hendershott
Gwilym Pryce

The Sensitivity of Homeowner Leverage to the Deductibility of Home Mortgage Interest
w11493 M. Hashem Pesaran
Til Schuermann
Björn-Jakob Treutler

Global Business Cycles and Credit Risk
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
w11459 Evgeny Lyandres
Le Sun
Lu Zhang

Investment-Based Underperformance Following Seasoned Equity Offerings
w11468 John Y. Campbell
Samuel B. Thompson

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
w11441 Laurent E. Calvet
Adlai J. Fisher

Multifrequency News and Stock Returns
w11442 Mark Carey
Rene M. Stulz

The Risks of Financial Institutions
w11444 Anna Obizhaeva
Jiang Wang

Optimal Trading Strategy and Supply/Demand Dynamics
w11426 John R. Graham
Campbell R. Harvey
Hai Huang

Investor Competence, Trading Frequency, and Home Bias
w11413 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Liquidity and Expected Returns: Lessons From Emerging Markets
w11400 Lin Peng
Wei Xiong

Investor Attention: Overconfidence and Category Learning
w11389 John Y. Campbell
Christopher Polk
Tuomo Vuolteenaho

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
w11380 Yacine Ait-Sahalia
Per A. Mykland
Lan Zhang

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
w11385 Paul Gompers
Anna Kovner
Josh Lerner
David Scharfstein

Venture Capital Investment Cycles: The Impact of Public Markets
w11345 Peter Englund
Ake Gunnelin
Patric H. Hendershott
Bo Soderberg

Adjustment in Property Space Markets: Estimates from the Stockholm Office Market
w11357 Joshua D. Coval
Erik Stafford

Asset Fire Sales (and Purchases) in Equity Markets
w11361 Manju Puri
David Robinson

Optimism and Economic Choice
w11362 Jianping Mei
Jose Scheinkman
Wei Xiong

Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
w11367 Harrison Hong
Jose Scheinkman
Wei Xiong

Asset Float and Speculative Bubbles
w11340 Geert Bekaert
Seonghoon Cho
Antonio Moreno

New-Keynesian Macroeconomics and the Term Structure
w11310 Robert J. Barro
Rare Events and the Equity Premium
w11312 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
w11319 William O. Brown
Richard C. K. Burdekin
Marc D. Weidenmier

Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica
w11322 Lu Zhang
Anomalies
w11323 Murillo Campello
Long Chen
Lu Zhang

Expected Returns, Yield Spreads, and Asset Pricing Tests
w11326 Naiping Lu
Lu Zhang

The Value Spread as a Predictor of Returns
w11329 Patric Hendershott
Robert J. Hendershott
Bryan D. MacGregor

Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique
w11276 Michael Gallmeyer
Burton Hollifield
Stanley E. Zin

Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
w11280 Mitchell A. Petersen
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
w11266 William N. Goetzmann
Andrey Ukhov

British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
w11270 Cade Massey
Richard Thaler

Overconfidence vs. Market Efficiency in the National Football League
w11243 Andrew W. Lo
Dmitry V. Repin
Brett N. Steenbarger

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
w11247 Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
w11220 Richard K. Lyons
Michael J. Moore

An Information Approach to International Currencies
w11222 Claude B. Erb
Campbell R. Harvey

The Tactical and Strategic Value of Commodity Futures
w11225 Robert S. Pindyck
Pricing Capital Under Mandatory Unbundling and Facilities Sharing
w11200 Nicholas Chan
Mila Getmansky
Shane M. Haas
Andrew W. Lo

Systemic Risk and Hedge Funds
w11211 Stefano DellaVigna
Joshua M. Pollet

Attention, Demographics, and the Stock Market
w11188 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Volatility Forecasting
w11190 Gary Gorton
Nicholas Souleles

Special Purpose Vehicles and Securitization
w11193 John Cochrane
Financial Markets and the Real Economy
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
w11169 Peter Hecht
Tuomo Vuolteenaho

Explaining Returns with Cash-Flow Proxies
w11144 Martin Lettau
Jessica Wachter

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
w11148 Steven R. Grenadier
Neng Wang

Investment Timing, Agency, and Information
w11152 David W. Galenson
Anticipating Artistic Success (or, How to Beat the Art Market): Lessons from History
w11155 Pierre-Olivier Gourinchas
Helene Rey

International Financial Adjustment
w11119 John Y. Campbell
Luis Viceira

The Term Structure of the Risk-Return Tradeoff
w11122 George M. Constantinides
John B. Donaldson
Rajnish Mehra

Junior is Rich: Bequests as Consumption
w11132 Hanno Lustig
Yi-Li Chien

The Market Price of Aggregate Risk and the Wealth Distribution
w11134 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Jin (Ginger) Wu

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
w11136 Josh Lerner
Antoinette Schoar
Wan Wong

Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle
w11098 Martin Feldstein
Structural Reform of Social Security
w11103 Patrick de Fontnouvelle
John Jordan
Eric Rosengren

Implications of Alternative Operational Risk Modeling Techniques
w11104 Hanno Lustig
Adrien Verdelhan

The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
w11084 Martin Feldstein
Reducing the Risk of Investment-Based Social Security Reform
w11089 Francis X. Diebold
Monika Piazzesi
Glenn Rudebusch

Modeling Bond Yields in Finance and Macroeconomics
t0305 Todd E. Clark
Kenneth D. West

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
w11069 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Practical Volatility and Correlation Modeling for Financial Market Risk Management
w11070 Rene M. Stulz
The Limits of Financial Globalization
w11077 Menzie D. Chinn
Guy Meredith

Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era
w11078 Simeon Djankov
Caralee McLiesh
Andrei Shleifer

Private Credit in 129 Countries
w11041 Martin D.D. Evans
Richard K. Lyons

Do Currency Markets Absorb News Quickly?
w11042 Martin D.D. Evans
Richard K. Lyons

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
w11018 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis
w11020 Wayne E. Ferson
Andrew F. Siegel
Pisun (Tracy) Xu

Mimicking Portfolios with Conditioning Information
w11021 Wayne E. Ferson
Andrea Heuson
Tie Su

Weak and Semi-Strong Form Stock Return Predictability Revisited
w11023 Ross Levine
Sergio L. Schmukler

Internationalization and the Evolution of Corporate Valuation
w11026 Ravi Jagannathan
Yong Wang

Consumption Risk and the Cost of Equity Capital
w11033 Menzie D. Chinn
Michael LeBlanc
Olivier Coibion

The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
a0674 John H. Cochrane
Asset Pricing
2004
w11010 Anthony W. Lynch
Sinan Tan

Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice
w11011 David J. Brophy
Paige P. Ouimet
Clemens Sialm

PIPE Dreams? The Performance of Companies Issuing Equity Privately
w10990 Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel

Global Growth Opportunities and Market Integration
w10994 Anthony W. Lynch
Sinan Tan

Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs
w10996 Michael W. Brandt
Pedro Santa-Clara
Rossen Valkanov

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
w11004 Efraim Benmelech
Mark J. Garmaise
Tobias Moskowitz

Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation
w11006 Mark J. Garmaise
Tobias J. Moskowitz

Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition
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
w10912 Pedro Santa-Clara
Shu Yan

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
w10913 Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov

There is a Risk-Return Tradeoff After All
w10914 Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
w10925 Jun Pan
Allen Poteshman

The Information of Option Volume for Future Stock Prices
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
w10850 William M. Gentry
Charles M. Jones
Christopher J. Mayer

Do Stock Prices Really Reflect Fundamental Values? The Case of REITs
w10851 James Poterba
The Impact of Population Aging on Financial Markets
w10852 Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang

The Cross-Section of Volatility and Expected Returns
w10856 Takatoshi Ito
Yuko Hashimoto

Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System
w10823 Malcolm P. Baker
Ryan Taliaferro
Jeffrey Wurgler

Pseudo Market Timing and Predictive Regressions
w10805 Robert P. Flood
Andrew K. Rose

Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
w10812 Ulrike Malmendier
Devin Shanthikumar

Are Investors Naive About Incentives?
w10813 Ulrike Malmendier
Geoffrey Tate

Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction
w10814 Viral V. Acharya
Lasse Heje Pedersen

Asset Pricing with Liquidity Risk
w10816 Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen

Over-the-Counter Markets
w10820 Ravi Bansal
Magnus Dahlquist
Campbell R. Harvey

Dynamic Trading Strategies and Portfolio Choice
w10794 Lily Qiu
Ivo Welch

Investor Sentiment Measures
w10770 Marcin Kacperczyk
Clemens Sialm
Lu Zheng

On the Industry Concentration of Actively Managed Equity Mutual Funds
w10773 Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz

Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions?
w10755 Markus K. Brunnermeier
Lasse Heje Pedersen

Predatory Trading
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
w10719 John M. Griffin
Federico Nardari
Rene M. Stulz

Stock Market Trading and Market Conditions
w10743 Darrell Duffie
Ke Wang

Multi-Period Corporate Failure Prediction with Stochastic Covariates
w10704 Michael D. Bordo
David C. Wheelock

Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms
w10707 Markus K. Brunnermeier
Jonathan A. Parker

Optimal Expectations
w10723 Charles Engel
Kenneth D. West

Exchange Rates and Fundamentals
w10671 Jennifer Dlugosz
Rudiger Fahlenbrach
Paul Gompers
Andrew Metrick

Large Blocks of Stock: Prevalence, Size, and Measurement
w10672 Andrew Ang
Monika Piazzesi
Min Wei

What Does the Yield Curve Tell us about GDP Growth?
w10675 Zoran Ivkovich
Clemens Sialm
Scott Weisbenner

Portfolio Concentration and the Performance of Individual Investors
w10689 Wayne E. Ferson
Andrea Heuson
Tie Su

Weak and Semi-Strong Form Stock Return Predictability, Revisited
w10685 Malcolm Baker
Lubomir Litov
Jessica A. Wachter
Jeffrey Wurgler

Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
w10650 Li Jin
Robert Merton
Zvi Bobie

Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
w10651 Jacob Boudoukh
Roni Michaely
Matthew Richardson
Michael Roberts

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
w10659 Owen Lamont
Go Down Fighting: Short Sellers vs. Firms
w10615 Peter M. DeMarzo
Yuliy Sannikov

A Continuous-Time Agency Model of Optimal Contracting and Capital Structure
w10616 Francis X. Diebold
Glenn D. Rudebusch
S. Boragan Aruoba

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
w10599 Harry DeAngelo
Linda DeAngelo
Rene Stulz

Dividend Policy, Agency Costs, and Earned Equity
w10574 Rene M. Stulz
Should We Fear Derivatives?
w10579 Yacine Ait-Sahalia
Robert Kimmel

Maximum Likelihood Estimation of Stochastic Volatility Models
w10581 Lubos Pastor
Pietro Veronesi

Was There a Nasdaq Bubble in the Late 1990s?
w10595 Gary Gorton
K. Geert Rouwenhorst

Facts and Fantasies about Commodity Futures
w10597 David Backus
Bryan Routledge
Stanley Zin

Exotic Preferences for Macroeconomists
w10556 Alessandro Barbarino
Boyan Jovanovic

Shakeouts and Market Crashes
w10559 Malcolm Baker
C. Fritz Foley
Jeffrey Wurgler

The Stock Market and Investment: Evidence from FDI Flows
w10560 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Growth Volatility and Financial Liberalization
w10563 Christopher Polk
Paola Sapienza

The Real Effects of Investor Sentiment
w10567 Armando Gomes
Gary Gorton
Leonardo Madureira

SEC Regulation Fair Disclosure, Information, and the Cost of Capital
w10548 Paul Beaudry
Franck Portier

Stock Prices, News and Economic Fluctuations
w10550 John R. Graham
Campbell R. Harvey
Shiva Rajgopal

The Economic Implications of Corporate Financial Reporting
w10537 Simon Gilchrist
Charles P. Himmelberg
Gur Huberman

Do Stock Price Bubbles Influence Corporate Investment?
w10543 Daniel Bergstresser
Mihir A. Desai
Joshua Rauh

Earnings Manipulation and Managerial Investment Decisions: Evidence from Sponsored Pension Plans
w10502 Hyuk Choe
Bong-Chan Kho
Rene M. Stulz

Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea
w10503 Xiaohong Chen
Sydney C. Ludvigson

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
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
w10476 Harald Hau
Helene Rey

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?
w10483 Amit Goval
Ivo Welch

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
w10454 James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick

Consumption-Wealth Comovement of the Wrong Sign
w10434 Paul Asquith
Parag A. Pathak
Jay R. Ritter

Short Interest and Stock Returns
w10436 Zoran Ivkovich
Scott Weisbenner

Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices
w10447 Gopal K. Basak
Ravi Jagannathan
Tongshu Ma

A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
w10448 Yuko Hashimoto
Takatoshi Ito

High-Frequency Contagion Between the Exchange Rates and Stock Prices
w10449 Malcolm Baker
Jeffrey Wurgler

Investor Sentiment and the Cross-Section of Stock Returns
w10410 Jung-Wook Kim
Jason Lee
Randall K. Morck

Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks
w10411 Francis A. Longstaff
Financial Claustrophobia: Asset Pricing in Illiquid Markets
w10412 Jonathan Berk
Richard Stanton

A Rational Model of the Closed-End Fund Discount
w10413 Tano Santos
Pietro Veronesi

Conditional Betas
w10418 Francis A. Longstaff
Sanjay Mithal
Eric Neis

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
w10422 Francis A. Longstaff
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
w10423 Francis X. Diebold
The Nobel Memorial Prize for Robert F. Engle
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
w10333 Brian Knight
Are Policy Platforms Capitalized into Equity Prices? Evidence from the Bush/Gore 2000 Presidential Election
w10343 William N. Goetzmann
Massimo Massa
Andrei Simonov

Portfolio Diversification and City Agglomeration
w10352 William N. Goetzmann
Fibonacci and the Financial Revolution
w10355 Kenneth A. Froot
Melvyn Teo

Equity Style Returns and Institutional Investor Flows
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
w10258 Kristian R. Miltersen
Eduardo S. Schwartz

R&D Investments with Competitive Interactions
w10259 Jeremy C. Stein
Why Are Most Funds Open-End? Competition and the Limits of Arbitrage
w10263 John Y. Campbell
Tuomo Vuolteenaho

Inflation Illusion and Stock Prices
w10264 Josef Lakonishok
Inmoo Lee
Allen M. Poteshman

Investor Behavior in the Option Market
w10267 Charles Engel
Kenneth D. West

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One
w10270 Martin Lettau
Sydney C. Ludvigson
Jessica A. Wachter

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
w10282 Erik Hurst
Paul Willen

Social Security and Unsecured Debt
w10233 Mihir A. Desai
James R. Hines Jr.

Market Reactions to Export Subsidies
w10235 Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner

The Geography of Stock Market Participation: The Influence of Communities and Local Firms
w10240 Paul A. Gompers
Joy Ishii
Andrew Metrick

Incentives vs. Control: An Analysis of U.S. Dual-Class Companies
w10210 Casey B. Mulligan
Robust Aggregate Implications of Stochastic Discount Factor Volatility
w10211 Raj Chetty
Consumption Commitments, Unemployment Durations, and Local Risk Aversion
w10218 Owen A. Lamont
Jeremy C. Stein

Aggregate Short Interest and Market Valuations
w10226 Mark Grinblatt
Matti Keloharju
Seppo Ikaheimo

Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors
w10228 James J. Choi
David Laibson
Brigitte Madrian
Andrew Metrick

Employees' Investment Decisions about Company Stock
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
w10202 Susan E. Woodward
Robert E. Hall

Benchmarking the Returns to Venture
w10203 Edward L. Glaeser
Psychology and the Market
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
w10131 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

The Price is (Almost) Right
w10141 Sean D. Campbell
Francis X. Diebold

Weather Forecasting for Weather Derivatives
w10150 Robert E. Hall
Corporate Earnings Track the Competitive Benchmark
w10114 Eduardo S. Schwartz
Patents and R&D as Real Options
w10115 Gordon M. Bodnar
Bernard Dumas
Richard D. Marston

Cross-Border Valuation: The International Cost of Equity Capital
w10116 John H. Cochrane
Francis A. Longstaff
Pedro Santa-Clara

Two Trees: Asset Price Dynamics Induced by Market Clearing
w10117 Robert F. Engle
Giampiero M. Gallo

A Multiple Indicators Model for Volatility Using Intra-Daily Data
w10124 Edward L. Glaeser
Joseph Gyourko
Raven Saks

Why is Manhattan So Expensive? Regulation and the Rise in House Prices
w10100 David M. Blau
Donna B. Gilleskie

The Role of Retiree Health Insurance in the Employment Behavior of Older Men
w10107 Bryan R. Routledge
Stanley E. Zin

Generalized Disappointment Aversion and Asset Prices
w10111 Lan Zhang
Per A. Mykland
Yacine Ait-Sahalia

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
w10080 Andrew Ang
Geert Bekaert

How do Regimes Affect Asset Allocation?
w10086 Antonios Sangvinatsos
Jessica A. Wachter

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
w10063 James P. Smith
Consequences and Predictors of New Health Events
w10041 Jason C. Hsu
Eduardo S. Schwartz

A Model of R&D Valuation and the Design of Research Incentives
w10042 Andrew Ang
Jun Liu

How to Discount Cashflows with Time-Varying Expected Returns
w10048 Francis X. Diebold
Canlin Li

Forecasting the Term Structure of Government Bond Yields
w10054 Francis Longstaff
Monika Piazzesi

Corporate Earnings and the Equity Premium
w10026 John Y. Campbell
Motohiro Yogo

Efficient Tests of Stock Return Predictability
w10009 Peter F. Christoffersen
Francis X. Diebold

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
w10013 Harrison Hong
Jeremy C. Stein

Simple Forecasts and Paradigm Shifts
w9988 Raj Chetty
A New Method of Estimating Risk Aversion
w9992 Richard B. Freeman
What Do Unions Do ... to Voting?
w9997 Nicholas Barberis
Ming Huang
Richard Thaler

Individual Preferences, Monetary Gambles and the Equity Premium
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
w9914 Alessandro Beber
Michael W. Brandt

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
w9915 Yacine Ait-Sahalia
Disentangling Volatility from Jumps
w9921 Thorsten Beck
Asli Demirguc-Kunt
Ross Levine

Bank Concentration and Crises
w9927 Hui Guo
Robert F. Whitelaw

Uncovering the Risk-Return Relation in the Stock Market
w9892 James Poterba
Joshua Rauh
Steven Venti
David Wise

Utility Evaluation of Risk in Retirement Saving Accounts
w9893 H. Henry Cao
Richard K. Lyons
Martin D.D. Evans

Inventory Information
w9875 Kathryn M.E. Dominguez
When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?
w9848 Martin Lettau
Sydney Ludvigson

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
w9852 Louis Kaplow
The Value of a Statistical Life and the Coefficient of Relative Risk Aversion
w9858 Lubos Pastor
Pietro Veronesi

Stock Prices and IPO Waves
w9861 Martin B. Haugh
Leonid Kogan
Jiang Wang

Evaluating Portfolio Policies: A Duality Approach
w9834 Anna Pavlova
Roberto Rigobon

Asset Prices and Exchange Rates
w9840 Laurent Calvet
Martin Gonzalez-Eiras
Paolo Sodini

Financial Innovation, Market Participation and Asset Prices
w9817 Sebastian Edwards
Javier Gomez Biscarri
Fernando Perez de Gracia

Stock Market Cycles, Financial Liberalization and Volatility
w9787 Graciela Kaminsky
Sergio Schmukler

Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization
w9791 Sergey Iskoz
Jiang Wang

How to Tell if a Money Manager Knows More?
w9778 Ricardo J. Caballero
Stavros Panageas

Hedging Sudden Stops and Precautionary Contractions
w9758 James Dow
Gary Gorton
Arvind Krishnamurthy

Equilibrium Asset Prices Under Imperfect Corporate Control
w9759 John Y. Campbell
Joao F. Cocco

Household Risk Management and Optimal Mortgage Choice
w9736 John A. List
Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace
w9743 Kent Daniel
Sheridan Titman

Market Reactions to Tangible and Intangible Information
w9711 Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein

The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers
w9673 David S. Bates
Maximum Likelihood Estimation of Latent Affine Processes
w9677 Andrew Ang
Angela Maddaloni

Do Demographic Changes Affect Risk Premiums? Evidence from International Data
w9685 Scott Weisbenner
Zoran Ivkovich

Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments
w9664 Michael W. Brandt
Francis X. Diebold

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
w9640 Roberto Rigobon
Brian Sack

Spillovers Across U.S. Financial Markets
w9642 Yasushi Hamao
Jianping Mei
Yexiao Xu

Idiosyncratic Risk and the Creative Destruction in Japan
w9647 Tokuo Iwaisako
Household Portfolios in Japan
w9657 Alon Brav
John R. Graham
Campbell R. Harvey
Roni Michaely

Payout Policy in the 21st Century
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
w9605 Martin Lettau
Sydney Ludvigson

Expected Returns and Expected Dividend Growth
w9609 Roberto Rigobon
Brian Sack

The Effects of War Risk on U.S. Financial Markets
w9611 Yacine Ait-Sahalia
Per A. Mykland

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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
w9538 Jonathan A. Parker
Christian Julliard

Consumption Risk and Cross-Sectional Returns
w9541 Julan Du
Shang-Jin Wei

Does Insider Trading Raise Market Volatility?
w9544 Louis K. C. Chan
Jason Karceski
Josef Lakonishok

Analysts' Conflict of Interest and Biases in Earnings Forecasts
w9547 John Y. Campbell
George Chacko
Jorge Rodriguez
Luis M. Viciera

Strategic Asset Allocation in a Continuous-Time VAR Model
w9548 Jonathan A. Parker
Consumption Risk and Expected Stock Returns
w9523 Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz

Do shareholders of acquiring firms gain from acquisitions?
w9525 Rajnish Mehra
Edward C. Prescott

The Equity Premium in Retrospect
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
w9509 John Y. Campbell
Tuomo Vuolteenaho

Bad Beta, Good Beta
w9510 Geert Bekaert
Campbell R. Harvey

Market Integration and Contagion
w9512 Rajnish Mehra
The Equity Premium: Why is it a Puzzle?
w9515 Jacob Boudoukh
Matthew Richardson
YuQing Shen
Robert F. Whitelaw

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market
w9499 William N. Goetzmann
Massimo Massa

Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias
w9481 Rodolfo Martell
Rene M. Stulz

Equity market liberalizations as country IPOs
w9493 Andrei Shleifer
Will the Sovereign Debt Market Survive?
w9464 Stephen J. Brown
William N. Goetzmann
Bing Liang

Fees on Fees in Funds of Funds
w9465 William N. Goetzmann
Ning Zhu

Rain or Shine: Where is the Weather Effect?
w9466 William N. Goetzmann
Ning Zhu
Arturo Bris

Efficiency and the Bear: Short Sales and Markets around the World
w9469 William N. Goetzmann
Matthew Spiegel
Andrey Ukhov

Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares
w9470 Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Noriyoshi Shirishi
Masahiro Watanabe

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
w9475 Steven R. Grenadier
An Equilibrium Analysis of Real Estate
w9453 Harvey S. Rosen
Stephen Wu

Portfolio Choice and Health Status
w9454 Alexander Ljungqvist
Matthew Richardson

The cash flow, return and risk characteristics of private equity
w9458 Michael W. Brandt
Amir Yaron

Time-Consistent No-Arbitrage Models of the Term Structure
w9461 Bruce N. Lehmann
David M. Modest

Diversification and the Optimal Construction of Basis Portfolios
w9462 Todd Sinai
Nicholas S. Souleles

Owner-Occupied Housing as a Hedge Against Rent Risk
w9442 Francesco Caselli
Nicola Gennaioli

Dynastic Management
w9434 Leonid Kogan
Stephen Ross
Jiang Wang
Mark Westerfield

The Price Impact and Survival of Irrational Traders
w9441 Wayne E. Ferson
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
w9423 Eli Ofek
Matthew Richardson
Robert F. Whitelaw

Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
2002
w9383 Ravi Bansal
Varoujan Khatachtrian
Amir Yaron

Interpretable Asset Markets?
w9388 Eduardo Jallath-Coria
Tridas Mukhopadhyay
Amir Yaron

How Well Do Banks Manage Their Reserves?
w9392 Christopher S. Jones
Jay Shanken

Mutual Fund Performance with Learning Across Funds
w9364 Joao Gomes
Amir Yaron
Lu Zhang

Asset Prices and Business Cycles with Costly External Finance
w9365 Joao Gomes
Amir Yaron
Lu Zhang

Asset Pricing Implications of Firms' Financing Constraints
w9366 Mark Hugget
Gustavo Ventura
Amir Yaron

Human Capital and Earnings Distribution Dynamics
w9359 Randolph Cohen
Joshua Coval
Lubos Pastor

Judging Fund Managers by the Company They Keep
w9348 Jeeman Jung
Robert J. Shiller

One Simple Test of Samuelson's Dictum for the Stock Market
w9353 Mark Grinblatt
Jun Liu

Debt Policy, Corporate Taxes, and Discount Rates
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
w9301 Clemens Sialm
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
w9312 Francis A. Longstaff
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
w9277 G. William Schwert
Anomalies and Market Efficiency
w9264 Pekka Hietala
Steven N. Kaplan
David T. Robinson

What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies
w9275 Jonathan B. Berk
Richard C. Green

Mutual Fund Flows and Performance in Rational Markets
w9246 Paul Asquith
Michael B. Mikhail
Andrea S. Au

Information Content of Equity Analyst Reports
w9251 Antonio E. Bernardo
Ivo Welch

Financial Market Runs
w9241 Jessica Tjornhom Donohue
Kenneth A. Froot

The Persistence of Emerging Market Equity Flows
w9243 William Gentry
David M. Schizer

Frictions and Tax-Motivated Hedging: An Empirical Exploration of Publicly-Traded Exchangeable Securities
w9210 Andrew B. Abel
The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security
w9214 Patric H. Hendershott
Charles W.R. Ward

Valuing and Pricing Retail Leases with Renewal and Overage Options
w9217 Lior Menzly
Tano Santos
Pietro Veronesi

The Time Series of the Cross Section of Asset Prices
w9222 Nicholas Barberis
Richard Thaler

A Survey of Behavioral Finance
w9143 Wayne E. Ferson
Sergei Sarkissian
Timothy Simin

Spurious Regressions in Financial Economics?
w9177 Amir Dembo
Jean-Deominique Deuschel
Darrell Duffie

Large Portfolio Losses
w9178 John H. Cochrane
Monika Piazzesi

Bond Risk Premia
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
w9101 Kenneth A. Froot
Tarun Ramadorai

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
w9103 Jun Liu
Francis A. Longstaff
Jun Pan

Dynamic Asset Allocation With Event Risk
w9105 Merle Erickson
Austan Goolsbee
Edward Maydew

How Prevalent is Tax Arbitrage? Evidence from the Market for Municipal Bonds
w9087 Peter G. Dunne
Michael J. Moore
Richard Portes

Defining Benchmark Status: An Application using Euro-Area Bonds
w9079 Kenneth A. Froot
Jessica D. Tjornhom

Decomposing the Persistence of International Equity Flows
w9080 Kenneth A. Froot
Tarun Ramadorai

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
w9070 Reena Aggarwal
Nagpurnanand R. Prabhala
Manju Puri

Institutional Allocation In Initial Public Offerings: Empirical Evidence
w9075 John Y. Campbell
Luis M. Viceira
Joshua S. White

Foreign Currency for Long-Term Investors
w9047 Sergio L. Schmukler
Luis Serven

Pricing Currency Risk: Facts and Puzzles from Currency Boards
w9049 Owen A. Lamont
Evaluating Value Weighting: Corporate Events and Market Timing
w9050 Neil Doherty
Kent Smetters

Moral Hazard in Reinsurance Markets
w9056 Michael W. Brandt
Qiang Kang

On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
w9009 Boyan Jovanovic
Serguey Braguinsky

Bidder Discounts and Target Premia in Takeovers
w8990 Jun Liu
Francis A. Longstaff
Ravit E. Mandell

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
w8991 Lubos Pastor
Pietro Veronesi

Stock Valuation and Learning about Profitability
w8994 G. Andrew Karolyi
Rene M. Stulz

Are Financial Assets Priced Locally or Globally?
w8997 Orley Ashenfelter
Kathryn Graddy

Art Auctions: A Survey of Empirical Studies
w9000 John M. Griffin
Federico Nardari
Rene M. Stulz

Daily Cross-Border Equity Flows: Pushed or Pulled?
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?
w8956 Yacine Ait-Sahalia
Closed-Form Likelihood Expansions for Multivariate Diffusions
w8959 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
w8961 John Y. Campbell
Glen B. Taksler

Equity Volatility and Corporate Bond Yields
w8944 Yacine Ait-Sahalia
Jefferson Duarte

Nonparametric Option Pricing under Shape Restrictions
w8922 Ravi Jagannathan
Tongshu Ma

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
w8925 Lars E.O. Svensson
Inflation Targeting: Should It Be Modeled as an Instrument Rule or a Targeting Rule?
w8906 George M. Constantinides
John B. Donaldson
Rajnish Mehra

Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security
w8884 Annette Vissing-Jorgensen
Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures
w8895 Nicholas Barberis
Andrei Shleifer
Jeffrey Wurgler

Comovement
w8874 Mark J. Garmaise
Tobias J. Moskowitz

Informal Financial Networks: Theory and Evidence
w8876 Tobias J. Moskowitz
Annette Vissing-Jorgensen

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
w8877 Mark J. Garmaise
Tobias J. Moskowitz

Confronting Information Asymmetries: Evidence from Real Estate Markets
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
w8822 Alon Brav
George M. Constantinides
Christopher C. Geczy

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
w8826 George M. Constantinides
Rational Asset Prices
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
w8781 James M. Poterba
John B. Shoven

Exchange Traded Funds: A New Investment Option for Taxable Investors
w8788 Amit Goyal
Ivo Welch

Predicting the Equity Premium With Dividend Ratios
w8789 Wayne E. Ferson
Andrew Siegel

Stochastic Discount Factor Bounds with Conditioning Information
w8790 Wayne Ferson
Kenneth Khang

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
w8791 Heber Farnsworth
Wayne E. Ferson
David Jackson
Steven Todd

Performance Evaluation with Stochastic Discount Factors
w8793 Randolph B. Cohen
Paul A. Gompers
Tuomo Vuolteenaho

Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions
w8794 Roberto Rigobon
Brian P. Sack

The Impact of Monetary Policy on Asset Prices
w8750 Malcolm Baker
Jeremy C. Stein
Jeffrey Wurgler

When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms
w8731 Marie-Eve Lachance
Olivia S. Mitchell

Guaranteeing Defined Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise
w8734 Mark Grinblatt
Bing Han

The Disposition Effect and Momentum
w8740 Boyan Jovanovic
Peter L. Rousseau

The Q-Theory of Mergers
w8744 Mark Grinblatt
Tobias J. Moskowitz

What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
w8745 Mark Grinblatt
Matti Keloharju

Tax-Loss Trading and Wash Sales
w8746 Bhagwan Chowdhry
Mark Grinblatt
David Levine

Information Aggregation, Security Design and Currency Swaps
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
w8678 John R. Graham
Campbell R. Harvey

Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective
w8682 Ravi Jagannathan
Andrew Kaplin
Steve Guoqiang Sun

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
w8683 Bryan R. Routledge
Stanley E. Zin

Model Uncertainty and Liquidity
w8686 William N. Goetzmann
Alok Kumar

Equity Portfolio Diversification
w8641 Sheridan Titman
The Modigliani and Miller Theorem and Market Efficiency
w8643 Andrew Ang
Joseph Chen
Yuhang Xing

Downside Risk and the Momentum Effect
w8649 Andrew B. Abel
On the Invariance of the Rate of Return to Convex Adjustment Costs
w8651 James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick

For Better or For Worse: Default Effects and 401(k) Savings Behavior
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
w8654 Randall Morck
Fan Yang

The Mysterious Growing Value of S&P 500 Membership
w8655 James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick

Defined Contribution Pensions: Plan Rules, Participant Decisions, and the Path of Least Resistance
w8666 Jay Shanken
Ane Tamayo

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
w8618 Robert C. Apfel
John E. Parsons
G. William Schwert
Geoffrey S. Stewart

Short Sales, Damages and Class Certification in 10b-5 Actions
w8622 Ellen R. McGrattan
Edward C. Prescott

The Stock Market Crash of 1929: Irving Fisher Was Right!
w8623 Ellen R. McGrattan
Edward C. Prescott

Taxes, Regulations, and Asset Prices
w8630 Eli Ofek
Matthew Richardson

DotCom Mania: The Rise and Fall of Internet Stock Prices
w8636 Roberto Rigobon
The Curse of Non-Investment Grade Countries
w8586 Michelle Lowry
G. William Schwert

Biases in the IPO Pricing Process
w8607 Yeung Lewis Chan
Leonid Kogan

Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
w8609 Leonid Kogan
Raman Uppal

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
w8610 James M. Poterba
Steven F. Venti
David A. Wise

The Transition to Personal Accounts and Increasing Retirement Wealth: Macro and Micro Evidence
w8612 William N. Goetzmann
Lingfeng Li
K. Geert Rouwenhorst

Long-Term Global Market Correlations
w8494 Charles M. Jones
Owen A. Lamont

Short Sale Constraints and Stock Returns
w8504 Yacine Ait-Sahalia
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
w8508 Andrew W. Lo
Dmitry V. Repin

The Psychophysiology of Real-Time Financial Risk Processing
w8510 Torben G. Andersen
Luca Benzoni
Jesper Lund

An Empirical Investigation of Continuous-Time Equity Return Models
w8533 John H. Cochrane
A Rehabilitation of Stochastic Discount Factor Methodology
w8538 Craig Doidge
G. Andrew Karolyi
Rene M. Stulz

Why are Foreign Firms Listed in the U.S. Worth More?
w8554 Robert F. Engle
Kevin Sheppard

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
w8557 David S. Bates
The Market for Crash Risk
w8565 Andrew W. Lo
Jiang Wang

Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
w8566 John Y. Campbell
Yeung Lewis Chan
Luis M. Viceira

A Multivariate Model of Strategic Asset Allocation
w8452 Campbell R. Harvey
Karl V. Lins
Andrew H. Roper

The Effect of Capital Structure When Expected Agency Costs are Extreme
w8453 Kathryn M.E. Dominguez
Linda L. Tesar

Exchange Rate Exposure
w8462 Lubos Pastor
Robert F. Stambaugh

Liquidity Risk and Expected Stock Returns
w8472 Kenneth A. Froot
Tarun Ramadorai

The Information Content of International Portfolio Flows
w8417 Yacine Ait-Sahalia
Jonathan A. Parker
Motohiro Yogo

Luxury Goods and the Equity Premium
w8436 G. William Schwert
Stock Volatility in the New Millennium: How Wacky Is Nasdaq?
w8439 Andrei Shleifer
Robert W. Vishny

Stock Market Driven Acquisitions
w8449 Paul A. Gompers
Joy L. Ishii
Andrew Metrick

Corporate Governance and Equity Prices
w8350 Roberto Rigobon
Brian Sack

Measuring the Reaction of Monetary Policy to the Stock Market
w8358 Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein

Social Interaction and Stock-Market Participation
w8360 Fernando Alvarez
Urban J. Jermann

The Size of the Permanent Component of Asset Pricing Kernels
w8363 Andrew Ang
Monika Piazzesi

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
w8367 Luis Garicano
Tano Santos

Referrals
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)
w8340 James M. Poterba
Taxation, Risk-Taking, and Household Portfolio Behavior
w8265 Anusha Chari
Peter Blair Henry

Stock Market Liberalizations and the Repricing of Systematic Risk
w8282 Louis K.C. Chan
Jason Karceski
Josef Lakonishok

The Level and Persistence of Growth Rates
w8302 Owen A. Lamont
Richard H. Thaler

Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs
w8308 Konan Chan
Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok

Earnings Quality and Stock Returns
w8309 Tano Santos
Pietro Veronesi

Labor Income and Predictable Stock Returns
w8311 Andrew W. Lo
Harry Mamaysky
Jiang Wang

Asset Prices and Trading Volume Under Fixed Transactions Costs
w8312 Guillermo Llorente
Roni Michaely
Gideon Saar
Jiang Wang

Dynamic Volume-Return Relation of Individual Stocks
w8207 Andrew Ang
Geert Bekaert

Stock Return Predictability: Is it There?
w8218 Jordi Gali
Mark Gertler
J. David Lopez-Salido

European Inflation Dynamics
w8221 John Y. Campbell
Robert J. Shiller

Valuation Ratios and the Long-Run Stock Market Outlook: An Update
w8223 James M. Poterba
Taxation and Portfolio Structure: Issues and Implications
w8240 Tuomo Vuolteenaho
What Drives Firm-Level Stock Returns?
w8242 Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho

The Value Spread
w8245 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Does Financial Liberalization Spur Growth?
w8246 Monika Piazzesi
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
w8143 David Genesove
Christopher Mayer

Loss Aversion and Seller Behavior: Evidence from the Housing Market
w8151 Joseph Chen
Harrison Hong
Jeremy C. Stein

Breadth of Ownership and Stock Returns
w8160 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

Modeling and Forecasting Realized Volatility
w8162 Sassan Alizadeh
Michael W. Brandt
Francis X. Diebold

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
w8166 Boyan Jovanovic
Peter L. Rousseau

Vintage Organization Capital
w8167 Qiang Dai
Kenneth J. Singleton

Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
w8172 Ravi Jagannathan
Ellen R. McGrattan
Anna Scherbina

The Declining U.S. Equity Premium
w8173 Stephen J. Brown
William N. Goetzmann

Hedge Funds With Style
w8190 Nicholas Barberis
Ming Huang

Mental Accounting, Loss Aversion, and Individual Stock Returns
w8106 Kenneth A. Froot
Steven E. Posner

The Pricing of Event Risks with Parameter Uncertainty
w8110 Kenneth A. Froot
The Market for Catastrophe Risk: A Clinical Examination
w8127 Yacine Ait-Sahalia
Michael W. Brandt

Variable Selection for Portfolio Choice
w8131 Andrew B. Abel
Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?
w8132 Andrew B. Abel
An Exploration of the Effects of Pessimism and Doubt on Asset Returns
w8135 Kenneth L. Judd
Sy-Ming Guu

Asymptotic Methods for Asset Market Equilibrium Analysis
w8066 John H. Cochrane
The Risk and Return of Venture Capital
w8073 Hyuk Choe
Bong-Chan Kho
Rene M. Stulz

Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?
w8077 Ellen R. McGrattan
Edward C. Prescott

Is the Stock Market Overvalued?
w8092 John H. Boyd
Ravi Jagannathan
Jian Hu

The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks
w8093 Artyom Durnev
Randall Morck
Bernard Yeung

Does Firm-specific Information in Stock Prices Guide Capital Allocation?
w8098 Ravi Jagannathan
Zhenyu Wang

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
2000
w8039 Nicholas Barberis
Andrei Shleifer

Style Investing
w8059 Ravi Bansal
Amir Yaron

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
w7991 James M. Poterba
John B. Shoven
Clemens Sialm

Asset Location for Retirement Savers
w7995 Kjetil Storesletten
Chris I. Telmer
Amir Yaron

Consumption and Risk Sharing Over the Life Cycle
w7997 Takatoshi Ito
Kimie Harada

Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises
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
w7933 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Heiko Ebens

The Distribution of Stock Return Volatility
w7948 Sendhil Mullainathan
Richard H. Thaler

Behavioral Economics
w7978 Fernando Alvarez
Urban J. Jermann

Using Asset Prices to Measure the Cost of Business Cycles
a0691 John H. Cochrane
Asset Pricing
w7873 Frederik P. Schlingemann
Rene M. Stulz
Ralph A. Walkling

Asset Liquidity and Segment Divestitures
w7878 James J. Choi
David Laibson
Andrew Metrick

Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans
w7879 David Laibson
Andrea Repetto
Jeremy Tobacman

A Debt Puzzle
w7905 Steven J. Davis
Paul Willen

Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice
w7913 Kee-Hong Bae
G. Andrew Karolyi
Rene M. Stulz

A New Approach to Measuring Financial Contagion
w7835 Evan Gatev
Stephen A. Ross

Rebels, Conformists, Contrarians and Momentum Traders
w7855 Graciela Kaminsky
Richard K. Lyons
Sergio Schmukler

Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
w7861 Martin Feldstein
Elena Ranguelova

Accumulated Pension Collars: A Market Approach to Reducing the Risk of Investment-Based Social Security Reform
w7778 Lubos Pastor
Robert F. Stambaugh

The Equity Premium and Structural Breaks
w7779 Lubos Pastor
Robert F. Stambaugh

Evaluating and Investing in Equity Mutual Funds
w7783 Andrew Ang
Geert Bekaert
Jun Liu

Why Stocks May Disappoint
w7796 Steven J. Davis
Jeremy Nalewaik
Paul Willen

On the Gains to International Trade in Risky Financial Assets
w7803 Owen Lamont
Christopher Polk

Does Diversification Destroy Value? Evidence From Industry Shocks
w7808 Hyun-Han Shin
Rene M. Stulz

Firm Value, Risk, and Growth Opportunities
w7739 Andrew B. Abel
The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks
w7753 Aaron Tornell
Robust-H-infinity Forecasting and Asset Pricing Anomalies
w7763 Geert Bekaert
Campbell R. Harvey
Christian Lundblad

Emerging Equity Markets and Economic Development
w7684 Bart Hobijn
Boyan Jovanovic

The Information Technology Revolution and the Stock Market: Evidence
w7687 Joseph Chen
Harrison Hong
Jeremy C. Stein

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
w7699 Jonathan Lewellen
Jay Shanken

Estimation Risk, Market Efficiency, and the Predictability of Returns
w7661 Robert J. Hodrick
Xiaoyan Zhang

Evaluating the Specification Errors of Asset Pricing Models
w6130 Yacine Ait-Sahalia
Andrew W. Lo

Nonparametric Risk Management and Implied Risk Aversion
w7589 John Y. Campbell
Asset Pricing at the Millennium
w7590 John Y. Campbell
Martin Lettau
Burton G. Malkiel
Yexiao Xu

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
w7595 Daniel Bergstresser
James Poterba

Do After-Tax Returns Affect Mutual Fund Inflows?
w7609 Geert Bekaert
Robert J. Hodrick

Expectations Hypotheses Tests
w7613 Andrew W. Lo
Harry Mamaysky
Jiang Wang

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
w7615 Kent D. Daniel
David Hirshleifer
Avanidhar Subrahmanyam

Covariance Risk, Mispricing, and the Cross Section of Security Returns
w7622 Brent W. Ambrose
Patric H. Hendershott
Malgorzata M. Klosek

Pricing Upward-Only Adjusting Leases
w7625 Andrew W. Lo
Jiang W. Wang

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
w7529 Rene M. Stulz
U.S. Banks, Crises, and Bailouts: From Mexico to LTCM
w7559 Ben Bernanke
Mark Gertler

Monetary Policy and Asset Price Volatility
w7565 Philippe Jorion
William N. Goetzmann

A Century of Global Stock Markets
w7566 Bradford Case
William N. Goetzmann
K. Geert Rouwenhorst

Global Real Estate Markets - Cycles and Fundamentals
w7567 William N. Goetzmann
Massimo Massa

Daily Momentum and Contrarian Behavior of Index Fund Investors
w7480 Ravi Jagannathan
Shaker B. Srinivasan

Does Product Market Competition Reduce Agency Costs?
w7488 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
w7489 Kent Daniel
Sheridan Titman

Market Efficiency in an Irrational World
w7498 John H. Cochrane
Money as Stock: Price Level Determination with no Money Demand
1999
w7445 Trevor S. Harris
R. Glenn Hubbard
Deen Kemsley

The Share Price Effects of Dividend Taxes and Tax Imputation Credits
w7376 Harrison Hong
Jeremy C. Stein

Differences of Opinion, Rational Arbitrage and Market Crashes
w7377 George Chacko
Luis M. Viceira

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
w7392 James M. Poterba
Andrew Samwick

Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s
w7396 Owen Lamont
Christopher Polk

The Diversification Discount: Cash Flows vs. Returns
w7403 Rafael La Porta
Florencio Lopez-deSilanes
Andrei Shleifer
Robert W. Vishny

Investor Protection and Corporate Valuation
w7406 Alon Brav
George M. Constantinides
Christopher C. Geczy

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
w7409 Luis M. Viceira
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
w7330 Young-Hye Cho
Robert F. Engle

Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
w7331 Young-Hye Cho
Robert F. Engle

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
w7337 Kathryn M. Dominguez
The Market Microstructure of Central Bank Intervention
w7341 Robert F. Engle
Simone Manganelli

CAViaR: Conditional Value at Risk by Quantile Regression
w7346 Geert Bekaert
Steven R. Grenadier

Stock and Bond Pricing in an Affine Economy
w7284 Lubos Pastor
Robert F. Stambaugh

Comparing Asset Pricing Models: An Investment Perspective
w7286 Kenneth A. Froot
The Market for Catastrophe Risk: A Clinical Examination
w7287 Kenneth A. Froot
The Evolving Market for Catastrophic Event Risk
w7317 Martin D.D. Evans
Richard K. Lyons

Order Flow and Exchange Rate Dynamics
w7325 David Ikenberry
Josef Lakonishok
Theo Vermaelen

Stock Repurchases in Canada: Performance and Strategic Trading
w7213 Jacob Boudoukh
Matthew Richardson
Richard Stanton
Robert F. Whitelaw

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
w7214 Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw

Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
w7215 Louis K.C. Chan
Hsiu-Lang Chen
Josef Lakonishok

On Mutual Fund Investment Styles
w7219 Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine

The Dynamics of Emerging Market Equity Flows
w7220 Nicholas Barberis
Ming Huang
Tano Santos

Prospect Theory and Asset Prices
w7223 Louis K.C. Chan
Josef Lakonishok
Theodore Sougiannis

The Stock Market Valuation of Research and Development Expenditures
w7237 John Y. Campbell
John H. Cochrane

Explaining the Poor Performance of Consumption-Based Asset Pricing Models
w7246 Kent Daniel
Sheridan Titman
K.C. John Wei

Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
w7247 Takatoshi Ito
Michael Melvin

Japan's Big Bang and the Transformation of Financial Markets
w7267 Kristin Forbes
Roberto Rigobon

No Contagion, Only Interdependence: Measuring Stock Market Co-movements
w7157 Robert J. Hodrick
David Tat-Chee Ng
Paul Sengmueller

An International Dynamic Asset Pricing Model
w7159 Narasimhan Jegadeesh
Sheridan Titman

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
w7162 A. Craig MacKinlay
Lubos Pastor

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
w7169 John H. Cochrane
New Facts in Finance
w7170 John H. Cochrane
Portfolio Advice for a Multifactor World
w7192 John B. Shoven
Clemens Sialm

Asset Location in Tax-Deferred and Conventional Savings Accounts
w7144 John Y. Campbell
Martin Lettau

Dispersion and Volatility in Stock Returns: An Empirical Investigation
w7067 Charles Engel
On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models
w7069 Klaas Baks
Andrew Metrick
Jessica Wachter

Bayesian Performance Evaluation
w7075 Severin Borenstein
Joseph Farrell

Do Investors Forecast Fat Firms? Evidence from the Gold Mining Industry
w7085 G. William Schwert
Hostility in Takeovers: In the Eyes of the Beholder?
w7105 Darrell Duffie
Jun Pan
Kenneth Singleton

Transform Analysis and Asset Pricing for Affine Jump-Diffusions
w6991 Andrew B. Abel
The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation
w7009 Wayne E. Ferson
Campbell R. Harvey

Conditioning Variables and the Cross-Section of Stock Returns
w7020 Steven Huddart
Ravi Jagannathan
Jane Saly

Valuing the Reload Features of Executive Stock Options
w7021 Rene M. Stulz
Globalization of Equity Markets and the Cost of Capital
w7029 John Y. Campbell
Joao F. Cocco
Francisco J. Gomes
Pascal J. Maenhout

Investing Retirement Wealth: A Life-Cycle Model
w7032 Evan G. Gatev
William N. Goetzmann
K. Geert Rouwenhorst

Pairs Trading: Performance of a Relative Value Arbitrage Rule
w7033 William N. Goetzmann
Massimo Massa

Index Funds and Stock Market Growth
w7039 Louis K.C. Chan
Jason Karceski
Josef Lakonishok

On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
w7055 Owen Lamont
Economic Tracking Portfolios
w6928 Francis X. Diebold
Lutz Kilian

Unit Root Tests Are Useful for Selecting Forecasting Models
w6953 Fernando Alvarez
Urban J. Jermann

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
w6961 Torben Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

The Distribution of Exchange Rate Volatility
w6967 Wayne E. Ferson
Campbell R. Harvey

Economic, Financial, and Fundamental Global Risk In and Out of the EMU
w6880 Geert Bekaert
Jun Liu

Conditioning Information and Variance Bounds on Pricing Kernels
w6913 Leslie A. Jeng
Andrew Metrick
Richard Zeckhauser

The Profits to Insider Trading: A Performance-Evaluation Perspective
1998
w6844 Peter F. Christoffersen
Francis X. Diebold

How Relevant is Volatility Forecasting for Financial Risk Management?
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
w6801 John Y. Campbell
Luis M. Viceira

Who Should Buy Long-Term Bonds?
w6745 Jonathan B. Berk
Richard C. Green
Vasant Naik

Valuation and Return Dynamics of New Ventures
w6747 S. Rao Aiyagari
Mark Gertler

"Overreaction" of Asset Prices in General Equilibrium
w6774 James M. Poterba
Population Age Structure and Asset Returns: An Empirical Investigation
w6723 Paul A. Gompers
Andrew Metrick

Institutional Investors and Equity Prices
w6724 Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine

Dating the Integration of World Equity Markets
w6736 David Backus
Silverio Foresi
Chris Telmer

Discrete-Time Models of Bond Pricing
w6673 Bengt Holmstrom
Jean Tirole

LAPM: A Liquidity-based Asset Pricing Model
w6678 Jonathan B. Berk
A Simple Approach for Deciding When to Invest
w6683 Andrew B. Abel
Risk Premia and Term Premia in General Equilibrium
w6687 Kenneth A. Froot
Paul G.J. O'Connell
Mark S. Seasholes

The Portfolio Flows of International Investors, I
w6631 Sanjiv R. Das
Poisson-Guassian Processes and the Bond Markets
w6634 Rajesh Aggarwal
Andrew A. Samwick

The Other Side of the Tradeoff: The Impact of Risk on Executive Compensation
w6635 Sanjiv R. Das
Rangarajan K. Sundaram

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
w6639 Sanjiv Ranjan Das
Rangarajan K. Sundaram

On the Regulation of Fee Structures in Mutual Funds
w6641 Robert J. Shiller
Social Security and Institutions for Intergenerational, Intragenerational, and International Risk Sharing
w6644 Sanjiv Ranjan Das
Rangarajan K. Sundaram

Fee Speech: Adverse Selection and the Regulation of Mutual Funds
w6648 Andrew Metrick
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters
w6656 Josef Lakonishok
Inmoo Lee

Are Insiders' Trades Informative?
w6666 Torben G. Anderson
Tim Bollerslev
Ashish Das

Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
w6669 Geert Bekaert
Campbell R. Harvey

Capital Flows and the Behavior of Emerging Market Equity Returns
w6611 Fernando Restoy
Philippe Weil

Approximate Equilibrium Asset Prices
w6616 James M. Poterba
Scott J. Weisbenner

Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns
w6617 George M. Constantinidies
John B. Donaldson
Rajnish Mehra

Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
w6627 Jonathan Berk
Richard C. Green
Vasant Naik

Optimal Investment, Growth Options, and Security Returns
w6552 Robert J. Shiller
Allan N. Weiss

Moral Hazard in Home Equity Conversion
w6553 Harrison Hong
Terence Lim
Jeremy C. Stein

Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
w6572 Kenneth A. Froot
Emil Dabora

How are Stock Prices Affected by the Location of Trade?
w6583 Joel Slemrod
Timothy Greimel

Did Steve Forbes Scare the Municipal Bond Market?
w6490 Lubos Pastor
Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing
w6505 David Bates
Roger Craine

Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash
w6508 Andrew Ang
Geert Bekaert

Regime Switches in Interest Rates
w6476 Fernando Alvarez
Urban J. Jermann

Asset Pricing when Risk Sharing is Limited by Default
w6485 John Y. Campbell
Asset Prices, Consumption, and the Business Cycle
w6207 John H. Cochrane
Where is the Market Going? Uncertain Facts and Novel Theories
w6412 Stephen J. Brown
William N. Goetzmann
Mark Grinblatt

Positive Portfolio Factors
w6413 William N. Goetzmann
Jonathan Ingersoll
Jr.
Stephen A. Ross

High Water Marks
w6427 Stephen J. Brown
William N. Goetzmann
James Park

Hedge Funds and the Asian Currency Crisis of 1997
w6434 Connie Becker
Wayne Ferson
David Myers
Michael Schill

Conditional Market Timing with Benchmark Investors
w6347 Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Toshiyuki Otsuki
Noriyoshi Shiraishi

The Japanese Open-End Fund Puzzle
w6351 Karen K. Lewis
International Home Bias in International Finance and Business Cycles
w6354 Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark

Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?
w6375 Robert J. Shiller
Human Behavior and the Efficiency of the Financial System
w6379 David Backus
Silverio Foresi
Abon Mozumdar
Liuren Wu

Predictable Changes in Yields and Forward Rates
w6381 G. William Schwert
Stock Market Volatility: Ten Years After the Crash
w6382 Urban J. Jermann
International Portfolio Diversification and Labor/Leisure Choice
1997
w6312 Geert Bekaert
Campbell R. Harvey

Foreign Speculators and Emerging Equity Markets
w6324 Harrison Hong
Jeremy C. Stein

A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
w6325 Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi

The Central Tendency: A Second Factor in Bond Yields
w6250 Dimitris Bertsimas
Leonid Kogan
Andrew W. Lo

Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
w6257 Andrew W. Lo
A. Craig MacKinlay
June Zhang

Econometric Models of Limit-Order Executions
t0216 Christian Gollier
Richard J. Zeckhauser

Horizon Length and Portfolio Risk
w6210 Owen Lamont
Christopher Polk
Jesus Saa-Requejo

Financial Constraints and Stock Returns
w6218 Sara Fisher Ellison
Wallace P. Mullin

Gradual Incorporation of Information into Stock Prices: Empirical Strategies
w6222 Joshua V. Rosenberg
Robert F. Engle

Option Hedging Using Empirical Pricing Kernels
w6243 John M. Griffin
Rene M. Stulz

International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns
w6158 Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw

Optimal Risk Management Using Options
w6128 Qiang Dai
Kenneth J. Singleton

Specification Analysis of Affine Term Structure Models
w6129 Robert F. Engle
Joe Lange

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
w6147 Geert Bekaert
Robert J. Hodrick
David A. Marshall

"Peso Problem" Explanations for Term Structure Anomalies
w6098 Louis K. C. Chan
Jason Karceski
Josef Lakonishok

The Risk and Return from Factors
t0212 Sanjiv Ranjan Das
An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
w6025 Kenneth A. Froot
The Limited Financing of Catastrophe Risk: An Overview
w6045 George Chacko
Sanjiv Ranjan Das

Average Interest
w5991 Karen K. Lewis
Are Countries with Official International Restrictions "Liquidity Constrained?"
w6001 James M. Poterba
The History of Annuities in the United States
w6002 Olivia S. Mitchell
James M. Poterba
Mark J. Warshawsky

New Evidence on the Money's Worth of Individual Annuities
w6011 Kenneth A. Froot
Paul G. J. O'Connell

On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance
w6022 Geert Bekaert
Guojun Wu

Asymmetric Volatility and Risk in Equity Markets
w6023 Torben G. Andersen
Tim Bollerslev

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
a0705 John Y. Campbell
Asset Pricing
w5950 Patrick K. Asea
Mthuli Ncube

Heterogeneous Information Arrival and Option Pricing
w5962 Lars E. O. Svensson
Inflation Targeting: Some Extensions
w5974 Jose M. Campa
P. H. Kevin Chang

The Forecasting Ability of Correlations Implied in Foreign Exchange Options
w5976 Sanjiv Ranjan Das
Rangarajan K. Sundaram

Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
t0209 Stefano Athanasoulis
Robert J. Shiller

The Significance of the Market Portfolio
w5913 David M. Cutler
Richard J. Zeckhauser

Reinsurance for Catastrophes and Cataclysms
w5918 Robert F. Stambaugh
Analyzing Investments Whose Histories Differ in Length
w5926 Nicholas Barberis
Andrei Shleifer
Robert W. Vishny

A Model of Investor Sentiment
w5936 Takatoshi Ito
Richard K. Lyons
Michael T. Melvin

Is There Private Information in the FX Market? The Tokyo Experiment
w5873 Sanjiv Ranjan Das
Rangarajan K. Sundaram

Auction Theory: A Summary with Applications to Treasury Markets
w5877 Paul Soderlind
Lars E. O. Svensson

New Techniques to Extract Market Expectations from Financial Instruments
w5894 David S. Bates
Post-'87 Crash Fears in S&P 500 Futures Options
w5901 William N. Goetzmann
Philippe Jorion

A Century of Global Stock Markets
w5906 William N. Goetzmann
Philippe Jorion

Re-emerging Markets
w5909 Stephen J. Brown
William N. Goetzmann
Roger G. Ibbotson

Offshore Hedge Funds: Survival and Performance 1989-1995
1996
w5852 Judith Chevalier
Glenn Ellison

Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance
w5857 John Y. Campbell
Luis M. Viceira

Consumption and Portfolio Decisions When Expected Returns are Time Varying
w5860 Wayne E. Ferson
Campbell R. Harvey

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing
w5816 Robert F. Engle
The Econometrics of Ultra-High Frequency Data
w5819 Jun-Koo Kang
Yong-Cheol Kim
Rene M. Stulz

The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan
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
w5830 Jon A. Christopherson
Wayne E. Ferson
Debra A. Glassman

Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
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?
t0198 James H. Stock
Jonathan Wright

Asymptotics for GMM Estimators with Weak Instruments
w5671 Owen Lamont
Earnings and Expected Returns
w5607 N. Gregory Mankiw
James M. Poterba

Stock Market Yields and the Pricing of Municipal Bonds
w5610 John Y. Campbell
Consumption and the Stock Market: Interpreting International Experience
w5623 David Backus
Silverio Foresi
Chris Telmer

Affine Models of Currency Pricing
w5635 David I. Laibson
Hyperbolic Discount Functions, Undersaving, and Savings Policy
w5638 David Backus
Silverio Foresi
Stanley Zin

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
w5587 John Y. Campbell
Robert J. Shiller

A Scorecard for Indexed Government Debt
w5588 Peter Klibanoff
Owen Lamont
Thierry A. Wizman

Investor Reaction to Salient News in Closed-End Country Funds
w5479 Yacine Ait-Sahalia
Dynamic Equilibrium and Volatility in Financial Asset Markets
w5489 John H. Cochrane
Jesus Saa-Requejo

Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
w5496 Jeremy C. Stein
Rational Capital Budgeting in an Irrational World
w5500 Bernard Dumas
Jeff Fleming
Robert E. Whaley

Implied Volatility Functions: Empirical Tests
w5505 Blake LeBaron
Technical Trading Rule Profitability and Foreign Exchange Intervention
t0191 Geert Bekaert
Robert J. Hodrick
David A. Marshall

On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
w5403 Kenneth A. Froot
Jeremy C. Stein

Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
w5445 Geert Bekaert
Stephen F. Gray

Target Zones and Exchange Rates: An Empirical Investigation
w5446 Charles M. Jones
Owen Lamont
Robin Lumsdaine

Public Information and the Persistence of Bond Market Volatility
1995
w5374 Louis K. C. Chan
Josef Lakonishok

A Cross-Market Comparison of Institutional Equity Trading Costs
w5375 Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok

Momentum Strategies
w5345 Yacine Ait-Sahalia
Nonparametric Pricing of Interest Rate Derivative Securities
w5346 Yacine Ait-Sahalia
Testing Continuous-Time Models of the Spot Interest Rate
w5351 Yacine Ait-Sahalia
Andrew W. Lo

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
w5363 Andrew B. Abel
Janice C. Eberly

The Effects of Irreversibility and Uncertainty on Capital Accumulation
w5289 Karen K. Lewis
Stochastic Regime Switching and Stabilizing Policies within Regimes
w5307 Geert Bekaert
Campbell R. Harvey

Emerging Equity Market Volatility
w5311 Rafael La Porta
Josef Lakonishok
Andrei Shleifer
Robert Vishny

Good News for Value Stocks: Further Evidence on Market Efficiency
w5312 Charles Engel
The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence
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
w5262 Michele Boldrin
Lawrence J. Christiano
Jonas D.M. Fisher

Asset Pricing Lessons for Modeling Business Cycles
w5203 Karen K. Lewis
What Can Explain the Apparent Lack of International Consumption Risk Sharing?
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
w5227 Andrew B. Abel
Avinash K. Dixit
Janice C. Eberly
Robert S. Pindyck

Options, the Value of Capital, and Investment
t0183 Kenneth D. West
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
w5165 Larry Lang
Eli Ofek
Rene M. Stulz

Leverage, Investment, and Firm Growth
w5166 Jun-Koo Kang
Rene M. Stulz

Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan
w5167 Andrei Shleifer
Robert W. Vishny

The Limits of Arbitrage
w5172 Jiang Wang
The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors
w5141 Benjamin M. Friedman
Economic Implications of Changing Share Ownership
w5128 Robert F. Engle
Joshua V. Rosenberg

GARCH Gamma
w5129 David S. Bates
Testing Option Pricing Models
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
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
w5095 Robert J. Shiller
Stefano Athanasoulis

World Income Components: Measuring and Exploiting International Risk Sharing Opportunities
w5096 Robert C. Merton
Financial Innovation and the Management and Regulation of Financial Institutions
w5100 Gary Gorton
Richard Rosen

Banks and Derivatives
t0173 Francis X. Diebold
Jose A. Lopez

Measuring Volatility Dynamics
w5010 Hua He
Jiang Wang

Differential Information and Dynamic Behavior of Stock Trading Volume
w5027 Andrew W. Lo
A. Craig MacKinlay

Maximizing Predictability in the Stock and Bond Markets
w5031 John Y. Campbell
Some Lessons from the Yield Curve
w4988 William A. Brock
Blake D. LeBaron

A Dynamic Structural Model for Stock Return Volatility and Trading Volume
w4990 Geert Bekaert
Michael S. Urias

Diversification, Integration and Emerging Market Closed-End Funds
w4995 John Y. Campbell
John H. Cochrane

By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
w4997 Shmuel Kandel
Robert F. Stambaugh

On the Predictability of Stock Returns: An Asset-Allocation Perspective
1994
w4951 Karen K. Lewis
Puzzles in International Financial Markets
w4958 Robert F. Engle
Joshua Rosenberg

Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
w4966 Robert F. Engle
Jeffrey R. Russell

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
w4890 John R. Graham
Campbell R. Harvey

Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations
w4857 Niko Canner
N. Gregory Mankiw
David N. Weil

An Asset Allocation Puzzle
w4858 James Dow
Gary Gorton

Noise Trading, Delegated Portfolio Management, and Economic Welfare
w4863 G. William Schwert
Mark-Up Pricing in Mergers and Acquisitions
t0161 Daniel B. Nelson
Asymptotically Optimal Smoothing with ARCH Models
t0162 Daniel B. Nelson
Asymptotic Filtering Theory for Multivariate ARCH Models
t0163 Dean P. Foster
Daniel B. Nelson

Continuous Record Asymptotics for Rolling Sample Variance Estimators
w4818 Geert Bekaert
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
w4830 Robert J. Shiller
Allan N. Weiss

Home Equity Insurance
w4843 Geert Bekaert
Campbell R. Harvey

Time-Varying World Market Integration
w4801 Michael R. Darby
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System
w4756 A. Craig MacKinlay
Multifactor Models Do Not Explain Deviations from the CAPM
w4778 Roni Michaely
Richard H. Thaler
Kent Womack

Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?
w4727 Peter C. Reiss
Ingrid M. Werner

Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange
w4743 K.C. Chan
Wai-Ming Fong
Rene M. Stulz

Information, Trading and Stock Returns: Lessons from Dually-Listed Securities
t0129 Daniel B. Nelson
Dean P. Foster

Asypmtotic Filtering Theory for Univariate Arch Models
w4702 Shmuel Kandel
Robert F. Stambaugh

Portfolio Inefficiency and the Cross-Section of Expected Returns
w4718 James M. Hutchinson
Andrew W. Lo
Tomaso Poggio

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
w4720 Andrew W. Lo
Jiang Wang

Implementing Option Pricing Models When Asset Returns Are Predictable
a0717 John Y. Campbell
Asset Pricing
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
w4645 Rene M. Stulz
International Portfolio Choice and Asset Pricing: An Integrative Survey
w4654 Larry Lang
Annette Poulsen
Rene M. Stulz

Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion
w4657 Bernard Dumas
A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
w4660 Campbell R. Harvey
Bruno Solnik
Guofu Zhou

What Determines Expected International Asset Returns?
w4663 Campbell R. Harvey
Roger D. Huang

The Impact of the Federal Reserve Bank's Open Market Operations
t0151 Douglas Staiger
James H. Stock

Instrumental Variables Regression with Weak Instruments
t0152 Kenneth D. West
Dongchul Cho

The Predictive Ability of Several Models of Exchange Rate Volatility
w4611 Linda L. Tesar
Ingrid M. Werner

International Equity Transactions and U.S. Portfolio Choice
w4621 Campbell R. Harvey
Predictable Risk and Returns in Emerging Markets
w4622 Wayne E. Ferson
Campbell R. Harvey

Sources of Risk and Expected Returns in Global Equity Markets
w4623 Campbell R. Harvey
Conditional Asset Allocation in Emerging Markets
w4624 Geert Bekaert
Robert J. Hodrick
David A. Marshall

The Implications of First-Order Risk Aversion for Asset Market Risk Premiums
w4632 Olivia S. Mitchell
Ping Lung Hsin

"Public Sector Pension Governance and Performance"
1993
t0131 Robert J. Shiller
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures
w4587 John Y. Campbell
Kenneth A. Froot

International Experiences with Securities Transaction Taxes
w4595 Wayne E. Ferson
Campbell R. Harvey

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
w4596 David S. Bates
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
w4519 Robert F. Engle
Alex Kane
Jaesun Noh

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
w4520 Jaesun Noh
Robert F. Engle
Alex Kane

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
w4522 Bernard Dumas
L. Peter Jennergren
Bertil Naslund

Currency Option Pricing in Credible Target Zones
w4524 Larry G. Epstein
Angelo Melino

A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
w4554 John Y. Campbell
Understanding Risk and Return
t0145 Lars Peter Hansen
John Heaton
Erzo Luttmer

Econometric Evaluation of Asset Pricing Models
t0141 Lars Peter Hansen
Jose Alexandre Scheinkman

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
t0142 John Y. Campbell
Why Long Horizons: A Study of Power Against Persistent Alternatives
w4446 Bernard Dumas
Partial- Vs. General-Equilibrium Models of the International Capital Market
w4458 Bernard Dumas
L. Peter Jennergren
Bertil Naslund

Realignment Risk and Currency Option Pricing in Target Zones
w4459 Bernard Dumas
Bruno Solnik

The World Price of Foreign Exchange Risk
t0140 Robert F. Stambaugh
Estimating Conditional Expectations when Volatility Fluctuates
w4396 Robert J. Shiller
Aggregate Income Risks and Hedging Mechanisms
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
t0134 Shmuel Kandel
Robert McCulloch
Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency
w4355 Kenneth A. Froot
Currency Hedging over Long Horizons
w4360 Josef Lakonishok
Robert W. Vishny
Andrei Shleifer

Contrarian Investment, Extrapolation, and Risk
w4369 Shlomo Benartzi
Richard H. Thaler

Myopic Loss Aversion and the Equity Premium Puzzle
w4314 James Dow
Gary Gorton

Arbitrage Chains
w4315 James Dow
Gary Gorton

Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing
w4329 John Campbell
Jianping Mei

Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
w4347 Pierluigi Balduzzi
Giuseppe Bertola
Silverio Foresi

A Model of Target Changes and the Term Structure of Interest Rates
t0133 David K. Backus
Stanley E. Zin

Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates
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
w4373 Jeremy C. Stein
Prices and Trading Volume in the Housing Market: A Model with Downpayment Effects
w4249 John Heaton
Deborah Lucas

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
1992
t0132 Daniel B. Nelson
Dean P. Foster

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model
w4234 Douglas Elmendorf
Mary Hirshfeld
David Weil

The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920
t0128 Kenneth D. West
Hali J. Edison
Dongchul Cho

A Utility Based Comparison of Some Models of Exchange Rate Volatility
w4217 Rene M. Stulz
Walter Wasserfallen

Foreign Equity Investment Restrictions and Shareholder Wealth Maximization
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?
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
w4116 Martin D. Evans
Karen K. Lewis

Trends in Expected Returns in Currency and Bond Markets
w4121 David Romer
Rational Asset Price Movements Without News
w4088 John H. Cochrane
Lars Peter Hansen

Asset Pricing Explorations for Macroeconomics
w4104 Phillip A. Braun
George M. Constantinides
Wayne E. Ferson

Time Nonseparability in Aggregate Consumption: International Evidence
w4108 Tim Bollerslev
Robert J. Hodrick

Financial Market Efficiency Tests
w4110 Andrew B. Abel
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle
w4074 K.C. Chan
G. Andrew Karolyi
Rene M. Stulz

Global Financial Markets and the Risk Premium on U.S. Equity
w4083 Robert S. Pindyck
The Present Value Model of Rational Commodity Pricing
w4043 Bruce N. Lehmann
Empirical Testing of Asset Pricing Models
w4054 J. Bradford De Long
Marco Becht

"Excess Volatility" and the German Stock Market, 1876-1990
w4025 John H. Cochrane
A Cross-Sectional Test of a Production-Based Asset Pricing Model
w4036 Orley Ashenfelter
David Genesove

Testing for Price Anomalies in Real Estate Auctions
w3989 John Y. Campbell
Intertemporal Asset Pricing Without Consumption Data
w3992 Olivier Jean Blanchard
Philippe Weil

Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty
w3995 Robert B. Barsky
J. Bradford De Long

Why Does the Stock Market Fluctuate?
w4003 Martin D. Evans
Karen K. Lewis

Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets
w3954 Zvi Bodie
Robert C. Merton
William F. Samuelson

Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
w3975 Philippe Weil
Equilibrium Asset Prices With Undiversifiable Labor Income Risk
w3976 Miles Kimball
Philippe Weil

Precautionary Saving and Consumption Smoothing Across Time and Possibilities
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
w3904 Douglas W. Elmendorf
Miles S. Kimball

Taxation of Labor Income and the Demand For Risky Assets
w3910 Shang-Jin Wei
Jeffrey A. Frankel

Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?
w3861 Geert Bekaert
Robert J. Hodrick

On Biases in the Measurement of Foreign Exchange Risk Premiums
w3862 Franklin Allen
Gary Gorton

Stock Price Manipulation, Market Microstructure and Asymmetric Information
w3873 Bruce N. Lehmann
Asset Pricing and Intrinsic Values: A Review Essay
w3888 Jerry A. Hausman
Andrew W. Lo
A. Craig MacKinlay

An Ordered Probit Analysis of Transaction Stock Prices

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