NBER Papers in JEL Code G1: Financial Economics - General Financial Markets
| 2022 | ||
| w29957 |
Erica X. N. Li Chen Xue Lu Zhang |
Asymmetric Investment Rates |
| w29949 |
Akiko Watanabe Masahiro Watanabe |
Cohort Effects on Expected Co-Movement |
| w29944 |
Alan M. Taylor |
The Savings Glut of the Old: Population Aging, the Risk Premium, and the Murder-Suicide of the Rentier |
| w29931 |
Thomas J. Sargent Neng Wang Jinqiang Yang |
A p Theory of Government Debt and Taxes |
| w29916 |
Martin Lettau Burton G. Malkiel Yexiao Xu |
Idiosyncratic Equity Risk Two Decades Later |
| w29915 |
Martin Schneider |
Modeling Uncertainty as Ambiguity: a Review |
| w29839 |
Alexandr Kopytov Lin Shen Haotian Xiang |
On ESG Investing: Heterogeneous Preferences, Information, and Asset Prices |
| w29899 |
Zhaogang Song |
Agency MBS as Safe Assets |
| w29894 |
Dhruv Singal Laura Veldkamp Venky Venkateswaran |
Valuing Financial Data |
| w29890 |
Victoria Ivashina |
Disruption and Credit Markets |
| w29887 |
Emil Siriwardane |
How do Private Equity Fees vary across Public Pensions? |
| w29883 |
Chester S. Spatt |
Payment for Order Flow And Asset Choice |
| w29881 |
Antoinette Schoar Allison T. Cole Duncan Simester |
Household Portfolios and Retirement Saving over the Life Cycle |
| w29875 |
Walker D. Ray Dimitri Vayanos |
A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers |
| w29849 |
Akiko Watanabe Masahiro Watanabe |
Evidence on Retrieved Context: How History Matters |
| w29837 |
Angela Vossmeyer Marc D. Weidenmier |
Stock Volatility and the War Puzzle |
| w29833 |
|
High Dimensional Factor Models with an Application to Mutual Fund Characteristics |
| w29827 |
Toomas Laarits Jeffrey Wurgler |
Stock Market Stimulus |
| w29825 |
Ulrike Malmendier Michael Weber |
What Do the Data Tell Us About Inflation Expectations? |
| w29821 |
Cong Qin Neng Wang |
Portfolio Rebalancing with Realization Utility |
| w29815 |
Alp Simsek |
A Note on Temporary Supply Shocks with Aggregate Demand Inertia |
| w29807 |
Joseph E. Stiglitz |
Collective Moral Hazard and the Interbank Market |
| w29803 |
Zhengyang Xu |
Dynamics of Subjective Risk Premia |
| w29790 |
Lauren Cohen Weiling Liu |
Calling All Issuers: The Market for Debt Monitoring |
| w29747 |
John Graham |
The Information Content of Corporate Earnings: Evidence from the Securities Exchange Act of 1934 |
| w29746 |
Murillo Campello John Graham Yueran Ma |
Corporate Flexibility in a Time of Crisis |
| w29745 |
Joseph E. Stiglitz |
Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions |
| w29744 |
Daniel D. Graves Cecilia Parlatore |
The Value of Arbitrage |
| w29731 |
Bibo Liu Feifei Zhu |
Share Pledging in China: Funding Listed Firms or Funding Entrepreneurship? |
| w29723 |
Zihan Lin Markus Pelger Stijn Van Nieuwerburgh |
Machine-Learning the Skill of Mutual Fund Managers |
| w29714 |
Steven J. Davis Jeffrey A. Levy |
State-Level Economic Policy Uncertainty |
| w29710 |
Chase P. Ross Sharon Y. Ross |
Making Money |
| w29689 |
Hazel Bateman Hanming Fang Tin Long Ho |
Long-Term Care Insurance Financing Using Home Equity Release: Evidence from an Online Experimental Survey |
| w29679 |
Motohiro Yogo |
Understanding the Ownership Structure of Corporate Bonds |
| w29670 |
Karlye Dilts Stedman Kristin Forbes |
Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle |
| w29649 |
Yong Yin |
A Cross-Country Comparison of Old Age Financial Readiness in Asian Countries vs. the United States: The Case of Japan and the Republic of Korea |
| w29647 |
Augustin Landier Parinitha R. Sastry David Thesmar |
The Moral Preferences of Investors: Experimental Evidence |
| w29636 |
Toni M. Whited Anastasia A. Zakolyukina |
Information versus Investment |
| w29633 |
Heiwai Tang Zhi Wang Shang-Jin Wei |
Currency Carry Trade by Trucks: The Curious Case of China's Massive Imports from Itself |
| w29626 |
Sebastian A. Merkel Yuliy Sannikov |
Debt as Safe Asset |
| 2021 | ||
| w29604 |
Alexander MacKay Hanbin Yang |
What Drives Variation in Investor Portfolios? Evidence from Retirement Plans |
| w29559 |
Julia Fonseca Aaron S. Goodman Jonathan A. Parker |
Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle |
| w29554 |
|
Empirical Option Pricing Models |
| w29543 |
David Hirshleifer Lin Peng Yi Tang |
Attention, Social Interaction, and Investor Attraction to Lottery Stocks |
| w29526 |
Jesse Schreger Markus Schwedeler Ahmed Tahoun |
Sources and Transmission of Country Risk |
| w29515 |
Zhiguo He Jiasun Li |
An Economic Model of Consensus on Distributed Ledgers |
| w29513 |
Massimo Massa |
Is Human-Interaction-based Information Substitutable? Evidence from Lockdown |
| w29504 |
|
Technological Obsolescence |
| w29501 |
Bin Wei Vivian Z. Yue Egon Zakrajšek |
Sovereign Risk and Financial Risk |
| w29495 |
Emi Nakamura Jón Steinsson |
Learning About the Long Run |
| w29476 |
Guido Lorenzoni |
The Prudential Use of Capital Controls and Foreign Currency Reserves |
| w29454 |
|
Measuring Firm Environmental Performance to Inform Asset Management and Standardized Disclosure |
| w29453 |
Avanidhar Subrahmanyam Sheridan Titman |
Momentum, Reversals, and Investor Clientele |
| w29432 |
Sergei Sarkissian Michael Schill Francis E. Warnock |
Nonlinearities and a Pecking Order in Cross-border Investment |
| w29410 |
Michael R. Roberts Michael Schwert |
CLO Performance |
| w29404 |
Carol H. Shiue |
The Economic Consequences of the Opium War |
| w29396 |
Antoinette Schoar |
Blockchain Analysis of the Bitcoin Market |
| w29385 |
Cletus C. Coughlin Jonas Crews Stephen L. Ross |
Immediate and Longer-Term Housing Market Effects of a Major U.S. Airport Closure |
| w29379 |
Nida Çakır Melek Harry Mamaysky |
Predicting the Oil Market |
| w29369 |
Bryan T. Kelly |
A Factor Model For Option Returns |
| w29365 |
Xin (Kelly) Liu Shang-Jin Wei |
Is Stock Index Membership for Sale? |
| w29351 |
Hanno Lustig Stijn Van Nieuwerburgh Mindy Z. Xiaolan |
What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark |
| w29346 |
Kristin Forbes |
Macroprudential Policy during COVID-19: The Role of Policy Space |
| w29338 |
Laura Veldkamp |
Bayesian Learning |
| w29336 |
|
Exposure, Experience, and Expertise: Why Personal Histories Matter in Economics |
| w29313 |
Francis E. Warnock |
Foreign Investors and US Treasuries |
| w29288 |
Shimon Kogan Jacob Sagi Laura Starks |
The Asymmetry in Responsible Investing Preferences |
| w29280 |
Mancy Luo Larissa Schäfer Margarita Tsoutsoura |
Does Political Partisanship Cross Borders? Evidence from International Capital Flows |
| w29277 |
Luciana Juvenal |
External Balance Sheets and the COVID-19 Crisis |
| w29270 |
Huan Tang Constantine Yannelis |
Measuring the Welfare Cost of Asymmetric Information in Consumer Credit Markets |
| w29238 |
Moritz Lenel |
The Flight to Safety and International Risk Sharing |
| w29232 |
|
Measuring Market Expectations |
| w29223 |
Paul D. Klemperer |
Misdiagnosing Bank Capital Problems |
| w29212 |
Chishen Wei. Wei Bin Zhao |
Corporate Actions and the Manipulation of Retail Investors in China: An Analysis of Stock Splits |
| w29210 |
Guido Menzio Randall Wright Yu Zhu |
Market Freezes |
| w29205 |
Mark J. Johnson René M. Stulz |
Why Did Small Business Fintech Lending Dry Up During March 2020? |
| w29195 |
Felix Matthys Emilio Osambela Ronnie Sircar |
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance |
| w29160 |
Ansgar Walther |
Corrective Regulation with Imperfect Instruments |
| w29155 |
Alan M. Taylor |
Financial crises: A survey |
| w29136 |
Jeffrey Wurgler |
What Do You Think About Climate Finance? |
| w29129 |
Tim Landvoigt Patrick J. Shultz Stijn Van Nieuwerburgh |
Can Monetary Policy Create Fiscal Capacity? |
| w29128 |
|
The Treasury Market in Spring 2020 and the Response of the Federal Reserve |
| w29090 |
Darrell Duffie Yilin Yang |
Reserves Were Not So Ample After All |
| w29085 |
Lars A. Lochstoer Dongho Song |
The Real Channel for Nominal Bond-Stock Puzzles |
| w29082 |
Qifei Zhu |
Currency Management by International Fixed Income Mutual Funds |
| w29081 |
Francis A. Longstaff |
Treasury Richness |
| w29076 |
Rick Di Mascio Alex Imas Lawrence Schmidt |
Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors |
| w29065 |
John Y. Campbell Tarun Ramadorai Benjamin Ranish |
Who Owns What? A Factor Model for Direct Stock Holding |
| w29064 |
William Brock Lars P. Hansen |
Climate Change Uncertainty Spillover in the Macroeconomy |
| w29034 |
Hüsnü Dalgic Armen Nurbekyan |
Financial Dollarization in Emerging Markets: Efficient Risk Sharing or Prescription for Disaster? |
| w29016 |
Tobias J. Moskowitz Robert F. Stambaugh |
Pricing Without Mispricing |
| w29011 |
Eric Budish Peter O'Neill |
Quantifying the High-Frequency Trading "Arms Race" |
| w29009 |
|
Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks |
| w29002 |
Dacheng Xiu Dake Zhang |
Test Assets and Weak Factors |
| w28983 |
Mikhail Chernov Stanley E. Zin Irina Zviadadze |
Monetary Policy Risk: Rules vs. Discretion |
| w28967 |
Ralph S. J. Koijen |
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis |
| w28954 |
Mikhail Chernov |
Interest Rate Skewness and Biased Beliefs |
| w28950 |
Dmitry Mukhin |
Mussa Puzzle Redux |
| w28941 |
Mihir Gandhi Yoshio Nozawa Pietro Veronesi |
Option-Implied Spreads and Option Risk Premia |
| w28940 |
Robert F. Stambaugh Lucian A. Taylor |
Dissecting Green Returns |
| w28931 |
Jinfei Sheng |
Macro News and Micro News: Complements or Substitutes? |
| w28926 |
Christopher Palmer |
Are Stated Expectations Actual Beliefs? New Evidence for the Beliefs Channel of Investment Demand |
| w28899 |
Ian Martin |
Sustainability in a Risky World |
| w28869 |
Moritz Lenel |
Monetary Policy, Redistribution, and Risk Premia |
| w28834 |
Péter Kondor |
Heterogeneous Global Booms and Busts |
| w28827 |
Galina Hale |
Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy |
| w28824 |
Stavros Panageas Geoffery X. Zheng |
A Long and a Short Leg Make For a Wobbly Equilibrium |
| w28806 |
|
Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in the UK |
| w28800 |
Wei Jiang Junbo L. Wang Baozhong Yang |
From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses |
| w28778 |
Xi Liu René M. Stulz |
Do Firms with Specialized M&A Staff Make Better Acquisitions? |
| w28776 |
|
Household Debt Overhang Did Hardly Cause a Larger Spending Fall during the Financial Crisis in Australia |
| w28751 |
Song Ma Manju Puri |
Private Equity and Financial Stability: Evidence from Failed Bank Resolution in the Crisis |
| w28749 |
Roberto Gomez Cram Howard Kung |
Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices |
| w28732 |
Eduardo S. Schwartz |
Optimal Harvest with Multiple Fishing Zones, Endogenous Price and Global Uncertainty |
| w28731 |
Nicholas Bloom Steven J. Davis |
Why Working from Home Will Stick |
| w28729 |
Cecilia Parlatore |
Strategic Fragmented Markets |
| w28697 |
Georgios Karalas Dimitri Vayanos |
The Distribution of Investor Beliefs, Stock Ownership and Stock Returns |
| w28694 |
Enrico Spolaore Romain Wacziarg |
Barriers to Global Capital Allocation |
| w28693 |
Giacomo Candian Ryan Chahrour Rosen Valchev |
Risky Business Cycles |
| w28692 |
Tyler Muir |
Do Intermediaries Matter for Aggregate Asset Prices? |
| w28691 |
Taylor D. Nadauld Keith P. Vorkink Michael S. Weisbach |
Discount Rate Risk in Private Equity: Evidence from Secondary Market Transactions |
| w28687 |
Nicholas Bloom Steven J. Davis Marco C. Sammon |
What Triggers Stock Market Jumps? |
| w28675 |
Vrinda Mittal Jonas Peeters Stijn Van Nieuwerburgh |
Flattening the Curve: Pandemic-Induced Revaluation of Urban Real Estate |
| w28628 |
Dexin Li Nina Wang Jonathan Gruber Rena M. Conti Andrew W. Lo |
Estimating the Financial Impact of Gene Therapy in the U.S. |
| w28624 |
Jiacui Li Andrea Rossi Yang Song |
Discontinued Positive Feedback Trading and the Decline of Momentum Profitability |
| w28615 |
Chester S. Spatt Mao Ye |
Big Data in Finance |
| w28613 |
Matteo Leombroni Hanno Lustig Stijn Van Nieuwerburgh |
Financial and Total Wealth Inequality with Declining Interest Rates |
| w28599 |
Zhiguo He Fabrice Tourre |
Sovereign Debt Ratchets and Welfare Destruction |
| w28598 |
Christoph Trebesch |
Sovereign Debt in the 21st Century: Looking Backward, Looking Forward |
| w28595 |
Neng Wang Jinqiang Yang |
Welfare Consequences of Sustainable Finance |
| w28592 |
Tho Pham Oleksandr Talavera |
The Voice of Monetary Policy |
| w28585 |
Hiro Ito Gurnain Kaur Pasricha |
Central Bank Swap Arrangements in the COVID-19 Crisis |
| w28570 |
Rasmus T. Varneskov |
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions |
| w28569 |
Rasmus T. Varneskov |
Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions |
| w28568 |
Rasmus T. Varneskov |
Consistent Inference for Predictive Regressions in Persistent Economic Systems |
| w28528 |
Genevieve C. Selden John B. Shoven Clemens Sialm |
Replicating the Dow Jones Industrial Average |
| w28525 |
Garth Heutel Givi Melkadze |
Climate Policy, Financial Frictions, and Transition Risk |
| w28515 |
Mao Ye Miles Zheng |
Financial Regulation, Clientele Segmentation, and Stock Exchange Order Types |
| w28513 |
|
Portfolios for Long-Term Investors |
| w28510 |
Marcin Kacperczyk |
Global Pricing of Carbon-Transition Risk |
| w28490 |
Raimond Maurer Olivia S. Mitchell |
Do Required Minimum Distribution 401(k) Rules Matter, and For Whom? Insights from a Lifecycle Model |
| w28489 |
Guillermo Ordoñez |
The Two Faces of Information |
| w28447 |
Steve Pak Yeung Wu |
Forecasting the U.S. Dollar in the 21st Century |
| w28444 |
Fangzhou Lu Robert F. Whitelaw |
The Price and Quantity of Interest Rate Risk |
| w28432 |
Bryan T. Kelly Lasse Heje Pedersen |
Is There A Replication Crisis In Finance? |
| w28426 |
|
The Macroeconomics of Financial Speculation |
| w28415 |
|
Economic Fluctuations and Pseudo-Wealth |
| w28408 |
Alireza Tahbaz-Salehi Andrea Vedolin |
Model Complexity, Expectations, and Asset Prices |
| w28369 |
Francesco Franzoni Byungwook Kim Rabih Moussawi |
Competition for Attention in the ETF Space |
| w28367 |
Jianjun Miao Neng Wang |
Robust Financial Contracting and Investment |
| w28363 |
Benjamin Loos Alessandro Previtero Andreas Hackethal |
Smart(Phone) Investing? A within Investor-time Analysis of New Technologies and Trading Behavior. |
| w28357 |
Erica Xuewei Jiang Gregor Matvos Tomasz Piskorski Amit Seru |
Government and Private Household Debt Relief during COVID-19 |
| w28356 |
Caroline Fohlin Marc D. Weidenmier |
Do Global Pandemics Matter for Stock Prices? Lessons from the 1918 Spanish Flu |
| w28348 |
Bruce I. Carlin Seyed Mohammad Kazempour |
The Asset Pricing Implications of Plausible Deniability |
| w28320 |
Dingqian Liu Xuguang Simon Sheng |
Stock Prices and Economic Activity in the Time of Coronavirus |
| 2020 | ||
| w28306 |
|
Event-day Options |
| w28302 |
Michael Howell Hélène Rey |
Answering the Queen: Machine Learning and Financial Crises |
| w28284 |
Xuewen Liu Pengfei Wang |
Self-Fulfilling Risk Panics: An Expected Utility Framework |
| w28276 |
|
Informal Central Bank Communication |
| w28265 |
Derek Lemoine |
What Were the Odds? Estimating the Market's Probability of Uncertain Events |
| w28261 |
Jean-Philippe Bouchaud |
Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality |
| w28260 |
Magnus Dahlquist Lars A. Lochstoer |
Pricing Currency Risks |
| w28253 |
Dimitri Vayanos Lu Zheng |
Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing |
| w28238 |
Junbo L. Wang |
A Panel Regression Approach to Holdings-based Fund Performance Measures |
| w28225 |
|
The Story of the Real Exchange Rate |
| w28210 |
Stephen A. Karolyi Nicholas Z. Muller |
Polluting Public Funds: The Effect of Environmental Regulation on Municipal Bonds. |
| w28198 |
|
The Remarkable Growth in Financial Economics, 1974-2020 |
| w28196 |
Christodoulos Louca Roni Michaely Michael Weber |
Cybersecurity Risk |
| w28186 |
Marcel Savioz |
A Theory of the Nominal Character of Stock Securities |
| w28184 |
Hao Pang |
Common Shocks in Stocks and Bonds |
| w28175 |
Constantine Yannelis |
The Distributional Effects of Student Loan Forgiveness |
| w28160 |
Alex Xi He Sabrina T. Howell Elisabeth Ruth Perlman Joseph Staudt |
The Color of Money: Federal vs. Industry Funding of University Research |
| w28156 |
Sheridan Titman Xintong Zhan Weiming Zhang |
ESG Preference, Institutional Trading, and Stock Return Patterns |
| w28140 |
Jean Jacod Dacheng Xiu |
Inference on Risk Premia in Continuous-Time Asset Pricing Models |
| w28134 |
Francis A. Longstaff |
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market |
| w28127 |
Timothy Johnson Suresh Sundaresan Steven Zheng |
The Value of a Cure: An Asset Pricing Perspective |
| w28119 |
Guillermo Ordoñez |
The Collateral Link between Volatility and Risk Sharing |
| w28109 |
Tim Jenkinson Steven N. Kaplan Ruediger Stucke |
Has Persistence Persisted in Private Equity? Evidence from Buyout and Venture Capital Funds |
| w28103 |
Jiacui Li Andrea Rossi Yang Song |
Ratings-Driven Demand and Systematic Price Fluctuations |
| w28102 |
Tyler Muir |
Volatility Expectations and Returns |
| w28097 |
John V. Duca |
How New Fed Corporate Bond Programs Dampened the Financial Accelerator in the Covid-19 Recession |
| w28096 |
Siddharth Vij |
Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India |
| w28092 |
Qing Wang Tong Xu Tao Zha |
Aggregate and Distributional Impacts of LTV Policy: Evidence from China's Micro Data |
| w28063 |
Xiaomeng Lu Jun Pan |
FinTech Adoption and Household Risk-Taking |
| w28056 |
Edward Kim Dimitris Papanikolaou |
Intangible Value |
| w28054 |
Miles Zheng Xiongshi Li |
Price Ceiling, Market Structure, and Payout Policies |
| w28038 |
Sinan Gokkaya Xi Liu René M. Stulz |
Who Benefits from Analyst "Top Picks"? |
| w28029 |
Francis A. Longstaff |
The Market Risk Premium for Unsecured Consumer Credit Risk |
| w28028 |
Antoinette Schoar Yang Sun |
Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds |
| w28020 |
Natalia Kovrijnykh Jian Li Anna Pavlova |
Is There Too Much Benchmarking in Asset Management? |
| w28016 |
Gary B. Gorton Stéphane Verani |
Adverse Selection Dynamics in Privately-Produced Safe Debt Markets |
| w28007 |
Mark Alan Fontana Miles S. Kimball |
Reconsidering Risk Aversion |
| w28002 |
|
r Minus g |
| w28001 |
Lu Zhang |
Searching for the Equity Premium |
| w27997 |
Prithwiraj Choudhury Britta Glennon |
An Executive Order Worth $100 Billion: The Impact of an Immigration Ban's Announcement on Fortune 500 Firms' Valuation |
| w27990 |
Umit G. Gurun Quoc H. Nguyen |
The ESG-Innovation Disconnect: Evidence from Green Patenting |
| w27989 |
Stephen B. Billings Matthew Gustafson Ryan Lewis |
Partisan Residential Sorting on Climate Change Risk |
| w27976 |
Utpal Bhattacharya Stacey E. Jacobsen |
Do Acquirer Announcement Returns Reflect Value Creation? |
| w27971 |
Daniel B. Walton |
An Analysis of the Performance of Target Date Funds |
| w27969 |
James J. Choi Danielle Dyson Adriana Z. Robertson |
Millionaires Speak: What Drives Their Personal Investment Decisions? |
| w27959 |
Alan Moreira Alexi Savov |
Liquidity and Volatility |
| w27950 |
Wei Jiang Baozhong Yang Alan L. Zhang |
How to Talk When a Machine is Listening?: Corporate Disclosure in the Age of AI |
| w27927 |
Karlye Dilts Stedman Christian Lundblad |
Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk |
| w27892 |
Fabio Trojani Andrea Vedolin |
The Global Factor Structure of Exchange Rates |
| w27880 |
|
Incentivizing Negative Emissions Through Carbon Shares |
| w27870 |
Martin Melecky Florian Mölders Tristan Reed |
Long-run Returns to Impact Investing in Emerging Markets and Developing Economies |
| w27867 |
Stephen Hansen Cristhian Seminario-Amez |
Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19 |
| w27866 |
|
The Wisdom of the Robinhood Crowd |
| w27864 |
Stefano Giglio |
Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data |
| w27861 |
Tao Zha Ji Zhang Hao Zhou |
Does Fiscal Policy Matter for Stock-Bond Return Correlation? |
| w27859 |
Yang Zhang |
A Return Based Measure of Firm Quality |
| w27858 |
Christian Opp Marcus Opp |
The Aggregate Demand for Bank Capital |
| w27856 |
Gianluca Rinaldi |
Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion |
| w27847 |
Tony Zhang |
The Economics of Currency Risk |
| w27844 |
Nelson C. Mark |
Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model |
| w27843 |
Xiao Han Alejandro Lopez-Lira |
Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases |
| w27829 |
Jeffrey D. Kubik Neng Wang Xiao Xu Jinqiang Yang |
Pandemics, Vaccines and an Earnings Damage Function |
| w27826 |
|
Optimal Financial Transaction Taxes |
| w27819 |
A. Hakan Kara Burçin Kısacıkoğlu Sang Seok Lee |
Monetary Policy Surprises and Exchange Rate Behavior |
| w27786 |
Hanno Lustig Stijn Van Nieuwerburgh Mindy Z. Xiaolan |
Manufacturing Risk-free Government Debt |
| w27784 |
Daniel L. Greenwald Sydney C. Ludvigson |
What Explains the COVID-19 Stock Market? |
| w27772 |
Alberto Martin Lorenzo Pandolfi Tomas Williams |
Winners and Losers from Sovereign Debt Inflows |
| w27751 |
Sabrina T. Howell Filippo Mezzanotti Xinxin Wang Ting Xu |
Investor Tax Credits and Entrepreneurship: Evidence from U.S. States |
| w27745 |
David Hirshleifer |
Social Finance: Cultural Evolution, Transmission Bias and Market Dynamics |
| w27740 |
Stephanie G. Johnson Lorenz Kueng |
Financial Returns to Household Inventory Management |
| w27739 |
Alessandro Rebucci |
Global Business and Financial Cycles: A Tale of Two Capital Account Regimes |
| w27721 |
Selman Erol Guillermo Ordoñez |
Interbank Networks in the Shadows of the Federal Reserve Act |
| w27712 |
Alp Simsek |
Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect |
| w27690 |
Jiaheng Yu Ravi Jagannathan |
Return to Venture Capital in the Aggregate |
| w27682 |
Arvind Krishnamurthy Hanno Lustig |
Dollar Safety and the Global Financial Cycle |
| w27675 |
Jennifer S. Rhee |
The Return to Capital in Capital-Scarce Countries |
| w27665 |
Maggie Rong Hu Zhenping Wang Vincent Yao |
Valuation of Long-Term Property Rights under Political Uncertainty |
| w27655 |
Mark Grinblatt Yoshio Nozawa |
Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns |
| w27648 |
Miguel A. Ferreira Pedro Matos Clemens Sialm |
How Global is Your Mutual Fund? International Diversification from Multinationals |
| w27638 |
Laura Starks Harry J. Turtle |
Molecular Genetics, Risk Aversion, Return Perceptions, and Stock Market Participation |
| w27615 |
Samuel G. Hanson Jeremy C. Stein Adi Sunderam |
A Quantity-Driven Theory of Term Premia and Exchange Rates |
| w27601 |
Sascha Steffen |
The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID |
| w27593 |
René M. Stulz Zexi Wang |
Does Joining the S&P 500 Index Hurt Firms? |
| w27573 |
Veronika K. Pool Clemens Sialm Irina Stefanescu |
Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations |
| w27559 |
Itay Goldstein Ali Hortaçsu |
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Michael Ostrovsky Mikhail Panov |
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| w20496 |
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Household Debt: Facts, Puzzles, Theories, and Policies |
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Saki Bigio |
Banks, Liquidity Management and Monetary Policy |
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Dimitri Vayanos Paul Woolley |
Asset Management Contracts and Equilibrium Prices |
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Luis Goncalves-Pinto Yanbo Wang Moqi Xu |
Strategic News Releases in Equity Vesting Months |
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Eric Hughson Marc D. Weidenmier |
Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse |
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Laura Veldkamp |
Understanding Uncertainty Shocks and the Role of Black Swans |
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Tobias J. Moskowitz |
Momentum Crashes |
| w20437 |
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Tax News: The Response of Household Spending to Changes in Expected Taxes |
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Jules H. van Binsbergen |
Assessing Asset Pricing Models Using Revealed Preference |
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Robert J. Hodrick Zhongjin Lu |
The Carry Trade: Risks and Drawdowns |
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Andrea L. Eisfeldt Pierre-Olivier Weill |
Entry and Exit in OTC Derivatives Markets |
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Gregor Matvos Amit Seru |
Selling Failed Banks |
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Uncertainty Outside and Inside Economic Models |
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Cosmin L. Ilut |
Evidence for Relational Contracts in Sovereign Bank Lending |
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Juan Rubio-Ramírez Daniel F. Waggoner Tao Zha |
Perturbation Methods for Markov-Switching DSGE Models |
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Robert J. Shiller |
Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013 |
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Gian Luca Clementi Piero Gottardi |
Capital Structure and Hedging Demand with Incomplete Markets |
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Alon Raviv Ricardo Reis |
Inflating Away the Public Debt? An Empirical Assessment |
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Ross Levine Sergio L. Schmukler |
Capital Market Financing, Firm Growth, Firm Size Distribution |
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Harold L. Cole Hanno Lustig |
Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy |
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Axelle Ferriere Stanley Zin |
Risk and Ambiguity in Models of Business Cycles |
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Dongho Song Amir Yaron |
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach |
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Lucius Li Chendi Zhang |
Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World |
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Rui C. Mano |
Forward and Spot Exchange Rates in a Multi-currency World |
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Stijn Van Nieuwerburgh |
Housing, Finance and the Macroeconomy |
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Qingyi Freda Drechsler |
The Shorting Premium and Asset Pricing Anomalies |
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Gary Gorton Bengt Holmström Guillermo Ordonez |
Banks as Secret Keepers |
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Jaromir B. Nosal Luminita Stevens |
Investor Sophistication and Capital Income Inequality |
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Robert J. Hodrick |
Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances |
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Kirsten Wandschneider |
Capital Controls and Recovery from the Financial Crisis of the 1930s |
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Xiaoji Lin Fan Yang |
External Equity Financing Shocks, Financial Flows, and Asset Prices |
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Lars P. Hansen José A. Scheinkman |
Misspecified Recovery |
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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 |
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Thomas M. Mertens |
Information Aggregation in a DSGE Model |
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Bruce Carlin Michael Hasler |
Model Disagreement and Economic Outlook |
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Matthew P. Richardson Robert F. Whitelaw |
On the Fundamental Relation Between Equity Returns and Interest Rates |
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William C. Gerken Zoran Ivković Scott J. Weisbenner |
Capital Gains Lock-In and Governance Choices |
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Matteo Maggiori Johannes Stroebel |
No-Bubble Condition: Model-free Tests in Housing Markets |
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Alexi Savov Philipp Schnabl |
A Model of Monetary Policy and Risk Premia |
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Jules H. van Binsbergen Binying Liu |
Matching Capital and Labor |
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Matteo Maggiori Johannes Stroebel |
Very Long-Run Discount Rates |
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Jing Cynthia Wu |
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility |
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Fan Dora Xia |
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound |
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Anisha Ghosh |
Asset Pricing with Countercyclical Household Consumption Risk |
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Yasushi Hamao Yongxiang Wang |
Nationalism and Economic Exchange: Evidence from Shocks to Sino-Japanese Relations |
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Cosmin L. Ilut Martin Schneider |
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle |
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Lauren Lambie-Hanson Lynn M. Fisher |
The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums |
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Bryan T. Kelly Hanno Lustig Stijn Van Nieuwerburgh |
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications |
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Francesco Franzoni Rabih Moussawi |
Do ETFs Increase Volatility? |
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Carolin Pflueger Luis M. Viceira |
Macroeconomic Drivers of Bond and Equity Risks |
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Jessica A. Wachter |
Rare Booms and Disasters in a Multi-sector Endowment Economy |
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Pengfei Wang |
Private Information and Sunspots in Sequential Asset Markets |
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Benoît Mojon |
Credit Risk in the Euro Area |
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Tarun Ramadorai Benjamin Ranish |
Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience |
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Julien Fouquau Richard Portes |
Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts |
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Luca Gambetti |
The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence |
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Mahir Binici Michael M. Hutchison |
The Transmission of Federal Reserve Tapering News to Emerging Financial Markets |
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Yehuda Izhakian |
Risk, Ambiguity, and the Exercise of Employee Stock Options |
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Xin Liu Shang-Jin Wei |
One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility? |
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Thomas F. Cooley |
Rating Agencies |
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Robert J. Hodrick |
Estimating the Risk-Return Trade-off with Overlapping Data Inference |
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Charles P. Thomas Francis E. Warnock Jon Wongswan |
Uncovered Equity Parity and Rebalancing in International Portfolios |
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Asset Prices in a Lifecycle Economy |
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Hans-Joachim Voth |
Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending |
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Martin Oehmke |
Maturity Rationing and Collective Short-Termism |
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Dimitri Vayanos |
Liquidity Risk and the Dynamics of Arbitrage Capital |
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Retirement Security in an Aging Society |
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Sydney C. Ludvigson Stijn Van Nieuwerburgh |
Foreign Ownership of U.S. Safe Assets: Good or Bad? |
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Jing Cynthia Wu |
Effects of Index-Fund Investing on Commodity Futures Prices |
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Robert F. Stambaugh Lucian A. Taylor |
Scale and Skill in Active Management |
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Martin Scheicher Guillaume Vuillemey |
Central Clearing and Collateral Demand |
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David Low |
Measuring the ''World'' Real Interest Rate |
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Johannes Stroebel |
Testing for Information Asymmetries in Real Estate Markets |
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High Discounts and High Unemployment |
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Greg Kaplan Jae Song |
How Risky Are Recessions for Top Earners? |
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International Liquidity and Exchange Rate Dynamics |
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Wenlan Qian |
How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation |
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Martin Lettau Sydney C. Ludvigson |
Origins of Stock Market Fluctuations |
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Christopher Mayer |
Misinformed Speculators and Mispricing in the Housing Market |
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Market Set-Up in Advance of Federal Reserve Policy Decisions |
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Lubos Pastor Pietro Veronesi |
The Price of Political Uncertainty: Theory and Evidence from the Option Market |
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When Real Estate is the Only Game in Town |
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Christian Hellwig Aleh Tsyvinski |
Dynamic Dispersed Information and the Credit Spread Puzzle |
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Political Risk Spreads |
| 2013 | ||
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Risk and Return in Village Economies |
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Time is Money: Life Cycle Rational Inertia and Delegation of Investment Management |
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Thomas Philippon Alexi Savov |
Have Financial Markets Become More Informative? |
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Wei Xiong |
Are Commodity Futures Prices Barometers of the Global Economy? |
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Michael Johannes Lars A. Lochstoer |
Parameter Learning in General Equilibrium: The Asset Pricing Implications |
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Simon Johnson Amir Kermani James Kwak Todd Mitton |
The Value of Connections in Turbulent Times: Evidence from the United States |
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Corporate Cash Holding in Asia |
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Maximum likelihood estimation of the equity premium |
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Buffett's Alpha |
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Aitor Erce Alberto Martin Jaume Ventura |
Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects |
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Are Capital Controls Prudential? An Empirical Investigation |
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Why Do Hedgers Trade So Much? |
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Crowding Out Redefined: The Role of Reserve Accumulation |
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The Cost of Capital for Alternative Investments |
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Financing as a Supply Chain: The Capital Structure of Banks and Borrowers |
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Jonathan Pritchett |
Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War |
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The Term Structure of Currency Carry Trade Risk Premia |
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Moral Hazard, Informed Trading, and Stock Prices |
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Neng Wang Jinqiang Yang |
Valuing Private Equity |
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Jessica A. Wachter |
Option Prices in a Model with Stochastic Disaster Risk |
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Itzhak Ben-David Vincent Yao |
Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market |
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Takaaki Nomoto Akiko Terada-Hagiwara |
Why Has Japan's Massive Government Debt Not Wreaked Havoc (Yet)? |
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Andrew Ang Turan G. Bali Nusret Cakici |
The Joint Cross Section of Stocks and Options |
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Raimond Maurer Olivia S. Mitchell |
How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios |
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Zheng Sun Lu Zheng |
Home Bias and Local Contagion: Evidence from Funds of Hedge Funds |
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Laura Starks Hanjiang Zhang |
Defined Contribution Pension Plans: Sticky or Discerning Money? |
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High Frequency Traders: Taking Advantage of Speed |
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Time Variation in Asset Price Responses to Macro Announcements |
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Crisis and Commitment: Inflation Credibility and the Vulnerability to Sovereign Debt Crises |
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Xingtan Zhang |
A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks |
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Bryan Kelly Hanno Lustig Stijn Van Nieuwerburgh |
Firm Volatility in Granular Networks |
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Jung-Wook Kim Randall Morck |
Productivity Growth and Stock Returns: Firm- and Aggregate-Level Analyses |
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Nusret Cakici Robert F. Whitelaw |
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? |
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Richard C. Green Yuhang Xing |
Advance Refundings of Municipal Bonds |
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Guozhong Zhu |
Household Finance: Education, Permanent Income and Portfolio Choice |
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Portfolio Choice with Illiquid Assets |
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Do Managers Do Good with Other People's Money? |
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Dong Lou Christopher Malloy |
Playing Favorites: How Firms Prevent the Revelation of Bad News |
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The Real Costs of Disclosure |
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Thom Covert Parag Pathak |
The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market |
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Asset Pricing in the Frequency Domain: Theory and Empirics |
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Wenlan Qian Bernard Yeung |
Speculative Investors and Tobin's Tax in the Housing Market |
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Sheridan Titman |
Financial Market Shocks and the Macroeconomy |
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Stavros Panageas Jianfeng Yu |
Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion |
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Tail Risk and Asset Prices |
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Commodity Trade and the Carry Trade: a Tale of Two Countries |
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Identifying Taylor Rules in Macro-Finance Models |
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Aditya Kaul Christian Leuz Ingrid M. Werner |
The Twilight Zone: OTC Regulatory Regimes and Market Quality |
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Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity |
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Stefan Nagel |
Risk-Adjusting the Returns to Venture Capital |
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Tobias J. Moskowitz Lasse Heje Pedersen Evert B. Vrugt |
Carry |
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Asset Pricing in the Dark: The Cross Section of OTC Stocks |
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Regression Discontinuity and the Price Effects of Stock Market Indexing |
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Time Varying Risk Aversion |
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Waves in Ship Prices and Investment |
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External Adjustment, Global Imbalances and Valuation Effects |
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Francis A. Longstaff Hanno Lustig |
Deflation Risk |
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Dimitrios Vagias Mathijs A. van Dijk |
Do Firms Issue more equity when markets are more liquid? |
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Lu Zhang |
Unemployment Crises |
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Raimond Maurer Olivia S. Mitchell Ralph Rogalla |
Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection |
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Neil Nabar Sam Wald |
Search for a Common Factor in Public and Private Real Estate Returns |
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Jerry Thursby Marie C. Thursby |
Patents as Signals for Startup Financing |
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Robin Greenwood Lawrence Jin Andrei Shleifer |
X-CAPM: An Extrapolative Capital Asset Pricing Model |
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Ivo Kovacevic Eduardo S. Schwartz |
Commodity and Asset Pricing Models: An Integration |
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The Dynamic Properties of Financial-Market Equilibrium with Trading Fees |
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Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy |
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Hubert Kempf |
Deposit Insurance and Orderly Liquidation without Commitment: Can we Sleep Well? |
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Jonathan Guryan Kyle Hyndman Melissa Schettini Kearney Erkut Y. Ozbay |
Do Lottery Payments Induce Savings Behavior: Evidence from the Lab |
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Andrei Shleifer Robert W. Vishny |
Finance and the Preservation of Wealth |
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Wall Street vs. Main Street: An Evaluation of Probabilities |
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Flights to Safety |
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'Lucas' In The Laboratory |
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Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files |
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Risk Premia in Crude Oil Futures Prices |
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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks |
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Exchanging Delayed Social Security Benefits for Lump Sums: Could This Incentivize Longer Work Careers? |
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Liability Investment with Downside Risk |
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Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly |
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R-squared and the Economy |
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Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity |
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State-run Banks, Money Growth, and the Real Economy |
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The VIX, the Variance Premium and Stock Market Volatility |
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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure |
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No News is News: Do Markets Underreact to Nothing? |
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Advertising Expensive Mortgages |
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Reaching for Yield in the Bond Market |
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Financial Education and Choice in State Public Pension Systems |
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Informational Frictions and Commodity Markets |
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Political Credit Cycles: The Case of the Euro Zone |
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Sales Force and Competition in Financial Product Markets: The Case Of Mexico's Social Security Privatization |
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Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund |
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Are Sticky Prices Costly? Evidence From The Stock Market |
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Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market |
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Limited Partner Performance and the Maturing of the Private Equity Industry |
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The Supply and Demand for Safe Assets |
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Ronen Feldman Shimon Kogan Matthew Richardson |
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Salience and Asset Prices |
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Informed Trading and Expected Returns |
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Winners and Losers: Creative Destruction and the Stock Market |
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Three Branches of Theories of Financial Crises |
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Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks |
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Fettered Consumers and Sophisticated Firms: Evidence from Mexico's Privatized Social Security Market |
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Embedded Leverage |
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On the Link Between the Volatility and Skewness of Growth |
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Building Castles in the Air: Evidence from Industry IPO Waves |
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Do prices reveal the presence of informed trading? |
| w18451 |
Vyacheslav Fos |
Insider Trading, Stochastic Liquidity and Equilibrium Prices |
| w18450 |
Pierre Collin-Dufresne Robert S. Goldstein |
Endogenous Dividend Dynamics and the Term Structure of Dividend Strips |
| w18435 |
Chen Xue Lu Zhang |
Digesting Anomalies: An Investment Approach |
| w18427 |
Joseph R. Mason Marc Weidenmier Katherine Bobroff |
The Effects of Reconstruction Finance Corporation Assistance on Michigan's Banks' Survival in the 1930s |
| w18412 |
Brigitte C. Madrian William L. Skimmyhorn |
Financial Literacy, Financial Education and Economic Outcomes |
| w18411 |
Stefano Giglio Christopher Polk Robert Turley |
An Intertemporal CAPM with Stochastic Volatility |
| w18408 |
Konstantin Milbradt |
Endogenous Liquidity and Defaultable Bonds |
| w18406 |
|
Adverse Selection In Credit Markets and Regressive Profit Taxation |
| w18397 |
|
Some Reflections on the Recent Financial Crisis |
| w18382 |
Nelson C. Mark Kenneth D. West |
Factor Model Forecasts of Exchange Rates |
| w18372 |
Enrique G. Mendoza Vincenzo Quadrini |
Capital Mobility and International Sharing of Cyclical Risk |
| w18362 |
M. Ayhan Kose Christopher Otrok Marco E. Terrones |
Global House Price Fluctuations: Synchronization and Determinants |
| w18357 |
Ivan Shaliastovich |
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets |
| w18353 |
Eric Rosenblatt Paul S. Willen Vincent Yao |
Foreclosure externalities: Some new evidence |
| w18311 |
Gene Amromin Itzhak Ben-David Souphala Chomsisengphet Tomasz Piskorski Amit Seru |
Policy Intervention in Debt Renegotiation: Evidence from the Home Affordable Modification Program |
| w18312 |
Umit G. Gurun Christopher J. Malloy |
Resident Networks and Firm Trade |
| w18305 |
Dana Kiku Amir Yaron |
Risks For the Long Run: Estimation with Time Aggregation |
| w18300 |
Chichun Fang Francisco Gomes |
Risk and Returns to Education |
| w18291 |
Karl B. Diether Christopher Malloy |
Legislating Stock Prices |
| w18256 |
|
FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets |
| w18251 |
Jiang Wang |
Market Liquidity -- Theory and Empirical Evidence |
| w18247 |
|
Econometric Analysis of Present Value Models When the Discount Factor Is near One |
| w18241 |
Florian Ederer Bruno Ferman Noam Yuchtman |
Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment |
| w18231 |
Jianfeng Yu Yu Yuan |
The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns |
| w18222 |
Justin Wolfers Eric Zitzewitz |
Prediction Markets for Economic Forecasting |
| w18211 |
Marcus Matthias Opp Farzad Saidi |
Target Revaluation after Failed Takeover Attempts - Cash versus Stock |
| w18195 |
Jonathan H. Wright |
The Economics of Options-Implied Inflation Probability Density Functions |
| w18184 |
Jules H. van Binsbergen |
Measuring Managerial Skill in the Mutual Fund Industry |
| w18181 |
|
Continuous-Time Linear Models |
| w18174 |
Andrei Shleifer Robert W. Vishny |
Money Doctors |
| w18169 |
Ravi Jagannathan Soohun Kim |
Tail Risk in Momentum Strategy Returns |
| w18158 |
Jonathan Reuter |
Is Conflicted Investment Advice Better than No Advice? |
| w18137 |
Anthony W. Lynch |
Does Mutual Fund Performance Vary over the Business Cycle? |
| w18135 |
Francis A. Longstaff Michael A. Rierson |
Inflation Tracking Portfolios |
| w18128 |
Dmitriy Sergeyev Jón Steinsson |
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence |
| w18102 |
Thomas M. Eisenbach Yuliy Sannikov |
Macroeconomics with Financial Frictions: A Survey |
| w18104 |
Dana Kiku Ivan Shaliastovich Amir Yaron |
Volatility, the Macroeconomy and Asset Prices |
| w18084 |
Tim Bollerslev Peter F. Christoffersen Francis X. Diebold |
Financial Risk Measurement for Financial Risk Management |
| w18080 |
Randall Morck |
Family Ties, Inheritance Rights, and Successful Poverty Alleviation: Evidence from Ghana |
| w18066 |
Greg Kaplan |
The Money Value of a Man |
| w18063 |
|
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars |
| w18059 |
|
House Price Moments in Boom-Bust Cycles |
| w18057 |
|
Country Size, Currency Unions, and International Asset Returns |
| w18052 |
Marcel Fratzscher Thomas Kostka Roland Straub |
Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls |
| w18050 |
Antti Petajisto Eric Zitzewitz |
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation |
| w18046 |
Nicola Fusari Viktor Todorov |
Parametric Inference and Dynamic State Recovery from Option Panels |
| w18028 |
Yothin Jinjarak Minsoo Lee Donghyun Park |
Developing countries' financial vulnerability to the euro crisis: An event study of equity and bond markets |
| w18024 |
Enrico Moretti Florian S. Peters |
Winning by Losing: Evidence on the Long-Run Effects of Mergers |
| w18004 |
Erik Feyen Ross Levine |
The Evolving Importance of Banks and Securities Markets |
| w18000 |
Xiaobo Zhang Yin Liu |
Status Competition and Housing Prices |
| w17997 |
|
Is Paper Money Just Paper Money? Experimentation and Variation in the Paper Monies Issued by the American Colonies from 1690 to 1775 |
| w17981 |
P. Raghavendra Rau Aris Stouraitis |
How much do firms pay as bribes and what benefits do they get? Evidence from corruption cases worldwide |
| w17975 |
Dimitris Papanikolaou |
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks |
| w17973 |
Susann Rohwedder |
Stock Price Expectations and Stock Trading |
| w17940 |
|
Tailspotting: Identifying and profiting from CEO vacation trips |
| w17935 |
Wei Xiong |
Debt Financing in Asset Markets |
| w17929 |
Markus Noeth Antoinette Schoar |
The Market for Financial Advice: An Audit Study |
| w17921 |
Andrei Kirilenko Wei Xiong |
Convective Risk Flows in Commodity Futures Markets |
| w17911 |
Stephen Utkus |
Target-Date Funds in 401(k) Retirement Plans |
| w17907 |
Ju Hyun Pyun |
International Portfolio Diversification and Multilateral Effects of Correlations |
| w17886 |
Jonathan Reuter |
Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching? |
| w17876 |
Robert Shimer |
Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality |
| w17874 |
Tim Jenkinson Steven N. Kaplan |
Private Equity Performance: What Do We Know? |
| w17872 |
Edith X. Liu |
International Consumption Risk Is Shared After All: An Asset Return View |
| w17863 |
Olivia S. Mitchell Vilsa Curto |
Financial Sophistication in the Older Population |
| w17848 |
Suresh K. Nallareddy Biqin Xie |
The "Out of Sample" Performance of Long-run Risk Models |
| w17839 |
Sara B. Holland David C. Smith Francis E. Warnock |
U.S. International Equity Investment |
| w17838 |
Nada Mora |
Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis |
| w17832 |
Antoinette Schoar Felipe Severino |
Credit Supply and House Prices: Evidence from Mortgage Market Segmentation |
| w17817 |
|
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty |
| w17798 |
Marie Brière Ombretta Signori |
Inflation and Individual Equities |
| w17797 |
Daniel Bergstresser Guhan Subramanian |
Does Shareholder Proxy Access Improve Firm Value? Evidence from the Business Roundtable Challenge |
| w17795 |
Dimitris Papanikolaou |
Growth Opportunities, Technology Shocks, and Asset Prices |
| w17772 |
Jing Cynthia Wu |
Identification and Estimation of Gaussian Affine Term Structure Models |
| w17769 |
Dimitris Papanikolaou Amit Seru Noah Stoffman |
Technological Innovation, Resource Allocation, and Growth |
| w17763 |
Ross Levine Maria Soledad Martinez Peria Sergio L. Schmukler |
How Firms Use Domestic and International Corporate Bond Markets |
| w17751 |
David Kohn Sydney C. Ludvigson Stijn Van Nieuwerburgh |
International Capital Flows and House Prices: Theory and Evidence |
| w17742 |
Nicolas Petrosky-Nadeau Lu Zhang |
An Equilibrium Asset Pricing Model with Labor Market Search |
| w17723 |
Monika Piazzesi Martin Schneider |
The Housing Market(s) of San Diego |
| 2011 | ||
| w17719 |
Alex Edmans Itay Goldstein |
The Real Effects of Financial Markets |
| w17691 |
Hélène Rey |
Home Bias in Open Economy Financial Macroeconomics |
| w17686 |
|
International Contagion Through Leveraged Financial Institutions |
| w17670 |
Carmen M. Reinhart Esteban R. Vesperoni |
Capital Inflows, Exchange Rate Flexibility, and Credit Booms |
| w17666 |
Lauren Lambie-Hanson Paul S. Willen |
Do Borrower Rights Improve Borrower Outcomes? Evidence from the Foreclosure Process |
| w17653 |
|
Evaporating Liquidity |
| w17652 |
Thomas Philippon |
Competing on Speed |
| w17641 |
|
The International Monetary System: Living with Asymmetry |
| w17615 |
Stijn Van Nieuwerburgh Laura Veldkamp |
Time-Varying Fund Manager Skill |
| w17592 |
Jianqing Fan Yingying Li |
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency |
| w17586 |
Richard Portes |
Sovereign CDS and Bond Pricing Dynamics in the Euro-area |
| w17582 |
Itay Goldstein Wei Jiang |
Feedback Effects and the Limits to Arbitrage |
| w17581 |
Akiko Terada-Hagiwara |
The Determinants and Long-term Projections of Saving Rates in Developing Asia |
| w17575 |
Marcelo Ochoa |
Temperature, Aggregate Risk, and Expected Returns |
| w17567 |
Vivian W. Fang Emanuel Zur |
The Effect of Liquidity on Governance |
| w17564 |
|
The Forward Premium Puzzle in a Two-Country World |
| w17563 |
|
The Lucas Orchard |
| w17561 |
Dennis Kristensen |
Testing Conditional Factor Models |
| w17560 |
Pierre-Olivier Gourinchas |
When Bonds Matter: Home Bias in Goods and Assets |
| w17558 |
|
A Transparency Standard for Derivatives |
| w17555 |
Annette Vissing-Jorgensen |
The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy |
| w17548 |
Christian Hellwig Aleh Tsyvinski |
A Theory of Asset Pricing Based on Heterogeneous Information |
| w17537 |
Dirk Krueger Kurt Mitman |
Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises |
| w17522 |
Joshua Spizman Ilya A. Strebulaev |
Government Policy and Ownership of Financial Assets |
| w17518 |
Simon Johnson Changyong Rhee |
Ending "Too Big To Fail": Government Promises vs. Investor Perceptions |
| w17506 |
|
Speculation and Risk Sharing with New Financial Assets |
| w17505 |
Raimond Maurer Olivia S. Mitchell Ralph Rogalla |
Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities |
| w17500 |
Guillaume Rocheteau Pierre-Olivier Weill |
Liquidity and the Threat of Fraudulent Assets |
| w17491 |
Jonathan Reuter |
Mutual Fund Performance and the Incentive to Generate Alpha |
| w17484 |
Srikant Marakani |
Price Dividend Ratio Factors : Proxies for Long Run Risk |
| w17454 |
Markus K. Brunnermeier |
CoVaR |
| w17464 |
Pietro Veronesi |
Political Uncertainty and Risk Premia |
| w17448 |
James MacGee Michèle Tertilt |
Costly Contracts and Consumer Credit |
| w17428 |
Berk A. Sensoy |
Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity |
| w17424 |
Anna Mikusheva Serena Ng |
Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties |
| w17422 |
Erik Stafford |
Crashes and Collateralized Lending |
| w17416 |
Wouter Hueskes Ralph Koijen Evert B. Vrugt |
Equity Yields |
| w17415 |
Andrew K. Rose |
Who Benefits from Regional Trade Agreements? The View from the Stock Market |
| w17359 |
Mark M. Spiegel |
Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis |
| w17358 |
Sergio L. Schmukler |
On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios |
| w17357 |
|
Capital Flows, Push versus Pull Factors and the Global Financial Crisis |
| w17355 |
Linda S. Goldberg |
Liquidity management of U.S. global banks: Internal capital markets in the great recession |
| w17350 |
Laurie Pounder DeMarco Steven B. Kamin Ralph W. Tryon |
ABS Inflows to the United States and the Global Financial Crisis |
| w17334 |
Missaka Warusawitharana |
What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio |
| w17331 |
Ina Simonovska |
Asset Liquidity and International Portfolio Choice |
| w17330 |
Christian Hellwig Aleh Tsyvinski |
Information Aggregation, Investment, and Managerial Incentives |
| w17328 |
José F. Ursua |
Rare Macroeconomic Disasters |
| w17325 |
Stijn Van Nieuwerburgh Motohiro Yogo |
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice |
| w17323 |
|
The Recovery Theorem |
| w17321 |
Philipp Schnabl |
Implicit Guarantees and Risk Taking: Evidence from Money Market Funds |
| w17315 |
Jennifer Huang Clemens Sialm Edward Zhong |
Complex Mortgages |
| w17301 |
Benjamin Hebert David Laibson |
Natural Expectations, Macroeconomic Dynamics, and Asset Pricing |
| w17298 |
Judith A. Chevalier Richard J. Zeckhauser |
The "CAPS" Prediction System and Stock Market Returns |
| w17295 |
Semyon Malamud Gustavo Manso |
Information Percolation in Segmented Markets |
| w17292 |
T. Mandy Tham |
Spillover Effects in Mutual Fund Companies |
| w17285 |
Lu Zhang |
Covariances versus Characteristics in General Equilibrium |
| w17277 |
Michael Siemer Adrien Verdelhan |
International Risk Cycles |
| w17276 |
|
The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment |
| w17261 |
|
Global Asset Pricing |
| w17252 |
Maurice Obstfeld |
Stories of the Twentieth Century for the Twenty-First |
| w17219 |
Mikhail Chernov Stanley E. Zin |
Sources of Entropy in Representative Agent Models |
| w17199 |
Richard J. Zeckhauser |
The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous |
| w17197 |
Samuel G. Hanson |
Issuer Quality and the Credit Cycle |
| w17182 |
Allan Timmermann |
Regime Changes and Financial Markets |
| w17169 |
Zhonglan Dai Douglas Shackelford Harold Zhang |
Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital? |
| w17152 |
Dobrislav Dobrev Ernst Schaumburg |
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
| w17150 |
Alan M. Taylor |
Performance Evaluation of Zero Net-Investment Strategies |
| w17149 |
Hanno Lustig Stijn Van Nieuwerburgh |
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees |
| w17134 |
Raimond Maurer Olivia S. Mitchell Ralph Rogalla |
Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply |
| w17130 |
Jack Favilukis Sydney C. Ludvigson |
An Estimation of Economic Models with Recursive Preferences |
| w17122 |
Joshua D. Rauh |
Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments |
| w17121 |
Michael Ehrmann Marcel Fratzscher Arnaud J. Mehl |
Global Crises and Equity Market Contagion |
| w17116 |
|
The Real Exchange Rate, Real Interest Rates, and the Risk Premium |
| w17028 |
Jonathan Zinman |
Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees |
| w17027 |
Thomas M. Mertens |
The Social Cost of Near-Rational Investment |
| w17026 |
|
Credit Risk and Disaster Risk |
| w17025 |
Kent Smetters |
Optimal Portfolio Choice with Wage-Indexed Social Security |
| w17021 |
Egon Zakrajšek |
Credit Spreads and Business Cycle Fluctuations |
| w17019 |
Christopher Costello |
The Value of Secure Property Rights: Evidence from Global Fisheries |
| w17007 |
Rafal M. Wojakowski M. Shahid Ebrahim Mark B. Shackleton |
Continuous Workout Mortgages |
| w17000 |
Alberto Bisin |
Counterparty Risk Externality: Centralized Versus Over-the-counter Markets |
| w16996 |
Sydney C. Ludvigson |
Shocks and Crashes |
| w16985 |
Brian K. Bucks Arthur Kennickell Traci L. Mach Kevin Moore |
Drowning or Weathering the Storm? Changes in Family Finances from 2007 to 2009 |
| w16982 |
Francis A. Longstaff |
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
| w16976 |
|
Stock Volatility During the Recent Financial Crisis |
| w16975 |
Veronica Rappoport Philipp Schnabl Daniel Wolfenzon |
Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data |
| w16957 |
Russell Cooper Guozhong Zhu |
Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs |
| w16956 |
Jing Cynthia Wu |
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment |
| w16952 |
Ethan Kaplan Suresh Naidu |
Coups, Corporations, and Classified Information |
| w16950 |
Oliver Randall |
Why Surplus Consumption in the Habit Model May be Less Persistent than You Think |
| w16949 |
Justin Wolfers Eric Zitzewitz |
How Prediction Markets Can Save Event Studies |
| w16931 |
Jing Cynthia Wu |
Testable Implications of Affine Term Structure Models |
| w16911 |
|
A Sparsity-Based Model of Bounded Rationality |
| w16906 |
Scott Joslin |
Generalized Transform Analysis of Affine Processes and Applications in Finance |
| w16903 |
Luis M. Viceira |
Inflation-Indexed Bonds and the Expectations Hypothesis |
| w16898 |
Jianfeng Yu Yu Yuan |
The Short of It: Investor Sentiment and Anomalies |
| w16892 |
Luis M. Viceira |
Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity |
| w16884 |
|
Simple Variance Swaps |
| w16875 |
Lars A. Lochstoer Tarun Ramadorai |
Limits to Arbitrage and Hedging: Evidence from Commodity Markets |
| w16868 |
James J. Choi David Laibson Brigitte C. Madrian |
Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking? |
| w16848 |
John M. Quigley Robert J. Shiller |
Wealth Effects Revisited 1978-2009 |
| w16843 |
Neng Wang Jinqiang Yang |
A Unified Model of Entrepreneurship Dynamics |
| w16842 |
Neng Wang Jinqiang Yang |
The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation |
| w16810 |
|
Advances in Consumption-Based Asset Pricing: Empirical Tests |
| w16808 |
Hui Chen Neng Wang |
Market Timing, Investment, and Risk Management |
| w16804 |
Tano Santos Jose A. Scheinkman |
Cream Skimming in Financial Markets |
| w16801 |
Sergiy Gorovyy Gregory B. van Inwegen |
Hedge Fund Leverage |
| w16792 |
Robert Clark Joshua Rauh |
The Economics of State and Local Public Pensions |
| w16784 |
Christopher Geissler Kyle Mangum James W. Roberts |
Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market |
| w16777 |
Lasse Heje Pedersen |
Margin-Based Asset Pricing and Deviations from the Law of One Price |
| w16770 |
Iwan Meier Vefa Tarhan |
The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
| w16764 |
Pietro Veronesi |
Investors' and Central Bank's Uncertainty Embedded in Index Options |
| w16726 |
Karen K. Lewis Emilio Osambela |
Differences of Opinion and International Equity Markets |
| w16747 |
Lu Zhang |
A Model of Momentum |
| w16740 |
Olivia S. Mitchell |
How Financial Literacy and Impatience Shape Retirement Wealth and Investment Behaviors |
| w16737 |
Luzi Hail Christian Leuz |
Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement |
| w16731 |
Peter Reuter Eric L. Sevigny |
If Drug Treatment Works So Well, Why Are So Many Drug Users in Prison? |
| w16712 |
Motohiro Yogo |
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? |
| w16696 |
Krislert Samphantharak Sam Schulhofer-Wohl Robert M. Townsend |
Heterogeneity and Risk Sharing in Village Economies |
| w16677 |
Charles P. Thomas Francis E. Warnock Jon Wongswan |
U.S. International Equity Investment and Past and Prospective Returns |
| 2010 | ||
| w16648 |
Stijn Van Nieuwerburgh |
Predictability of Returns and Cash Flows |
| w16640 |
Jaume Ventura |
Rethinking the Effects of Financial Liberalization |
| w16634 |
|
Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns |
| w16630 |
Roberto Rigobon |
International Macro-Finance |
| w16629 |
Roberto Rigobon Sergio L. Schmukler |
Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World |
| w16628 |
Johan Hombert Pierre-Olivier Weill |
Trading and Liquidity with Limited Cognition |
| w16609 |
|
Over The Cliff: From the Subprime to the Global Financial Crisis |
| w16605 |
Gurnain Kaur Pasricha |
Determinants of Financial Stress and Recovery during the Great Recession |
| w16601 |
Lasse H. Pedersen |
Betting Against Beta |
| w16591 |
Li Jin Hongjun Yan |
What Does Stock Ownership Breadth Measure? |
| w16586 |
Tomasz Piskorski Alexei Tchistyi |
The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers |
| w16583 |
Campbell R. Harvey Christian T. Lundblad Stephan Siegel |
The European Union, the Euro, and Equity Market Integration |
| w16574 |
Mireia Gine Maria Guadalupe |
The Vote is Cast: The Effect of Corporate Governance on Shareholder Value |
| w16559 |
Inessa Love Maria Soledad Martinez Peria |
Crisis "Shock Factors" and the Cross-Section of Global Equity Returns |
| w16553 |
Hanno Lustig |
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation |
| w16549 |
Eduardo S. Schwartz |
An Empirical Analysis of the Swaption Cube |
| w16534 |
Michael W. Brandt Kenneth A. Kavajecz |
What Does Equity Sector Orderflow Tell Us about the Economy? |
| w16531 |
Todd M. Sinai |
Does Home Owning Smooth the Variability of Future Housing Consumption? |
| w16491 |
Òscar Jordà Alan M. Taylor |
Currency Carry Trades |
| w16485 |
Peter M. DeMarzo Ilan Kremer |
Endogenous Information Flows and the Clustering of Announcements |
| w16469 |
Georg Strasser |
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
| w16464 |
Maarten van Rooij Joachim Winter |
Stock Market Expectations of Dutch Households |
| w16458 |
Hanno Lustig Sevin Yeltekin |
How Does the U.S. Government Finance Fiscal Shocks? |
| w16457 |
Kenneth J. Singleton |
Estimation and Evaluation of Conditional Asset Pricing Models |
| w16456 |
Mahdi Rastad |
Portfolio Allocation for Public Pension Funds |
| w16455 |
Michael W. Brandt Ralph S.J. Koijen |
On the Timing and Pricing of Dividends |
| w16454 |
Christopher Malloy Lukasz Pomorski |
Decoding Inside Information |
| w16452 |
Olivia S. Mitchell Cindy Soo David Bravo |
Financial Literacy, Schooling, and Wealth Accumulation |
| w16437 |
Christopher Malloy |
Friends in High Places |
| w16428 |
|
Financial Sector Regulation and Reforms in Emerging Markets: An Overview |
| w16427 |
Nikolai Roussanov Adrien Verdelhan |
Countercyclical Currency Risk Premia |
| w16397 |
Marie Hoerova Marco Lo Duca |
Risk, Uncertainty and Monetary Policy |
| w16394 |
Yakov Amihud Sreedhar T. Bharath |
Liquidity Risk of Corporate Bond Returns: A Conditional Approach |
| w16385 |
Wei Xiong |
Index Investment and Financialization of Commodities |
| w16376 |
|
On the Economic Consequences of Index-Linked Investing |
| w16358 |
Francis A. Longstaff Hanno Lustig |
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle |
| w16337 |
Nicolae Gârleanu Lasse Heje Pedersen |
Two Monetary Tools: Interest Rates and Haircuts |
| w16336 |
Chen Xue Lu Zhang |
Cross-sectional Tobin's Q |
| w16335 |
Tobias J. Moskowitz Berk A. Sensoy |
The Effects of Stock Lending on Security Prices: An Experiment |
| w16329 |
Eric Zitzewitz |
How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach |
| w16316 |
Motohiro Yogo |
Why Do Household Portfolio Shares Rise in Wealth? |
| w16312 |
Jonathan Reuter Paula A. Tkac |
Broker Incentives and Mutual Fund Market Segmentation |
| w16302 |
Michal Czerwonko Jens Carsten Jackwerth Stylianos Perrakis |
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence |
| w16282 |
Andrea S. Au Thomas R. Covert Parag A. Pathak |
The Market for Borrowing Corporate Bonds |
| w16271 |
David T. Robinson |
What Does Financial Literacy Training Teach Us? |
| w16263 |
Ralph S.J. Koijen |
Predictive Regressions: A Present-value Approach |
| w16255 |
|
Asset Allocation |
| w16249 |
Francis E. Warnock Veronica Cacdac Warnock |
Emerging Local Currency Bond Markets |
| w16245 |
Kenneth A. Snowden |
Repairing a Mortgage Crisis: HOLC Lending and its Impact on Local Housing Markets |
| w16244 |
|
The Anatomy of a Residential Mortgage Crisis: A Look Back to the 1930s |
| w16230 |
Joshua D. Gottlieb Joseph Gyourko |
Can Cheap Credit Explain the Housing Boom? |
| w16223 |
Mila Getmansky Andrew W. Lo Loriana Pelizzon |
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
| w16222 |
Stefano Giglio Christopher Polk |
Hard Times |
| w16219 |
|
The Valuation of Long-Dated Assets |
| w16218 |
Federico Gavazzoni Christopher Telmer Stanley E. Zin |
Monetary Policy and the Uncovered Interest Parity Puzzle |
| w16214 |
Andrei Jirnyi Ann Sherman |
Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
| w16206 |
Nancy Wallace |
CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009 |
| w16193 |
Nolan H. Miller |
What Does Health Reform Mean for the Healthcare Industry? Evidence from the Massachusetts Special Senate Election |
| w16191 |
Massimo Massa Ayako Yasuda |
The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008 |
| w16187 |
Shimon Kogan |
Trading Complex Assets |
| w16183 |
George M. Constantinides |
The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth |
| w16182 |
Takatoshi Ito Shuhei Takahashi |
Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies |
| w16181 |
Martin Schneider |
Ambiguity and Asset Markets |
| w16177 |
Ana Babus Elena Carletti |
Financial Connections and Systemic Risk |
| w16175 |
Burton Hollifield Patrik Sandås |
The Role of Mortgage Brokers in the Subprime Crisis |
| w16159 |
Cédric Tille Eric van Wincoop |
Self-Fulfilling Risk Panics |
| w16153 |
|
Consumption-Based Asset Pricing with Higher Cumulants |
| w16151 |
|
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure |
| w16145 |
Yusufcan Masatlioglu |
Managing Markets for Toxic Assets |
| w16128 |
Pietro Veronesi |
Uncertainty about Government Policy and Stock Prices |
| w16085 |
Shaun William Davies Andrew Miles Iannaccone |
Competing for Attention in Financial Markets |
| w16080 |
Ali Shourideh Ariel Zetlin-Jones |
Adverse Selection, Reputation and Sudden Collapses in Secondary Loan Markets |
| w16073 |
|
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns |
| w16068 |
Andrei Shleifer Robert W. Vishny |
Neglected Risks, Financial Innovation, and Financial Fragility |
| w16063 |
Veronica Rappoport Enrichetta Ravina |
Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios |
| w16061 |
|
Indian Equity Markets: Measures of Fundamental Value |
| w16058 |
Robert J. Hodrick Xiaoyan Zhang |
Aggregate Idiosyncratic Volatility |
| w16052 |
Alessandro Rebucci Francis E. Warnock Veronica Cacdac Warnock |
External Capital Structures and Oil Price Volatility |
| w16042 |
Andrei Shleifer |
Chasing Noise |
| w16035 |
Scott Joslin Ngoc-Khanh Tran |
Rare Disasters and Risk Sharing with Heterogeneous Beliefs |
| w16031 |
Itay Goldstein |
Self-Fulfilling Credit Market Freezes |
| w16022 |
Russell Cooper |
Rationalizing Trading Frequency and Returns |
| w16008 |
Vineer Bhansali Yuhang Xing |
Build America Bonds |
| w15998 |
Adam Szeidl |
The Effect of Housing on Portfolio Choice |
| w15993 |
Yuhang Xing Lu Zhang |
Value versus Growth: Time-Varying Expected Stock Returns |
| w15992 |
Gordon M. Phillips |
Asset Liquidity and the Cost of Capital |
| w15988 |
Sydney C. Ludvigson Stijn Van Nieuwerburgh |
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium |
| w15974 |
Linda S. Goldberg |
Global Banks and International Shock Transmission: Evidence from the Crisis |
| w15950 |
Lu Zhang |
Does Risk Explain Anomalies? Evidence from Expected Return Estimates |
| w15948 |
Samuel Hanson |
Characteristic Timing |
| w15940 |
|
The Other Side of Value: Good Growth and the Gross Profitability Premium |
| w15937 |
Nicolas P.B. Bollen |
Locked Up by a Lockup: Valuing Liquidity as a Real Option |
| w15927 |
Anton Korinek |
Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach |
| w15925 |
James J. Choi Geoffrey W. Fisher |
Religious Identity and Economic Behavior |
| w15923 |
Justin Wolfers |
Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions? |
| w15920 |
Jón Steinsson Robert Barro José Ursúa |
Crises and Recoveries in an Empirical Model of Consumption Disasters |
| w15912 |
Alma Cohen Charles C.Y. Wang |
Learning and the Disappearing Association Between Governance and Returns |
| w15910 |
C. Fritz Foley Robin Greenwood |
Agency Costs, Mispricing, and Ownership Structure |
| w15890 |
Jesús Fernández-Villaverde Ralph S.J. Koijen Juan F. Rubio-Ramírez |
The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences |
| w15883 |
Guido Lorenzoni Alessandro Pavan |
Beauty Contests and Irrational Exuberance: A Neoclassical Approach |
| w15866 |
Bing Han David Hirshleifer Tracy Yue Wang |
Investor Overconfidence and the Forward Premium Puzzle |
| w15861 |
Stephen G. Dimmock Jun-Koo Kang Scott Weisbenner |
How University Endowments Respond to Financial Market Shocks: Evidence and Implications |
| w15859 |
Paolo Sodini |
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios |
| w15850 |
Julio Cacho-Diaz Roger J.A. Laeven |
Modeling Financial Contagion Using Mutually Exciting Jump Processes |
| w15848 |
Francis A. Longstaff Stephen Schaefer Ilya Strebulaev |
Corporate Bond Default Risk: A 150-Year Perspective |
| w15835 |
Luigi Guiso Francesco Lippi |
Durable consumption and asset management with transaction and observation costs |
| w15833 |
Randall Morck Jianfeng Shen Bernard Yeung |
Information, analysts, and stock return comovement |
| w15830 |
Olivier Coibion |
The Predictive Content of Commodity Futures |
| w15829 |
Paul S. Willen |
Insuring Consumption Using Income-Linked Assets |
| w15821 |
Dimitri Vayanos |
Limits of Arbitrage: The State of the Theory |
| w15809 |
Jochen Andritzky Andreas Jobst Sylwia Nowak Natalia Tamirisa |
Market Response to Policy Initiatives during the Global Financial Crisis |
| w15808 |
Jean Jacod |
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data |
| w15807 |
Eduardo S. Schwartz |
Cash Flow Multipliers and Optimal Investment Decisions |
| w15805 |
|
Optimal retirement benefit guarantees |
| w15787 |
|
Questions and Answers about the Financial Crisis |
| w15783 |
Richard T. Holden Michael L. Powell |
Rational-Expectations Equilibrium in Intermediate Good Markets |
| w15736 |
Tatsuyoshi Okimoto |
Sources of Variation in Holding Returns for Fed Funds Futures Contracts |
| w15734 |
Robert S. Goldstein Fan Yang |
On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches |
| w15733 |
Robert S. Goldstein Jean Helwege |
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. |
| w15709 |
Johan Walden |
Limited Capital Market Participation and Human Capital Risk |
| w15708 |
Nittai K. Bergman |
Bankruptcy and the Collateral Channel |
| w15698 |
Richard M. Levich |
Detecting Crowded Trades in Currency Funds |
| w15688 |
Hanno Lustig Stijn Van Nieuwerburgh |
The Cross-Section and Time-Series of Stock and Bond Returns |
| w15686 |
Amy Finkelstein Iuliana Pascu Mark R. Cullen |
How general are risk preferences? Choices under uncertainty in different domains. |
| w15682 |
Olivia S. Mitchell Ralph Rogalla |
The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios |
| w15674 |
Douglas Gale Tanju Yorulmazer |
Rollover Risk and Market Freezes |
| w15670 |
Marc D. Weidenmier |
Searching for Irving Fisher |
| w15668 |
Jong Kook Shin Yong Yin |
Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets |
| w15659 |
Geoffrey Tate Jonathan Yan |
Overconfidence and Early-life Experiences: The Impact of Managerial Traits on Corporate Financial Policies |
| w15646 |
Robert F. Stambaugh |
On the Size of the Active Management Industry |
| w15634 |
Eugene N. White |
Danger on the Exchange: How Counterparty Risk Was Managed on the Paris Bourse in the Nineteenth Century |
| 2009 | ||
| w15626 |
John B. Taylor |
Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program |
| w15608 |
Jonathan Reuter |
How Do Retirees Value Life Annuities? Evidence from Public Employees |
| w15591 |
Eric Ghysels Ravi Jagannathan |
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
| w15573 |
|
Lessons from the Great American Real Estate Boom and Bust of the 1920s |
| w15572 |
Howard Chong Erin T. Mansur |
Profiting from Regulation: An Event Study of the EU Carbon Market |
| w15563 |
Pietro Veronesi |
What Ties Return Volatilities to Price Valuations and Fundamentals? |
| w15538 |
Philipp Schnabl |
When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009 |
| w15533 |
Dobrislav Dobrev Ernst Schaumburg |
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
| w15528 |
Diego Valderrama |
Financial Choice in a Non-Ricardian Model of Trade |
| w15518 |
Alan M. Taylor |
The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself |
| w15515 |
Christian Leuz |
Did Fair-Value Accounting Contribute to the Financial Crisis? |
| w15513 |
Guido Lorenzoni Aleh Tsyvinski |
Decentralized Trading with Private Information |
| w15506 |
Lars Peter Hansen Mark Hendricks José A. Scheinkman |
Risk Price Dynamics |
| w15504 |
Dana Kiku Amir Yaron |
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices |
| w15502 |
Luc Renneboog Christophe Spaenjers |
Art and Money |
| w15487 |
Jean-Luc Vila |
A Preferred-Habitat Model of the Term Structure of Interest Rates |
| w15484 |
|
Hoarding International Reserves Versus a Pigovian Tax-Cum-Subsidy Scheme: Reflections on the Deleveraging Crisis of 2008-9, and a Cost Benefit Analysis |
| w15481 |
Jialin Yu |
The Chinese Warrants Bubble |
| w15479 |
Alp Simsek |
Fire Sales in a Model of Complexity |
| w15472 |
Michelle J. White |
Mortgage Default, Foreclosure, and Bankruptcy |
| w15462 |
Nicholas S. Souleles |
Can Owning a Home Hedge the Risk of Moving? |
| w15457 |
Leonid Kogan Stavros Panageas |
The Demographics of Innovation and Asset Returns |
| w15452 |
Olivier Jeanne Damiano Sandri |
Macro-Hedging for Commodity Exporters |
| w15399 |
|
Disasters Risk and Business Cycles |
| w15384 |
|
Credit Default Swaps and the Credit Crisis |
| w15382 |
Harold L. Cole Hanno Lustig |
Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing? |
| w15381 |
Bruce Ian Carlin Miguel Sousa Lobo |
On the Scholes Liquidation Problem |
| w15362 |
Andrew W. Lo Robert C. Merton |
Systemic Risk and the Refinancing Ratchet Effect |
| w15353 |
Juan Ignacio Peña Eduardo S. Schwartz |
Towards a Common European Monetary Union Risk Free Rate |
| w15340 |
Stavros Panageas Jianfeng Yu |
Technological Growth and Asset Pricing |
| w15338 |
Vincenzo Quadrini |
Macroeconomic Effects of Financial Shocks |
| w15336 |
Philip E. Strahan |
Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy |
| w15335 |
Roman Kräussl Joshua Pollet |
Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices |
| w15333 |
William N. Goetzmann Andrey D. Ukhov |
Risk Aversion and Clientele Effects |
| w15332 |
William N. Goetzmann K. Geert Rouwenhorst |
New Evidence on the First Financial Bubble |
| w15331 |
K.J. Martijn Cremers William N. Goetzmann |
Tiebreaker: Certification and Multiple Credit Ratings |
| w15327 |
Laura Starks |
Mutual Fund Tax Clienteles |
| w15318 |
Wayne Ferson Helen Peters |
Measuring the Timing Ability and Performance of Bond Mutual Funds |
| w15317 |
Olivia S. Mitchell Gary R. Mottola Stephen Utkus |
The Efficiency of Sponsor and Participant Portfolio Choices in 401(k) Plans |
| w15307 |
|
Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets |
| w15298 |
Matthew Gentzkow |
Persuasion: Empirical Evidence |
| w15297 |
|
When Everyone Runs for the Exit |
| w15295 |
Pedro Santa-Clara Didier Sornette |
Professor Zipf goes to Wall Street |
| w15273 |
Andrew Metrick |
Haircuts |
| w15270 |
Jean Boivin Sen Dong Rudy Loo-Kung |
Monetary Policy Shifts and the Term Structure |
| w15260 |
Geert Bekaert Koen Inghelbrecht |
The Determinants of Stock and Bond Return Comovements |
| w15254 |
Pierre-Olivier Weill |
Aggregate Implications of Micro Asset Market Segmentation |
| w15247 |
Tao Jin |
On the Size Distribution of Macroeconomic Disasters |
| w15243 |
|
A Parsimonious Macroeconomic Model for Asset Pricing |
| w15240 |
Mikhail Chernov Ian Martin |
Disasters implied by equity index options |
| w15227 |
Russell Cooper |
Costly Portfolio Adjustment |
| w15223 |
Andrew Metrick |
Securitized Banking and the Run on Repo |
| w15222 |
Eric Engstrom |
Asset Return Dynamics under Bad Environment Good Environment Fundamentals |
| w15219 |
Lu Zhang |
The stock market and aggregate employment |
| w15215 |
Jiang Wang |
Liquidity and Asset Prices: A Unified Framework |
| w15205 |
Lasse H. Pedersen |
Dynamic Trading with Predictable Returns and Transaction Costs |
| w15189 |
Stephen Ross Jiang Wang Mark M. Westerfield |
Market Selection |
| w15188 |
Serena Ng |
A Factor Analysis of Bond Risk Premia |
| w15180 |
René M. Stulz |
Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation |
| w15170 |
Stephen P. Zeldes |
Market Valuation of Accrued Social Security Benefits |
| w15145 |
Paola Sapienza Luigi Zingales |
Moral and Social Constraints to Strategic Default on Mortgages |
| w15139 |
Simon Gervais Gustavo Manso |
When Does Libertarian Paternalism Work? |
| w15128 |
Juan H. Flores Norbert Gaillard Sebastián Nieto-Parra |
The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007 |
| w15108 |
Gary R. Mottola Stephen P. Utkus Takeshi Yamaguchi |
Default, Framing and Spillover Effects: The Case of Lifecycle Funds in 401(k) Plans |
| w15079 |
Wolfram Horneff Raimond Maurer Olivia S. Mitchell |
Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts |
| w15052 |
|
The Japanese Bubble: A 'Heterogeneous' Approach |
| w15047 |
Cesare Robotti Jay Shanken |
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology |
| w15040 |
|
Amplification Mechanisms in Liquidity Crises |
| w15038 |
Burton Hollifield Marcin Kacperczyk Shimon Kogan |
Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry |
| w15028 |
|
Land Policy: Founding Choices and Outcomes, 1781-1802 |
| w15024 |
Eric Engstrom |
Inflation and the Stock Market:Understanding the "Fed Model" |
| w15023 |
C. Fritz Foley Kristin J. Forbes |
Watch What I Do, Not What I Say: The Unintended Consequences of the Homeland Investment Act |
| hosh07-1 |
organizers |
Financial Globalization, 20th Anniversary Conference, NBER-TCER-CEPR |
| w15020 |
Takatoshi Ito |
Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture |
| w15014 |
Robert J. Shiller Luis M. Viceira |
Understanding Inflation-Indexed Bond Markets |
| w15010 |
Janice C. Eberly Stavros Panageas |
Optimal Inattention to the Stock Market with Information Costs and Transactions Costs |
| w15009 |
Pierre-Olivier Weill |
Liquidity Shocks and Order Book Dynamics |
| w14997 |
Alp Simsek |
Complexity and Financial Panics |
| w14972 |
Simon Gervais |
Legal Protection in Retail Financial Markets |
| w14971 |
René M. Stulz |
When are Analyst Recommendation Changes Influential? |
| w14961 |
Ross Levine Sergio L. Schmukler |
Patterns of International Capital Raisings |
| w14944 |
Lixin Huang Qiang Kang |
The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover |
| w14932 |
John Vernon |
What's the "Interest" in FDA Drug Advisory Committee Conflicts of Interest? |
| w14931 |
Gregory Brown René M. Stulz |
Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms? |
| w14913 |
|
U.S. Stock Market Crash Risk, 1926-2006 |
| w14904 |
Ashoka Mody Milan Nedeljkovic Lucio Sarno |
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads |
| w14903 |
Clemens Sialm Hanjiang Zhang |
Risk Shifting and Mutual Fund Performance |
| w14898 |
Péter Kondor |
Fund Managers, Career Concerns, and Asset Price Volatility |
| w14897 |
Catherine Schrand |
Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock |
| w14892 |
|
Wall Street's First Corporate Governance Crisis: The Panic of 1826 |
| w14890 |
Philip E. Strahan |
Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? |
| w14889 |
Re-Jin Guo Ravi Jagannathan |
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
| w14881 |
Christian Leuz Robert E. Verrecchia |
Information Asymmetry, Information Precision, and the Cost of Capital |
| w14871 |
Brett Myers |
Valuing Toxic Assets: An Analysis of CDO Equity |
| w14866 |
Stefano Giglio Parag Pathak |
Forced Sales and House Prices |
| w14863 |
Vladimir Yankov Egon Zakrajsek |
Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets |
| w14859 |
James J. Choi David Laibson Brigitte C. Madrian |
How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices? |
| w14848 |
Jianjun Miao Neng Wang |
Entrepreneurial Finance and Non-diversifiable Risk |
| w14845 |
Hui Chen Neng Wang |
A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management |
| w14843 |
Campbell R. Harvey Christian Lundblad |
Financial Openness and Productivity |
| w14821 |
Gurnain Kaur Pasricha |
Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation |
| w14815 |
Ivan Shaliastovich |
Confidence Risk and Asset Prices |
| w14814 |
Ivan Shaliastovich |
Learning and Asset-Price Jumps |
| w14813 |
Stefan Nagel |
Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? |
| w14804 |
Nusret Cakici Robert F. Whitelaw |
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns |
| w14802 |
Campbell R. Harvey Christian Lundblad Stephan Siegel |
What Segments Equity Markets? |
| w14788 |
John Y. Campbell |
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment |
| w14772 |
Harald Uhlig |
Optimal Endowment Destruction under Campbell-Cochrane Habit Formation |
| w14760 |
José F. Ursúa |
Stock-Market Crashes and Depressions |
| w14757 |
Robert F. Stambaugh |
Are Stocks Really Less Volatile in the Long Run? |
| w14735 |
Anil Kashyap |
A New Metric for Banking Integration in Europe |
| w14734 |
Salvatore Nisticò |
International Portfolio Allocation under Model Uncertainty |
| w14733 |
Jason Lee Randall Morck |
Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks |
| w14701 |
Adi Sunderam Luis M. Viceira |
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds |
| w14699 |
John Y. Campbell Paolo Sodini |
Measuring the Financial Sophistication of Households |
| w14691 |
|
International Finance and Growth in Developing Countries: What Have We Learned? |
| w14698 |
Jessica A. Wachter |
The Term Structures of Equity and Interest Rates |
| w14688 |
Arvind Krishnamurthy |
Global Imbalances and Financial Fragility |
| w14687 |
|
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? |
| w14678 |
|
Is Monetary Policy Effective During Financial Crises? |
| w14669 |
Martin Schneider |
Momentum traders in the housing market: survey evidence and a search model |
| w14665 |
Annette Vissing-Jorgensen |
Who Bears Aggregate Fluctuations and How? |
| w14649 |
|
Information, Liquidity, and the (Ongoing) Panic of 2007 |
| 2008 | ||
| w14629 |
Andrew Lyasoff |
Incomplete-Market Equilibria Solved Recursively on an Event Tree |
| w14625 |
Chenghuan Sean Chu Minjung Park |
An Empirical Model of Subprime Mortgage Default From 2000 to 2007 |
| w14609 |
Pengjie Gao Ravi Jagannathan |
Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
| w14602 |
Paula E. Stephan Jerry G. Thursby |
Conveying Quality and Value in Emerging Industries: Star Scientists and the Role of Learning in Biotechnology |
| w14597 |
Valerio Poti |
Predictability and 'Good Deals' in Currency Markets |
| w14583 |
Scott Weisbenner |
Individual Investor Mutual-Fund Flows |
| w14581 |
|
Equity Depletion from Government-Guaranteed Debt |
| w14571 |
Pedro Santa-Clara |
Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole |
| w14544 |
Jens Carsten Jackwerth Stylianos Perrakis |
Mispricing of S&P 500 Index Options |
| w14543 |
Anisha Ghosh |
Asset Pricing Tests with Long Run Risks in Consumption Growth |
| w14528 |
Fumio Hayashi |
Emerging Market Currency Excess Returns |
| w14525 |
Andrew W. Lo |
Impossible Frontiers |
| w14523 |
Paul Woolley |
An Institutional Theory of Momentum and Reversal |
| w14518 |
Takatoshi Ito |
Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks |
| w14500 |
Eric Ghysels Ravi Jagannathan |
Price Momentum In Stocks: Insights From Victorian Age Data |
| w14496 |
Vineer Bhansali Yuhang Xing |
Taxes on Tax-Exempt Bonds |
| w14476 |
|
Why the European Securities Market is Not Fully Integrated |
| w14473 |
Stefan Nagel Lasse H. Pedersen |
Carry Trades and Currency Crashes |
| w14465 |
Andrew W. Lo |
What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
| w14463 |
Francis X. Diebold Glenn D. Rudebusch |
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
| w14440 |
Wei Xiong |
Realization Utility |
| w14427 |
Laurence J. Kotlikoff Stephen A. Ross |
The True Cost of Social Security |
| w14424 |
Gary B. Gorton K. Geert Rouwenhorst |
Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors |
| w14422 |
Eric Hughson Marc D. Weidenmier |
Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed |
| w14411 |
Jessica A. Wachter |
Using Samples of Unequal Length in Generalized Method of Moments Estimation |
| w14401 |
Anil K. Kashyap |
Will the U.S. Bank Recapitalization Succeed? Eight Lessons from Japan |
| w14398 |
|
The Subprime Panic |
| w14386 |
|
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? |
| w14378 |
Charles F. Manski |
Competitive Lending with Partial Knowledge of Loan Repayment |
| w14377 |
Koleman Strumpf |
Historical Political Futures Markets: An International Perspective |
| w14366 |
Arvind Krishnamurthy |
A Model of Capital and Crises |
| w14355 |
Richard M. Levich |
Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers |
| w14351 |
Facundo Piguillem Edward C. Prescott |
Costly Financial Intermediation in Neoclassical Growth Theory |
| w14343 |
Joshua D. Rauh |
The Intergenerational Transfer of Public Pension Promises |
| w14342 |
Lu Zhang |
Costly External Finance: Implications for Capital Markets Anomalies |
| w14341 |
Antoinette Schoar Jialan Wang |
Secrets of the Academy: The Drivers of University Endowment Success |
| w14340 |
William A. Hamlen Jr. Yong Yin |
Asset Management, Human Capital, and the Market for Risky Assets |
| w14332 |
Olivia S. Mitchell Ralph Rogalla |
Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints |
| w14299 |
|
Power Laws in Economics and Finance |
| w14290 |
Gordon M. Phillips |
Real and Financial Industry Booms and Busts |
| w14269 |
Kamil Yilmaz |
Macroeconomic Volatility and Stock Market Volatility, Worldwide |
| w14245 |
G. Andrew Karolyi René M. Stulz |
Why Do Foreign Firms Leave U.S. Equity Markets? |
| w14243 |
|
Modeling the Long Run: Valuation in Dynamic Stochastic Economies |
| w14219 |
Susan E. Woodward |
The Burden of the Nondiversifiable Risk of Entrepreneurship |
| w14218 |
|
Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization |
| w14210 |
Howard Kunreuther Erwann Michel-Kerjan |
Long Term Insurance (LTI) for Addressing Catastrophe Risk |
| w14205 |
Shang-Jin Wei |
Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock? |
| w14204 |
|
Housing Wealth Isn't Wealth |
| w14193 |
Joseph Gyourko Albert Saiz |
Housing Supply and Housing Bubbles |
| w14180 |
Matthew Richardson Daniel Wolfenzon |
The Investment Behavior of Buyout Funds: Theory and Evidence |
| w14177 |
John Y. Campbell Paolo Sodini |
Fight or Flight? Portfolio Rebalancing by Individual Investors |
| w14172 |
Helene Rey |
Home Bias at the Fund Level |
| w14169 |
Jonathan H. Wright |
Efficient Prediction of Excess Returns |
| w14165 |
Hélène Rey |
Global Portfolio Rebalancing Under the Microscope |
| w14160 |
Takatoshi Ito Takaaki Ohnishi Misako Takayasu Hideki Takayasu Tsutomu Watanabe |
Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability |
| w14158 |
Rebecca Oman Christopher Safaya |
Short Sales and Trade Classification Algorithms |
| w14144 |
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 |
| w14140 |
Geoffrey Tate |
Superstar CEOs |
| w14119 |
Guillaume Rocheteau Pierre-Olivier Weill |
Crashes and Recoveries in Illiquid Markets |
| w14113 |
Ross Levine |
Bank Governance, Regulation, and Risk Taking |
| w14111 |
Stefan Nagel |
Inexperienced Investors and Bubbles |
| w14094 |
Barry J. Nalebuff |
Life-cycle Investing and Leverage: Buying Stock on Margin Can Reduce Retirement Risk |
| w14083 |
Karen Pence |
Subprime Mortgages: What, Where, and to Whom? |
| w14082 |
Nikolai Roussanov Adrien Verdelhan |
Common Risk Factors in Currency Markets |
| w14078 |
John Piggott Cagri Kumru |
Managing Public Investment Funds: Best Practices and New Challenges |
| w14068 |
Christof W. Stahel Rene M. Stulz |
Hedge Fund Contagion and Liquidity |
| w14058 |
Jiang Wang |
Market Liquidity, Asset Prices and Welfare |
| w14055 |
Raimond H. Maurer Olivia S. Mitchell Michael Z. Stamos |
Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts |
| w14019 |
Michael J. Dueker David C. Wheelock |
Inflation, Monetary Policy and Stock Market Conditions |
| w14015 |
|
Private Sunspots and Idiosyncratic Investor Sentiment |
| w14013 |
Jiang Wang |
Liquidity and Market Crashes |
| w13976 |
James J. Choi David Laibson Brigitte C. Madrian |
How are Preferences Revealed? |
| w13973 |
Andrea Frazzini Christopher Malloy |
Sell Side School Ties |
| w13940 |
José F. Ursúa |
Macroeconomic Crises since 1870 |
| w13966 |
Laurence J. Kotlikoff Luis M. Viceira |
Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds |
| w13962 |
|
Derivatives Markets for Home Prices |
| w13944 |
Matthew Rhodes-Kropf Rui Zhao |
Do Funds-of-Funds Deserve Their Fees-on-Fees? |
| w13908 |
|
Why do Foreigners Invest in the United States? |
| w13904 |
Laura Veldkamp |
Information Acquisition and Under-Diversification |
| w13896 |
Stijn Van Nieuwerburgh Adrien Verdelhan |
The Wealth-Consumption Ratio |
| w13884 |
James M. Poterba |
Taxes and Mutual Fund Inflows Around Distribution Dates |
| w13874 |
Nittai K. Bergman |
Collateral Pricing |
| w13854 |
Michael W. Brandt |
Consumption and Portfolio Choice with Option-Implied State Prices |
| w13848 |
|
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk |
| w13825 |
Jialin Yu |
High Frequency Market Microstructure Noise Estimates and Liquidity Measures |
| w13811 |
Kamil Yilmaz |
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
| w13806 |
Dimitri Vayanos |
Bond Supply and Excess Bond Returns |
| w13805 |
Xavier Gabaix |
Rare Disasters and Exchange Rates |
| w13804 |
Robert F. Stambaugh |
Predictive Systems: Living with Imperfect Predictors |
| w13786 |
Samuel Hanson Harrison Hong Jeremy C. Stein |
Do Hedge Funds Profit From Mutual-Fund Distress? |
| w13774 |
Raymond Fisman Yongxiang Wang |
Profiting from Government Stakes in a Command Economy: Evidence from Chinese Asset Sales |
| w13768 |
Tomas Dvorak Francis E. Warnock |
Cross-Border Returns Differentials |
| w13723 |
Assaf Razin Hui Tong |
Liquidity, Institutional Quality and the Composition of International Equity Outflows |
| w13762 |
Robin Greenwood Jeffrey Wurgler |
Catering Through Nominal Share Prices |
| w13748 |
Jeffrey R. Kling Sendhil Mullainathan Marian V. Wrobel |
Why Don't People Insure Late Life Consumption: A Framing Explanation of the Under-Annuitization Puzzle |
| w13739 |
Robert J. Hodrick Yuhang Xing Xiaoyan Zhang |
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
| w13726 |
Olivia S. Mitchell Steven A. Sharpe S. Blake Nesbitt |
Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values |
| w13724 |
|
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance |
| w13721 |
Taeyoon Sung Shang-Jin Wei |
How Does Corporate Governance Risk at Home Affect Investment Choices Abroad? |
| 2007 | ||
| w13693 |
Nicholas S. Souleles |
Net Worth and Housing Equity in Retirement |
| w13690 |
|
Rare Disasters, Asset Prices, and Welfare Costs |
| w13658 |
Jun Pan Lasse H. Pedersen Kenneth J. Singleton |
How Sovereign is Sovereign Credit Risk? |
| w13656 |
David Laibson Brigitte C. Madrian |
Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect |
| w13650 |
Hanno Lustig Fabrizio Perri |
Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data |
| w13639 |
|
Inefficient Credit Booms |
| w13635 |
John B. Taylor |
The Long and the Short End of the Term Structure of Policy Rules |
| w13625 |
Pengjie Gao Ravi Jagannathan |
When Does a Mutual Fund's Trade Reveal its Skill? |
| w13611 |
Francis X. Diebold Glenn D. Rudebusch |
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models |
| w13604 |
John A. Vernon |
Financial Risk in the Biotechnology Industry |
| w13588 |
Canlin Li Vivian Z. Yue |
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
| w13555 |
Harold Cole Hanno Lustig |
A Multiplier Approach to Understanding the Macro Implications of Household Finance |
| w13560 |
|
Financiers vs. Engineers: Should the Financial Sector be Taxed or Subsidized? |
| w13559 |
Alberto Martin Jaume Ventura |
Enforcement Problems and Secondary Markets |
| w13558 |
|
Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models |
| w13537 |
|
Rational and Behavioral Perspectives on the Role of Annuities in Retirement Planning |
| w13525 |
Lu Zhang X. Frank Zhang |
Understanding the Accrual Anomaly |
| w13504 |
Jose A. Scheinkman Wei Xiong |
Advisors and Asset Prices: A Model of the Origins of Bubbles |
| w13487 |
John C. Driscoll David Laibson |
Optimal Mortgage Refinancing: A Closed Form Solution |
| w13475 |
Guido Lorenzoni Alessandro Pavan |
Wall Street and Silicon Valley: A Delicate Interaction |
| w13473 |
|
Measuring the Returns to R&D: The Depreciation Problem |
| w13468 |
Roberto Rigobon |
An Asset-Pricing View of External Adjustment |
| w13458 |
|
Is the "Surge" Working? Some New Facts |
| w13449 |
Oleg Bondarenko |
Construction and Interpretation of Model-Free Implied Volatility |
| w13448 |
Sen Dong Monika Piazzesi |
No-Arbitrage Taylor Rules |
| w13438 |
|
Guaranteed Trouble: The Economic Effects of the Pension Benefit Guaranty Corporation |
| w13435 |
Randall Morck Lixin Colin Xu Bernard Yeung |
Institutions and Foreign Investment: China versus the World |
| w13430 |
|
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices |
| w13427 |
Raymond Fisman Tarun Khanna |
Testing Limits to Policy Reversal: Evidence from Indian Privatizations |
| w13424 |
Robert Kollmann Philippe Martin |
International Portfolios with Supply, Demand and Redistributive Shocks |
| w13423 |
|
Estimating the Equity Premium |
| w13420 |
|
Psychology and Economics: Evidence from the Field |
| w13419 |
Jonathan H. Wright |
Cracking the Conundrum |
| w13403 |
Marc D. Weidenmier |
The Baring Crisis and the Great Latin American Meltdown of the 1890s |
| w13387 |
Anna Toldra Luigi Zingales |
Understanding Trust |
| w13381 |
Steven Venti David A. Wise |
The Changing Landscape of Pensions in the United States |
| w13366 |
Laura Veldkamp |
Information Immobility and the Home Bias Puzzle |
| w13363 |
James MacGee Michèle Tertilt |
Accounting for the Rise in Consumer Bankruptcies |
| w13361 |
Otto Van Hemert Stijn Van Nieuwerburgh |
Mortgage Timing |
| w13357 |
|
Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors |
| w13355 |
Eliana La Ferrara |
Detecting Illegal Arms Trade |
| w13337 |
Claudia R. Sahm Matthew D. Shapiro |
Imputing Risk Tolerance from Survey Responses |
| w13320 |
|
Bubbles in Prices of Exhaustible Resources |
| w13282 |
Lu Zhang |
Neoclassical Factors |
| w13281 |
Dhammika Dharmapala |
Taxes and Portfolio Choice: Evidence from JGTRRA's Treatment of International Dividends |
| w13251 |
Neng Wang |
Agency Conflicts, Investment, and Asset Pricing |
| w13250 |
Neng Wang |
Investment, Consumption, and Hedging under Incomplete Markets |
| w13249 |
Fumio Hayashi K. Geert Rouwenhorst |
The Fundamentals of Commodity Futures Returns |
| w13245 |
Burton Hollifield Francisco Palomino Stanley E. Zin |
Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models |
| w13220 |
Rajnish Mehra |
Risk Based Explanations of the Equity Premium |
| w13201 |
Scott Weisbenner |
Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices |
| w13196 |
|
Long-Run Risks and Financial Markets |
| w13189 |
Jeffrey Wurgler |
Investor Sentiment in the Stock Market |
| w13173 |
|
Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles |
| w13169 |
Nellie Liang Scott Weisbenner |
Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans |
| w13168 |
Zoran Ivkovich Paul A. Smith Scott Weisbenner |
Neighbors Matter: Causal Community Effects and Stock Market Participation |
| w13165 |
Missaka Warusawitharana |
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? |
| w13151 |
Richard K. Lyons |
Exchange Rate Fundamentals and Order Flow |
| w13148 |
Shang-Jin Wei |
Domestic Institutions and the Bypass Effect of Financial Globalization |
| w13132 |
Dhammika Dharmapala |
Taxes, Institutions and Foreign Diversification Opportunities |
| w13129 |
|
The Forward Premium is Still a Puzzle |
| w13124 |
Devin Shanthikumar |
Do Security Analysts Speak in Two Tongues? |
| w13121 |
Andrea Frazzini Christopher Malloy |
The Small World of Investing: Board Connections and Mutual Fund Returns |
| w13118 |
Andrew Charlton |
International Financial Integration and Entrepreneurial Firm Activity |
| w13108 |
Robert Dittmar Dana Kiku |
Cointegration and Consumption Risks in Asset Returns |
| w13107 |
A. Ronald Gallant George Tauchen |
Rational Pessimism, Rational Exuberance, and Asset Pricing Models |
| w13101 |
Adam S. Posen |
Do Markets Care Who Chairs the Central Bank? |
| w13090 |
Andrea Frazzini |
The Earnings Announcement Premium and Trading Volume |
| w13088 |
Karine Serfaty-de Medeiros Luis M. Viceira |
Global Currency Hedging |
| w13081 |
Francis E. Warnock |
Markets and Housing Finance |
| w13079 |
G. Andrew Karolyi Rene M. Stulz |
Has New York Become Less Competitive in Global Markets? Evaluating Foreign Listing Choices Over Time |
| w13076 |
Guido Lorenzoni Sergio L. Schmukler |
Why Do Emerging Economies Borrow Short Term? |
| w13067 |
Liran Einav Jonathan Levin |
Liquidity Constraints and Imperfect Information in Subprime Lending |
| w13056 |
Susan E. Woodward |
The Incentives to Start New Companies: Evidence from Venture Capital |
| w13042 |
Ian Tonks |
Return Persistence and Fund Flows in the Worst Performing Mutual Funds |
| w13024 |
Toni Whited Lu Zhang |
Regularities |
| w12990 |
Eduardo S. Schwartz |
Real Options With Uncertain Maturity and Competition |
| w12986 |
Leonid Kogan Motohiro Yogo |
Durability of Output and Expected Stock Returns |
| w12970 |
Michael W. Brandt |
Optimal Asset Allocation in Asset Liability Management |
| w12963 |
Tim Bollerslev Dobrislav Dobrev |
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications |
| w12962 |
Luca Benzoni |
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
| w12959 |
Mikhail Golosov Aleh Tsyvinski |
A Theory of Liquidity and Regulation of Financial Intermediation |
| w12957 |
Martin Schneider |
Inflation Illusion, Credit, and Asset Pricing |
| w12953 |
Freyan Panthaki |
The Influence of Actual and Unrequited Interventions |
| w12948 |
|
Beliefs, Doubts and Learning: Valuing Economic Risk |
| w12942 |
Raimond H. Maurer Olivia S. Mitchell Michael Z. Stamos |
Money in Motion: Dynamic Portfolio Choice in Retirement |
| w12940 |
Christian Gollier Jonathan A. Parker |
Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns |
| w12939 |
Lasse Heje Pedersen |
Market Liquidity and Funding Liquidity |
| w12937 |
Jaewoo Lee Alessandro Rebucci |
The Valuation Channel of External Adjustment |
| w12936 |
Ming Huang |
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices |
| w12933 |
|
The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse |
| w12930 |
Geert Bekaert Min Wei |
The Term Structure of Real Rates and Expected Inflation |
| w12918 |
Doron Nissim |
Activity-Based Valuation of Bank Holding Companies |
| w12912 |
Martin Lettau Sydney C. Ludvigson |
Investor Information, Long-Run Risk, and the Term Structure of Equity |
| w12897 |
Narasimhan Jegadeesh Yue Tang |
Gender and Job Performance: Evidence from Wall Street |
| w12896 |
Arvind Krishnamurthy |
Collective Risk Management in a Flight to Quality Episode |
| w12887 |
Lasse H. Pedersen |
Liquidity and Risk Management |
| w12881 |
Annette Vissing-Jorgensen |
The Demand for Treasury Debt |
| w12877 |
Lasse Heje Pedersen Todd Pulvino |
Slow Moving Capital |
| w12866 |
Woojin Kim |
Do Analysts Herd? An Analysis of Recommendations and Market Reactions |
| w12847 |
Motohiro Yogo |
Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow? |
| w12843 |
Jun Liu |
Risk, Return and Dividends |
| w12842 |
Scott J. Weisbenner |
Who Chooses Defined Contribution Plans? |
| w12814 |
Robert F. Stambaugh |
Predictive Systems: Living with Imperfect Predictors |
| 2006 | ||
| w12810 |
Christian Julliard |
Money Illusion and Housing Frenzies |
| w12809 |
Stefan Nagel |
Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation |
| w12797 |
Adlai J. Fisher |
Multifrequency Jump-Diffusions: An Equilibrium Approach |
| w12792 |
Lucian Taylor Pietro Veronesi |
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability |
| w12783 |
Alberto Martin Jaume Ventura |
Sovereign Risk and Secondary Markets |
| w12781 |
Hongjun Yan |
Heterogeneous Expectations and Bond Markets |
| w12767 |
Michael S. Haigh John List |
Information Cascades: Evidence from An Experiment with Financial Market Professionals |
| w12766 |
Stijn Van Nieuwerburgh |
Can Housing Collateral Explain Long-Run Swings in Asset Returns? |
| w12763 |
|
On the Welfare Costs of Consumption Uncertainty |
| w12751 |
Justin Wolfers Eric Zitzewitz |
Party Influence in Congress and the Economy |
| w12744 |
Eduardo S. Schwartz |
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives |
| w12742 |
George Zanjani |
Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk-Transfer |
| w12728 |
Francis E. Warnock |
Is Home Bias in Assets Related to Home Bias in Goods? |
| w12726 |
Francis E. Warnock |
Sudden Flight and True Sudden Stops |
| w12724 |
Katharina Lewellen Jerold B. Warner |
Security Issue Timing: What Do Managers Know, and When Do They Know It? |
| hosh05-1 |
Andrew Rose Shin-ichi Fukuda and Takatoshi Ito organizers |
International Finance (NBER-TCER-CEPR-University of Tokyo) |
| w12698 |
|
Capital Account Liberalization: Theory, Evidence, and Speculation |
| w12697 |
|
Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US |
| w12695 |
Rene M. Stulz |
The Economics of Conflicts of Interest in Financial Institutions |
| w12682 |
Yuko Hashimoto |
Price Impacts of Deals and Predictability of the Exchange Rate Movements |
| w12670 |
Pierre-Olivier Weill |
A Search-Based Theory of the On-the-Run Phenomenon |
| w12661 |
|
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange |
| w12659 |
James J. Choi David Laibson Brigitte C. Madrian |
Simplification and Saving |
| w12658 |
Sergei Sarkissian Timothy Simin |
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression |
| w12656 |
David K. Levine |
Bankruptcy and Collateral in Debt Constrained Markets |
| w12650 |
Jose Scheinkman |
Long Term Risk: An Operator Approach |
| w12644 |
|
Devaluation with Contract Redenomination in Argentina |
| w12633 |
Claudio Tebaldi |
Illiquid Assets and Optimal Portfolio Choice |
| w12622 |
Thanavut Pornrojnangkool |
Relationship Banking and the Pricing of Financial Services |
| w12614 |
Guido Lorenzoni |
Bubbles and Self-Enforcing Debt |
| w12609 |
Martin Schneider |
Equilibrium Yield Curves |
| w12589 |
Francis E. Warnock |
Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets |
| w12555 |
Horacio Sapriza Lu Zhang |
Financially Constrained Stock Returns |
| w12552 |
Francis E. Warnock |
Local Currency Bond Markets |
| w12548 |
Francis E. Warnock |
Foreign Participation in Local Currency Bond Markets |
| w12513 |
David A. Chapman |
Linear Approximations and Tests of Conditional Pricing Models |
| w12502 |
Jennifer Huang Clemens Sialm |
The Tradeoff Between Mortgage Prepayments and Tax-Deferred Retirement Savings |
| w12500 |
Sara B. Holland David C. Smith Francis E. Warnock |
Look at Me Now: What Attracts U.S. Shareholders? |
| w12489 |
Martin Eichenbaum Isaac Kleshchelski Sergio Rebelo |
The Returns to Currency Speculation |
| w12487 |
|
The Equity Premium Implied by Production |
| w12484 |
Eswar Prasad Kenneth S. Rogoff Shang-Jin Wei |
Financial Globalization: A Reappraisal |
| w12482 |
Fernando A. Broner |
Globalization and Risk Sharing |
| w12461 |
Louis Chan Stephen G. Dimmock |
Benchmarking Money Manager Performance: Issues and Evidence |
| w12434 |
|
The Equity Premium in India |
| w12433 |
|
Recursive Competitive Equilibrium |
| w12419 |
|
Optimal Taxation of Entrepreneurial Capital with Private Information |
| w12413 |
Yuko Hashimoto |
Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System |
| w12412 |
Monica Paiella |
Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory |
| w12397 |
Wei Xiong |
What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation |
| w12391 |
Kevin Milligan |
How Household Portfolios Evolve After Retirement: The Effect of Aging and Health Shocks |
| w12389 |
René M. Stulz Francis E. Warnock |
Financial Globalization, Governance, and the Evolution of the Home Bias |
| w12378 |
Ming Huang |
The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle |
| w12376 |
Michael W. Brandt Kenneth A. Kavajecz |
Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market |
| w12367 |
Anthony Webb |
Determinants and Consequences of Bargaining Power in Households |
| w12362 |
Jens Hilscher Jan Szilagyi |
In Search of Distress Risk |
| w12360 |
Stefan Nagel Jay Shanken |
A Skeptical Appraisal of Asset-Pricing Tests |
| w12346 |
Francis E. Warnock Jon Wongswan |
The Performance of International Equity Portfolios |
| w12343 |
Jr. J. Harold Mulherin Marc D. Weidenmier |
Competing With the NYSE |
| w12342 |
Edward Maydew Douglas A. Shackelford Harold H. Zhang |
Capital Gains Taxes and Asset Prices: Capitalization or Lock-In? |
| w12337 |
Eduardo S. Schwartz |
A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives |
| w12333 |
Richard Portes Gregorios Siourounis |
Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar |
| w12330 |
Charles Yuji Horioka |
Do Borrowing Constraints Matter? An Analysis of Why the Permanent Income Hypothesis Does Not Apply in Japan |
| w12309 |
Felix Kubler |
Collateralized Borrowing and Life-Cycle Portfolio Choice |
| w12308 |
Vincenzo Quadrini |
Financial Innovations and Macroeconomic Volatility |
| w12295 |
Micah S. Officer G. William Schwert |
The Variability of IPO Initial Returns |
| w12290 |
|
Equity Premia with Benchmark Levels of Consumption: Closed-Form Results |
| w12283 |
Márcio G.P. Garcia |
Ineffective Controls on Capital Inflows Under Sophisticated Financial Markets: Brazil in the Nineties |
| w12276 |
C. Fritz Foley James R. Hines Jr. |
Capital Structure with Risky Foreign Investment |
| w12270 |
Michael W. Brandt |
Resolving Macroeconomic Uncertainty in Stock and Bond Markets |
| w12256 |
Gary Gorton |
Noise Traders |
| w12248 |
Eric Engstrom Yuhang Xing |
Risk, Uncertainty and Asset Prices |
| w12247 |
Eric Engstrom Steven R. Grenadier |
Stock and Bond Returns with Moody Investors |
| w12234 |
Til Schuermann Philip E. Strahan |
Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
| w12233 |
|
The International CAPM and a Wavelet-Based Decomposition of Value at Risk |
| w12223 |
Matti Keloharju |
Sensation Seeking, Overconfidence, and Trading Activity |
| w12220 |
Francis E. Warnock |
International Diversification at Home and Abroad |
| w12214 |
Akito Matsumoto |
Portfolio Choice in a Monetary Open-Economy DSGE Model |
| w12210 |
Arvind Rajan |
An Empirical Analysis of the Pricing of Collateralized Debt Obligations |
| w12204 |
Yves Nosbusch |
Intergenerational Risksharing and Equilibrium Asset Prices |
| w12203 |
Li Gu Yael V. Hochberg |
Is IPO Underperformance a Peso Problem? |
| w12200 |
Eric Zitzewitz |
Interpreting Prediction Market Prices as Probabilities |
| w12183 |
Ralitsa Petkova Lu Zhang |
The Expected Value Premium |
| w12149 |
|
Household Finance |
| w12146 |
|
Investment Taxes and Equity Returns |
| w12144 |
Michael W. Brandt Ralph S.J. Koijen |
Optimal Decentralized Investment Management |
| w12138 |
|
Bubbles and Busts: The 1990s in the Mirror of the 1920s |
| w12109 |
Stijn Van Nieuwerburgh |
Reconciling the Return Predictability Evidence |
| w12107 |
Jose Scheinkman Wei Xiong |
Pay for Short-Term Performance: Executive Compensation in Speculative Markets |
| w12098 |
Andrew F. Siegel |
Testing Portfolio Efficiency with Conditioning Information |
| w12090 |
Christof W. Stahel Rene M. Stulz |
Is There Hedge Fund Contagion? |
| w12084 |
Ping He |
Agency-Based Asset Pricing |
| w12083 |
Eric Zitzewitz |
Prediction Markets in Theory and Practice |
| w12073 |
Justin Wolfers Eric Zitzewitz |
Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections |
| w12060 |
Eric Zitzewitz |
Five Open Questions About Prediction Markets |
| w12055 |
Guofu Zhou |
Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations |
| w12042 |
Neng Wang |
Investment Under Uncertainty and Time-Inconsistent Preferences |
| w12026 |
|
The Dog That Did Not Bark: A Defense of Return Predictability |
| w12020 |
Nicolae Garleanu Lasse Heje Pedersen |
Valuation in Over-the-Counter Markets |
| w12017 |
Luis M. Viceira |
Optimal Value and Growth Tilts in Long-Horizon Portfolios |
| w12011 |
Konstantin Magin |
A Short Note on the Size of the Dot-Com Bubble |
| w12000 |
Zeigham Khokher Sheridan Titman |
Equilibrium Exhaustible Resource Price Dynamics |
| w11996 |
Emmanuel Farhi Pierre-Olivier Gourinchas |
An Equilibrium Model of "Global Imbalances" and Low Interest Rates |
| w11989 |
|
Diagnosing Discrimination: Stock Returns and CEO Gender |
| w11984 |
Anthony Webb |
Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk |
| w11974 |
Joshua Rauh Steven Venti David Wise |
Lifecycle Asset Allocation Strategies and the Distribution of 401(k) Retirement Wealth |
| w11959 |
Kevin A. Hassett |
Dividend Taxes and Firm Valuation: New Evidence |
| w11941 |
Meenakshi Sinha Bhaskaran Swaminathan |
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital |
| w11929 |
Justin Wolfers |
Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk |
| w11912 |
|
Financial Globalization, Corporate Governance, and Eastern Europe |
| 2005 | ||
| w11906 |
Robert J. Hodrick Xiaoyan Zhang |
International Stock Return Comovements |
| w11903 |
Joseph Chen |
CAPM Over the Long Run: 1926-2001 |
| w11894 |
Sergio Schmukler |
Internationalization and Stock Market Liquidity |
| w11882 |
Jeremy C. Stein |
Investor Sentiment and Corporate Finance: Micro and Macro |
| w11876 |
Pietro Veronesi |
Technological Revolutions and Stock Prices |
| w11868 |
|
The Net Asset Position of the U.S. National Government, 1784-1802: Hamilton's Blessing or the Spoils of War? |
| w11864 |
Pierre Collin-Dufresne Bryan R. Routledge |
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology |
| w11851 |
Arvind Krishnamurthy Olivier Vigneron |
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market |
| w11850 |
Alexander Ludwig Joachim Winter |
Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model |
| w11843 |
Lasse Heje Pedersen Allen M. Poteshman |
Demand-Based Option Pricing |
| w11841 |
Matthew Richardson Robert Whitelaw |
The Myth of Long-Horizon Predictability |
| w11840 |
Matthew Richardson Robert Whitelaw |
The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly |
| w11838 |
Andrei Shleifer |
Persuasion in Finance |
| w11834 |
Arvind Krishnamurthy |
Financial System Risk and Flight to Quality |
| w11824 |
Joseph Chen Yuhang Xing |
Downside Risk |
| w11816 |
Pietro Veronesi |
Cash-Flow Risk, Discount Risk, and the Value Premium |
| w11803 |
Alexander Kurshev Raman Uppal |
What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? |
| w11775 |
Tim Bollerslev Francis X. Diebold |
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
| w11769 |
Freyan Panthaki |
What Defines "News" in Foreign Exchange Markets? |
| w11766 |
Clemens Sialm Lu Zheng |
Unobserved Actions of Mutual Funds |
| w11756 |
|
Tax Changes and Asset Pricing: Time-Series Evidence |
| w11748 |
Richard K. Lyons |
Understanding Order Flow |
| w11747 |
Olivia S. Mitchell John Piggott |
Socially Responsible Investment in Japanese Pensions |
| w11736 |
Francis X. Diebold |
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
| w11728 |
|
Has Financial Development Made the World Riskier? |
| w11722 |
Parameswaran Gopikrishnan Vasiliki Plerou H. Eugene Stanley |
Institutional Investors and Stock Market Volatility |
| w11713 |
Conor N. Healy |
Monetary and Exchange Rate Policy Coordination in ASEAN 1 |
| w11703 |
Serena Ng |
Macro Factors in Bond Risk Premia |
| w11701 |
Viktoria Hnatkovska |
International Capital Flows, Returns and World Financial Integration |
| w11698 |
Stefan Straetmans Casper G. De Vries |
Banking System Stability: A Cross-Atlantic Perspective |
| w11697 |
Rene M. Stulz Hongping Tan |
Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts |
| t0318 |
Viktoria Hnatkovska |
Solving General Equilibrium Models with Incomplete Markets and Many Assets |
| w11691 |
|
Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies |
| w11687 |
Christopher Sleet Sevin Yeltekin |
Fiscal Hedging and the Yield Curve |
| w11683 |
Joshua Pollet |
Investor Inattention, Firm Reaction, and Friday Earnings Announcements |
| w11643 |
Christopher Mayer Todd Sinai |
Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions |
| w11633 |
Eric van Wincoop |
Rational Inattention: A Solution to the Forward Discount Puzzle |
| w11618 |
Arvind Krishnamurthy |
Bubbles and Capital Flow Volatility: Causes and Risk Management |
| w11606 |
Sydney C. Ludvigson |
Euler Equation Errors |
| w11579 |
René Stulz Rohan Williamson |
How Much Do Banks Use Credit Derivatives to Reduce Risk? |
| w11564 |
Stijn Van Nieuwerburgh |
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street |
| w11559 |
|
Solving Models with External Habit |
| w11554 |
David Laibson Brigitte C. Madrian |
$100 Bills on the Sidewalk: Suboptimal Investment in 401(k) Plans |
| w11534 |
João F. Cocco |
How Do House Prices Affect Consumption? Evidence From Micro Data |
| w11533 |
|
Notes for a Contingent Claims Theory of Limit Order Markets |
| w11526 |
Owen A. Lamont |
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns |
| w11509 |
Dmitry Livdan Amir Yaron |
Futures Prices in a Production Economy with Investment Constraints |
| w11488 |
Jeffrey D. Kubik Jeremy C. Stein |
The Only Game in Town: Stock-Price Consequences of Local Bias |
| w11480 |
Jerold B. Warner Lu Zhang |
Momentum Profits and Macroeconomic Risk |
| w11477 |
Serena Ng |
The Empirical Risk-Return Relation: A Factor Analysis Approach |
| w11476 |
John Heaton Nan Li |
Consumption Strikes Back?: Measuring Long-Run Risk |
| w11472 |
Marc D. Weidenmier |
Supersanctions and Sovereign Debt Repayment |
| w11468 |
Samuel B. Thompson |
Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? |
| w11459 |
Le Sun Lu Zhang |
Investment-Based Underperformance Following Seasoned Equity Offerings |
| w11452 |
Joseph Rosenberg Emmanuel Saez |
The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut? |
| w11449 |
Kevin A. Hassett |
The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study |
| w11444 |
Jiang Wang |
Optimal Trading Strategy and Supply/Demand Dynamics |
| w11442 |
Rene M. Stulz |
The Risks of Financial Institutions |
| w11441 |
Adlai J. Fisher |
Multifrequency News and Stock Returns |
| w11440 |
Roberto Rigobon |
Wealth Transfers, Contagion, and Portfolio Constraints |
| w11439 |
Tarun Ramadorai Tuomo O. Vuolteenaho |
Caught On Tape: Institutional Order Flow and Stock Returns |
| w11426 |
Campbell R. Harvey Hai Huang |
Investor Competence, Trading Frequency, and Home Bias |
| w11413 |
Campbell R. Harvey Christian Lundblad |
Liquidity and Expected Returns: Lessons From Emerging Markets |
| w11400 |
Wei Xiong |
Investor Attention: Overconfidence and Category Learning |
| w11389 |
Christopher Polk Tuomo Vuolteenaho |
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns |
| w11380 |
Per A. Mykland Lan Zhang |
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
| w11372 |
|
The Microeconomic Evidence on Capital Controls: No Free Lunch |
| w11367 |
Jose Scheinkman Wei Xiong |
Asset Float and Speculative Bubbles |
| w11362 |
Jose Scheinkman Wei Xiong |
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia |
| w11361 |
David Robinson |
Optimism and Economic Choice |
| w11357 |
Erik Stafford |
Asset Fire Sales (and Purchases) in Equity Markets |
| w11350 |
Charles W. Calomiris Joao Amaro de Matos |
Venture Capital as Human Resource Management |
| w11326 |
Lu Zhang |
The Value Spread as a Predictor of Returns |
| w11323 |
Long Chen Lu Zhang |
Expected Returns, Yield Spreads, and Asset Pricing Tests |
| w11313 |
Charles F. Manski |
Measuring and Interpreting Expectations of Equity Returns |
| w11312 |
Tim Bollerslev Francis X. Diebold Clara Vega |
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
| w11280 |
|
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches |
| w11276 |
Burton Hollifield Stanley E. Zin |
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates |
| w11270 |
Richard Thaler |
Overconfidence vs. Market Efficiency in the National Football League |
| w11247 |
Pierre Collin-Dufresne Robert S. Goldstein |
Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income |
| w11243 |
Dmitry V. Repin Brett N. Steenbarger |
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
| w11222 |
Campbell R. Harvey |
The Tactical and Strategic Value of Commodity Futures |
| w11220 |
Michael J. Moore |
An Information Approach to International Currencies |
| w11214 |
Shang-Jin Wei |
Pitfalls of a State-Dominated Financial System: The Case of China |
| w11211 |
Joshua M. Pollet |
Attention, Demographics, and the Stock Market |
| w11200 |
Mila Getmansky Shane M. Haas Andrew W. Lo |
Systemic Risk and Hedge Funds |
| w11193 |
|
Financial Markets and the Real Economy |
| w11188 |
Tim Bollerslev Peter F. Christoffersen Francis X. Diebold |
Volatility Forecasting |
| w11180 |
|
UNINSURED IDIOSYNCRATIC INVESTMENT RISK |
| w11169 |
Tuomo Vuolteenaho |
Explaining Returns with Cash-Flow Proxies |
| w11162 |
G. Andrew Karolyi Karl V. Lins Darius P. Miller Rene M. Stulz |
Private Benefits of Control, Ownership, and the Cross-Listing Decision |
| w11144 |
Jessica Wachter |
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium |
| w11136 |
Antoinette Schoar Wan Wong |
Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle |
| w11134 |
Tim Bollerslev Francis X. Diebold Jin (Ginger) Wu |
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
| w11122 |
John B. Donaldson Rajnish Mehra |
Junior is Rich: Bequests as Consumption |
| w11119 |
Luis Viceira |
The Term Structure of the Risk-Return Tradeoff |
| w11116 |
Samita Sareen |
Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions |
| w11089 |
Monika Piazzesi Glenn Rudebusch |
Modeling Bond Yields in Finance and Macroeconomics |
| w11082 |
Stewart C. Myers |
A Theory of Takeovers and Disinvestment |
| w11070 |
|
The Limits of Financial Globalization |
| w11069 |
Tim Bollerslev Peter F. Christoffersen Francis X. Diebold |
Practical Volatility and Correlation Modeling for Financial Market Risk Management |
| w11067 |
Terry Shevlin |
Bank-Tax Conformity for Corporate Income: An Introduction to the Issues |
| w11042 |
Richard K. Lyons |
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting |
| w11041 |
Richard K. Lyons |
Do Currency Markets Absorb News Quickly? |
| w11037 |
|
Bank Trading Risk and Systemic Risk |
| w11033 |
Michael LeBlanc Olivier Coibion |
The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline |
| w11026 |
Yong Wang |
Consumption Risk and the Cost of Equity Capital |
| w11023 |
Sergio L. Schmukler |
Internationalization and the Evolution of Corporate Valuation |
| w11021 |
Andrea Heuson Tie Su |
Weak and Semi-Strong Form Stock Return Predictability Revisited |
| w11020 |
Andrew F. Siegel Pisun (Tracy) Xu |
Mimicking Portfolios with Conditioning Information |
| w11018 |
Christopher Polk Tuomo Vuolteenaho |
Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis |
| 2004 | ||
| w11015 |
Ivan Werning |
Crises and Prices: Information Aggregation, Multiplicity and Volatility |
| w11011 |
Paige P. Ouimet Clemens Sialm |
PIPE Dreams? The Performance of Companies Issuing Equity Privately |
| w11010 |
Sinan Tan |
Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice |
| w10996 |
Pedro Santa-Clara Rossen Valkanov |
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns |
| w10994 |
Sinan Tan |
Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs |
| w10990 |
Campbell R. Harvey Christian Lundblad Stephan Siegel |
Global Growth Opportunities and Market Integration |
| w10970 |
Adam Szeidl |
Consumption Commitments and Habit Formation |
| w10982 |
Evan Gatev Til Schuermann |
How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
| w10981 |
|
Some New Variance Bounds for Asset Prices |
| w10978 |
Alexander Dyck Luigi Zingales |
Theft and Taxes |
| w10934 |
Amit Goyal Pedro Santa-Clara Jonathan Storud |
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability |
| w10925 |
Allen Poteshman |
The Information of Option Volume for Future Stock Prices |
| w10914 |
Pedro Santa-Clara Rossen Valkanov |
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
| w10913 |
Pedro Santa-Clara Rossen Valkanov |
There is a Risk-Return Tradeoff After All |
| w10912 |
Shu Yan |
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options |
| w10860 |
|
Life-Cycle Asset Accumulation and Allocation in Canada |
| w10856 |
Yuko Hashimoto |
Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System |
| w10852 |
Robert J. Hodrick Yuhang Xing Xiaoyan Zhang |
The Cross-Section of Volatility and Expected Returns |
| w10851 |
|
The Impact of Population Aging on Financial Markets |
| w10850 |
Charles M. Jones Christopher J. Mayer |
Do Stock Prices Really Reflect Fundamental Values? The Case of REITs |
| w10847 |
|
Charles Kindleberger |
| w10845 |
|
Dollar Shortages and Crises |
| w10823 |
Ryan Taliaferro Jeffrey Wurgler |
Pseudo Market Timing and Predictive Regressions |
| w10820 |
Magnus Dahlquist Campbell R. Harvey |
Dynamic Trading Strategies and Portfolio Choice |
| w10816 |
Nicolae Garleanu Lasse Heje Pedersen |
Over-the-Counter Markets |
| w10814 |
Lasse Heje Pedersen |
Asset Pricing with Liquidity Risk |
| w10813 |
Geoffrey Tate |
Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction |
| w10812 |
Devin Shanthikumar |
Are Investors Naive About Incentives? |
| w10805 |
Andrew K. Rose |
Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk |
| w10794 |
Ivo Welch |
Investor Sentiment Measures |
| w10785 |
C. Fritz Foley |
The Comovement of Returns and Investment Within the Multinational Firm |
| w10756 |
Christopher S. Jones Robert S. Goldstein |
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility |
| w10755 |
Lasse Heje Pedersen |
Predatory Trading |
| w10729 |
Marc D. Weidenmier |
Empire, Public Goods, and the Roosevelt Corollary |
| w10726 |
Craig Doidge Andrew Karolyi |
Why Do Countries Matter So Much for Corporate Governance? |
| w10719 |
Federico Nardari Rene M. Stulz |
Stock Market Trading and Market Conditions |
| w10723 |
Kenneth D. West |
Exchange Rates and Fundamentals |
| w10704 |
David C. Wheelock |
Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms |
| w10689 |
Andrea Heuson Tie Su |
Weak and Semi-Strong Form Stock Return Predictability, Revisited |
| w10675 |
Clemens Sialm Scott Weisbenner |
Portfolio Concentration and the Performance of Individual Investors |
| w10659 |
|
Go Down Fighting: Short Sellers vs. Firms |
| w10651 |
Roni Michaely Matthew Richardson Michael Roberts |
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing |
| w10650 |
Robert Merton Zvi Bobie |
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan? |
| w10620 |
Zvi Bodie |
The Design of Financial Systems: Towards a Synthesis of Function and Structure |
| w10616 |
Glenn D. Rudebusch S. Boragan Aruoba |
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach |
| w10595 |
K. Geert Rouwenhorst |
Facts and Fantasies about Commodity Futures |
| w10581 |
Pietro Veronesi |
Was There a Nasdaq Bubble in the Late 1990s? |
| w10574 |
|
Should We Fear Derivatives? |
| w10567 |
Gary Gorton Leonardo Madureira |
SEC Regulation Fair Disclosure, Information, and the Cost of Capital |
| w10547 |
Eric Swanson |
Futures Prices as Risk-adjusted Forecasts of Monetary Policy |
| w10503 |
Sydney C. Ludvigson |
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior |
| w10502 |
Bong-Chan Kho Rene M. Stulz |
Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea |
| w10483 |
Ivo Welch |
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction |
| w10468 |
Vicente Pons-Sanz S. Abraham Ravid |
Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property |
| w10458 |
Shinobu Nakagawa |
A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence |
| w10454 |
David Laibson Brigitte C. Madrian Andrew Metrick |
Consumption-Wealth Comovement of the Wrong Sign |
| w10453 |
Stewart C. Myers |
R-Squared Around the World: New Theory and New Tests |
| w10449 |
Jeffrey Wurgler |
Investor Sentiment and the Cross-Section of Stock Returns |
| w10448 |
Takatoshi Ito |
High-Frequency Contagion Between the Exchange Rates and Stock Prices |
| w10447 |
Ravi Jagannathan Tongshu Ma |
A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 |
| w10436 |
Scott Weisbenner |
Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices |
| w10434 |
Parag A. Pathak Jay R. Ritter |
Short Interest and Stock Returns |
| w10422 |
|
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities |
| w10419 |
Nellie Liang Scott Weisbenner |
401(k) Matching Contributions in Company Stock: Costs and Benefits for Firms and Workers |
| w10418 |
Sanjay Mithal Eric Neis |
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market |
| w10413 |
Pietro Veronesi |
Conditional Betas |
| w10412 |
Richard Stanton |
A Rational Model of the Closed-End Fund Discount |
| w10411 |
|
Financial Claustrophobia: Asset Pricing in Illiquid Markets |
| w10406 |
Samuel Thompson Tuomo Vuolteenaho |
New Forecasts of the Equity Premium |
| w10402 |
Kenneth N. Kuttner |
What Explains the Stock Market's Reaction to Federal Reserve Policy? |
| w10388 |
J. David Cummins Christopher M. Lewis Ran Wei |
An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance |
| w10372 |
Pedro Santa-Clara |
Dynamic Portfolio Selection by Augmenting the Asset Space |
| w10359 |
|
Interpreting the Predictions of Prediction Markets |
| w10355 |
Melvyn Teo |
Equity Style Returns and Institutional Investor Flows |
| w10343 |
Massimo Massa Andrei Simonov |
Portfolio Diversification and City Agglomeration |
| w10340 |
John Piggott |
Unlocking Housing Equity in Japan |
| w10327 |
|
Flight to Quality, Flight to Liquidity, and the Pricing of Risk |
| w10291 |
|
How Much Equity Does the Government Hold? |
| w10270 |
Sydney C. Ludvigson Jessica A. Wachter |
The Declining Equity Premium: What Role Does Macroeconomic Risk Play? |
| w10267 |
Kenneth D. West |
Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One |
| w10264 |
Inmoo Lee Allen M. Poteshman |
Investor Behavior in the Option Market |
| w10263 |
Tuomo Vuolteenaho |
Inflation Illusion and Stock Prices |
| w10259 |
|
Why Are Most Funds Open-End? Competition and the Limits of Arbitrage |
| w10245 |
Eric van Wincoop |
A Scapegoat Model of Exchange Rate Fluctuations |
| w10236 |
Inessa Love |
Financial Development and Growth in the Short and Long Run |
| w10235 |
Zoran Ivkovich Paul A. Smith Scott Weisbenner |
The Geography of Stock Market Participation: The Influence of Communities and Local Firms |
| w10228 |
David Laibson Brigitte Madrian Andrew Metrick |
Employees' Investment Decisions about Company Stock |
| w10218 |
Jeremy C. Stein |
Aggregate Short Interest and Market Valuations |
| w10210 |
|
Robust Aggregate Implications of Stochastic Discount Factor Volatility |
| w10202 |
Robert E. Hall |
Benchmarking the Returns to Venture |
| 2003 | ||
| w10188 |
Rene M. Stulz Rohan Williamson |
Do Firms in Countries with Poor Protection of Investor Rights Hold More Cash? |
| w10157 |
Paul G. J. O'Connell |
The Risk Tolerance of International Investors |
| w10150 |
|
Corporate Earnings Track the Competitive Benchmark |
| w10141 |
Francis X. Diebold |
Weather Forecasting for Weather Derivatives |
| w10131 |
Christopher Polk Tuomo Vuolteenaho |
The Price is (Almost) Right |
| w10111 |
Per A. Mykland Yacine Ait-Sahalia |
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data |
| w10107 |
Stanley E. Zin |
Generalized Disappointment Aversion and Asset Prices |
| w10086 |
Jessica A. Wachter |
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors |
| w10080 |
Geert Bekaert |
How do Regimes Affect Asset Allocation? |
| w10054 |
Monika Piazzesi |
Corporate Earnings and the Equity Premium |
| w10048 |
Canlin Li |
Forecasting the Term Structure of Government Bond Yields |
| w10042 |
Jun Liu |
How to Discount Cashflows with Time-Varying Expected Returns |
| w10026 |
Motohiro Yogo |
Efficient Tests of Stock Return Predictability |
| w10018 |
Vivian Z. Yue |
Country Spreads and Emerging Countries: Who Drives Whom? |
| w10013 |
Jeremy C. Stein |
Simple Forecasts and Paradigm Shifts |
| w10009 |
Francis X. Diebold |
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
| w9988 |
|
A New Method of Estimating Risk Aversion |
| w9974 |
Stefan Nagel |
The Conditional CAPM does not Explain Asset-Pricing Anamolies |
| w9959 |
Stijn Van Nieuwerburgh |
Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective |
| w9951 |
K.C. John Wei Feixue Xie |
Capital Investments and Stock Returns |
| w9934 |
Simon Johnson |
Unbundling Institutions |
| w9927 |
Robert F. Whitelaw |
Uncovering the Risk-Return Relation in the Stock Market |
| w9915 |
|
Disentangling Volatility from Jumps |
| w9914 |
Michael W. Brandt |
The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market |
| w9894 |
Bryan D. MacGregor |
Investor Rationality: Evidence from UK Property Capitalization Rates |
| w9893 |
Richard K. Lyons Martin D.D. Evans |
Inventory Information |
| w9882 |
Florencio Lopez-de-Silane Andrei Shleifer |
What Works in Securities Law? |
| w9880 |
Andrew K. Rose |
Financial Integration: A New Methodology and an Illustration |
| w9875 |
|
When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? |
| w9861 |
Leonid Kogan Jiang Wang |
Evaluating Portfolio Policies: A Duality Approach |
| w9858 |
Pietro Veronesi |
Stock Prices and IPO Waves |
| w9852 |
|
The Value of a Statistical Life and the Coefficient of Relative Risk Aversion |
| w9848 |
Sydney Ludvigson |
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption |
| w9807 |
Antoinette Schoar |
Private Equity Performance: Returns, Persistence and Capital |
| w9806 |
Francesco Giavazzi Robert C. Merton |
Transparency, Risk Management and International Financial Fragility |
| w9759 |
Joao F. Cocco |
Household Risk Management and Optimal Mortgage Choice |
| w9758 |
Gary Gorton Arvind Krishnamurthy |
Equilibrium Asset Prices Under Imperfect Corporate Control |
| w9743 |
Sheridan Titman |
Market Reactions to Tangible and Intangible Information |
| w9711 |
Jeffrey D. Kubik Jeremy C. Stein |
The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers |
| w9685 |
Zoran Ivkovich |
Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments |
| w9677 |
Angela Maddaloni |
Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
| w9674 |
Jr. Douglas A. Shackelford |
Diversification and the Taxation of Capital Gains and Losses |
| w9664 |
Francis X. Diebold |
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
| w9634 |
|
Continuing Dangers of Disinformation in Corporate Accounting Reports |
| w9614 |
Sergio L. Schmukler |
Migration, Spillovers,and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity |
| w9611 |
Per A. Mykland |
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise |
| w9605 |
Sydney Ludvigson |
Expected Returns and Expected Dividend Growth |
| w9589 |
Kimie Harada |
Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives |
| w9587 |
Justin Wolfers Eric Zitzewitz |
What Do Financial Markets Think of War in Iraq? |
| w9582 |
Inessa Love |
Financial Dependence and Growth Revisited |
| w9574 |
Shih Hui-Tzu |
Initial Public Offering and Corporate Governance in China's Transitional Economy |
| w9583 |
Inessa Love |
Financial Development and the Composition of Industrial Growth |
| w9555 |
Menzie D. Chinn |
A Decomposition of Global Linkages in Financial Markets Over Time |
| w9548 |
|
Consumption Risk and Expected Stock Returns |
| w9547 |
George Chacko Jorge Rodriguez Luis M. Viciera |
Strategic Asset Allocation in a Continuous-Time VAR Model |
| w9544 |
Jason Karceski Josef Lakonishok |
Analysts' Conflict of Interest and Biases in Earnings Forecasts |
| w9538 |
Christian Julliard |
Consumption Risk and Cross-Sectional Returns |
| w9528 |
Drew Fudenberg |
Knife Edge of Plateau: When Do Market Models Tip? |
| w9515 |
Matthew Richardson YuQing Shen Robert F. Whitelaw |
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market |
| w9512 |
|
The Equity Premium: Why is it a Puzzle? |
| w9510 |
Campbell R. Harvey |
Market Integration and Contagion |
| w9509 |
Tuomo Vuolteenaho |
Bad Beta, Good Beta |
| w9499 |
Massimo Massa |
Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias |
| w9481 |
Rene M. Stulz |
Equity market liberalizations as country IPOs |
| w9475 |
|
An Equilibrium Analysis of Real Estate |
| w9470 |
William N. Goetzmann Takato Hiraki Noriyoshi Shirishi Masahiro Watanabe |
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows |
| w9465 |
Ning Zhu |
Rain or Shine: Where is the Weather Effect? |
| w9464 |
William N. Goetzmann Bing Liang |
Fees on Fees in Funds of Funds |
| w9461 |
David M. Modest |
Diversification and the Optimal Construction of Basis Portfolios |
| w9453 |
Stephen Wu |
Portfolio Choice and Health Status |
| w9441 |
|
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance |
| w9434 |
Stephen Ross Jiang Wang Mark Westerfield |
The Price Impact and Survival of Irrational Traders |
| w9423 |
Matthew Richardson Robert F. Whitelaw |
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets |
| w9422 |
|
How Do Markets Function? An Empirical Analysis of Gambling on the National Football League |
| 2002 | ||
| w9392 |
Jay Shanken |
Mutual Fund Performance with Learning Across Funds |
| w9376 |
Yuko Hashimoto |
High Frequency Contagion of Currency Crises in Asia |
| t0286 |
Robert Kimmel |
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions |
| w9359 |
Joshua Coval Lubos Pastor |
Judging Fund Managers by the Company They Keep |
| w9353 |
Jun Liu |
Debt Policy, Corporate Taxes, and Discount Rates |
| w9348 |
Robert J. Shiller |
One Simple Test of Samuelson's Dictum for the Stock Market |
| w9344 |
Robert J. Hodrick Moroz Vadim Xiaoyan Zhang |
Pricing the Global Industry Portfolios |
| w9333 |
|
Historical Perspectives on Financial Development and Economic Growth |
| w9331 |
Felix Kubler Paul Willen |
Borrowing Costs and the Demand for Equity Over the Life Cycle |
| w9301 |
|
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium |
| w9271 |
Randall S. Kroszner Brian H. Jenn |
Federal Terrorism Risk Insurance |
| w9262 |
Patric H. Hendershott Charlotte Mack Christopher J. Mayer |
Determinants of Real House Price Dynamics |
| w9251 |
Ivo Welch |
Financial Market Runs |
| w9246 |
Michael B. Mikhail Andrea S. Au |
Information Content of Equity Analyst Reports |
| w9241 |
Kenneth A. Froot |
The Persistence of Emerging Market Equity Flows |
| w9222 |
Richard Thaler |
A Survey of Behavioral Finance |
| w9217 |
Tano Santos Pietro Veronesi |
The Time Series of the Cross Section of Asset Prices |
| w9178 |
Monika Piazzesi |
Bond Risk Premia |
| w9147 |
Marc Weidenmier |
Crises in the Global Economy from Tulips to Today: Contagion and Consequences |
| w9143 |
Sergei Sarkissian Timothy Simin |
Spurious Regressions in Financial Economics? |
| w9131 |
Scott Weisbenner |
Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design |
| w9116 |
Jonathan Ingersoll Matthew I. Spiegel Ivo Welch |
Sharpening Sharpe Ratios |
| w9111 |
Ravi Jagannathan |
Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
| w9103 |
Francis A. Longstaff Jun Pan |
Dynamic Asset Allocation With Event Risk |
| w9101 |
Tarun Ramadorai |
Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals |
| w9087 |
Michael J. Moore Richard Portes |
Defining Benchmark Status: An Application using Euro-Area Bonds |
| w9080 |
Tarun Ramadorai |
Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals |
| w9079 |
Jessica D. Tjornhom |
Decomposing the Persistence of International Equity Flows |
| w9075 |
Luis M. Viceira Joshua S. White |
Foreign Currency for Long-Term Investors |
| w9056 |
Qiang Kang |
On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach |
| w9049 |
|
Evaluating Value Weighting: Corporate Events and Market Timing |
| w9034 |
Vincenzo Quadrini |
Stock Market Boom and the Productivity Gains of the 1990s |
| w9018 |
Roberta Gatti |
Child Labor: The Role of Income Variability and Access to Credit Across Countries |
| w9000 |
Federico Nardari Rene M. Stulz |
Daily Cross-Border Equity Flows: Pushed or Pulled? |
| w8994 |
Rene M. Stulz |
Are Financial Assets Priced Locally or Globally? |
| w8991 |
Pietro Veronesi |
Stock Valuation and Learning about Profitability |
| w8987 |
|
Stocks as Money: Convenience Yield and the Tech-Stock Bubble |
| w8969 |
Jun Liu Francis A. Longstaff |
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? |
| w8961 |
Glen B. Taksler |
Equity Volatility and Corporate Bond Yields |
| w8960 |
Inessa Love |
Trade Credit, Financial Intermediary Development and Industry Growth |
| w8959 |
Tim Bollerslev Francis X. Diebold Clara Vega |
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
| w8956 |
|
Closed-Form Likelihood Expansions for Multivariate Diffusions |
| w8944 |
Jefferson Duarte |
Nonparametric Option Pricing under Shape Restrictions |
| w8922 |
Tongshu Ma |
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
| w8896 |
|
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution |
| w8895 |
Andrei Shleifer Jeffrey Wurgler |
Comovement |
| w8884 |
|
Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures |
| t0276 |
Per A. Mykland |
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions |
| w8876 |
Annette Vissing-Jorgensen |
The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? |
| w8867 |
Stylianos Perrakis |
Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs |
| w8826 |
|
Rational Asset Prices |
| w8822 |
George M. Constantinides Christopher C. Geczy |
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence |
| w8816 |
Jeremy C. Stein |
Market Liquidity as a Sentiment Indicator |
| w8793 |
Paul A. Gompers Tuomo Vuolteenaho |
Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions |
| w8791 |
Wayne E. Ferson David Jackson Steven Todd |
Performance Evaluation with Stochastic Discount Factors |
| w8790 |
Kenneth Khang |
Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds |
| w8789 |
Andrew Siegel |
Stochastic Discount Factor Bounds with Conditioning Information |
| w8788 |
Ivo Welch |
Predicting the Equity Premium With Dividend Ratios |
| w8747 |
|
The New Systems Competition |
| w8746 |
Mark Grinblatt David Levine |
Information Aggregation, Security Design and Currency Swaps |
| w8745 |
Matti Keloharju |
Tax-Loss Trading and Wash Sales |
| w8744 |
Tobias J. Moskowitz |
What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns? |
| w8734 |
Bing Han |
The Disposition Effect and Momentum |
| w8732 |
|
Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions |
| w8717 |
Anna J. Schwartz |
Charles Goodhart's Contributions to the History of Monetary Institutions |
| w8711 |
Luigi Zingales |
Private Benefits of Control: An International Comparison |
| 2001 | ||
| w8686 |
Alok Kumar |
Equity Portfolio Diversification |
| w8683 |
Stanley E. Zin |
Model Uncertainty and Liquidity |
| w8680 |
Rene M. Stulz Rohan Williamson |
Corporate Governance and the Home Bias |
| w8678 |
Campbell R. Harvey |
Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective |
| w8666 |
Ane Tamayo |
Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield |
| w8623 |
Edward C. Prescott |
Taxes, Regulations, and Asset Prices |
| w8622 |
Edward C. Prescott |
The Stock Market Crash of 1929: Irving Fisher Was Right! |
| w8620 |
James Bushnell Christopher R. Knittel Catherine Wolfram |
Trading Inefficiencies in California's Electricity Markets |
| w8618 |
John E. Parsons G. William Schwert Geoffrey S. Stewart |
Short Sales, Damages and Class Certification in 10b-5 Actions |
| w8612 |
Lingfeng Li K. Geert Rouwenhorst |
Long-Term Global Market Correlations |
| w8609 |
Raman Uppal |
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies |
| w8607 |
Leonid Kogan |
Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices |
| w8606 |
Robert J. Shiller John M. Quigley |
Comparing Wealth Effects: The Stock Market Versus the Housing Market |
| w8566 |
Yeung Lewis Chan Luis M. Viceira |
A Multivariate Model of Strategic Asset Allocation |
| w8565 |
Jiang Wang |
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model |
| w8557 |
|
The Market for Crash Risk |
| w8538 |
G. Andrew Karolyi Rene M. Stulz |
Why are Foreign Firms Listed in the U.S. Worth More? |
| w8510 |
Luca Benzoni Jesper Lund |
An Empirical Investigation of Continuous-Time Equity Return Models |
| w8508 |
Dmitry V. Repin |
The Psychophysiology of Real-Time Financial Risk Processing |
| w8506 |
Raul Susmel |
Volatility Dependence and Contagion in Emerging Equity Markets |
| w8505 |
Josh Lerner |
The Really Long-Run Performance of Initial Public Offerings: The Pre-NASDAQ Evidence |
| w8504 |
|
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion |
| w8494 |
Owen A. Lamont |
Short Sale Constraints and Stock Returns |
| w8491 |
Richard K. Lyons Michael J. Moore |
Fixed versus Flexible: Lessons from EMS Order Flow |
| w8478 |
Javier Gardeazabal |
The Economic Costs of Conflict: A Case-Control Study for the Basque Country |
| w8472 |
Tarun Ramadorai |
The Information Content of International Portfolio Flows |
| w8462 |
Robert F. Stambaugh |
Liquidity Risk and Expected Stock Returns |
| w8456 |
Alan B. Krueger |
Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments |
| w8436 |
|
Stock Volatility in the New Millennium: How Wacky Is Nasdaq? |
| w8429 |
Ronald MacDonald |
The Inter-War Gold Exchange Standard: Credibility and Monetary Independence |
| w8417 |
Jonathan A. Parker Motohiro Yogo |
Luxury Goods and the Equity Premium |
| t0274 |
Pedro Santa-Clara |
Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets |
| w8404 |
John H. Cochrane Pedro Santa-Clara |
International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) |
| w8386 |
Daniela Klingebiel Luc Laeven |
Financial Restructuring in Banking and Corporate Sector Crises: What Policies to Pursue? |
| w8360 |
Urban J. Jermann |
The Size of the Permanent Component of Asset Pricing Kernels |
| w8358 |
Jeffrey D. Kubik Jeremy C. Stein |
Social Interaction and Stock-Market Participation |
| w8356 |
Richard K. Lyons |
Portfolio Balance, Price Impact, and Secret Intervention |
| w8354 |
Stefan Krause |
Financial Structure, Macroeconomic Stability and Monetary Policy |
| w8340 |
|
Taxation, Risk-Taking, and Household Portfolio Behavior |
| w8312 |
Roni Michaely Gideon Saar Jiang Wang |
Dynamic Volume-Return Relation of Individual Stocks |
| w8311 |
Harry Mamaysky Jiang Wang |
Asset Prices and Trading Volume Under Fixed Transactions Costs |
| w8309 |
Pietro Veronesi |
Labor Income and Predictable Stock Returns |
| w8308 |
Louis K. C. Chan Narasimhan Jegadeesh Josef Lakonishok |
Earnings Quality and Stock Returns |
| w8303 |
Paolo Pesenti Nouriel Roubini |
The Role of Large Players in Currency Crises |
| w8302 |
Richard H. Thaler |
Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs |
| w8282 |
Jason Karceski Josef Lakonishok |
The Level and Persistence of Growth Rates |
| w8242 |
Christopher Polk Tuomo Vuolteenaho |
The Value Spread |
| w8240 |
|
What Drives Firm-Level Stock Returns? |
| w8223 |
|
Taxation and Portfolio Structure: Issues and Implications |
| w8222 |
Rohan Williamson |
Culture, Openness, and Finance |
| w8221 |
Robert J. Shiller |
Valuation Ratios and the Long-Run Stock Market Outlook: An Update |
| w8190 |
Ming Huang |
Mental Accounting, Loss Aversion, and Individual Stock Returns |
| w8172 |
Ellen R. McGrattan Anna Scherbina |
The Declining U.S. Equity Premium |
| w8162 |
Michael W. Brandt Francis X. Diebold |
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models |
| w8160 |
Tim Bollerslev Francis X. Diebold Paul Labys |
Modeling and Forecasting Realized Volatility |
| w8151 |
Harrison Hong Jeremy C. Stein |
Breadth of Ownership and Stock Returns |
| w8132 |
|
An Exploration of the Effects of Pessimism and Doubt on Asset Returns |
| w8131 |
|
Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire? |
| w8127 |
Michael W. Brandt |
Variable Selection for Portfolio Choice |
| w8122 |
David F. Bradford |
Generalized Cash Flow Taxation |
| w8116 |
|
FX Trading and Exchange Rate Dynamics |
| w8110 |
|
The Market for Catastrophe Risk: A Clinical Examination |
| w8106 |
Steven E. Posner |
The Pricing of Event Risks with Parameter Uncertainty |
| w8092 |
Ravi Jagannathan Jian Hu |
The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
| w8077 |
Edward C. Prescott |
Is the Stock Market Overvalued? |
| w8073 |
Bong-Chan Kho Rene M. Stulz |
Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors? |
| 2000 | ||
| w8059 |
Amir Yaron |
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles |
| w8039 |
Andrei Shleifer |
Style Investing |
| w8011 |
Jana Smith Raedy Douglas A. Shackelford |
The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion |
| w7997 |
Kimie Harada |
Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises |
| w7991 |
John B. Shoven Clemens Sialm |
Asset Location for Retirement Savers |
| w7978 |
Urban J. Jermann |
Using Asset Prices to Measure the Cost of Business Cycles |
| w7913 |
G. Andrew Karolyi Rene M. Stulz |
A New Approach to Measuring Financial Contagion |
| w7905 |
Paul Willen |
Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice |
| w7900 |
Antu P. Murshid |
Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion? |
| w7855 |
Richard K. Lyons Sergio Schmukler |
Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets |
| w7835 |
Stephen A. Ross |
Rebels, Conformists, Contrarians and Momentum Traders |
| w7827 |
Jana Smith Raedy Douglas A. Shackelford |
Capital Gains Holding Periods and Equity Trading: Evidence from the 1998 Tax Act |
| w7796 |
Jeremy Nalewaik Paul Willen |
On the Gains to International Trade in Risky Financial Assets |
| w7779 |
Robert F. Stambaugh |
Evaluating and Investing in Equity Mutual Funds |
| w7778 |
Robert F. Stambaugh |
The Equity Premium and Structural Breaks |
| w7753 |
|
Robust-H-infinity Forecasting and Asset Pricing Anomalies |
| w7748 |
Peter Tufano Geoffrey Verter |
Cephalon, Inc. Taking Risk Management Theory Seriously |
| w7687 |
Harrison Hong Jeremy C. Stein |
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices |
| w7683 |
Dirk Jenter Alberto Moel Peter Tufano |
Selling Company Shares to Reluctant Employees: France Telecom's Experience |
| w7661 |
Xiaoyan Zhang |
Evaluating the Specification Errors of Asset Pricing Models |
| w7644 |
Jana Smith Raedy Douglas A. Shackelford |
Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements |
| w7625 |
Jiang W. Wang |
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
| w7622 |
Patric H. Hendershott Malgorzata M. Klosek |
Pricing Upward-Only Adjusting Leases |
| w7615 |
David Hirshleifer Avanidhar Subrahmanyam |
Covariance Risk, Mispricing, and the Cross Section of Security Returns |
| w7595 |
James Poterba |
Do After-Tax Returns Affect Mutual Fund Inflows? |
| w7590 |
Martin Lettau Burton G. Malkiel Yexiao Xu |
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk |
| w7589 |
|
Asset Pricing at the Millennium |
| w6521 |
Andrew T. Guzman |
An Economic Analysis of Transnational Bankruptcies |
| w6130 |
Andrew W. Lo |
Nonparametric Risk Management and Implied Risk Aversion |
| w7532 |
Jonathan M. Siegel |
Capital Gains Realizations of the Rich and Sophisticated |
| w7524 |
Menzie D. Chinn Ian W. Marsh |
How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? |
| w7489 |
Sheridan Titman |
Market Efficiency in an Irrational World |
| 1999 | ||
| w7451 |
Robert E. Verrecchia |
Intertemporal Tax Discontinuities |
| w7448 |
Richard Sylla |
Emerging Financial Markets and Early U.S. Growth |
| w7417 |
Menzie D. Chinn |
Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders |
| w7416 |
Menzie D. Chinn |
Traders, Market Microstructure and Exchange Rate Dynamics |
| w7409 |
|
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income |
| w7406 |
George M. Constantinides Christopher C. Geczy |
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence |
| w7396 |
Christopher Polk |
The Diversification Discount: Cash Flows vs. Returns |
| w7392 |
Andrew Samwick |
Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s |
| w7377 |
Luis M. Viceira |
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets |
| w7376 |
Jeremy C. Stein |
Differences of Opinion, Rational Arbitrage and Market Crashes |
| w7346 |
Steven R. Grenadier |
Stock and Bond Pricing in an Affine Economy |
| w7337 |
|
The Market Microstructure of Central Bank Intervention |
| w7331 |
Robert F. Engle |
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
| w7330 |
Robert F. Engle |
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
| w7325 |
Josef Lakonishok Theo Vermaelen |
Stock Repurchases in Canada: Performance and Strategic Trading |
| w7317 |
Richard K. Lyons |
Order Flow and Exchange Rate Dynamics |
| w7295 |
Kevin F. Hallock |
Have Employment Reductions Become Good News for Shareholders? The Effect of Job Loss Announcements on Stock Prices, 1970-97 |
| w7284 |
Robert F. Stambaugh |
Comparing Asset Pricing Models: An Investment Perspective |
| w7254 |
Fukujyu Yamazaki Takako Idee Toshiaki Watanabe |
Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices |
| w7247 |
Michael Melvin |
Japan's Big Bang and the Transformation of Financial Markets |
| w7246 |
Sheridan Titman K.C. John Wei |
Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? |
| w7223 |
Josef Lakonishok Theodore Sougiannis |
The Stock Market Valuation of Research and Development Expenditures |
| w7220 |
Ming Huang Tano Santos |
Prospect Theory and Asset Prices |
| w7219 |
Campbell R. Harvey Robin L. Lumsdaine |
The Dynamics of Emerging Market Equity Flows |
| w7215 |
Hsiu-Lang Chen Josef Lakonishok |
On Mutual Fund Investment Styles |
| w7201 |
Qiao Liu Lynne G. Zucker |
Stakes and Stars: The Effect of Intellectual Human Capital on the Level and Variability of High-Tech Firms' Market Values |
| w7192 |
Clemens Sialm |
Asset Location in Tax-Deferred and Conventional Savings Accounts |
| w7162 |
Lubos Pastor |
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection |
| w7159 |
Sheridan Titman |
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations |
| w7105 |
Jun Pan Kenneth Singleton |
Transform Analysis and Asset Pricing for Affine Jump-Diffusions |
| w7104 |
Andrew K. Rose |
Noise Trading and Exchange Rate Regimes |
| w7069 |
Andrew Metrick Jessica Wachter |
Bayesian Performance Evaluation |
| w7039 |
Jason Karceski Josef Lakonishok |
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model |
| w7015 |
John B. Shoven |
Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities? |
| w7009 |
Campbell R. Harvey |
Conditioning Variables and the Cross-Section of Stock Returns |
| w7007 |
|
The Location and Allocation of Assets in Pension and Conventional Savings Accounts |
| w6984 |
|
Innovation and Market Value |
| w6967 |
Campbell R. Harvey |
Economic, Financial, and Fundamental Global Risk In and Out of the EMU |
| w6953 |
Urban J. Jermann |
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints |
| w6931 |
Boyan Jovanovic |
The IT Revolution and the Stock Market |
| w6929 |
P.H. Kevin Chang James F. Refalo |
An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997 |
| w6913 |
Andrew Metrick Richard Zeckhauser |
The Profits to Insider Trading: A Performance-Evaluation Perspective |
| w6886 |
Andrew K. Rose |
Risks to Lenders and Borrowers in International Capital Markets |
| w6885 |
Douglas A. Shackelford |
Capitalization of Capital Gains Taxes: Evidence from Stock Price Reactions to the 1997 Rate Reduction |
| w6884 |
Efraim Sadka Chi-Wa Yuen |
An Information-Based Model of Foreign Direct Investment: The Gains from Trade Revisited |
| 1998 | ||
| w6845 |
Jinyong Hahn Anthony S. Tay |
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
| w6844 |
Francis X. Diebold |
How Relevant is Volatility Forecasting for Financial Risk Management? |
| w6801 |
Luis M. Viceira |
Who Should Buy Long-Term Bonds? |
| w6774 |
|
Population Age Structure and Asset Returns: An Empirical Investigation |
| w6747 |
Mark Gertler |
"Overreaction" of Asset Prices in General Equilibrium |
| w6745 |
Richard C. Green Vasant Naik |
Valuation and Return Dynamics of New Ventures |
| w6736 |
Silverio Foresi Chris I. Telmer |
Discrete-Time Models of Bond Pricing |
| w6733 |
Linda L. Tesar |
Multinationals and the Gains from International Diversification |
| w6730 |
Yuri Nagatake Sasaki |
Impacts of the Basle Capital Standard on Japanese Banks' Behavior |
| w6724 |
Campbell R. Harvey Robin L. Lumsdaine |
Dating the Integration of World Equity Markets |
| w6723 |
Andrew Metrick |
Institutional Investors and Equity Prices |
| t0235 |
|
Sorting Out Sorts |
| w6683 |
|
Risk Premia and Term Premia in General Equilibrium |
| w6673 |
Jean Tirole |
LAPM: A Liquidity-based Asset Pricing Model |
| w6661 |
Bong-Chan Kho Rene M. Stulz |
Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997 |
| w6648 |
|
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters |
| w6627 |
Richard C. Green Vasant Naik |
Optimal Investment, Growth Options, and Security Returns |
| w6616 |
Scott J. Weisbenner |
Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns |
| w6567 |
James Banks Sarah Tanner |
Asset Holding and Consumption Volatility |
| w6490 |
Robert F. Stambaugh |
Costs of Equity Capital and Model Mispricing |
| w6485 |
|
Asset Prices, Consumption, and the Business Cycle |
| w6476 |
Urban J. Jermann |
Asset Pricing when Risk Sharing is Limited by Default |
| w6207 |
|
Where is the Market Going? Uncertain Facts and Novel Theories |
| t0222 |
|
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach |
| w6389 |
Takashi Yamashita |
Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle |
| w6382 |
|
International Portfolio Diversification and Labor/Leisure Choice |
| w6381 |
|
Stock Market Volatility: Ten Years After the Crash |
| w6379 |
Silverio Foresi Abon Mozumdar Liuren Wu |
Predictable Changes in Yields and Forward Rates |
| w6365 |
Peter Englund Patric H. Hendershott Bengt Turner |
Another Look at the Capitalization of Interest Subsidies: Evidence from Sweden |
| w6354 |
Pok-sang Lam Nelson C. Mark |
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True? |
| 1997 | ||
| w6325 |
Sanjiv Ranjan Das Silverio Foresi |
The Central Tendency: A Second Factor in Bond Yields |
| w6250 |
Leonid Kogan Andrew W. Lo |
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
| w6218 |
Wallace P. Mullin |
Gradual Incorporation of Information into Stock Prices: Empirical Strategies |
| w6210 |
Christopher Polk Jesus Saa-Requejo |
Financial Constraints and Stock Returns |
| t0216 |
Richard J. Zeckhauser |
Horizon Length and Portfolio Risk |
| w6185 |
Andrew A. Samwick |
Household Portfolio Allocation Over the Life Cycle |
| w6158 |
Jacob Boudoukh Matthew Richardson Robert F. Whitelaw |
Optimal Risk Management Using Options |
| w6147 |
Robert J. Hodrick David A. Marshall |
"Peso Problem" Explanations for Term Structure Anomalies |
| w6098 |
Jason Karceski Josef Lakonishok |
The Risk and Return from Factors |
| t0212 |
|
An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model |
| w5974 |
P. H. Kevin Chang |
The Forecasting Ability of Correlations Implied in Foreign Exchange Options |
| w5950 |
Mthuli Ncube |
Heterogeneous Information Arrival and Option Pricing |
| h0096 |
|
Latifundia as Malefactor in Economic Development? Scale, Tenancy, and Agriculture on the Pampas, 1880-1914 |
| w5936 |
Richard K. Lyons Michael T. Melvin |
Is There Private Information in the FX Market? The Tokyo Experiment |
| w5918 |
|
Analyzing Investments Whose Histories Differ in Length |
| t0209 |
Robert J. Shiller |
The Significance of the Market Portfolio |
| w5906 |
Philippe Jorion |
Re-emerging Markets |
| w5901 |
Philippe Jorion |
A Century of Global Stock Markets |
| w5882 |
Ricardo Lago Helene Rey |
A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies |
| w5873 |
Rangarajan K. Sundaram |
Auction Theory: A Summary with Applications to Treasury Markets |
| 1996 | ||
| w5857 |
Luis M. Viceira |
Consumption and Portfolio Decisions When Expected Returns are Time Varying |
| w5852 |
Glenn Ellison |
Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance |
| w5830 |
Wayne E. Ferson Debra A. Glassman |
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance |
| w5769 |
|
Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality |
| w5714 |
Sergio L. Schmukler |
Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors? |
| w5671 |
|
Earnings and Expected Returns |
| w5638 |
Silverio Foresi Stanley Zin |
Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing |
| w5623 |
Silverio Foresi Chris I. Telmer |
Affine Models of Currency Pricing |
| w5604 |
Sheridan Titman |
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns |
| hend96-1 |
|
Public Policy and the Housing Market |
| w5588 |
Owen Lamont Thierry A. Wizman |
Investor Reaction to Salient News in Closed-End Country Funds |
| w5587 |
Robert J. Shiller |
A Scorecard for Indexed Government Debt |
| w5500 |
Jeff Fleming Robert E. Whaley |
Implied Volatility Functions: Empirical Tests |
| w5446 |
Owen Lamont Robin Lumsdaine |
Public Information and the Persistence of Bond Market Volatility |
| 1995 | ||
| w5381 |
Timothy W. Guinnane Harvey S. Rosen |
Turning Points in the Civil War: Views from the Greenback Market |
| w5376 |
Takatoshi Ito |
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market |
| w5375 |
Narasimhan Jegadeesh Josef Lakonishok |
Momentum Strategies |
| w5374 |
Josef Lakonishok |
A Cross-Market Comparison of Institutional Equity Trading Costs |
| w5371 |
Bruce Mizrach Anna J. Schwartz |
Real Versus Pseudo-International Systemic Risk: Some Lessons from History |
| w5358 |
Tokuo Iwaisako |
Explaining Asset Bubbles in Japan |
| w5352 |
|
A Survey of Academic Literature on Controls over International Capital Transactions |
| w5351 |
Andrew W. Lo |
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
| w5289 |
|
Stochastic Regime Switching and Stabilizing Policies within Regimes |
| w5233 |
Gary Gorton |
Stock Market Efficiency and Economic Efficiency: Is There a Connection? |
| w5184 |
John M. Quigley Robert Van Order |
Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy |
| w5181 |
|
Residential Mobility and Mortgages |
| w5180 |
David C. Ling Gary A. McGill |
The Effect of Income and Collateral Constraints on Residential Mortgage Terminations |
| w5179 |
Paul J. Seguin |
Expectations, Efficiency, and Euphoria in the Housing Market |
| w5141 |
|
Economic Implications of Changing Share Ownership |
| w5129 |
|
Testing Option Pricing Models |
| w5100 |
Richard Rosen |
Banks and Derivatives |
| w5095 |
Stefano Athanasoulis |
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities |
| w5074 |
Donald R. Haurin Patric H. Hendershott |
Endogenous Mortgage Choice, Borrowing Constraints and the Tenure Decision |
| w5069 |
William C. LaFayette |
Debt Usage and Mortgage Choice: Sensitivity to Default Insurance Costs |
| w5031 |
|
Some Lessons from the Yield Curve |
| w5027 |
A. Craig MacKinlay |
Maximizing Predictability in the Stock and Bond Markets |
| w5019 |
Urban J. Jermann |
The International Diversification Puzzle is Worse Than You Think |
| w4997 |
Robert F. Stambaugh |
On the Predictability of Stock Returns: An Asset-Allocation Perspective |
| w4993 |
Frederic S. Mishkin |
The Decline of Traditional Banking: Implications for Financial Stabilityand Regulatory Policy |
| w4984 |
|
Foreign Exchange Volume: Sound and Fury Signifying Nothing? |
| w4982 |
Andrew K. Rose |
Explaining Forward Exchange Bias..Intraday |
| 1994 | ||
| w4890 |
Campbell R. Harvey |
Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations |
| w4875 |
Luigi Zingales |
What Do We Know About Capital Structure? Some Evidence from International Data |
| w4858 |
Gary Gorton |
Noise Trading, Delegated Portfolio Management, and Economic Welfare |
| w4857 |
N. Gregory Mankiw David N. Weil |
An Asset Allocation Puzzle |
| w4801 |
|
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System |
| w4778 |
Richard H. Thaler Kent Womack |
Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? |
| w4775 |
|
Rental Adjustment & Valuation of Real Estate in Overbuilt Markets: Fundamental vs. Reported Office Market Values in Sydney Australia |
| w4774 |
Patric H. Hendershott |
Bubbles in Metropolitan Housing Markets |
| w4756 |
|
Multifactor Models Do Not Explain Deviations from the CAPM |
| w4720 |
Jiang Wang |
Implementing Option Pricing Models When Asset Returns Are Predictable |
| w4718 |
Andrew W. Lo Tomaso Poggio |
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
| w4702 |
Robert F. Stambaugh |
Portfolio Inefficiency and the Cross-Section of Expected Returns |
| w4676 |
Stanley E. Zin |
Reverse Engineering the Yield Curve |
| t0153 |
Ravi Jagannathan |
Assessing Specification Errors in Stochastic Discount Factor Models |
| w4663 |
Roger D. Huang |
The Impact of the Federal Reserve Bank's Open Market Operations |
| w4657 |
|
A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables |
| w4627 |
Peter Rappoport |
The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much? |
| w4624 |
Robert J. Hodrick David A. Marshall |
The Implications of First-Order Risk Aversion for Asset Market Risk Premiums |
| 1993 | ||
| t0131 |
|
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures |
| w4596 |
|
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options |
| w4595 |
Campbell R. Harvey |
An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns |
| w4592 |
Wen-Ling Lin |
Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets |
| w4590 |
|
The Internationalization of Equity Markets |
| w4571 |
Rafael La Porta Thierry A. Wizman |
What Moves the Discount on Country Equity Funds? |
| w4554 |
|
Understanding Risk and Return |
| t0145 |
John Heaton Erzo G.J. Luttmer |
Econometric Evaluation of Asset Pricing Models |
| w4471 |
|
Tests of Microstructural Hypotheses in the Foreign Exchange Market |
| w4467 |
|
Optimal Transparency in a Dealership Market with an Application to Foreign Exchange |
| w4459 |
Bruno Solnik |
The World Price of Foreign Exchange Risk |
| w4458 |
L. Peter Jennergren Bertil Naslund |
Realignment Risk and Currency Option Pricing in Target Zones |
| t0142 |
|
Why Long Horizons: A Study of Power Against Persistent Alternatives |
| w4343 |
Tomas Sjostrom |
Bringing GATT into the Core |
| w4329 |
Jianping Mei |
Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk |
| w4315 |
Gary Gorton |
Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing |
| w4314 |
Gary Gorton |
Arbitrage Chains |
| w4308 |
|
Are Industrial-Country Consumption Risks Globally Diversified? |
| w4294 |
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 |
| w4288 |
R. Glenn Hubbard |
Internal Finance and Investment: Evidence from the Undistributed Profits Tax of 1936-1937 |
| w4253 |
Andrew B. Lyon |
Progressivity of Capital Gains Taxation with Optimal Portfolio Selection |
| 1992 | ||
| w4234 |
Mary Hirshfeld David Weil |
The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920 |
| w4217 |
Walter Wasserfallen |
Foreign Equity Investment Restrictions and Shareholder Wealth Maximization |
| w4193 |
Sanford J. Grossman Jiang Wang |
Trading Volume and Serial Correlation in Stock Returns |
| w4128 |
Edward J. Kane |
Office Market Values During the Past Decade: How Distorted Have Appraisals Been? |
| w4121 |
|
Rational Asset Price Movements Without News |
| t0124 |
Pok-sang Lam Nelson C. Mark |
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns |
| w4110 |
|
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle |
| w4108 |
Robert J. Hodrick |
Financial Market Efficiency Tests |
| w4104 |
George M. Constantinides Wayne E. Ferson |
Time Nonseparability in Aggregate Consumption: International Evidence |
| w4093 |
|
Risk-Taking, Global Diversification, and Growth |
| w4083 |
|
The Present Value Model of Rational Commodity Pricing |
| w4074 |
G. Andrew Karolyi Rene M. Stulz |
Global Financial Markets and the Risk Premium on U.S. Equity |
| w4043 |
|
Empirical Testing of Asset Pricing Models |
| w4004 |
Gene M. Grossman |
Asset Bubbles and Endogenous Growth |
| w3995 |
J. Bradford De Long |
Why Does the Stock Market Fluctuate? |
| w3992 |
Philippe Weil |
Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty |
| w3989 |
|
Intertemporal Asset Pricing Without Consumption Data |
| w3975 |
|
Equilibrium Asset Prices With Undiversifiable Labor Income Risk |
| 1991 | ||
| w3911 |
Robert F. Engle Takatoshi Ito |
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
| w3910 |
Jeffrey A. Frankel |
Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable? |
| w3889 |
|
Private Beliefs and Information Externalities in the Foreign Exchange Market |
| w3888 |
Andrew W. Lo A. Craig MacKinlay |
An Ordered Probit Analysis of Transaction Stock Prices |
| w3873 |
|
Asset Pricing and Intrinsic Values: A Review Essay |
| w3862 |
Gary Gorton |
Stock Price Manipulation, Market Microstructure and Asymmetric Information |
| w3861 |
Robert J. Hodrick |
On Biases in the Measurement of Foreign Exchange Risk Premiums |
| w3818 |
Lee R. Thomas |
The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach |
| t0110 |
Guido Tabellini |
The Optimality of Nominal Contracts |
| w3794 |
|
Corporate Restructuring and Investment Horizons |
| w3790 |
Robert J. Hodrick |
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets |
| t0109 |
Stanley E. Zin |
The Independence Axiom and Asset Returns |
| w3760 |
John Ammer |
What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns |
| w3752 |
Pok-sang Lam Nelson C. Clark |
The Equity Premium and the Risk Free Rate: Matching the Moments |
| w3742 |
Ludger Hentschel |
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns |
| w3731 |
Jayendu Patel Darryll Hendricks |
Nonrational Actors and Financial Market Behavior |
| w3707 |
Gary Gorton |
Rational Finite Bubbles |
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|
Taxation and Risk Taking: A General Equilibrium Perspective |
| w3687 |
James Dow |
Trading, Communication and the Response of Price to New Information |
| 1984 | ||
| w1468 |
Jonathan I. Leape |
Wealth and Portfolio Composition: Theory and Evidence |
| 1966 | ||
| wool66-1 |
|
Measuring Transactions between World Areas |
| 1962 | ||
| hanc62-1 |
|
The United States Savings Bond Program in the Postwar Period |
| 1961 | ||
| repo61-1 |
|
The Price Statistics of the Federal Goverment |
| 1960 | ||
| hick60-1 |
|
Statistical Measures of Corporate Bond Financing since 1900 |
| 1958 | ||
| hick58-1 |
|
Corporate Bond Quality and Investor Experience |
| 1953 | ||
| hick53-1 |
|
The Volume of Corporate Bond Financing Since 1900 |
| 1952 | ||
| hick52-1 |
|
Trends and Cycles in Corporate Bond Financing |
| 1945 | ||
| whit45-1 |
|
Bank Liquidity and the War |
| 1944 | ||
| higg44-1 |
|
Canada's Financial System in War |
| 1943 | ||
| whit43-2 |
|
The Effect of War on Currency and Deposits |
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