| 2019 |
|
w26586 |
Ian Martin
Stefan Nagel
|
Market Efficiency in the Age of Big Data |
|
w26583 |
Zhengyang Jiang
Hanno Lustig
Stijn Van Nieuwerburgh
Mindy Z. Xiaolan
|
The U.S. Public Debt Valuation Puzzle |
|
w26582 |
Brad M. Barber
Adair Morse
Ayako Yasuda
|
Impact Investing |
|
w26580 |
Patrick J. Kehoe
Pierlauro Lopez
Virgiliu Midrigan
Elena Pastorino
|
Asset Prices and Unemployment Fluctuations |
|
w26576 |
Claire Yurong Hong
Xiaomeng Lu
Jun Pan
|
FinTech Platforms and Mutual Fund Distribution |
|
w26575 |
Zhe Geng
Jun Pan
|
The SOE Premium and Government Support in China's Credit Market |
|
w26560 |
Josh Davis
Cristian Fuenzalida
Alan M. Taylor
|
The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r* |
|
w26558 |
Alessandro Rebucci
Chang Ma
|
Capital Controls: A Survey of the New Literature |
|
w26549 |
Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor
|
Sustainable Investing in Equilibrium |
|
w26538 |
Lu Zhang
|
Q-factors and Investment CAPM |
|
w26535 |
John H. Cochrane
|
Rethinking Production Under Uncertainty |
|
w26520 |
Hui Chen
Zhuo Chen
Zhiguo He
Jinyu Liu
Rengming Xie
|
Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets |
|
w26517 |
Bryan T. Kelly
Asaf Manela
Alan Moreira
|
Text Selection |
|
w26514 |
Arpit Gupta
Stijn Van Nieuwerburgh
|
Valuing Private Equity Strip by Strip |
|
w26505 |
Steven F. Lehrer
Tian Xie
Tao Zeng
|
Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures? |
|
w26418 |
Hui Chen
Winston Wei Dou
Leonid Kogan
|
Measuring "Dark Matter" in Asset Pricing Models |
|
w26497 |
Christina Atanasova
Eduardo S. Schwartz
|
Stranded Fossil Fuel Reserves and Firm Value |
|
w26494 |
Zhiguo He
Paymon Khorrami
Zhaogang Song
|
Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress |
|
w26493 |
Alexander M. Chinco
Andreas Neuhierl
Michael Weber
|
Estimating The Anomaly Base Rate |
|
w26469 |
Marco Cipriani
Ana Fostel
Daniel Houser
|
Endogenous Leverage and Default in the Laboratory |
|
w26457 |
Zhenyu Gao
Michael Sockin
Wei Xiong
|
Economic Consequences of Housing Speculation |
|
w26447 |
Bilge Erten
Anton Korinek
José Antonio Ocampo
|
Capital Controls: Theory and Evidence |
|
w26435 |
Josh Davis
Alan M. Taylor
|
The Leverage Factor: Credit Cycles and Asset Returns |
|
w26429 |
Patrick Augustin
Mikhail Chernov
Lukas Schmid
Dongho Song
|
Benchmark Interest Rates When the Government is Risky |
|
w26423 |
Huaizhi Chen
Lauren Cohen
Umit Gurun
|
Don't Take Their Word For It: The Misclassification of Bond Mutual Funds |
|
w26372 |
Hang Bai
Erica X.N. Li
Chen Xue
Lu Zhang
|
Does Costly Reversibility Matter for U.S. Public Firms? |
|
w26370 |
Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi
|
An Improved Method to Predict Assignment of Stocks into Russell Indexes |
|
w26369 |
Valentin Haddad
David A. Sraer
|
The Banking View of Bond Risk Premia |
|
w26354 |
Sean Hundtofte
Arna Olafsson
Michaela Pagel
|
Credit Smoothing |
|
w26344 |
Charles W. Calomiris
Yehuda Izhakian
Jaime F. Zender
|
Underwriter Reputation, Issuer-Underwriter Matching, and SEO Performance |
|
w26341 |
Ravi Jagannathan
|
On Frequent Batch Auctions for Stocks |
|
w26340 |
Antoine Arnoud
Fatih Guvenen
Tatjana Kleineberg
|
Benchmarking Global Optimizers |
|
w26330 |
Thomas Philippon
|
On Fintech and Financial Inclusion |
|
w26329 |
Torben G. Andersen
Martin Thyrsgaard
Viktor Todorov
|
Cross-Sectional Dispersion of Risk in Trading Time |
|
w26323 |
Ian Dew-Becker
Stefano Giglio
Bryan T. Kelly
|
Hedging Macroeconomic and Financial Uncertainty and Volatility |
|
w26322 |
Amine Ouazad
Matthew E. Kahn
|
Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters |
|
w26308 |
Francesco Bianchi
Thilo Kind
Howard Kung
|
Threats to Central Bank Independence: High-Frequency Identification with Twitter |
|
w26300 |
Markus K. Brunnermeier
Harold James
Jean-Pierre Landau
|
The Digitalization of Money |
|
w26290 |
Carolin Pflueger
Emil Siriwardane
Adi Sunderam
|
Financial Market Risk Perceptions and the Macroeconomy |
|
w26284 |
Fatih Guvenen
Gueorgui Kambourov
Burhanettin Kuruscu
Sergio Ocampo-Diaz
Daphne Chen
|
Use It or Lose It: Efficiency Gains from Wealth Taxation |
|
w26255 |
Stefan Nagel
Zhengyang Xu
|
Asset Pricing with Fading Memory |
|
w26248 |
Ravi Bansal
Mariano Max Croce
Wenxi Liao
Samuel Rosen
|
Uncertainty-Induced Reallocations and Growth |
|
w26237 |
Francesco D’Acunto
Ulrike Malmendier
Juan Ospina
Michael Weber
|
Exposure to Daily Price Changes and Inflation Expectations |
|
w26229 |
Markus K. Brunnermeier
Ricardo Reis
|
A Crash Course on the Euro Crisis |
|
w26214 |
Pierpaolo Benigno
Linda M. Schilling
Harald Uhlig
|
Cryptocurrencies, Currency Competition, and the Impossible Trinity |
|
w26200 |
Jessica A. Wachter
Michael Jacob Kahana
|
A Retrieved-Context Theory Of Financial Decisions |
|
w26186 |
Zheng Tracy Ke
Bryan T. Kelly
Dacheng Xiu
|
Predicting Returns With Text Data |
|
w26177 |
Mariano Max Croce
Thien T. Nguyen
Steve Raymond
|
Persistent Government Debt and Aggregate Risk Distribution |
|
w26152 |
Ralph S. J. Koijen
Francois Koulischer
Benoit Nguyen
Motohiro Yogo
|
Inspecting the Mechanism of Quantitative Easing in the Euro Area |
|
w26147 |
Marco Di Maggio
Mark L. Egan
Francesco Franzoni
|
The Value of Intermediation in the Stock Market |
|
w26138 |
Jules H. van Binsbergen
William F. Diamond
Marco Grotteria
|
Risk-Free Interest Rates |
|
w26113 |
Arpit Gupta
Kunal Sachdeva
|
Skin or Skim? Inside Investment and Hedge Fund Performance |
|
w26112 |
Frederico Belo
Vito Gala
Juliana Salomao
Maria Ana Vitorino
|
Decomposing Firm Value |
|
w26109 |
Joshua Schwartzstein
Adi Sunderam
|
Using Models to Persuade |
|
w26105 |
Ivo Welch
|
Simpler Better Market Betas |
|
w26102 |
Moritz Lenel
Monika Piazzesi
Martin Schneider
|
The Short Rate Disconnect in a Monetary Economy |
|
w26090 |
John H. Cochrane
|
The Value of Government Debt |
|
w26074 |
Tri Vi Dang
Gary B. Gorton
Bengt R. Holmstrom
|
The Information View of Financial Crises |
|
w26062 |
Justin Birru
Sinan Gokkaya
Xi Liu
René M. Stulz
|
Are Analyst Trade Ideas Valuable? |
|
w26060 |
Kewei Hou
Haitao Mo
Chen Xue
Lu Zhang
|
Security Analysis: An Investment Perspective |
|
w26049 |
Jonas Heipertz
Amine Ouazad
Romain Rancière
|
The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach |
|
w26046 |
Andrew Lilley
Matteo Maggiori
Brent Neiman
Jesse Schreger
|
Exchange Rate Reconnect |
|
w26029 |
Michael Bailey
Patrick Farrell
Theresa Kuchler
Johannes Stroebel
|
Social Connectedness in Urban Areas |
|
w26027 |
Robert F. Stambaugh
|
Skill and Profit in Active Management |
|
w26026 |
Joseba Martinez
Thomas Philippon
Markus Sihvonen
|
Does a Currency Union Need a Capital Market Union? Risk Sharing via Banks and Markets |
|
w26009 |
Wenxin Du
Benjamin M. Hébert
Amy Wang Huber
|
Are Intermediary Constraints Priced? |
|
w25995 |
Jennie Bai
Turan G. Bali
Quan Wen
|
Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence |
|
w25979 |
Charles W. Calomiris
Mauricio Larrain
Sergio L. Schmukler
Tomas Williams
|
Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses |
|
w25977 |
Ricardo J. Caballero
Alp Simsek
|
Prudential Monetary Policy |
|
w25972 |
Sida Li
Xin Wang
Mao Ye
|
Who Provides Liquidity, and When? |
|
w25967 |
David Card
Stefano DellaVigna
Patricia Funk
Nagore Iriberri
|
Are Referees and Editors in Economics Gender Neutral? |
|
w25966 |
Andra C. Ghent
|
What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration |
|
w25959 |
Gabriel Chodorow-Reich
Plamen T. Nenov
Alp Simsek
|
Stock Market Wealth and the Real Economy: A Local Labor Market Approach |
|
w25906 |
Jack Favilukis
Pierre Mabille
Stijn Van Nieuwerburgh
|
Affordable Housing and City Welfare |
|
w25887 |
Jérôme Dugast
Semih Üslü
Pierre-Olivier Weill
|
A Theory of Participation in OTC and Centralized Markets |
|
w25882 |
Yukun Liu
Aleh Tsyvinski
Xi Wu
|
Common Risk Factors in Cryptocurrency |
|
w25877 |
Markus K. Brunnermeier
Dirk Niepelt
|
On the Equivalence of Private and Public Money |
|
w25869 |
Nicolas Crouzet
Janice C. Eberly
|
Understanding Weak Capital Investment: the Role of Market Concentration and Intangibles |
|
w25855 |
Eric Budish
Robin S. Lee
John J. Shim
|
A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market? |
|
w25843 |
Michael Bailey
Drew M. Johnston
Theresa Kuchler
Johannes Stroebel
Arlene Wong
|
Peer Effects in Product Adoption |
|
w25817 |
Grace Xing Hu
Jun Pan
Jiang Wang
Haoxiang Zhu
|
Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns |
|
w25814 |
Eliezer Fich
Viktoriya Lantushenko
Clemens Sialm
|
Institutional Trading Around M&A Announcements |
|
w25811 |
John H. Cochrane
|
The Fiscal Roots of Inflation |
|
w25807 |
Stefan Nagel
Amiyatosh Purnanandam
|
Bank Risk Dynamics and Distance to Default |
|
w25782 |
Pierre-Olivier Gourinchas
Hélène Rey
Maxime Sauzet
|
The International Monetary and Financial System |
|
w25781 |
Lars Peter Hansen
Thomas J. Sargent
|
Macroeconomic Uncertainty Prices when Beliefs are Tenuous |
|
w25777 |
Aydoğan Alti
Sheridan Titman
|
A Dynamic Model of Characteristic-Based Return Predictability |
|
w25775 |
Markus K. Brunnermeier
Simon C. Rother
Isabel Schnabel
|
Asset Price Bubbles and Systemic Risk |
|
w25774 |
Lubos Pastor
Robert F. Stambaugh
|
Liquidity Risk After 20 Years |
|
w25769 |
Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson
|
How the Wealth Was Won: Factors Shares as Market Fundamentals |
|
w25764 |
Eric T. Swanson
|
Implications of Labor Market Frictions for Risk Aversion and Risk Premia |
|
w25751 |
Kelly Shue
Richard R. Townsend
|
Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets |
|
w25747 |
Robin Greenwood
Samuel G. Hanson
Lawrence J. Jin
|
Reflexivity in Credit Markets |
|
w25744 |
Stefano Giglio
Matteo Maggiori
Johannes Stroebel
Stephen Utkus
|
Five Facts about Beliefs and Portfolios |
|
w25734 |
Robert F. Engle III
Stefano Giglio
Bryan T. Kelly
Heebum Lee
Johannes Stroebel
|
Hedging Climate Change News |
|
w25720 |
Scott R. Baker
Nicholas Bloom
Steven J. Davis
Kyle J. Kost
|
Policy News and Stock Market Volatility |
|
w25714 |
Charles W. Calomiris
Harry Mamaysky
|
Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes |
|
w25702 |
Itzhak Ben-David
Pascal Towbin
Sebastian Weber
|
Inferring Expectations from Observables: Evidence from the Housing Market |
|
w25701 |
Amine Ouazad
Romain Rancière
|
Market Frictions, Arbitrage, and the Capitalization of Amenities |
|
w25690 |
Ravi Bansal
Shane Miller
Dongho Song
Amir Yaron
|
The Term Structure of Equity Risk Premia |
|
w25686 |
Richard B. Berner
Stephen G. Cecchetti
Kermit L. Schoenholtz
|
Stress Testing Networks: The Case of Central Counterparties |
|
w25677 |
Shan Ge
Michael S. Weisbach
|
The Role of Financial Conditions in Portfolio Choices: The Case of Insurers |
|
w25673 |
Geert Bekaert
Eric C. Engstrom
Nancy R. Xu
|
The Time Variation in Risk Appetite and Uncertainty |
|
w25667 |
Zheng Liu
Pengfei Wang
Tao Zha
|
A Theory of Housing Demand Shocks |
|
w25662 |
Eduardo Dávila
Cecilia Parlatore
|
Trading Costs and Informational Efficiency |
|
w25653 |
Òscar Jordà
Moritz Schularick
Alan M. Taylor
|
The Total Risk Premium Puzzle |
|
w25649 |
Itamar Drechsler
Alexi Savov
Philipp Schnabl
|
How Monetary Policy Shaped the Housing Boom |
|
w25633 |
M. Max Croce
Tatyana Marchuk
Christian Schlag
|
The Leading Premium |
|
w25603 |
Hongye Guo
Jessica A. Wachter
|
"Superstitious" Investors |
|
w25592 |
Lin William Cong
Zhiguo He
Jiasun Li
|
Decentralized Mining in Centralized Pools |
|
w25583 |
Ana Fostel
John Geanakoplos
Gregory Phelan
|
Global Collateral and Capital Flows |
|
w25579 |
Matti Keloharju
Juhani T. Linnainmaa
Peter Nyberg
|
Long-Term Discount Rates Do Not Vary Across Firms |
|
w25573 |
Hui Chen
Scott Joslin
Sophie X. Ni
|
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets |
|
w25567 |
John Gathergood
David Hirshleifer
David Leake
Hiroaki Sakaguchi
Neil Stewart
|
Naïve *Buying* Diversification and Narrow Framing by Individual Investors |
|
w25566 |
Bing Han
David Hirshleifer
Johan Walden
|
Visibility Bias in the Transmission of Consumption Beliefs and Undersaving |
|
w25559 |
Stephen G. Dimmock
Neng Wang
Jinqiang Yang
|
The Endowment Model and Modern Portfolio Theory |
|
w25551 |
Sina Ehsani
Juhani T. Linnainmaa
|
Factor Momentum and the Momentum Factor |
|
w25549 |
Marlene Amstad
Zhiguo He
|
Chinese Bond Market and Interbank Market |
|
w25542 |
Steffen Meyer
Michaela Pagel
|
Fully Closed: Individual Responses to Realized Gains and Losses |
|
w25519 |
John B. Donaldson
Rajnish Mehra
|
Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion |
|
w25505 |
Ernest Liu
Atif Mian
Amir Sufi
|
Low Interest Rates, Market Power, and Productivity Growth |
|
w25496 |
Francesco D’Acunto
Daniel Hoang
Maritta Paloviita
Michael Weber
|
IQ, Expectations, and Choice |
|
w25481 |
Guanhao Feng
Stefano Giglio
Dacheng Xiu
|
Taming the Factor Zoo: A Test of New Factors |
|
w25477 |
Ana Babus
Kinda Cheryl Hachem
|
Markets for Financial Innovation |
|
w25469 |
Emmanuel Farhi
Matteo Maggiori
|
China vs. U.S.: IMS Meets IPS |
|
w25456 |
Isaiah Andrews
Toru Kitagawa
Adam McCloskey
|
Inference on Winners |
|
w25450 |
Barney Hartman-Glaser
Benjamin M. Hébert
|
The Insurance is the Lemon: Failing to Index Contracts |
|
w25449 |
Arash Aloosh
Geert Bekaert
|
Currency Factors |
|
w25448 |
Pietro Veronesi
|
Heterogeneous Households under Uncertainty |
|
w25433 |
Eduardo Dávila
Cecilia Parlatore
|
Volatility and Informativeness |
|
w25422 |
Urban Jermann
|
Negative Swap Spreads and Limited Arbitrage |
|
w25421 |
Joao Ayres
Marcio Garcia
Diogo A. Guillén
Patrick J. Kehoe
|
The Monetary and Fiscal History of Brazil, 1960-2016 |
|
w25420 |
Geert Bekaert
George Panayotov
|
Good Carry, Bad Carry |
| 2018 |
|
w25410 |
Matteo Maggiori
Brent Neiman
Jesse Schreger
|
The Rise of the Dollar and Fall of the Euro as International Currencies |
|
w25407 |
Joseph Abadi
Markus Brunnermeier
|
Blockchain Economics |
|
w25406 |
Markus K. Brunnermeier
Yann Koby
|
The Reversal Interest Rate |
|
w25399 |
Pedro Bordalo
Nicola Gennaioli
Spencer Yongwook Kwon
Andrei Shleifer
|
Diagnostic Bubbles |
|
w25398 |
Shihao Gu
Bryan Kelly
Dacheng Xiu
|
Empirical Asset Pricing via Machine Learning |
|
w25386 |
Francesco Bianchi
Howard Kung
Mikhail Tirskikh
|
The Origins and Effects of Macroeconomic Uncertainty |
|
w25381 |
Martin Lettau
Sydney C. Ludvigson
Paulo Manoel
|
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? |
|
w25373 |
Markus K. Brunnermeier
Lunyang Huang
|
A Global Safe Asset for and from Emerging Market Economies |
|
w25361 |
Mikhail Chernov
Lars A. Lochstoer
Stig R. H. Lundeby
|
Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off |
|
w25353 |
Samuel P. Fraiberger
Do Lee
Damien Puy
Romain Rancière
|
Media Sentiment and International Asset Prices |
|
w25346 |
Kent Daniel
Alexander Klos
Simon Rottke
|
Overconfidence, Information Diffusion, and Mispricing Persistence |
|
w25344 |
Kent Daniel
Lorenzo Garlappi
Kairong Xiao
|
Monetary Policy and Reaching for Income |
|
w25340 |
Javier Bianchi
Jorge Mondragon
|
Monetary Independence and Rollover Crises |
|
w25337 |
Anil K. Kashyap
Natalia Kovrijnykh
Jian Li
Anna Pavlova
|
The Benchmark Inclusion Subsidy |
|
w25336 |
Itzhak Ben-David
Elyas Fermand
Camelia M. Kuhnen
Geng Li
|
Expectations Uncertainty and Household Economic Behavior |
|
w25323 |
Sandeep Dahiya
David Yermack
|
Investment Returns and Distribution Policies of Non-Profit Endowment Funds |
|
w25317 |
Harjoat S. Bhamra
Christian Dorion
Alexandre Jeanneret
Michael Weber
|
Low Inflation: High Default Risk AND High Equity Valuations |
|
w25300 |
Hanming Fang
Zhe Li
Nianhang Xu
Hongjun Yan
|
In the Shadows of the Government: Relationship Building During Political Turnovers |
|
w25297 |
Chang Liu
Wei Xiong
|
China's Real Estate Market |
|
w25296 |
Wei Xiong
|
The Mandarin Model of Growth |
|
w25285 |
Josue Cox
Sydney C. Ludvigson
|
Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both? |
|
w25282 |
Emmanuel Farhi
François Gourio
|
Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia |
|
w25277 |
João F. Gomes
Marco Grotteria
Jessica Wachter
|
Foreseen Risks |
|
w25276 |
Riccardo Colacito
Mariano Max Croce
Yang Liu
Ivan Shaliastovich
|
Volatility Risk Pass-through |
|
w25269 |
John Ameriks
Gábor Kézdi
Minjoon Lee
Matthew D. Shapiro
|
Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle |
|
w25239 |
Ricardo Lagos
Shengxing Zhang
|
A Monetary Model of Bilateral Over-the-Counter Markets |
|
w25216 |
Matthias Fleckenstein
Francis A. Longstaff
|
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes |
|
w25210 |
Eduardo Dávila
Cecilia Parlatore
|
Identifying Price Informativeness |
|
w25207 |
Brian Boyer
Taylor D. Nadauld
Keith P. Vorkink
Michael S. Weisbach
|
Private Equity Indices Based on Secondary Market Transactions |
|
w25206 |
Mikhail Chernov
Drew D. Creal
|
International Yield Curves and Currency Puzzles |
|
w25201 |
Usman Ali
David Hirshleifer
|
Shared Analyst Coverage: Unifying Momentum Spillover Effects |
|
w25200 |
Daniel J. Benjamin
|
Errors in Probabilistic Reasoning and Judgment Biases |
|
w25194 |
Malcolm Baker
Daniel Bergstresser
George Serafeim
Jeffrey Wurgler
|
Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds |
|
w25180 |
Jing Cynthia Wu
Fan Dora Xia
|
Negative Interest Rate Policy and the Yield Curve |
|
w25140 |
Jose Pizarro
Eduardo S. Schwartz
|
The Valuation of Fisheries Rights: A Real Options Approach |
|
w25127 |
Jordan Brooks
Michael Katz
Hanno Lustig
|
Post-FOMC Announcement Drift in U.S. Bond Markets |
|
w25122 |
Klaus Adam
Dmitry Matveev
Stefan Nagel
|
Do Survey Expectations of Stock Returns Reflect Risk-Adjustments? |
|
w25113 |
Simon Oh
Jessica A. Wachter
|
Cross-sectional Skewness |
|
w25108 |
Maarten Meeuwis
Jonathan A. Parker
Antoinette Schoar
Duncan I. Simester
|
Belief Disagreement and Portfolio Choice |
|
w25106 |
Ricardo Lagos
Shengxing Zhang
|
Turnover Liquidity and the Transmission of Monetary Policy |
|
w25104 |
Sergey Chernenko
Adi Sunderam
|
Do Fire Sales Create Externalities? |
|
w25092 |
Robert J. Hodrick
Tuomas Tomunen
|
Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications |
|
w25090 |
Manuel Adelino
Antoinette Schoar
Felipe Severino
|
Perception of House Price Risk and Homeownership |
|
w25085 |
Andrea L. Eisfeldt
Yu Shi
|
Capital Reallocation |
|
w25084 |
Lauren Cohen
Christopher Malloy
Quoc Nguyen
|
Lazy Prices |
|
w25072 |
Jonathan Chapman
Erik Snowberg
Stephanie Wang
Colin Camerer
|
Loss Attitudes in the U.S. Population: Evidence from Dynamically Optimized Sequential Experimentation (DOSE) |
|
w25056 |
Nikolai Roussanov
Hongxun Ruan
Yanhao Wei
|
Marketing Mutual Funds |
|
w25054 |
Efraim Benmelech
Nittai Bergman
|
Debt, Information, and Illiquidity |
|
w25046 |
Robert L. McDonald
Thomas A. Rietz
|
Ratings and Asset Allocation: An Experimental Analysis |
|
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Victoria Vanasco
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Missing Novelty in Drug Development |
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Roger Farmer
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Roni Michaely
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Signaling Safety |
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Zheng Michael Song
Wei Xiong
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Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints |
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Antje Berndt
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Corporate Credit Risk Premia |
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Manuel Adelino
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Are Lemons Sold First? Dynamic Signaling in the Mortgage Market |
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Rawley Z. Heimer
Alp Simsek
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Should Retail Investors' Leverage Be Limited? |
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Kent Daniel
Lira Mota
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Tano Santos
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Kent Daniel
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Lin Sun
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Samuel Antill
Darrell Duffie
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Yongqiang Chu
David Hirshleifer
Liang Ma
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David Hirshleifer
Chong Huang
Siew Hong Teoh
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Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion |
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Mark Gertler
Nobuhiro Kiyotaki
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Anusha Chari
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Eduardo Dávila
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Francesco Franzoni
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Brokers and Order Flow Leakage: Evidence from Fire Sales |
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Christian Leuz
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Serhiy Kozak
Stefan Nagel
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Junho Oh
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Ali Hortaçsu
Jakub Kastl
Allen Zhang
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Ting Chen
Zhenyu Gao
Jibao He
Wenxi Jiang
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Lars E.O. Svensson
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Bruno Biais
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Arvind Krishnamurthy
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Luigi Bocola
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Jongha Lim
Michael W. Schwert
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Marianne Andries
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Jonathan Chapman
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Colin Camerer
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Arna Olafsson
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Ian Dew-Becker
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Lu Zhang
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Does the Investment Model Explain Value and Momentum Simultaneously? |
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William Gornall
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Valentin Haddad
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Randall Wright
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Samuel M. Hartzmark
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Arvind Krishnamurthy
Tyler Muir
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Ambrogio Cesa-Bianchi
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William N. Goetzmann
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Pablo Kurlat
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Xiaomeng Lu
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Yu Yuan
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Atif Mian
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David Berger
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Francesco D’Acunto
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Hanno Lustig
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José A. Scheinkman
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Yves Achdou
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Geoffrey Heal
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George M. Constantinides
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Laura Liu
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Ali Ozdagli
Michael Weber
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Chen Xue
Lu Zhang
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Ron Kaniel
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Roine Vestman
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Are Mutual Fund Managers Paid For Investment Skill? |
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Jr.
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René M. Stulz
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Eric T. Swanson
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Lu Zhang
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Robin Greenwood
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Yang You
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Bubbles for Fama |
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Lubos Pastor
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Wenxin Du
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Adrien Verdelhan
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Kamil Yılmaz
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Geert Bekaert
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Briana Chang
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Thomas Philippon
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Charles G. Nathanson
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Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market |
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Camelia M. Kuhnen
Brian T. Melzer
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Non-Cognitive Abilities and Financial Delinquency: The Role of Self-Efficacy in Avoiding Financial Distress |
| 2016 |
|
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Ravi Bansal
Marcelo Ochoa
Dana Kiku
|
Climate Change and Growth Risks |
|
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Gonzalo Cortazar
Cristobal Millard
Hector Ortega
Eduardo S. Schwartz
|
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Joseph Gerakos
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Adair Morse
|
Asset Managers: Institutional Performance and Smart Betas |
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John H. Cochrane
|
Stepping on a Rake: the Fiscal Theory of Monetary Policy |
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|
Learning, Confidence, and Business Cycles |
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Erik Gilje
Robert Ready
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|
Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution |
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Tano Santos
Pietro Veronesi
|
Leverage |
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Germán Gutiérrez
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Investment-less Growth: An Empirical Investigation |
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Alexander Ljungqvist
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Harrison Hong
Frank Weikai Li
Jiangmin Xu
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Climate Risks and Market Efficiency |
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Paolo Sodini
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Eric Engstrom
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Andreas Neuhierl
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Tony Zhang
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Edward Glaeser
Wei Huang
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Andrei Shleifer
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A Real Estate Boom with Chinese Characteristics |
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Gary Gorton
Guillermo Ordoñez
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Fighting Crises |
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Stephane Verani
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Alp Simsek
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Moritz Schularick
Alan M. Taylor
|
Macrofinancial History and the New Business Cycle Facts |
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Arvind Krishnamurthy
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|
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Barney Hartman-Glaser
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|
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Real Interest Rates, Imbalances and the Curse of Regional Safe Asset Providers at the Zero Lower Bound |
|
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Gary Gorton
Tyler Muir
|
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Francis X. Diebold
Frank Schorfheide
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|
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
|
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Patrick Kehoe
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Virgiliu Midrigan
|
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John A. List
Robert D. Metcalfe
|
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Gary Gorton
Ping He
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Optimal Monetary Policy in a Collateralized Economy |
|
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Carolin E. Pflueger
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|
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy |
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Jacob Boudoukh
Jordan Brooks
Matthew Richardson
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|
The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds |
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Francesco Bianchi
Martin Lettau
Sydney C. Ludvigson
|
Monetary Policy and Asset Valuation |
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Francesco D’Acunto
Daniel Hoang
Michael Weber
|
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|
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Kirk Hamilton
John F. Helliwell
Michael Woolcock
|
Social Capital, Trust and Well-being in the Evaluation of Wealth |
|
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Robert P. Bartlett
III
Justin McCrary
|
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Daniel R. Cavagnaro
Berk A. Sensoy
Yingdi Wang
Michael S. Weisbach
|
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Markus K. Brunnermeier
Yuliy Sannikov
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Hengjie Ai
Ravi Bansal
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Michael Weber
|
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Gregory Brown
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|
Why Does Idiosyncratic Risk Increase with Market Risk? |
|
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John H. Cochrane
|
Macro-Finance |
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Thomas Philippon
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The FinTech Opportunity |
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Nina Boyarchenko
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|
Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets |
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Eduardo Dávila
Anton Korinek
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Pecuniary Externalities in Economies with Financial Frictions |
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Rhys Bidder
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|
Long-Run Risk is the Worst-Case Scenario |
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Valentin Haddad
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Buyout Activity: The Impact of Aggregate Discount Rates |
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Taylor D. Nadauld
Berk A. Sensoy
Keith Vorkink
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|
The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions |
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Sergey Chernenko
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Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds |
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Nicholas Kozeniauskas
Anna Orlik
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|
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Lars Peter Hansen
|
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Marco Di Maggio
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The Unintended Consequences of the Zero Lower Bound Policy |
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Markus K. Brunnermeier
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|
Macro, Money and Finance: A Continuous Time Approach |
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Marco Di Maggio
Amir Kermani
Zhaogang Song
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The Value of Trading Relationships in Turbulent Times |
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Harold Cole
Daniel Neuhann
Guillermo Ordoñez
|
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Chen Lian
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Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination |
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Emmanuel Farhi
Matteo Maggiori
|
A Model of the International Monetary System |
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Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt
|
A Model of Safe Asset Determination |
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Benjamin Hébert
Jesse Schreger
|
The Costs of Sovereign Default: Evidence from Argentina |
|
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Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Diagnostic Expectations and Credit Cycles |
|
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Michael Bailey
Ruiqing Cao
Theresa Kuchler
Johannes Stroebel
|
Social Networks and Housing Markets |
|
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Atif Mian
Amir Sufi
|
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|
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Itzhak Ben-David
Francesco Franzoni
Rabih Moussawi
John Sedunov
|
The Granular Nature of Large Institutional Investors |
|
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Roger E.A. Farmer
|
Pricing Assets in an Economy with Two Types of People |
|
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Anmol Bhandari
Jaroslav Borovička
Paul Ho
|
Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data |
|
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Gary B. Gorton
|
The History and Economics of Safe Assets |
|
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Jeffrey Hoopes
Patrick Langetieg
Stefan Nagel
Daniel Reck
Joel Slemrod
Bryan Stuart
|
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Alan Moreira
Tyler Muir
|
Volatility Managed Portfolios |
|
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Robert E. Hall
|
The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate |
|
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Drew D. Creal
Jing Cynthia Wu
|
Bond Risk Premia in Consumption-based Models |
|
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David Backus
Nina Boyarchenko
Mikhail Chernov
|
Term Structures of Asset Prices and Returns |
|
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Zhi Da
Borja Larrain
Clemens Sialm
José Tessada
|
Coordinated Noise Trading: Evidence from Pension Fund Reallocations |
|
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Itamar Drechsler
Alexi Savov
Philipp Schnabl
|
The Deposits Channel of Monetary Policy |
|
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Ivo Welch
|
Levered Returns |
|
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Itzhak Ben-David
Justin Birru
Viktor Prokopenya
|
Uninformative Feedback and Risk Taking: Evidence from Retail Forex Trading |
|
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William N. Goetzmann
Dasol Kim
Robert J. Shiller
|
Crash Beliefs From Investor Surveys |
|
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Roger Farmer
Pawel Zabczyk
|
The Theory of Unconventional Monetary Policy |
|
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Campbell R. Harvey
Yan Liu
|
Rethinking Performance Evaluation |
|
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Markus K. Brunnermeier
Yuliy Sannikov
|
On the Optimal Inflation Rate |
|
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Itzhak Ben-David
Justin Birru
Andrea Rossi
|
Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders |
|
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Mikhail Chernov
Brett R. Dunn
Francis A. Longstaff
|
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities |
|
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Yihui Pan
Tracy Yue Wang
Michael S. Weisbach
|
How Management Risk Affects Corporate Debt |
|
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Cristian Badarinza
John Y. Campbell
Tarun Ramadorai
|
International Comparative Household Finance |
|
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Patrick Bayer
Kyle Mangum
James W. Roberts
|
Speculative Fever: Investor Contagion in the Housing Bubble |
|
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Stefano Giglio
Bryan Kelly
|
Excess Volatility: Beyond Discount Rates |
|
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Gary Gorton
Ellis W. Tallman
|
How Did Pre-Fed Banking Panics End? |
|
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David S. Bates
|
How Crashes Develop: Intradaily Volatility and Crash Evolution |
|
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John Y. Campbell
|
Restoring Rational Choice: The Challenge of Consumer Financial Regulation |
|
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Hanno Lustig
Adrien Verdelhan
|
Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? |
|
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Rajnish Mehra
Arunima Sinha
|
The Term Structure of Interest Rates in India |
|
w22017 |
Zhiguo He
Arvind Krishnamurthy
Konstantin Milbradt
|
What Makes US Government Bonds Safe Assets? |
|
w22016 |
Rajnish Mehra
Sunil Wahal
Daruo Xie
|
Is Idiosyncratic Risk Conditionally Priced? |
|
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Gary Gorton
Guillermo Ordoñez
|
Good Booms, Bad Booms |
|
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Diego Anzoategui
Diego Comin
Mark Gertler
Joseba Martinez
|
Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence |
|
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Lars P. Hansen
Thomas J. Sargent
|
Sets of Models and Prices of Uncertainty |
|
w21993 |
Markus K. Brunnermeier
Luis Garicano
Philip Lane
Marco Pagano
Ricardo Reis
Tano Santos
David Thesmar
Stijn Van Nieuwerburgh
Dimitri Vayanos
|
The Sovereign-Bank Diabolic Loop and ESBies |
|
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Urban J. Jermann
|
Financial Markets' Views about the Euro-Swiss Franc Floor |
|
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Kent Daniel
David Hirshleifer
|
Overconfident Investors, Predictable Returns, and Excessive Trading |
|
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Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer
|
Extrapolation and Bubbles |
|
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Zhiguo He
Bryan Kelly
Asaf Manela
|
Intermediary Asset Pricing: New Evidence from Many Asset Classes |
|
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Zhiguo He
Konstantin Milbradt
|
Dynamic Debt Maturity |
|
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Kaiji Chen
Jue Ren
Tao Zha
|
What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending |
|
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Robert J. Barro
Gordon Y. Liao
|
Options-Pricing Formula with Disaster Risk |
|
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David López-Salido
Jeremy C. Stein
Egon Zakrajšek
|
Credit-Market Sentiment and the Business Cycle |
|
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Robert J. Barro
Tao Jin
|
Rare Events and Long-Run Risks |
|
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James D. Hamilton
|
Macroeconomic Regimes and Regime Shifts |
|
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Hélène Rey
|
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma |
|
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Xavier Gabaix
|
Behavioral Macroeconomics Via Sparse Dynamic Programming |
| 2015 |
|
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Nicolas Coeurdacier
Hélène Rey
Pablo Winant
|
Financial Integration and Growth in a Risky World |
|
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Eric T. Swanson
|
Measuring the Effects of Unconventional Monetary Policy on Asset Prices |
|
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Robin Greenwood
Samuel Hanson
Dimitri Vayanos
|
Forward Guidance in the Yield Curve: Short Rates versus Bond Supply |
|
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Andrea Eisfeldt
Andrew Demers
|
Total Returns to Single Family Rentals |
|
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Sydney C. Ludvigson
Sai Ma
Serena Ng
|
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? |
|
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Carola Frydman
Dimitris Papanikolaou
|
In Search of Ideas: Technological Innovation and Executive Pay Inequality |
|
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Lorenz Kueng
|
Explaining Consumption Excess Sensitivity with Near-Rationality: Evidence from Large Predetermined Payments |
|
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Francisco Barillas
Jay Shanken
|
Comparing Asset Pricing Models |
|
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Stefano Giglio
Matteo Maggiori
Johannes Stroebel
Andreas Weber
|
Climate Change and Long-Run Discount Rates: Evidence from Real Estate |
|
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Ralph S.J. Koijen
Motohiro Yogo
|
A Demand System Approach to Asset Pricing |
|
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Francesco Trebbi
Kairong Xiao
|
Regulation and Market Liquidity |
|
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Darrell Duffie
Lei Qiao
Yeneng Sun
|
Dynamic Directed Random Matching |
|
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Silvia Miranda-Agrippino
Hélène Rey
|
US Monetary Policy and the Global Financial Cycle |
|
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William Goetzmann
Simon Huang
|
Momentum in Imperial Russia |
|
w21698 |
Francisco Barillas
Jay Shanken
|
Which Alpha? |
|
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Darrell Duffie
Haoxiang Zhu
|
Size Discovery |
|
w21694 |
Sebastian Edwards
Francis A. Longstaff
Alvaro Garcia Marin
|
The U.S. Debt Restructuring of 1933: Consequences and Lessons |
|
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William N. Goetzmann
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Joel M. David
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Robert Novy-Marx
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Hanming Fang
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editors
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Roger E.A. Farmer
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Camelia M. Kuhnen
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Segmented Housing Search |
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Four Centuries of Return Predictability |
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Boyan Jovanovic
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Markus K. Brunnermeier
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Stefan Nagel
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|
Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts |
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w19984 |
Nicole Boyson
Rüdiger Fahlenbrach
René M. Stulz
|
Why Do Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities |
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w19981 |
Jordi Gali
Luca Gambetti
|
The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence |
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w19975 |
David Yermack
Yehuda Izhakian
|
Risk, Ambiguity, and the Exercise of Employee Stock Options |
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Yongheng Deng
Xin Liu
Shang-Jin Wei
|
One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility? |
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w19969 |
Esben Hedegaard
Robert J. Hodrick
|
Estimating the Risk-Return Trade-off with Overlapping Data Inference |
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w19957 |
Peter Koudijs
Hans-Joachim Voth
|
Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending |
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w19931 |
Péter Kondor
Dimitri Vayanos
|
Liquidity Risk and the Dynamics of Arbitrage Capital |
|
w19927 |
Ricardo J. Caballero
Emmanuel Farhi
|
The Safety Trap |
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w19917 |
Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh
|
Foreign Ownership of U.S. Safe Assets: Good or Bad? |
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w19892 |
James D. Hamilton
Jing Cynthia Wu
|
Effects of Index-Fund Investing on Commodity Futures Prices |
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Lubos Pastor
Robert F. Stambaugh
Lucian A. Taylor
|
Scale and Skill in Active Management |
|
w19890 |
Darrell Duffie
Martin Scheicher
Guillaume Vuillemey
|
Central Clearing and Collateral Demand |
|
w19887 |
Mervyn King
David Low
|
Measuring the ''World'' Real Interest Rate |
|
w19875 |
Pablo Kurlat
Johannes Stroebel
|
Testing for Information Asymmetries in Real Estate Markets |
|
w19871 |
Robert E. Hall
|
High Discounts and High Unemployment |
|
w19864 |
Fatih Guvenen
Greg Kaplan
Jae Song
|
How Risky Are Recessions for Top Earners? |
|
w19854 |
Xavier Gabaix
Matteo Maggiori
|
International Liquidity and Exchange Rate Dynamics |
|
w19834 |
Alexander Ljungqvist
Wenlan Qian
|
How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation |
|
w19818 |
Daniel L. Greenwald
Martin Lettau
Sydney C. Ludvigson
|
Origins of Stock Market Fluctuations |
|
w19817 |
Alex Chinco
Christopher Mayer
|
Misinformed Speculators and Mispricing in the Housing Market |
|
w19812 |
Bryan Kelly
Lubos Pastor
Pietro Veronesi
|
The Price of Political Uncertainty: Theory and Evidence from the Option Market |
|
w19798 |
Hyun-Soo Choi
Harrison Hong
Jeffrey Kubik
Jeffrey P. Thompson
|
When Real Estate is the Only Game in Town |
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w19788 |
Elias Albagli
Christian Hellwig
Aleh Tsyvinski
|
Dynamic Dispersed Information and the Credit Spread Puzzle |
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w19786 |
Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel
|
Political Risk Spreads |
|
w19778 |
Roger K. Loh
René M. Stulz
|
Is Sell-Side Research More Valuable in Bad Times? |
| 2013 |
|
w19738 |
Krislert Samphantharak
Robert Townsend
|
Risk and Return in Village Economies |
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w19728 |
Jennie Bai
Thomas Philippon
Alexi Savov
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Have Financial Markets Become More Informative? |
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w19714 |
Nicholas Bloom
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Fluctuations in Uncertainty |
|
w19706 |
Conghui Hu
Wei Xiong
|
Are Commodity Futures Prices Barometers of the Global Economy? |
|
w19705 |
Pierre Collin-Dufresne
Michael Johannes
Lars A. Lochstoer
|
Parameter Learning in General Equilibrium: The Asset Pricing Implications |
|
w19704 |
Javier Bianchi
Enrique G. Mendoza
|
Optimal Time-Consistent Macroprudential Policy |
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w19684 |
Efstathios Avdis
Jessica A. Wachter
|
Maximum likelihood estimation of the equity premium |
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w19681 |
Andrea Frazzini
David Kabiller
Lasse H. Pedersen
|
Buffett's Alpha |
|
w19670 |
Ing-Haw Cheng
Wei Xiong
|
Why Do Hedgers Trade So Much? |
|
w19650 |
Alessandro Beber
Michael W. Brandt
Maurizio Luisi
|
Distilling the Macroeconomic News Flow |
|
w19643 |
Jakub W. Jurek
Erik Stafford
|
The Cost of Capital for Alternative Investments |
|
w19642 |
Ing-Haw Cheng
Wei Xiong
|
The Financialization of Commodity Markets |
|
w19633 |
William Gornall
Ilya A. Strebulaev
|
Financing as a Supply Chain: The Capital Structure of Banks and Borrowers |
|
w19625 |
Charles W. Calomiris
Jonathan Pritchett
|
Betting on Secession: Quantifying Political Events Surrounding Slavery and the Civil War |
|
w19623 |
Hanno Lustig
Andreas Stathopoulos
Adrien Verdelhan
|
The Term Structure of Currency Carry Trade Risk Premia |
|
w19619 |
Pierre Collin-Dufresne
Vyacheslav Fos
|
Moral Hazard, Informed Trading, and Stock Prices |
|
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Morten Sorensen
Neng Wang
Jinqiang Yang
|
Valuing Private Equity |
|
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Sang Byung Seo
Jessica A. Wachter
|
Option Prices in a Model with Stochastic Disaster Risk |
|
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Sumit Agarwal
Itzhak Ben-David
Vincent Yao
|
Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market |
|
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Byeong-Je An
Andrew Ang
Turan G. Bali
Nusret Cakici
|
The Joint Cross Section of Stocks and Options |
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Clemens Sialm
Zheng Sun
Lu Zheng
|
Home Bias and Local Contagion: Evidence from Funds of Hedge Funds |
|
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Clemens Sialm
Laura Starks
Hanjiang Zhang
|
Defined Contribution Pension Plans: Sticky or Discerning Money? |
|
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Ralph S.J. Koijen
Motohiro Yogo
|
Shadow Insurance |
|
w19564 |
Li Gan
Qinghua Zhang
|
Market Thickness and the Impact of Unemployment on Housing Market Outcomes |
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Larry G. Epstein
Emmanuel Farhi
Tomasz Strzalecki
|
How Much Would You Pay to Resolve Long-Run Risk? |
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Yacine Aït-Sahalia
Mehmet Saglam
|
High Frequency Traders: Taking Advantage of Speed |
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Linda S. Goldberg
Christian Grisse
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Time Variation in Asset Price Responses to Macro Announcements |
|
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Keith Brown
Cristian Tiu
|
The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds |
|
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Markus K. Brunnermeier
Martin Oehmke
|
Predatory Short Selling |
|
w19500 |
Kent Smetters
Xingtan Zhang
|
A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks |
|
w19476 |
John H. Cochrane
|
The New-Keynesian Liquidity Trap |
|
w19466 |
Bernard Herskovic
Bryan Kelly
Hanno Lustig
Stijn Van Nieuwerburgh
|
Firm Volatility in Granular Networks |
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Turan G. Bali
Nusret Cakici
Robert F. Whitelaw
|
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? |
|
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Andrew Ang
Richard C. Green
Yuhang Xing
|
Advance Refundings of Municipal Bonds |
|
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Kyle Jurado
Sydney C. Ludvigson
Serena Ng
|
Measuring Uncertainty |
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w19436 |
Andrew Ang
Dimitris Papanikolaou
Mark Westerfield
|
Portfolio Choice with Illiquid Assets |
|
w19429 |
Lauren Cohen
Dong Lou
Christopher Malloy
|
Playing Favorites: How Firms Prevent the Revelation of Bad News |
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w19421 |
Hui Chen
Michael Michaux
Nikolai Roussanov
|
Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty |
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w19417 |
Paul Asquith
Thom Covert
Parag Pathak
|
The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market |
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Ian Dew-Becker
Stefano Giglio
|
Asset Pricing in the Frequency Domain: Theory and Empirics |
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Yuming Fu
Wenlan Qian
Bernard Yeung
|
Speculative Investors and Tobin's Tax in the Housing Market |
|
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Arvind Krishnamurthy
Stefan Nagel
|
Interpreting Repo Statistics in the Flow of Funds Accounts |
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Avanidhar Subrahmanyam
Sheridan Titman
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Financial Market Shocks and the Macroeconomy |
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Zheng Liu
Jianjun Miao
Tao Zha
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Land Prices and Unemployment |
|
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Nicolae Gârleanu
Stavros Panageas
Jianfeng Yu
|
Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion |
|
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Bryan Kelly
Hao Jiang
|
Tail Risk and Asset Prices |
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Robert Ready
Nikolai Roussanov
Colin Ward
|
Commodity Trade and the Carry Trade: a Tale of Two Countries |
|
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Anton Korinek
Enrique G. Mendoza
|
From Sudden Stops to Fisherian Deflation: Quantitative Theory and Policy Implications |
|
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David Backus
Mikhail Chernov
Stanley E. Zin
Irina Zviadadze
|
Identifying monetary policy in macro-finance models |
|
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Ulf Brüggemann
Aditya Kaul
Christian Leuz
Ingrid M. Werner
|
The Twilight Zone: OTC Regulatory Regimes and Market Quality |
|
w19354 |
Bo Zhao
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Rational Housing Bubble |
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Wayne E. Ferson
Jerchern Lin
|
Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity |
|
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Arthur Korteweg
Stefan Nagel
|
Risk-Adjusting the Returns to Venture Capital |
|
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Harald Uhlig
|
Sovereign Default Risk and Banks in a Monetary Union |
|
w19330 |
Yihui Pan
Tracy Yue Wang
Michael S. Weisbach
|
CEO Investment Cycles |
|
w19327 |
Xioaji Lin
Chong Wang
Neng Wang
Jinqiang Yang
|
Investment, Tobin's q, and Interest Rates |
|
w19325 |
Ralph S.J. Koijen
Tobias J. Moskowitz
Lasse Heje Pedersen
Evert B. Vrugt
|
Carry |
|
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Andrew Ang
Assaf A. Shtauber
Paul C. Tetlock
|
Asset Pricing in the Dark: The Cross Section of OTC Stocks |
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w19292 |
Gary B. Gorton
Andrew Metrick
|
The Federal Reserve and Financial Regulation: The First Hundred Years |
|
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Yen-cheng Chang
Harrison Hong
Inessa Liskovich
|
Regression Discontinuity and the Price Effects of Stock Market Indexing |
|
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Luigi Guiso
Paola Sapienza
Luigi Zingales
|
Time Varying Risk Aversion |
|
w19258 |
Robert J. Barro
|
Environmental Protection, Rare Disasters, and Discount Rates |
|
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Robin Greenwood
Samuel Hanson
|
Waves in Ship Prices and Investment |
|
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Pierre-Olivier Gourinchas
Hélène Rey
|
External Adjustment, Global Imbalances and Valuation Effects |
|
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Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig
|
Deflation Risk |
|
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Nicolas Petrosky-Nadeau
Lu Zhang
|
Solving the DMP Model Accurately |
|
w19207 |
Nicolas Petrosky-Nadeau
Lu Zhang
|
Unemployment Crises |
|
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Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill
|
Measuring the Financial Soundness of U.S. Firms, 1926-2012 |
|
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Andrew Ang
Neil Nabar
Sam Wald
|
Search for a Common Factor in Public and Private Real Estate Returns |
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Nicholas Barberis
Robin Greenwood
Lawrence Jin
Andrei Shleifer
|
X-CAPM: An Extrapolative Capital Asset Pricing Model |
|
w19167 |
Gonzalo Cortazar
Ivo Kovacevic
Eduardo S. Schwartz
|
Commodity and Asset Pricing Models: An Integration |
|
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David S. Scharfstein
Adi Sunderam
|
Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates |
|
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Adrian Buss
Bernard Dumas
|
The Dynamic Properties of Financial-Market Equilibrium with Trading Fees |
|
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Rajnish Mehra
|
Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy |
|
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Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny
|
Finance and the Preservation of Wealth |
|
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Robin L. Lumsdaine
Rogier J.D. Potter van Loon
|
Wall Street vs. Main Street: An Evaluation of Probabilities |
|
w19095 |
Lieven Baele
Geert Bekaert
Koen Inghelbrecht
Min Wei
|
Flights to Safety |
|
w19068 |
Elena Asparouhova
Peter Bossaerts
Nilanjan Roy
William Zame
|
'Lucas' In The Laboratory |
|
w19065 |
Nicole M. Aulerich
Scott H. Irwin
Philip Garcia
|
Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files |
|
w19056 |
James D. Hamilton
Jing Cynthia Wu
|
Risk Premia in Crude Oil Futures Prices |
|
w19039 |
Viral V. Acharya
Sascha Steffen
|
The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks |
|
w19037 |
Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright
|
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices. |
|
w19030 |
Andrew Ang
Bingxu Chen
Suresh Sundaresan
|
Liability Investment with Downside Risk |
|
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Geert Bekaert
Marie Hoerova
|
The VIX, the Variance Premium and Stock Market Volatility |
|
w18984 |
Karthik Balakrishnan
Mary B. Billings
Bryan T. Kelly
Alexander Ljungqvist
|
Shaping Liquidity: On the Causal Effects of Voluntary Disclosure |
|
w18954 |
S. Boraǧan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song
|
Improving GDP Measurement: A Measurement-Error Perspective |
|
w18951 |
Christopher R. Knittel
Robert S. Pindyck
|
The Simple Economics of Commodity Price Speculation |
|
w18944 |
John H. Cochrane
|
Finance: Function Matters, not Size. |
|
w18922 |
Stéphane Guibaud
Yves Nosbusch
Dimitri Vayanos
|
Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt |
|
w18914 |
Stefano Giglio
Kelly Shue
|
No News is News: Do Markets Underreact to Nothing? |
|
w18912 |
Andrew G. Atkeson
Andrea L. Eisfeldt
Pierre-Olivier Weill
|
The Market for OTC Derivatives |
|
w18906 |
Michael Sockin
Wei Xiong
|
Informational Frictions and Commodity Markets |
|
w18905 |
Wei Xiong
|
Bubbles, Crises, and Heterogeneous Beliefs |
|
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Ing-Haw Cheng
Sahil Raina
Wei Xiong
|
Wall Street and the Housing Bubble |
|
w18903 |
Jongha Lim
Berk A. Sensoy
Michael S. Weisbach
|
Indirect Incentives of Hedge Fund Managers |
|
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Yihui Pan
Tracy Yue Wang
Michael S. Weisbach
|
Learning about CEO Ability and Stock Return Volatility |
|
w18870 |
Ulrich Mueller
Mark W. Watson
|
Measuring Uncertainty about Long-Run Prediction |
|
w18860 |
Yuriy Gorodnichenko
Michael Weber
|
Are Sticky Prices Costly? Evidence From The Stock Market |
|
w18845 |
Peter Koudijs
|
'Those Who Know Most': Insider Trading in 18th c. Amsterdam |
|
w18844 |
Martin Lettau
Matteo Maggiori
Michael Weber
|
Conditional Risk Premia in Currency Markets and Other Asset Classes |
|
w18843 |
Tomasz Piskorski
Amit Seru
James Witkin
|
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market |
|
w18836 |
Holger Kraft
Eduardo S. Schwartz
Farina Weiss
|
Growth Options and Firm Valuation |
|
w18831 |
Peter Koudijs
|
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment |
|
w18774 |
Urban Jermann
|
A Production-Based Model for the Term Structure |
|
w18768 |
John H. Cochrane
|
A Mean-Variance Benchmark for Intertemporal Portfolio Theory |
|
w18764 |
Veronika K. Pool
Clemens Sialm
Irina Stefanescu
|
It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans |
|
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Robert J. Barro
Sanjay P. Misra
|
Gold Returns |
|
w18732 |
Gary B. Gorton
Guillermo Ordoñez
|
The Supply and Demand for Safe Assets |
|
w18725 |
Jacob Boudoukh
Ronen Feldman
Shimon Kogan
Matthew Richardson
|
Which News Moves Stock Prices? A Textual Analysis |
|
w18724 |
Robert L. McDonald
|
Measuring Margin |
|
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Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Salience and Asset Prices |
|
w18706 |
Claude B. Erb
Campbell R. Harvey
|
The Golden Dilemma |
|
w18667 |
Karl E. Case
John M. Quigley
Robert J. Shiller
|
Wealth Effects Revisited: 1975-2012 |
|
haub10-1 |
Joseph G. Haubrich and Andrew W. Lo
editors
|
Quantifying Systemic Risk |
|
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Robin Greenwood
Andrei Shleifer
|
Expectations of Returns and Expected Returns |
|
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James J. Choi
Li Jin
Hongjun Yan
|
Informed Trading and Expected Returns |
|
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Leonid Kogan
Dimitris Papanikolaou
Noah Stoffman
|
Winners and Losers: Creative Destruction and the Stock Market |
| 2012 |
|
w18647 |
Roger E.A. Farmer
Carine Nourry
Alain Venditti
|
The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World |
|
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A. Craig Burnside
Jeremy J. Graveline
|
On the Asset Market View of Exchange Rates |
|
w18627 |
Karen K. Lewis
Sandy Lai
|
Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks |
|
w18621 |
Nicholas C. Barberis
|
Thirty Years of Prospect Theory in Economics: A Review and Assessment |
|
w18619 |
Bruce I. Carlin
Francis A. Longstaff
Kyle Matoba
|
Disagreement and Asset Prices |
|
w18617 |
Rui Albuquerque
Martin S. Eichenbaum
Sergio Rebelo
|
Valuation Risk and Asset Pricing |
|
w18611 |
Gary Gorton
Andrew Metrick
|
Securitization |
|
w18609 |
Sumit Agarwal
Efraim Benmelech
Nittai Bergman
Amit Seru
|
Did the Community Reinvestment Act (CRA) Lead to Risky Lending? |
|
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Cary Frydman
Nicholas Barberis
Colin Camerer
Peter Bossaerts
Antonio Rangel
|
Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility |
|
w18560 |
Robert F. Stambaugh
Jianfeng Yu
Yu Yuan
|
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle |
|
w18558 |
Andrea Frazzini
Lasse H. Pedersen
|
Embedded Leverage |
|
w18555 |
Zhi Da
Ravi Jagannathan
Jianfeng Shen
|
Building Castles in the Air: Evidence from Industry IPO Waves |
|
w18554 |
Stefan Nagel
|
Empirical Cross-Sectional Asset Pricing |
|
w18549 |
Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin
|
Repo and Securities Lending |
|
w18548 |
Harrison Hong
David Sraer
|
Speculative Betas |
|
w18547 |
Harrison Hong
David Sraer
|
Quiet Bubbles |
|
w18541 |
Takatoshi Ito
Kenta Yamada
Misako Takayasu
Hideki Takayasu
|
Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets |
|
w18510 |
Jonathan A. Parker
|
LEADS on Macroeconomic Risks to and from the Household Sector |
|
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Robert Novy-Marx
Joshua D. Rauh
|
Linking Benefits to Investment Performance in US Public Pension Systems |
|
w18455 |
Gary B. Gorton
Andrew Metrick
|
Who Ran on Repo? |
|
w18452 |
Pierre Collin-Dufresne
Vyacheslav Fos
|
Do prices reveal the presence of informed trading? |
|
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Pierre Collin-Dufresne
Vyacheslav Fos
|
Insider Trading, Stochastic Liquidity and Equilibrium Prices |
|
w18450 |
Frederico Belo
Pierre Collin-Dufresne
Robert S. Goldstein
|
Endogenous Dividend Dynamics and the Term Structure of Dividend Strips |
|
w18435 |
Kewei Hou
Chen Xue
Lu Zhang
|
Digesting Anomalies: An Investment Approach |
|
w18411 |
John Y. Campbell
Stefano Giglio
Christopher Polk
Robert Turley
|
An Intertemporal CAPM with Stochastic Volatility |
|
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Zhiguo He
Konstantin Milbradt
|
Endogenous Liquidity and Defaultable Bonds |
|
w18406 |
Florian Scheuer
|
Adverse Selection In Credit Markets and Regressive Profit Taxation |
|
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Karl E. Case
Robert J. Shiller
Anne Thompson
|
What Have They Been Thinking? Home Buyer Behavior in Hot and Cold Markets |
|
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Markus K. Brunnermeier
Martin Oehmke
|
Bubbles, Financial Crises, and Systemic Risk |
|
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Gary B. Gorton
|
Some Reflections on the Recent Financial Crisis |
|
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John Y. Campbell
Tarun Ramadorai
Benjamin Ranish
|
How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market |
|
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Francis X. Diebold
|
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
|
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Charles Engel
Nelson C. Mark
Kenneth D. West
|
Factor Model Forecasts of Exchange Rates |
|
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Hui Chen
Yu Xu
Jun Yang
|
Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads |
|
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Michael J. Fishman
Jonathan A. Parker
|
Valuation, Adverse Selection, and Market Collapses |
|
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Ravi Bansal
Ivan Shaliastovich
|
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets |
|
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John Y. Campbell
|
Mortgage Market Design |
|
w18321 |
Ralph S.J. Koijen
Motohiro Yogo
|
The Cost of Financial Frictions for Life Insurers |
|
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Lauren Cohen
Umit G. Gurun
Christopher J. Malloy
|
Resident Networks and Firm Trade |
|
w18305 |
Ravi Bansal
Dana Kiku
Amir Yaron
|
Risks For the Long Run: Estimation with Time Aggregation |
|
w18304 |
Efraim Benmelech
|
An Empirical Analysis of the Fed's Term Auction Facility |
|
w18300 |
Jeffrey Brown
Chichun Fang
Francisco Gomes
|
Risk and Returns to Education |
|
w18291 |
Lauren Cohen
Karl B. Diether
Christopher Malloy
|
Legislating Stock Prices |
|
w18251 |
Dimitri Vayanos
Jiang Wang
|
Market Liquidity -- Theory and Empirical Evidence |
|
w18247 |
Kenneth D. West
|
Econometric Analysis of Present Value Models When the Discount Factor Is near One |
|
w18241 |
Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman
|
Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment |
|
w18231 |
Robert F. Stambaugh
Jianfeng Yu
Yu Yuan
|
The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns |
|
w18222 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Prediction Markets for Economic Forecasting |
|
w18184 |
Jonathan B. Berk
Jules H. van Binsbergen
|
Measuring Managerial Skill in the Mutual Fund Industry |
|
w18181 |
John H. Cochrane
|
Continuous-Time Linear Models |
|
w18174 |
Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny
|
Money Doctors |
|
w18173 |
William N. Goetzmann
Sharon Oster
|
Competition Among University Endowments |
|
w18169 |
Kent Daniel
Ravi Jagannathan
Soohun Kim
|
Tail Risk in Momentum Strategy Returns |
|
w18137 |
André de Souza
Anthony W. Lynch
|
Does Mutual Fund Performance Vary over the Business Cycle? |
|
w18135 |
Christopher T. Downing
Francis A. Longstaff
Michael A. Rierson
|
Inflation Tracking Portfolios |
|
w18128 |
Emi Nakamura
Dmitriy Sergeyev
Jón Steinsson
|
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence |
|
w18102 |
Markus K. Brunnermeier
Thomas M. Eisenbach
Yuliy Sannikov
|
Macroeconomics with Financial Frictions: A Survey |
|
w18104 |
Ravi Bansal
Dana Kiku
Ivan Shaliastovich
Amir Yaron
|
Volatility, the Macroeconomy and Asset Prices |
|
w18084 |
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
|
Financial Risk Measurement for Financial Risk Management |
|
w18078 |
Fei Chen
Francis X. Diebold
Frank Schorfheide
|
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
|
w18077 |
Thomas Philippon
|
Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation |
|
w18066 |
Mark Huggett
Greg Kaplan
|
The Money Value of a Man |
|
w18063 |
Robert Novy-Marx
|
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars |
|
w18057 |
Tarek Alexander Hassan
|
Country Size, Currency Unions, and International Asset Returns |
|
w18050 |
Martijn Cremers
Antti Petajisto
Eric Zitzewitz
|
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation |
|
w18046 |
Torben G. Andersen
Nicola Fusari
Viktor Todorov
|
Parametric Inference and Dynamic State Recovery from Option Panels |
|
w18035 |
Fatih Guvenen
Serdar Ozkan
Jae Song
|
The Nature of Countercyclical Income Risk |
|
w18024 |
Ulrike Malmendier
Enrico Moretti
Florian S. Peters
|
Winning by Losing: Evidence on the Long-Run Effects of Mergers |
|
w18000 |
Shang-Jin Wei
Xiaobo Zhang
Yin Liu
|
Status Competition and Housing Prices |
|
w17975 |
Leonid Kogan
Dimitris Papanikolaou
|
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks |
|
w17951 |
Hilary W. Hoynes
Douglas L. Miller
Jessamyn Schaller
|
Who Suffers During Recessions? |
|
w17935 |
Zhiguo He
Wei Xiong
|
Debt Financing in Asset Markets |
|
w17929 |
Sendhil Mullainathan
Markus Noeth
Antoinette Schoar
|
The Market for Financial Advice: An Audit Study |
|
w17921 |
Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong
|
Convective Risk Flows in Commodity Futures Markets |
|
w17904 |
Nikolai Roussanov
Pavel G. Savor
|
Status, Marriage, and Managers' Attitudes To Risk |
|
w17876 |
Veronica Guerrieri
Robert Shimer
|
Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality |
|
w17874 |
Robert S. Harris
Tim Jenkinson
Steven N. Kaplan
|
Private Equity Performance: What Do We Know? |
|
w17872 |
Karen K. Lewis
Edith X. Liu
|
International Consumption Risk Is Shared After All: An Asset Return View |
|
w17854 |
Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev
|
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective |
|
w17848 |
Wayne E. Ferson
Suresh K. Nallareddy
Biqin Xie
|
The "Out of Sample" Performance of Long-run Risk Models |
|
w17843 |
James J. Choi
Emily Haisley
Jennifer Kurkoski
Cade Massey
|
Small Cues Change Savings Choices |
|
w17832 |
Manuel Adelino
Antoinette Schoar
Felipe Severino
|
Credit Supply and House Prices: Evidence from Mortgage Market Segmentation |
|
w17798 |
Andrew Ang
Marie Brière
Ombretta Signori
|
Inflation and Individual Equities |
|
w17795 |
Leonid Kogan
Dimitris Papanikolaou
|
Growth Opportunities, Technology Shocks, and Asset Prices |
|
w17778 |
Gary B. Gorton
Andrew Metrick
|
Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide |
|
w17777 |
Gary B. Gorton
Stefan Lewellen
Andrew Metrick
|
The Safe-Asset Share |
|
w17772 |
James D. Hamilton
Jing Cynthia Wu
|
Identification and Estimation of Gaussian Affine Term Structure Models |
|
w17771 |
Gary B. Gorton
Guillermo Ordonez
|
Collateral Crises |
|
w17769 |
Leonid Kogan
Dimitris Papanikolaou
Amit Seru
Noah Stoffman
|
Technological Innovation, Resource Allocation, and Growth |
|
w17768 |
Arvind Krishnamurthy
Stefan Nagel
Dmitry Orlov
|
Sizing Up Repo |
|
w17761 |
Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Salience in Experimental Tests of the Endowment Effect |
|
w17751 |
Jack Favilukis
David Kohn
Sydney C. Ludvigson
Stijn Van Nieuwerburgh
|
International Capital Flows and House Prices: Theory and Evidence |
|
w17742 |
Lars-Alexander Kuehn
Nicolas Petrosky-Nadeau
Lu Zhang
|
An Equilibrium Asset Pricing Model with Labor Market Search |
|
w17723 |
Tim Landvoigt
Monika Piazzesi
Martin Schneider
|
The Housing Market(s) of San Diego |
| 2011 |
|
w17719 |
Philip Bond
Alex Edmans
Itay Goldstein
|
The Real Effects of Financial Markets |
|
w17691 |
Nicolas Coeurdacier
Hélène Rey
|
Home Bias in Open Economy Financial Macroeconomics |
|
w17686 |
Eric van Wincoop
|
International Contagion Through Leveraged Financial Institutions |
|
w17653 |
Stefan Nagel
|
Evaporating Liquidity |
|
w17652 |
Emiliano Pagnotta
Thomas Philippon
|
Competing on Speed |
|
w17622 |
Fatih Guvenen
|
Macroeconomics With Heterogeneity: A Practical Guide |
|
w17615 |
Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp
|
Time-Varying Fund Manager Skill |
|
w17613 |
Robert Novy-Marx
|
Logical Implications of GASB's Methodology for Valuing Pension Liabilities |
|
w17592 |
Yacine Ait-Sahalia
Jianqing Fan
Yingying Li
|
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency |
|
w17586 |
Giorgia Palladini
Richard Portes
|
Sovereign CDS and Bond Pricing Dynamics in the Euro-area |
|
w17582 |
Alex Edmans
Itay Goldstein
Wei Jiang
|
Feedback Effects and the Limits to Arbitrage |
|
w17575 |
Ravi Bansal
Marcelo Ochoa
|
Temperature, Aggregate Risk, and Expected Returns |
|
w17574 |
Ravi Bansal
Marcelo Ochoa
|
Welfare Costs of Long-Run Temperature Shifts |
|
w17568 |
Wonho Wilson Choi
Andrew Metrick
Ayako Yasuda
|
A Model of Private Equity Fund Compensation |
|
w17566 |
Fernando E. Alvarez
Francesco Lippi
|
Persistent Liquidity Effects and Long Run Money Demand |
|
w17564 |
Ian Martin
|
The Forward Premium Puzzle in a Two-Country World |
|
w17563 |
Ian Martin
|
The Lucas Orchard |
|
w17561 |
Andrew Ang
Dennis Kristensen
|
Testing Conditional Factor Models |
|
w17560 |
Nicolas Coeurdacier
Pierre-Olivier Gourinchas
|
When Bonds Matter: Home Bias in Goods and Assets |
|
w17558 |
Viral V. Acharya
|
A Transparency Standard for Derivatives |
|
w17555 |
Arvind Krishnamurthy
Annette Vissing-Jorgensen
|
The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy |
|
w17548 |
Elias Albagli
Christian Hellwig
Aleh Tsyvinski
|
A Theory of Asset Pricing Based on Heterogeneous Information |
|
w17537 |
Karsten Jeske
Dirk Krueger
Kurt Mitman
|
Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises |
|
w17522 |
Kristian Rydqvist
Joshua Spizman
Ilya A. Strebulaev
|
Government Policy and Ownership of Financial Assets |
|
w17516 |
John Y. Campbell
João F. Cocco
|
A Model of Mortgage Default |
|
w17506 |
Alp Simsek
|
Speculation and Risk Sharing with New Financial Assets |
|
w17500 |
Yiting Li
Guillaume Rocheteau
Pierre-Olivier Weill
|
Liquidity and the Threat of Fraudulent Assets |
|
w17491 |
Diane Del Guercio
Jonathan Reuter
|
Mutual Fund Performance and the Incentive to Generate Alpha |
|
w17490 |
Francis X. Diebold
Kamil Yilmaz
|
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
|
w17484 |
Ravi Jagannathan
Srikant Marakani
|
Price Dividend Ratio Factors : Proxies for Long Run Risk |
|
w17454 |
Tobias Adrian
Markus K. Brunnermeier
|
CoVaR |
|
w17464 |
Lubos Pastor
Pietro Veronesi
|
Political Uncertainty and Risk Premia |
|
w17428 |
David T. Robinson
Berk A. Sensoy
|
Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity |
|
w17424 |
Yuriy Gorodnichenko
Anna Mikusheva
Serena Ng
|
Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties |
|
w17422 |
Jakub W. Jurek
Erik Stafford
|
Crashes and Collateralized Lending |
|
w17421 |
S. Boragan Aruoba
Francis X. Diebold
Jeremy Nalewaik
Frank Schorfheide
Dongho Song
|
Improving GDP Measurement: A Forecast Combination Perspective |
|
w17416 |
Jules H. van Binsbergen
Wouter Hueskes
Ralph Koijen
Evert B. Vrugt
|
Equity Yields |
|
w17353 |
Pierre-Olivier Gourinchas
Hélène Rey
Kai Truempler
|
The Financial Crisis and The Geography of Wealth Transfers |
|
w17334 |
Jessica A. Wachter
Missaka Warusawitharana
|
What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio |
|
w17330 |
Elias Albagli
Christian Hellwig
Aleh Tsyvinski
|
Information Aggregation, Investment, and Managerial Incentives |
|
w17328 |
Robert J. Barro
José F. Ursua
|
Rare Macroeconomic Disasters |
|
w17325 |
Ralph Koijen
Stijn Van Nieuwerburgh
Motohiro Yogo
|
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice |
|
w17323 |
Stephen A. Ross
|
The Recovery Theorem |
|
w17321 |
Marcin Kacperczyk
Philipp Schnabl
|
Implicit Guarantees and Risk Taking: Evidence from Money Market Funds |
|
w17315 |
Gene Amromin
Jennifer Huang
Clemens Sialm
Edward Zhong
|
Complex Mortgages |
|
w17301 |
Andreas Fuster
Benjamin Hebert
David Laibson
|
Natural Expectations, Macroeconomic Dynamics, and Asset Pricing |
|
w17298 |
Christopher Avery
Judith A. Chevalier
Richard J. Zeckhauser
|
The "CAPS" Prediction System and Stock Market Returns |
|
w17296 |
Darrell Duffie
Bruno Strulovici
|
Capital Mobility and Asset Pricing |
|
w17295 |
Darrell Duffie
Semyon Malamud
Gustavo Manso
|
Information Percolation in Segmented Markets |
|
w17292 |
Clemens Sialm
T. Mandy Tham
|
Spillover Effects in Mutual Fund Companies |
|
w17285 |
Xiaoji Lin
Lu Zhang
|
Covariances versus Characteristics in General Equilibrium |
|
w17281 |
Darrell Duffie
|
Systemic Risk Exposures: A 10-by-10-by-10 Approach |
|
w17280 |
Darrell Duffie
Yeneng Sun
|
The Exact Law of Large Numbers for Independent Random Matching |
|
w17278 |
Craig Burnside
|
Carry Trades and Risk |
|
w17277 |
François Gourio
Michael Siemer
Adrien Verdelhan
|
International Risk Cycles |
|
w17261 |
Karen K. Lewis
|
Global Asset Pricing |
|
w17224 |
Klaus Adam
Pei Kuang
Albert Marcet
|
House Price Booms and the Current Account |
|
w17219 |
David Backus
Mikhail Chernov
Stanley E. Zin
|
Sources of Entropy in Representative Agent Models |
|
w17199 |
Ngoc-Khanh Tran
Richard J. Zeckhauser
|
The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous |
|
w17197 |
Robin Greenwood
Samuel G. Hanson
|
Issuer Quality and the Credit Cycle |
|
w17182 |
Andrew Ang
Allan Timmermann
|
Regime Changes and Financial Markets |
|
w17169 |
Chongyang Chen
Zhonglan Dai
Douglas Shackelford
Harold Zhang
|
Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital? |
|
w17152 |
Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg
|
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
|
w17150 |
Òscar Jordà
Alan M. Taylor
|
Performance Evaluation of Zero Net-Investment Strategies |
|
w17149 |
Bryan T. Kelly
Hanno Lustig
Stijn Van Nieuwerburgh
|
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees |
|
w17136 |
Viral V. Acharya
Itamar Drechsler
Philipp Schnabl
|
A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk |
|
w17133 |
Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò
|
Risk, Monetary Policy and the Exchange Rate |
|
w17130 |
Xiaohong Chen
Jack Favilukis
Sydney C. Ludvigson
|
An Estimation of Economic Models with Recursive Preferences |
|
w17122 |
Yael V. Hochberg
Joshua D. Rauh
|
Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments |
|
w17121 |
Geert Bekaert
Michael Ehrmann
Marcel Fratzscher
Arnaud J. Mehl
|
Global Crises and Equity Market Contagion |
|
w17116 |
Charles Engel
|
The Real Exchange Rate, Real Interest Rates, and the Risk Premium |
|
w17115 |
Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny
|
A Model of Shadow Banking |
|
w17090 |
Lieven Baele
Geert Bekaert
Seonghoon Cho
Koen Inghelbrecht
Antonio Moreno
|
Macroeconomic Regimes |
|
w17064 |
Harold L. Cole
Felix Kubler
|
Recursive Contracts, Lotteries and Weakly Concave Pareto Sets |
|
w17027 |
Tarek A. Hassan
Thomas M. Mertens
|
The Social Cost of Near-Rational Investment |
|
w17026 |
Francois Gourio
|
Credit Risk and Disaster Risk |
|
w17025 |
Jialun Li
Kent Smetters
|
Optimal Portfolio Choice with Wage-Indexed Social Security |
|
w17021 |
Simon Gilchrist
Egon Zakrajšek
|
Credit Spreads and Business Cycle Fluctuations |
|
w17007 |
Robert J. Shiller
Rafal M. Wojakowski
M. Shahid Ebrahim
Mark B. Shackleton
|
Continuous Workout Mortgages |
|
w17000 |
Viral V. Acharya
Alberto Bisin
|
Counterparty Risk Externality: Centralized Versus Over-the-counter Markets |
|
w16996 |
Martin Lettau
Sydney C. Ludvigson
|
Shocks and Crashes |
|
w16995 |
Viral V. Acharya
Sergei A. Davydenko
Ilya A. Strebulaev
|
Cash Holdings and Credit Risk |
|
w16982 |
Andrew Ang
Francis A. Longstaff
|
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe |
|
w16976 |
G. William Schwert
|
Stock Volatility During the Recent Financial Crisis |
|
w16972 |
John H. Cochrane
|
Discount Rates |
|
w16965 |
Callum Jones
Virgiliu Midrigan
Thomas Philippon
|
Household Leverage and the Recession |
|
w16956 |
James D. Hamilton
Jing Cynthia Wu
|
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment |
|
w16952 |
Arindrajit Dube
Ethan Kaplan
Suresh Naidu
|
Coups, Corporations, and Classified Information |
|
w16950 |
Anthony W. Lynch
Oliver Randall
|
Why Surplus Consumption in the Habit Model May be Less Persistent than You Think |
|
w16949 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
How Prediction Markets Can Save Event Studies |
|
w16942 |
Craig Burnside
Martin S. Eichenbaum
Sergio Rebelo
|
Carry Trade and Momentum in Currency Markets |
|
w16941 |
Isil Erel
Brandon Julio
Woojin Kim
Michael S. Weisbach
|
Macroeconomic Conditions and Capital Raising |
|
w16931 |
James D. Hamilton
Jing Cynthia Wu
|
Testable Implications of Affine Term Structure Models |
|
w16911 |
Xavier Gabaix
|
A Sparsity-Based Model of Bounded Rationality |
|
w16906 |
Hui Chen
Scott Joslin
|
Generalized Transform Analysis of Affine Processes and Applications in Finance |
|
w16903 |
Carolin E. Pflueger
Luis M. Viceira
|
Inflation-Indexed Bonds and the Expectations Hypothesis |
|
w16898 |
Robert F. Stambaugh
Jianfeng Yu
Yu Yuan
|
The Short of It: Investor Sentiment and Anomalies |
|
w16892 |
Carolin E. Pflueger
Luis M. Viceira
|
Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity |
|
w16884 |
Ian Martin
|
Simple Variance Swaps |
|
w16875 |
Viral V. Acharya
Lars A. Lochstoer
Tarun Ramadorai
|
Limits to Arbitrage and Hedging: Evidence from Commodity Markets |
|
w16868 |
John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian
|
Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking? |
|
w16843 |
Chong Wang
Neng Wang
Jinqiang Yang
|
A Unified Model of Entrepreneurship Dynamics |
|
w16842 |
Yingcong Lan
Neng Wang
Jinqiang Yang
|
The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation |
|
w16810 |
Sydney C. Ludvigson
|
Advances in Consumption-Based Asset Pricing: Empirical Tests |
|
w16808 |
Patrick Bolton
Hui Chen
Neng Wang
|
Market Timing, Investment, and Risk Management |
|
w16801 |
Andrew Ang
Sergiy Gorovyy
Gregory B. van Inwegen
|
Hedge Fund Leverage |
|
w16788 |
Qingyuan Du
Shang-Jin Wei
|
A Darwinian Perspective on "Exchange Rate Undervaluation" |
|
w16777 |
Nicolae Gârleanu
Lasse Heje Pedersen
|
Margin-Based Asset Pricing and Deviations from the Law of One Price |
|
w16774 |
Ellen R. McGrattan
|
Transition to FDI Openness: Reconciling Theory and Evidence |
|
w16770 |
Ravi Jagannathan
Iwan Meier
Vefa Tarhan
|
The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
|
w16764 |
Alexander David
Pietro Veronesi
|
Investors' and Central Bank's Uncertainty Embedded in Index Options |
|
w16726 |
Bernard Dumas
Karen K. Lewis
Emilio Osambela
|
Differences of Opinion and International Equity Markets |
|
w16747 |
Laura Xiaolei Liu
Lu Zhang
|
A Model of Momentum |
|
w16737 |
Hans B. Christensen
Luzi Hail
Christian Leuz
|
Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement |
|
w16734 |
Craig Burnside
Martin Eichenbaum
Sergio Rebelo
|
Understanding Booms and Busts in Housing Markets |
|
w16716 |
Jeffrey LaFrance
Rulon Pope
Jesse Tack
|
Risk Response in Agriculture |
|
w16712 |
Harrison Hong
Motohiro Yogo
|
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? |
|
w16696 |
Pierre-André Chiappori
Krislert Samphantharak
Sam Schulhofer-Wohl
Robert M. Townsend
|
Heterogeneity and Risk Sharing in Village Economies |
| 2010 |
|
w16652 |
Andrew Metrick
Ayako Yasuda
|
Venture Capital and Other Private Equity: A Survey |
|
w16648 |
Ralph S.J. Koijen
Stijn Van Nieuwerburgh
|
Predictability of Returns and Cash Flows |
|
w16634 |
Craig Burnside
|
Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns |
|
w16633 |
Gianluca Benigno
Pierpaolo Benigno
Salvatore Nisticò
|
Second-Order Approximation of Dynamic Models with Time-Varying Risk |
|
w16628 |
Bruno Biais
Johan Hombert
Pierre-Olivier Weill
|
Trading and Liquidity with Limited Cognition |
|
w16607 |
Markus K. Brunnermeier
Martin Oehmke
|
The Maturity Rat Race |
|
w16601 |
Andrea Frazzini
Lasse H. Pedersen
|
Betting Against Beta |
|
w16591 |
James J. Choi
Li Jin
Hongjun Yan
|
What Does Stock Ownership Breadth Measure? |
|
w16590 |
Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz
|
Are all Credit Default Swap Databases Equal? |
|
w16586 |
Christopher J. Mayer
Tomasz Piskorski
Alexei Tchistyi
|
The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers |
|
w16583 |
Geert Bekaert
Campbell R. Harvey
Christian T. Lundblad
Stephan Siegel
|
The European Union, the Euro, and Equity Market Integration |
|
w16577 |
Jonathan A. Parker
Annette Vissing-Jorgensen
|
The Increase in Income Cyclicality of High-Income Households and its Relation to the Rise in Top Income Shares |
|
w16559 |
Charles W. Calomiris
Inessa Love
Maria Soledad Martinez Peria
|
Crisis "Shock Factors" and the Cross-Section of Global Equity Returns |
|
w16553 |
Priyank Gandhi
Hanno Lustig
|
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation |
|
w16549 |
Anders B. Trolle
Eduardo S. Schwartz
|
An Empirical Analysis of the Swaption Cube |
|
w16534 |
Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz
|
What Does Equity Sector Orderflow Tell Us about the Economy? |
|
w16531 |
Andrew Paciorek
Todd M. Sinai
|
Does Home Owning Smooth the Variability of Future Housing Consumption? |
|
w16491 |
Travis J. Berge
Òscar Jordà
Alan M. Taylor
|
Currency Carry Trades |
|
w16485 |
Viral V. Acharya
Peter M. DeMarzo
Ilan Kremer
|
Endogenous Information Flows and the Clustering of Announcements |
|
w16469 |
Francis X. Diebold
Georg Strasser
|
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
|
w16468 |
Xing Hu
Jun Pan
Jiang Wang
|
Noise as Information for Illiquidity |
|
w16458 |
Antje Berndt
Hanno Lustig
Sevin Yeltekin
|
How Does the U.S. Government Finance Fiscal Shocks? |
|
w16457 |
Stefan Nagel
Kenneth J. Singleton
|
Estimation and Evaluation of Conditional Asset Pricing Models |
|
w16455 |
Jules H. van Binsbergen
Michael W. Brandt
Ralph S.J. Koijen
|
On the Timing and Pricing of Dividends |
|
w16454 |
Lauren Cohen
Christopher Malloy
Lukasz Pomorski
|
Decoding Inside Information |
|
w16437 |
Lauren Cohen
Christopher Malloy
|
Friends in High Places |
|
w16427 |
Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan
|
Countercyclical Currency Risk Premia |
|
w16397 |
Geert Bekaert
Marie Hoerova
Marco Lo Duca
|
Risk, Uncertainty and Monetary Policy |
|
w16395 |
Viral V. Acharya
Ouarda Merrouche
|
Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis |
|
w16394 |
Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath
|
Liquidity Risk of Corporate Bond Returns: A Conditional Approach |
|
w16387 |
Pedro Bordalo
Nicola Gennaioli
Andrei Shleifer
|
Salience Theory of Choice Under Risk |
|
w16385 |
Ke Tang
Wei Xiong
|
Index Investment and Financialization of Commodities |
|
w16376 |
Jeffrey Wurgler
|
On the Economic Consequences of Index-Linked Investing |
|
w16358 |
Matthias Fleckenstein
Francis A. Longstaff
Hanno Lustig
|
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle |
|
w16337 |
Adam Ashcraft
Nicolae Gârleanu
Lasse Heje Pedersen
|
Two Monetary Tools: Interest Rates and Haircuts |
|
w16336 |
Frederico Belo
Chen Xue
Lu Zhang
|
Cross-sectional Tobin's Q |
|
w16335 |
Steven N. Kaplan
Tobias J. Moskowitz
Berk A. Sensoy
|
The Effects of Stock Lending on Security Prices: An Experiment |
|
w16329 |
Jonathan Reuter
Eric Zitzewitz
|
How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach |
|
w16327 |
Fatih Guvenen
Anthony Smith
|
Inferring Labor Income Risk from Economic Choices: An Indirect Inference Approach |
|
w16319 |
Omar Al-Ubaydli
John A. List
Michael K. Price
|
The Nature of Excess: Using Randomized Treatments to Investigate Price Dynamics |
|
w16316 |
Jessica A. Wachter
Motohiro Yogo
|
Why Do Household Portfolio Shares Rise in Wealth? |
|
w16312 |
Diane Del Guercio
Jonathan Reuter
Paula A. Tkac
|
Broker Incentives and Mutual Fund Market Segmentation |
|
w16302 |
George M. Constantinides
Michal Czerwonko
Jens Carsten Jackwerth
Stylianos Perrakis
|
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence |
|
w16282 |
Paul Asquith
Andrea S. Au
Thomas R. Covert
Parag A. Pathak
|
The Market for Borrowing Corporate Bonds |
|
w16264 |
S. Boragan Aruoba
Francis X. Diebold
M. Ayhan Kose
Marco E. Terrones
|
Globalization, the Business Cycle, and Macroeconomic Monitoring |
|
w16263 |
Jules H. van Binsbergen
Ralph S.J. Koijen
|
Predictive Regressions: A Present-value Approach |
|
w16255 |
Jessica Wachter
|
Asset Allocation |
|
w16242 |
Kenneth A. Snowden
|
Covered Farm Mortgage Bonds in the Late Nineteenth Century U.S. |
|
w16237 |
Veronica Guerrieri
Daniel Hartley
Erik Hurst
|
Endogenous Gentrification and Housing Price Dynamics |
|
w16223 |
Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon
|
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
|
w16222 |
John Y. Campbell
Stefano Giglio
Christopher Polk
|
Hard Times |
|
w16219 |
Ian Martin
|
The Valuation of Long-Dated Assets |
|
w16218 |
David K. Backus
Federico Gavazzoni
Christopher Telmer
Stanley E. Zin
|
Monetary Policy and the Uncovered Interest Parity Puzzle |
|
w16214 |
Ravi Jagannathan
Andrei Jirnyi
Ann Sherman
|
Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
|
w16206 |
Richard Stanton
Nancy Wallace
|
CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009 |
|
w16200 |
Efraim Benmelech
Nittai K. Bergman
|
Credit Traps |
|
w16187 |
Bruce I. Carlin
Shimon Kogan
|
Trading Complex Assets |
|
w16183 |
Anisha Ghosh
George M. Constantinides
|
The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth |
|
w16181 |
Larry G. Epstein
Martin Schneider
|
Ambiguity and Asset Markets |
|
w16175 |
Antje Berndt
Burton Hollifield
Patrik Sandås
|
The Role of Mortgage Brokers in the Subprime Crisis |
|
w16159 |
Philippe Bacchetta
Cédric Tille
Eric van Wincoop
|
Self-Fulfilling Risk Panics |
|
w16153 |
Ian Martin
|
Consumption-Based Asset Pricing with Higher Cumulants |
|
w16151 |
Hui Chen
|
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure |
|
w16145 |
Christopher L. House
Yusufcan Masatlioglu
|
Managing Markets for Toxic Assets |
|
w16128 |
Lubos Pastor
Pietro Veronesi
|
Uncertainty about Government Policy and Stock Prices |
|
w16094 |
Patrick Bolton
Christopher Harris
|
The Dynamics of Optimal Risk Sharing |
|
w16087 |
John H. Cochrane
|
Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic |
|
w16073 |
Nikolai Roussanov
|
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns |
|
w16068 |
Nicola Gennaioli
Andrei Shleifer
Robert W. Vishny
|
Neglected Risks, Financial Innovation, and Financial Fragility |
|
reic09-1 |
Lucrezia Reichlin and Kenneth D. West
organizers
|
NBER International Seminar on Macroeconomics 2009 |
|
w16063 |
Daniel Paravisini
Veronica Rappoport
Enrichetta Ravina
|
Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios |
|
w16061 |
Rajnish Mehra
|
Indian Equity Markets: Measures of Fundamental Value |
|
w16058 |
Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang
|
Aggregate Idiosyncratic Volatility |
|
w16042 |
Brock Mendel
Andrei Shleifer
|
Chasing Noise |
|
w16035 |
Hui Chen
Scott Joslin
Ngoc-Khanh Tran
|
Rare Disasters and Risk Sharing with Heterogeneous Beliefs |
|
w16008 |
Andrew Ang
Vineer Bhansali
Yuhang Xing
|
Build America Bonds |
|
w15998 |
Raj Chetty
Adam Szeidl
|
The Effect of Housing on Portfolio Choice |
|
w15993 |
Huseyin Gulen
Yuhang Xing
Lu Zhang
|
Value versus Growth: Time-Varying Expected Stock Returns |
|
w15992 |
Hernán Ortiz-Molina
Gordon M. Phillips
|
Asset Liquidity and the Cost of Capital |
|
w15988 |
Jack Favilukis
Sydney C. Ludvigson
Stijn Van Nieuwerburgh
|
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium |
|
w15950 |
Jin Ginger Wu
Lu Zhang
|
Does Risk Explain Anomalies? Evidence from Expected Return Estimates |
|
w15948 |
Robin Greenwood
Samuel Hanson
|
Characteristic Timing |
|
w15940 |
Robert Novy-Marx
|
The Other Side of Value: Good Growth and the Gross Profitability Premium |
|
w15937 |
Andrew Ang
Nicolas P.B. Bollen
|
Locked Up by a Lockup: Valuing Liquidity as a Real Option |
|
w15925 |
Daniel J. Benjamin
James J. Choi
Geoffrey W. Fisher
|
Religious Identity and Economic Behavior |
|
w15923 |
Erik Snowberg
Justin Wolfers
|
Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions? |
|
w15920 |
Emi Nakamura
Jón Steinsson
Robert Barro
José Ursúa
|
Crises and Recoveries in an Empirical Model of Consumption Disasters |
|
w15919 |
Zhiguo He
In Gu Khang
Arvind Krishnamurthy
|
Balance Sheet Adjustments in the 2008 Crisis |
|
w15912 |
Lucian A. Bebchuk
Alma Cohen
Charles C.Y. Wang
|
Learning and the Disappearing Association Between Governance and Returns |
|
w15883 |
George-Marios Angeletos
Guido Lorenzoni
Alessandro Pavan
|
Beauty Contests and Irrational Exuberance: A Neoclassical Approach |
|
w15866 |
Craig Burnside
Bing Han
David Hirshleifer
Tracy Yue Wang
|
Investor Overconfidence and the Forward Premium Puzzle |
|
w15861 |
Jeffrey Brown
Stephen G. Dimmock
Jun-Koo Kang
Scott Weisbenner
|
How University Endowments Respond to Financial Market Shocks: Evidence and Implications |
|
w15859 |
Laurent E. Calvet
Paolo Sodini
|
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios |
|
w15850 |
Yacine Aït-Sahalia
Julio Cacho-Diaz
Roger J.A. Laeven
|
Modeling Financial Contagion Using Mutually Exciting Jump Processes |
|
w15848 |
Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev
|
Corporate Bond Default Risk: A 150-Year Perspective |
|
w15839 |
Lauren Cohen
Joshua D. Coval
Christopher Malloy
|
Do Powerful Politicians Cause Corporate Downsizing? |
|
w15837 |
Viral V. Acharya
S. Viswanathan
|
Leverage, Moral Hazard and Liquidity |
|
w15835 |
Fernando E. Alvarez
Luigi Guiso
Francesco Lippi
|
Durable consumption and asset management with transaction and observation costs |
|
w15821 |
Denis Gromb
Dimitri Vayanos
|
Limits of Arbitrage: The State of the Theory |
|
w15809 |
Yacine Aït-Sahalia
Jochen Andritzky
Andreas Jobst
Sylwia Nowak
Natalia Tamirisa
|
Market Response to Policy Initiatives during the Global Financial Crisis |
|
w15808 |
Yacine Aït-Sahalia
Jean Jacod
|
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data |
|
w15807 |
Holger Kraft
Eduardo S. Schwartz
|
Cash Flow Multipliers and Optimal Investment Decisions |
|
w15806 |
Gara Afonso
Anna Kovner
Antoinette Schoar
|
Stressed not Frozen: The Fed Funds Market in the Financial Crisis |
|
w15805 |
Stavros Panageas
|
Optimal retirement benefit guarantees |
|
w15787 |
Gary B. Gorton
|
Questions and Answers about the Financial Crisis |
|
w15783 |
Robert S. Gibbons
Richard T. Holden
Michael L. Powell
|
Rational-Expectations Equilibrium in Intermediate Good Markets |
|
w15759 |
David Laibson
Johanna Mollerstrom
|
Capital Flows, Consumption Booms and Asset Bubbles: A Behavioural Alternative to the Savings Glut Hypothesis |
|
w15734 |
Pierre Collin-Dufresne
Robert S. Goldstein
Fan Yang
|
On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches |
|
w15733 |
Pierre Collin-Dufresne
Robert S. Goldstein
Jean Helwege
|
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. |
|
w15730 |
Viral V. Acharya
Philipp Schnabl
Gustavo Suarez
|
Securitization without risk transfer |
|
w15709 |
Jonathan Berk
Johan Walden
|
Limited Capital Market Participation and Human Capital Risk |
|
w15708 |
Efraim Benmelech
Nittai K. Bergman
|
Bankruptcy and the Collateral Channel |
|
w15688 |
Ralph S.J. Koijen
Hanno Lustig
Stijn Van Nieuwerburgh
|
The Cross-Section and Time-Series of Stock and Bond Returns |
|
w15674 |
Viral V. Acharya
Douglas Gale
Tanju Yorulmazer
|
Rollover Risk and Market Freezes |
|
w15668 |
Isaac Ehrlich
Jong Kook Shin
Yong Yin
|
Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets |
|
w15662 |
Ricardo Reis
|
Interpreting the Unconventional U.S. Monetary Policy of 2007-09 |
|
w15657 |
S. Boragan Aruoba
Francis X. Diebold
|
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
|
w15653 |
Zhiguo He
Wei Xiong
|
Rollover Risk and Credit Risk |
|
w15646 |
Lubos Pastor
Robert F. Stambaugh
|
On the Size of the Active Management Industry |
| 2009 |
|
w15591 |
Benjamin Chabot
Eric Ghysels
Ravi Jagannathan
|
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
|
w15563 |
Alexander David
Pietro Veronesi
|
What Ties Return Volatilities to Price Valuations and Fundamentals? |
|
w15545 |
Alex Edmans
Xavier Gabaix
|
Tractability in Incentive Contracting |
|
w15542 |
Arvind Krishnamurthy
|
How Debt Markets have Malfunctioned in the Crisis |
|
w15538 |
Marcin Kacperczyk
Philipp Schnabl
|
When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009 |
|
w15533 |
Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg
|
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
|
w15513 |
Mikhail Golosov
Guido Lorenzoni
Aleh Tsyvinski
|
Decentralized Trading with Private Information |
|
w15506 |
Jaroslav Borovička
Lars Peter Hansen
Mark Hendricks
José A. Scheinkman
|
Risk Price Dynamics |
|
w15504 |
Ravi Bansal
Dana Kiku
Amir Yaron
|
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices |
|
w15487 |
Dimitri Vayanos
Jean-Luc Vila
|
A Preferred-Habitat Model of the Term Structure of Interest Rates |
|
w15482 |
Zhiguo He
Wei Xiong
|
Dynamic Debt Runs |
|
w15481 |
Wei Xiong
Jialin Yu
|
The Chinese Warrants Bubble |
|
w15479 |
Ricardo J. Caballero
Alp Simsek
|
Fire Sales in a Model of Complexity |
|
w15462 |
Todd M. Sinai
Nicholas S. Souleles
|
Can Owning a Home Hedge the Risk of Moving? |
|
w15458 |
Pietro Veronesi
Luigi Zingales
|
Paulson's Gift |
|
w15457 |
Nicolae Gârleanu
Leonid Kogan
Stavros Panageas
|
The Demographics of Innovation and Asset Returns |
|
w15450 |
Marcin Kacperczyk
Stijn Van Nieuwerburgh
Laura Veldkamp
|
Rational Attention Allocation Over the Business Cycle |
|
w15414 |
Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill
|
Crises and Liquidity in Over-the-Counter Markets |
|
w15405 |
Stavros Panageas
|
Optimal taxation in the presence of bailouts |
|
w15399 |
François Gourio
|
Disasters Risk and Business Cycles |
|
w15382 |
Yi-Li Chien
Harold L. Cole
Hanno Lustig
|
Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing? |
|
w15381 |
David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo
|
On the Scholes Liquidation Problem |
|
w15362 |
Amir E. Khandani
Andrew W. Lo
Robert C. Merton
|
Systemic Risk and the Refinancing Ratchet Effect |
|
w15353 |
Sergio Mayordomo
Juan Ignacio Peña
Eduardo S. Schwartz
|
Towards a Common European Monetary Union Risk Free Rate |
|
w15340 |
Nicolae B. Gârleanu
Stavros Panageas
Jianfeng Yu
|
Technological Growth and Asset Pricing |
|
w15336 |
George O. Aragon
Philip E. Strahan
|
Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy |
|
w15335 |
Narasimhan Jegadeesh
Roman Kräussl
Joshua Pollet
|
Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices |
|
w15333 |
Douglas W. Blackburn
William N. Goetzmann
Andrey D. Ukhov
|
Risk Aversion and Clientele Effects |
|
w15327 |
Clemens Sialm
Laura Starks
|
Mutual Fund Tax Clienteles |
|
w15318 |
Yong Chen
Wayne Ferson
Helen Peters
|
Measuring the Timing Ability and Performance of Bond Mutual Funds |
|
w15312 |
Robert B. Barsky
Eric R. Sims
|
News Shocks |
|
w15307 |
Motohiro Yogo
|
Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets |
|
w15298 |
Stefano DellaVigna
Matthew Gentzkow
|
Persuasion: Empirical Evidence |
|
w15297 |
Lasse Heje Pedersen
|
When Everyone Runs for the Exit |
|
w15295 |
Yannick Malevergne
Pedro Santa-Clara
Didier Sornette
|
Professor Zipf goes to Wall Street |
|
w15283 |
Atif R. Mian
Amir Sufi
|
House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis |
|
w15273 |
Gary B. Gorton
Andrew Metrick
|
Haircuts |
|
w15270 |
Andrew Ang
Jean Boivin
Sen Dong
Rudy Loo-Kung
|
Monetary Policy Shifts and the Term Structure |
|
w15265 |
Christopher D. Carroll
Patrick Toche
|
A Tractable Model of Buffer Stock Saving |
|
w15260 |
Lieven Baele
Geert Bekaert
Koen Inghelbrecht
|
The Determinants of Stock and Bond Return Comovements |
|
w15254 |
Chris Edmond
Pierre-Olivier Weill
|
Aggregate Implications of Micro Asset Market Segmentation |
|
w15247 |
Robert J. Barro
Tao Jin
|
On the Size Distribution of Macroeconomic Disasters |
|
w15243 |
Fatih Guvenen
|
A Parsimonious Macroeconomic Model for Asset Pricing |
|
w15240 |
David Backus
Mikhail Chernov
Ian Martin
|
Disasters implied by equity index options |
|
w15228 |
Christopher D. Carroll
Olivier Jeanne
|
A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds |
|
w15227 |
Yosef Bonaparte
Russell Cooper
|
Costly Portfolio Adjustment |
|
w15223 |
Gary B. Gorton
Andrew Metrick
|
Securitized Banking and the Run on Repo |
|
w15222 |
Geert Bekaert
Eric Engstrom
|
Asset Return Dynamics under Bad Environment Good Environment Fundamentals |
|
w15219 |
Long Chen
Lu Zhang
|
The stock market and aggregate employment |
|
w15215 |
Dimitri Vayanos
Jiang Wang
|
Liquidity and Asset Prices: A Unified Framework |
|
w15205 |
Nicolae B. Garleanu
Lasse H. Pedersen
|
Dynamic Trading with Predictable Returns and Transaction Costs |
|
w15189 |
Leonid Kogan
Stephen Ross
Jiang Wang
Mark M. Westerfield
|
Market Selection |
|
w15188 |
Sydney C. Ludvigson
Serena Ng
|
A Factor Analysis of Bond Risk Premia |
|
w15184 |
Stefano DellaVigna
Joshua M. Pollet
|
Capital Budgeting vs. Market Timing: An Evaluation Using Demographics |
|
w15170 |
John Geanakoplos
Stephen P. Zeldes
|
Market Valuation of Accrued Social Security Benefits |
|
w15158 |
Nuno Cassola
Ali Hortacsu
Jakub Kastl
|
The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds |
|
w15145 |
Luigi Guiso
Paola Sapienza
Luigi Zingales
|
Moral and Social Constraints to Strategic Default on Mortgages |
|
w15143 |
Cindy R. Alexander
Mark A. Chen
Duane J. Seppi
Chester S. Spatt
|
The Role of Advisory Services in Proxy Voting |
|
w15084 |
Nicola Gennaioli
Andrei Shleifer
|
What Comes to Mind |
|
w15072 |
Harald Uhlig
|
A Model of a Systemic Bank Run |
|
w15062 |
Emmanuel Farhi
Samuel Paul Fraiberger
Xavier Gabaix
Romain Ranciere
Adrien Verdelhan
|
Crash Risk in Currency Markets |
|
w15058 |
Stavros Panageas
|
Bailouts, the Incentive to Manage Risk, and Financial Crises |
|
w15052 |
Robert B. Barsky
|
The Japanese Bubble: A 'Heterogeneous' Approach |
|
w15047 |
Raymond Kan
Cesare Robotti
Jay Shanken
|
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology |
|
w15045 |
Efraim Benmelech
Jennifer Dlugosz
|
The Credit Rating Crisis |
|
w15040 |
Arvind Krishnamurthy
|
Amplification Mechanisms in Liquidity Crises |
|
w15038 |
Vincent Glode
Burton Hollifield
Marcin Kacperczyk
Shimon Kogan
|
Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry |
|
w15029 |
Diego A. Comin
Mark Gertler
Ana Maria Santacreu
|
Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations |
|
w15024 |
Geert Bekaert
Eric Engstrom
|
Inflation and the Stock Market:Understanding the "Fed Model" |
|
w15014 |
John Y. Campbell
Robert J. Shiller
Luis M. Viceira
|
Understanding Inflation-Indexed Bond Markets |
|
w15010 |
Andrew B. Abel
Janice C. Eberly
Stavros Panageas
|
Optimal Inattention to the Stock Market with Information Costs and Transactions Costs |
|
w15009 |
Bruno Biais
Pierre-Olivier Weill
|
Liquidity Shocks and Order Book Dynamics |
|
w15008 |
Philippe Bacchetta
Eric van Wincoop
|
On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals |
|
w14999 |
David Kelly
|
Subsidies to Industry and the Environment |
|
w14997 |
Ricardo J. Caballero
Alp Simsek
|
Complexity and Financial Panics |
|
w14947 |
Nicholas C. Barberis
|
A Model of Casino Gambling |
|
w14944 |
Gary B. Gorton
Lixin Huang
Qiang Kang
|
The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover |
|
w14929 |
Thomas Philippon
Philipp Schnabl
|
Efficient Recapitalization |
|
w14913 |
David S. Bates
|
U.S. Stock Market Crash Risk, 1926-2006 |
|
w14903 |
Jennifer Huang
Clemens Sialm
Hanjiang Zhang
|
Risk Shifting and Mutual Fund Performance |
|
w14898 |
Veronica Guerrieri
Péter Kondor
|
Fund Managers, Career Concerns, and Asset Price Volatility |
|
w14889 |
Zhi Da
Re-Jin Guo
Ravi Jagannathan
|
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
|
w14881 |
Richard A. Lambert
Christian Leuz
Robert E. Verrecchia
|
Information Asymmetry, Information Precision, and the Cost of Capital |
|
w14871 |
Francis A. Longstaff
Brett Myers
|
Valuing Toxic Assets: An Analysis of CDO Equity |
|
w14867 |
Patrick Bolton
Tano Santos
Jose A. Scheinkman
|
Outside and Inside Liquidity |
|
w14866 |
John Y. Campbell
Stefano Giglio
Parag Pathak
|
Forced Sales and House Prices |
|
w14862 |
Marvin Goodfriend
Robert G. King
|
The Great Inflation Drift |
|
w14859 |
John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian
|
How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices? |
|
w14848 |
Hui Chen
Jianjun Miao
Neng Wang
|
Entrepreneurial Finance and Non-diversifiable Risk |
|
w14845 |
Patrick Bolton
Hui Chen
Neng Wang
|
A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management |
|
w14843 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Financial Openness and Productivity |
|
w14815 |
Ravi Bansal
Ivan Shaliastovich
|
Confidence Risk and Asset Prices |
|
w14814 |
Ravi Bansal
Ivan Shaliastovich
|
Learning and Asset-Price Jumps |
|
w14813 |
Ulrike Malmendier
Stefan Nagel
|
Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? |
|
w14804 |
Turan G. Bali
Nusret Cakici
Robert F. Whitelaw
|
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns |
|
w14802 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel
|
What Segments Equity Markets? |
|
w14788 |
Jason Beeler
John Y. Campbell
|
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment |
|
w14772 |
Lars Ljungqvist
Harald Uhlig
|
Optimal Endowment Destruction under Campbell-Cochrane Habit Formation |
|
w14764 |
Roland Bénabou
|
Groupthink: Collective Delusions in Organizations and Markets |
|
w14761 |
Vasiliki Skreta
Laura Veldkamp
|
Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation |
|
w14760 |
Robert J. Barro
José F. Ursúa
|
Stock-Market Crashes and Depressions |
|
w14757 |
Lubos Pastor
Robert F. Stambaugh
|
Are Stocks Really Less Volatile in the Long Run? |
|
w14754 |
Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro
|
Risk Preferences in the PSID: Individual Imputations and Family Covariation |
|
w14739 |
Douglas W. Diamond
Raghuram Rajan
|
The Credit Crisis: Conjectures about Causes and Remedies |
|
w14734 |
Pierpaolo Benigno
Salvatore Nisticò
|
International Portfolio Allocation under Model Uncertainty |
|
w14727 |
Markus K. Brunnermeier
Motohiro Yogo
|
A Note on Liquidity Risk Management |
|
w14701 |
John Y. Campbell
Adi Sunderam
Luis M. Viceira
|
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds |
|
w14699 |
Laurent E. Calvet
John Y. Campbell
Paolo Sodini
|
Measuring the Financial Sophistication of Households |
|
w14698 |
Martin Lettau
Jessica A. Wachter
|
The Term Structures of Equity and Interest Rates |
|
w14688 |
Ricardo J. Caballero
Arvind Krishnamurthy
|
Global Imbalances and Financial Fragility |
|
w14687 |
Francis A. Longstaff
|
Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? |
|
w14669 |
Monika Piazzesi
Martin Schneider
|
Momentum traders in the housing market: survey evidence and a search model |
|
w14665 |
Jonathan A. Parker
Annette Vissing-Jorgensen
|
Who Bears Aggregate Fluctuations and How? |
|
w14663 |
Michael G. Palumbo
Jonathan A. Parker
|
The Integrated Financial and Real System of National Accounts for the United States: Does It Presage the Financial Crisis? |
|
w14649 |
Gary B. Gorton
|
Information, Liquidity, and the (Ongoing) Panic of 2007 |
|
w14646 |
Lubos Pastor
Pietro Veronesi
|
Learning in Financial Markets |
|
w14644 |
Thomas Philippon
Ariell Reshef
|
Wages and Human Capital in the U.S. Financial Industry: 1909-2006 |
| 2008 |
|
w14629 |
Bernard Dumas
Andrew Lyasoff
|
Incomplete-Market Equilibria Solved Recursively on an Event Tree |
|
w14612 |
Markus K. Brunnermeier
|
Deciphering the Liquidity and Credit Crunch 2007-08 |
|
w14609 |
Zhi Da
Pengjie Gao
Ravi Jagannathan
|
Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
|
w14601 |
Kirstin Hubrich
Kenneth D. West
|
Forecast Evaluation of Small Nested Model Sets |
|
w14574 |
Zhiguo He
Wei Xiong
|
Delegated Asset Management, Investment Mandates, and Capital Immobility |
|
w14571 |
Miguel A. Ferreira
Pedro Santa-Clara
|
Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole |
|
w14544 |
George M. Constantinides
Jens Carsten Jackwerth
Stylianos Perrakis
|
Mispricing of S&P 500 Index Options |
|
w14543 |
George M. Constantinides
Anisha Ghosh
|
Asset Pricing Tests with Long Run Risks in Consumption Growth |
|
w14525 |
Thomas J. Brennan
Andrew W. Lo
|
Impossible Frontiers |
|
w14523 |
Dimitri Vayanos
Paul Woolley
|
An Institutional Theory of Momentum and Reversal |
|
w14517 |
Zhiguo He
Arvind Krishnamurthy
|
Intermediary Asset Pricing |
|
w14500 |
Benjamin Chabot
Eric Ghysels
Ravi Jagannathan
|
Price Momentum In Stocks: Insights From Victorian Age Data |
|
w14496 |
Andrew Ang
Vineer Bhansali
Yuhang Xing
|
Taxes on Tax-Exempt Bonds |
|
w14473 |
Markus K. Brunnermeier
Stefan Nagel
Lasse H. Pedersen
|
Carry Trades and Currency Crashes |
|
w14465 |
Amir E. Khandani
Andrew W. Lo
|
What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
|
w14463 |
Jens H.E. Christensen
Francis X. Diebold
Glenn D. Rudebusch
|
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
|
w14440 |
Nicholas C. Barberis
Wei Xiong
|
Realization Utility |
|
w14424 |
Geetesh Bhardwaj
Gary B. Gorton
K. Geert Rouwenhorst
|
Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors |
|
w14411 |
Anthony W. Lynch
Jessica A. Wachter
|
Using Samples of Unequal Length in Generalized Method of Moments Estimation |
|
w14398 |
Gary B. Gorton
|
The Subprime Panic |
|
w14390 |
Cédric Tille
Eric van Wincoop
|
International Capital Flows under Dispersed Information: Theory and Evidence |
|
w14386 |
Jessica Wachter
|
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? |
|
w14378 |
William A. Brock
Charles F. Manski
|
Competitive Lending with Partial Knowledge of Loan Repayment |
|
w14366 |
Zhiguo He
Arvind Krishnamurthy
|
A Model of Capital and Crises |
|
w14358 |
Gary B. Gorton
|
The Panic of 2007 |
|
w14351 |
Rajnish Mehra
Facundo Piguillem
Edward C. Prescott
|
Costly Financial Intermediation in Neoclassical Growth Theory |
|
w14343 |
Robert Novy-Marx
Joshua D. Rauh
|
The Intergenerational Transfer of Public Pension Promises |
|
w14342 |
Dongmei Li
Lu Zhang
|
Costly External Finance: Implications for Capital Markets Anomalies |
|
w14340 |
Isaac Ehrlich
William A. Hamlen Jr.
Yong Yin
|
Asset Management, Human Capital, and the Market for Risky Assets |
|
w14299 |
Xavier Gabaix
|
Power Laws in Economics and Finance |
|
w14290 |
Gerard Hoberg
Gordon M. Phillips
|
Real and Financial Industry Booms and Busts |
|
w14269 |
Francis X. Diebold
Kamil Yilmaz
|
Macroeconomic Volatility and Stock Market Volatility, Worldwide |
|
w14243 |
Lars Peter Hansen
|
Modeling the Long Run: Valuation in Dynamic Stochastic Economies |
|
w14232 |
Lauren Cohen
Andrea Frazzini
Christopher Malloy
|
Hiring Cheerleaders: Board Appointments of "Independent" Directors |
|
w14228 |
Markus K. Brunnermeier
Filippos Papakonstantinou
Jonathan A. Parker
|
An Economic Model of the Planning Fallacy |
|
w14177 |
Laurent E. Calvet
John Y. Campbell
Paolo Sodini
|
Fight or Flight? Portfolio Rebalancing by Individual Investors |
|
w14172 |
Harald Hau
Helene Rey
|
Home Bias at the Fund Level |
|
w14169 |
Jon Faust
Jonathan H. Wright
|
Efficient Prediction of Excess Returns |
|
w14165 |
Harald Hau
Hélène Rey
|
Global Portfolio Rebalancing Under the Microscope |
|
w14158 |
Paul Asquith
Rebecca Oman
Christopher Safaya
|
Short Sales and Trade Classification Algorithms |
|
w14148 |
Alexander Peter Groh
Oliver Gottschalg
|
The Opportunity Cost of Capital of US Buyouts |
|
w14144 |
Joost Driessen
Tse-Chun Lin
Ludovic Phalippou
|
A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds |
|
w14119 |
Ricardo Lagos
Guillaume Rocheteau
Pierre-Olivier Weill
|
Crashes and Recoveries in Illiquid Markets |
|
w14111 |
Robin Greenwood
Stefan Nagel
|
Inexperienced Investors and Bubbles |
|
w14083 |
Christopher J. Mayer
Karen Pence
|
Subprime Mortgages: What, Where, and to Whom? |
|
w14082 |
Hanno Lustig
Nikolai Roussanov
Adrien Verdelhan
|
Common Risk Factors in Currency Markets |
|
w14068 |
Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz
|
Hedge Fund Contagion and Liquidity |
|
w14058 |
Jennifer Huang
Jiang Wang
|
Market Liquidity, Asset Prices and Welfare |
|
w14054 |
A. Craig Burnside
Martin S. Eichenbaum
Isaac Kleshchelski
Sergio Rebelo
|
Do Peso Problems Explain the Returns to the Carry Trade? |
|
w14019 |
Michael D. Bordo
Michael J. Dueker
David C. Wheelock
|
Inflation, Monetary Policy and Stock Market Conditions |
|
w14013 |
Jennifer Huang
Jiang Wang
|
Liquidity and Market Crashes |
|
w13979 |
John Geanakoplos
Stephen P. Zeldes
|
Reforming Social Security with Progressive Personal Accounts |
|
w13976 |
John Beshears
James J. Choi
David Laibson
Brigitte C. Madrian
|
How are Preferences Revealed? |
|
w13973 |
Lauren Cohen
Andrea Frazzini
Christopher Malloy
|
Sell Side School Ties |
|
w13940 |
Robert J. Barro
José F. Ursúa
|
Macroeconomic Crises since 1870 |
|
w13966 |
Francisco J. Gomes
Laurence J. Kotlikoff
Luis M. Viceira
|
Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds |
|
w13962 |
Robert J. Shiller
|
Derivatives Markets for Home Prices |
|
w13944 |
Andrew Ang
Matthew Rhodes-Kropf
Rui Zhao
|
Do Funds-of-Funds Deserve Their Fees-on-Fees? |
|
w13943 |
John B. Taylor
John C. Williams
|
A Black Swan in the Money Market |
|
w13904 |
Stijn Van Nieuwerburgh
Laura Veldkamp
|
Information Acquisition and Under-Diversification |
|
w13896 |
Hanno Lustig
Stijn Van Nieuwerburgh
Adrien Verdelhan
|
The Wealth-Consumption Ratio |
|
w13884 |
Woodrow T. Johnson
James M. Poterba
|
Taxes and Mutual Fund Inflows Around Distribution Dates |
|
w13874 |
Efraim Benmelech
Nittai K. Bergman
|
Collateral Pricing |
|
w13854 |
Yacine Aït-Sahalia
Michael W. Brandt
|
Consumption and Portfolio Choice with Option-Implied State Prices |
|
w13848 |
Bruce Lehmann
|
Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk |
|
w13825 |
Yacine Ait-Sahalia
Jialin Yu
|
High Frequency Market Microstructure Noise Estimates and Liquidity Measures |
|
w13822 |
Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson
|
Learning in the Credit Card Market |
|
w13812 |
Hanno Lustig
Adrien Verdelhan
|
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply |
|
w13811 |
Francis X. Diebold
Kamil Yilmaz
|
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
|
w13806 |
Robin Greenwood
Dimitri Vayanos
|
Bond Supply and Excess Bond Returns |
|
w13805 |
Emmanuel Farhi
Xavier Gabaix
|
Rare Disasters and Exchange Rates |
|
w13804 |
Lubos Pastor
Robert F. Stambaugh
|
Predictive Systems: Living with Imperfect Predictors |
|
w13786 |
Joseph Chen
Samuel Hanson
Harrison Hong
Jeremy C. Stein
|
Do Hedge Funds Profit From Mutual-Fund Distress? |
|
w13768 |
Stephanie E. Curcuru
Tomas Dvorak
Francis E. Warnock
|
Cross-Border Returns Differentials |
|
w13762 |
Malcolm Baker
Robin Greenwood
Jeffrey Wurgler
|
Catering Through Nominal Share Prices |
|
w13739 |
Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang
|
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence |
|
w13726 |
Julia Coronado
Olivia S. Mitchell
Steven A. Sharpe
S. Blake Nesbitt
|
Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values |
|
w13724 |
Xavier Gabaix
|
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance |
| 2007 |
|
w13713 |
Ernesto Reuben
Paola Sapienza
Luigi Zingales
|
Procrastination and Impatience |
|
w13693 |
Todd Sinai
Nicholas S. Souleles
|
Net Worth and Housing Equity in Retirement |
|
w13658 |
Francis A. Longstaff
Jun Pan
Lasse H. Pedersen
Kenneth J. Singleton
|
How Sovereign is Sovereign Credit Risk? |
|
w13656 |
James J. Choi
David Laibson
Brigitte C. Madrian
|
Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect |
|
w13650 |
Dirk Krueger
Hanno Lustig
Fabrizio Perri
|
Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data |
|
w13640 |
Murillo Campello
John Graham
|
Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble |
|
w13625 |
Zhi Da
Pengjie Gao
Ravi Jagannathan
|
When Does a Mutual Fund's Trade Reveal its Skill? |
|
w13611 |
Jens H. E. Christensen
Francis X. Diebold
Glenn D. Rudebusch
|
The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models |
|
w13588 |
Francis X. Diebold
Canlin Li
Vivian Z. Yue
|
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
|
w13555 |
YiLi Chien
Harold Cole
Hanno Lustig
|
A Multiplier Approach to Understanding the Macro Implications of Household Finance |
|
w13569 |
James D. Hamilton
|
Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts |
|
w13559 |
Fernando A. Broner
Alberto Martin
Jaume Ventura
|
Enforcement Problems and Secondary Markets |
|
w13558 |
Robert J. Shiller
|
Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models |
|
w13553 |
Robert J. Shiller
|
Understanding Recent Trends in House Prices and Home Ownership |
|
w13525 |
Jin Ginger Wu
Lu Zhang
X. Frank Zhang
|
Understanding the Accrual Anomaly |
|
w13504 |
Harrison Hong
Jose A. Scheinkman
Wei Xiong
|
Advisors and Asset Prices: A Model of the Origins of Bubbles |
|
w13487 |
Sumit Agarwal
John C. Driscoll
David Laibson
|
Optimal Mortgage Refinancing: A Closed Form Solution |
|
w13475 |
George-Marios Angeletos
Guido Lorenzoni
Alessandro Pavan
|
Wall Street and Silicon Valley: A Delicate Interaction |
|
w13449 |
Torben G. Andersen
Oleg Bondarenko
|
Construction and Interpretation of Model-Free Implied Volatility |
|
w13448 |
Andrew Ang
Sen Dong
Monika Piazzesi
|
No-Arbitrage Taylor Rules |
|
w13430 |
Xavier Gabaix
|
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices |
|
w13424 |
Nicolas Coeurdacier
Robert Kollmann
Philippe Martin
|
International Portfolios with Supply, Demand and Redistributive Shocks |
|
w13423 |
John Y. Campbell
|
Estimating the Equity Premium |
|
w13420 |
Stefano DellaVigna
|
Psychology and Economics: Evidence from the Field |
|
w13419 |
David K. Backus
Jonathan H. Wright
|
Cracking the Conundrum |
|
w13401 |
Bernard Dumas
Alexander Kurshev
Raman Uppal
|
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility |
|
w13366 |
Stijn Van Nieuwerburgh
Laura Veldkamp
|
Information Immobility and the Home Bias Puzzle |
|
w13361 |
Ralph S.J. Koijen
Otto Van Hemert
Stijn Van Nieuwerburgh
|
Mortgage Timing |
|
w13357 |
A. Craig Burnside
|
Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors |
|
w13355 |
Stefano DellaVigna
Eliana La Ferrara
|
Detecting Illegal Arms Trade |
|
w13337 |
Miles S. Kimball
Claudia R. Sahm
Matthew D. Shapiro
|
Imputing Risk Tolerance from Survey Responses |
|
w13283 |
Mihir A. Desai
Li Jin
|
Institutional Tax Clienteles and Payout Policy |
|
w13282 |
Long Chen
Lu Zhang
|
Neoclassical Factors |
|
w13281 |
Mihir A. Desai
Dhammika Dharmapala
|
Taxes and Portfolio Choice: Evidence from JGTRRA's Treatment of International Dividends |
|
w13265 |
Michelle J. White
|
Bankruptcy Reform and Credit Cards |
|
w13251 |
Rui Albuquerque
Neng Wang
|
Agency Conflicts, Investment, and Asset Pricing |
|
w13250 |
Jianjun Miao
Neng Wang
|
Investment, Consumption, and Hedging under Incomplete Markets |
|
w13249 |
Gary B. Gorton
Fumio Hayashi
K. Geert Rouwenhorst
|
The Fundamentals of Commodity Futures Returns |
|
w13245 |
Michael F. Gallmeyer
Burton Hollifield
Francisco Palomino
Stanley E. Zin
|
Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models |
|
w13220 |
John Donaldson
Rajnish Mehra
|
Risk Based Explanations of the Equity Premium |
|
w13207 |
Marvin Goodfriend
Bennett T. McCallum
|
Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration |
|
w13201 |
Zoran Ivkovich
Scott Weisbenner
|
Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices |
|
w13196 |
Ravi Bansal
|
Long-Run Risks and Financial Markets |
|
w13191 |
Sumit Agarwal
John C. Driscoll
Xavier Gabaix
David Laibson
|
The Age of Reason: Financial Decisions Over the Lifecycle |
|
w13189 |
Malcolm Baker
Jeffrey Wurgler
|
Investor Sentiment in the Stock Market |
|
w13173 |
Pierpaolo Benigno
|
Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles |
|
w13169 |
Jeffrey R. Brown
Nellie Liang
Scott Weisbenner
|
Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans |
|
w13168 |
Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner
|
Neighbors Matter: Causal Community Effects and Stock Market Participation |
|
w13165 |
Jessica A. Wachter
Missaka Warusawitharana
|
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? |
|
w13151 |
Martin D. D. Evans
Richard K. Lyons
|
Exchange Rate Fundamentals and Order Flow |
|
w13134 |
Kenneth D. West
Ka-fu Wong
Stanislav Anatolyev
|
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments |
|
w13129 |
Craig Burnside
|
The Forward Premium is Still a Puzzle |
|
w13124 |
Ulrike Malmendier
Devin Shanthikumar
|
Do Security Analysts Speak in Two Tongues? |
|
w13121 |
Lauren Cohen
Andrea Frazzini
Christopher Malloy
|
The Small World of Investing: Board Connections and Mutual Fund Returns |
|
w13108 |
Ravi Bansal
Robert Dittmar
Dana Kiku
|
Cointegration and Consumption Risks in Asset Returns |
|
w13107 |
Ravi Bansal
A. Ronald Gallant
George Tauchen
|
Rational Pessimism, Rational Exuberance, and Asset Pricing Models |
|
w13105 |
John Ameriks
Andrew Caplin
Steven Laufer
Stijn Van Nieuwerburgh
|
The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives |
|
w13090 |
Owen Lamont
Andrea Frazzini
|
The Earnings Announcement Premium and Trading Volume |
|
w13088 |
John Y. Campbell
Karine Serfaty-de Medeiros
Luis M. Viceira
|
Global Currency Hedging |
|
w13061 |
Leonce Bargeron
Frederik Schlingemann
Rene M. Stulz
Chad Zutter
|
Why Do Private Acquirers Pay So Little Compared to Public Acquirers? |
|
w13056 |
Robert E. Hall
Susan E. Woodward
|
The Incentives to Start New Companies: Evidence from Venture Capital |
|
w13042 |
Jonathan B. Berk
Ian Tonks
|
Return Persistence and Fund Flows in the Worst Performing Mutual Funds |
|
w13024 |
Laura X. L. Liu
Toni Whited
Lu Zhang
|
Regularities |
|
w13014 |
Jonathan B. Berk
Richard Stanton
Josef Zechner
|
Human Capital, Bankruptcy and Capital Structure |
|
w13010 |
Richard Clarida
Daniel Waldman
|
Is Bad News About Inflation Good News for the Exchange Rate? |
|
w12990 |
Kristian R. Miltersen
Eduardo S. Schwartz
|
Real Options With Uncertain Maturity and Competition |
|
w12986 |
Joao F. Gomes
Leonid Kogan
Motohiro Yogo
|
Durability of Output and Expected Stock Returns |
|
w12970 |
Jules H. van Binsbergen
Michael W. Brandt
|
Optimal Asset Allocation in Asset Liability Management |
|
w12963 |
Torben G. Andersen
Tim Bollerslev
Dobrislav Dobrev
|
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications |
|
w12962 |
Torben G. Andersen
Luca Benzoni
|
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
|
w12959 |
Emmanuel Farhi
Mikhail Golosov
Aleh Tsyvinski
|
A Theory of Liquidity and Regulation of Financial Intermediation |
|
w12957 |
Monika Piazzesi
Martin Schneider
|
Inflation Illusion, Credit, and Asset Pricing |
|
w12948 |
Lars Peter Hansen
|
Beliefs, Doubts and Learning: Valuing Economic Risk |
|
w12940 |
Markus K. Brunnermeier
Christian Gollier
Jonathan A. Parker
|
Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns |
|
w12939 |
Markus K. Brunnermeier
Lasse Heje Pedersen
|
Market Liquidity and Funding Liquidity |
|
w12936 |
Nicholas Barberis
Ming Huang
|
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices |
|
w12930 |
Andrew Ang
Geert Bekaert
Min Wei
|
The Term Structure of Real Rates and Expected Inflation |
|
w12918 |
Charles W. Calomiris
Doron Nissim
|
Activity-Based Valuation of Bank Holding Companies |
|
w12916 |
Craig Burnside
Martin Eichenbaum
Sergio Rebelo
|
The Returns to Currency Speculation in Emerging Markets |
|
w12912 |
Mariano M. Croce
Martin Lettau
Sydney C. Ludvigson
|
Investor Information, Long-Run Risk, and the Term Structure of Equity |
|
w12897 |
T. Clifton Green
Narasimhan Jegadeesh
Yue Tang
|
Gender and Job Performance: Evidence from Wall Street |
|
w12887 |
Nicolae B. Garleanu
Lasse H. Pedersen
|
Liquidity and Risk Management |
|
w12881 |
Arvind Krishnamurthy
Annette Vissing-Jorgensen
|
The Demand for Treasury Debt |
|
w12877 |
Mark Mitchell
Lasse Heje Pedersen
Todd Pulvino
|
Slow Moving Capital |
|
w12866 |
Narasimhan Jegadeesh
Woojin Kim
|
Do Analysts Herd? An Analysis of Recommendations and Market Reactions |
|
w12859 |
Francisco J. Gomes
Laurence J. Kotlikoff
Luis M. Viceira
|
The Excess Burden of Government Indecision |
|
w12847 |
Borja Larrain
Motohiro Yogo
|
Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow? |
|
w12843 |
Andrew Ang
Jun Liu
|
Risk, Return and Dividends |
|
w12834 |
James Poterba
Steven Venti
David A. Wise
|
The Decline of Defined Benefit Retirement Plans and Asset Flows |
|
w12814 |
Lubos Pastor
Robert F. Stambaugh
|
Predictive Systems: Living with Imperfect Predictors |
| 2006 |
|
w12810 |
Markus K. Brunnermeier
Christian Julliard
|
Money Illusion and Housing Frenzies |
|
w12809 |
Markus K. Brunnermeier
Stefan Nagel
|
Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation |
|
w12792 |
Lubos Pastor
Lucian Taylor
Pietro Veronesi
|
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability |
|
w12787 |
Edward L. Glaeser
Joseph Gyourko
|
Housing Dynamics |
|
w12781 |
Wei Xiong
Hongjun Yan
|
Heterogeneous Expectations and Bond Markets |
|
w12767 |
Jonathan E. Alevy
Michael S. Haigh
John List
|
Information Cascades: Evidence from An Experiment with Financial Market Professionals |
|
w12766 |
Hanno Lustig
Stijn Van Nieuwerburgh
|
Can Housing Collateral Explain Long-Run Swings in Asset Returns? |
|
w12753 |
Ricardo J. Caballero
|
On the Macroeconomics of Asset Shortages |
|
w12751 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Party Influence in Congress and the Economy |
|
w12746 |
Christopher D. Carroll
Misuzu Otsuka
Jirka Slacalek
|
How Large Is the Housing Wealth Effect? A New Approach |
|
w12744 |
Anders B. Trolle
Eduardo S. Schwartz
|
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives |
|
w12742 |
Darius Lakdawalla
George Zanjani
|
Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk-Transfer |
|
w12724 |
Dirk Jenter
Katharina Lewellen
Jerold B. Warner
|
Security Issue Timing: What Do Managers Know, and When Do They Know It? |
|
w12720 |
Sendhil Mullainathan
Joshua Schwartzstein
Andrei Shleifer
|
Coarse Thinking and Persuasion |
|
w12698 |
Peter Blair Henry
|
Capital Account Liberalization: Theory, Evidence, and Speculation |
|
w12697 |
Karen K. Lewis
|
Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US |
|
w12690 |
Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo
|
Vector Multiplicative Error Models: Representation and Inference |
|
t0331 |
Fabrizio Cipollini
Robert F. Engle
Giampiero M. Gallo
|
Vector Multiplicative Error Models: Representation and Inference |
|
w12682 |
Takatoshi Ito
Yuko Hashimoto
|
Price Impacts of Deals and Predictability of the Exchange Rate Movements |
|
w12678 |
Alberto Abadie
Sofia Dermisi
|
Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago |
|
w12670 |
Dimitri Vayanos
Pierre-Olivier Weill
|
A Search-Based Theory of the On-the-Run Phenomenon |
|
w12661 |
Eugene N. White
|
Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange |
|
w12658 |
Wayne E. Ferson
Sergei Sarkissian
Timothy Simin
|
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression |
|
w12650 |
Lars Peter Hansen
Jose Scheinkman
|
Long Term Risk: An Operator Approach |
|
w12648 |
Daron Acemoglu
Victor Chernozhukov
Muhamet Yildiz
|
Learning and Disagreement in an Uncertain World |
|
w12638 |
Glenn D. Rudebusch
John C. Williams
|
Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections |
|
w12634 |
Dirk Krueger
Hanno Lustig
|
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)? |
|
w12633 |
Eduardo S. Schwartz
Claudio Tebaldi
|
Illiquid Assets and Optimal Portfolio Choice |
|
w12614 |
Christian Hellwig
Guido Lorenzoni
|
Bubbles and Self-Enforcing Debt |
|
w12609 |
Monika Piazzesi
Martin Schneider
|
Equilibrium Yield Curves |
|
w12557 |
Laura Veldkamp
Justin Wolfers
|
Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement |
|
w12555 |
Dmitry Livdan
Horacio Sapriza
Lu Zhang
|
Financially Constrained Stock Returns |
|
w12538 |
Stijn Van Nieuwerburgh
Pierre-Olivier Weill
|
Why Has House Price Dispersion Gone Up? |
|
w12524 |
Severin Borenstein
|
Customer Risk from Real-Time Retail Electricity Pricing: Bill Volatility and Hedgability |
|
w12513 |
Michael W. Brandt
David A. Chapman
|
Linear Approximations and Tests of Conditional Pricing Models |
|
w12502 |
Gene Amromin
Jennifer Huang
Clemens Sialm
|
The Tradeoff Between Mortgage Prepayments and Tax-Deferred Retirement Savings |
|
w12500 |
John Ammer
Sara B. Holland
David C. Smith
Francis E. Warnock
|
Look at Me Now: What Attracts U.S. Shareholders? |
|
w12489 |
Craig Burnside
Martin Eichenbaum
Isaac Kleshchelski
Sergio Rebelo
|
The Returns to Currency Speculation |
|
w12487 |
Urban Jermann
|
The Equity Premium Implied by Production |
|
w12470 |
Tommaso Monacelli
|
Optimal Monetary Policy with Collateralized Household Debt and Borrowing Constraints |
|
w12467 |
Raj Chetty
Adam Szeidl
|
Consumption Commitments and Risk Preferences |
|
w12461 |
Josef Lakonishok
Louis Chan
Stephen G. Dimmock
|
Benchmarking Money Manager Performance: Issues and Evidence |
|
w12434 |
Rajnish Mehra
|
The Equity Premium in India |
|
w12433 |
Rajnish Mehra
|
Recursive Competitive Equilibrium |
|
t0326 |
Kenneth D. West
Todd Clark
|
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models |
|
w12420 |
Roberto Rigobon
Brian Sack
|
Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices |
|
w12397 |
Nicholas Barberis
Wei Xiong
|
What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation |
|
w12392 |
Wolfram J. Horneff
Raimond Maurer
Olivia S. Mitchell
Ivica Dus
|
Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion |
|
w12391 |
Courtney Coile
Kevin Milligan
|
How Household Portfolios Evolve After Retirement: The Effect of Aging and Health Shocks |
|
w12389 |
Bong-Chan Kho
René M. Stulz
Francis E. Warnock
|
Financial Globalization, Governance, and the Evolution of the Home Bias |
|
w12378 |
Nicholas Barberis
Ming Huang
|
The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle |
|
w12376 |
Alessandro Beber
Michael W. Brandt
Kenneth A. Kavajecz
|
Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market |
|
w12365 |
Xavier Gabaix
Augustin Landier
|
Why Has CEO Pay Increased So Much? |
|
w12362 |
John Y. Campbell
Jens Hilscher
Jan Szilagyi
|
In Search of Distress Risk |
|
w12360 |
Jonathan Lewellen
Stefan Nagel
Jay Shanken
|
A Skeptical Appraisal of Asset-Pricing Tests |
|
w12355 |
Joseph Gyourko
Christopher Mayer
Todd Sinai
|
Superstar Cities |
|
w12346 |
Charles P. Thomas
Francis E. Warnock
Jon Wongswan
|
The Performance of International Equity Portfolios |
|
w12343 |
William O. Brown
Jr.
J. Harold Mulherin
Marc D. Weidenmier
|
Competing With the NYSE |
|
w12337 |
Anders B. Trolle
Eduardo S. Schwartz
|
A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives |
|
w12331 |
Janna L. Matlack
Jacob L. Vigdor
|
Do Rising Tides Lift All Prices? Income Inequality and Housing Affordability |
|
w12295 |
Michelle Lowry
Micah S. Officer
G. William Schwert
|
The Variability of IPO Initial Returns |
|
w12290 |
Andrew B. Abel
|
Equity Premia with Benchmark Levels of Consumption: Closed-Form Results |
|
w12270 |
Alessandro Beber
Michael W. Brandt
|
Resolving Macroeconomic Uncertainty in Stock and Bond Markets |
|
w12261 |
James J. Choi
David Laibson
Brigitte C. Madrian
|
Why Does the Law of One Price Fail? An Experiment on Index Mutual Funds |
|
w12256 |
James Dow
Gary Gorton
|
Noise Traders |
|
w12248 |
Geert Bekaert
Eric Engstrom
Yuhang Xing
|
Risk, Uncertainty and Asset Prices |
|
w12247 |
Geert Bekaert
Eric Engstrom
Steven R. Grenadier
|
Stock and Bond Returns with Moody Investors |
|
w12233 |
Viviana Fernandez
|
The International CAPM and a Wavelet-Based Decomposition of Value at Risk |
|
w12223 |
Mark Grinblatt
Matti Keloharju
|
Sensation Seeking, Overconfidence, and Trading Activity |
|
w12210 |
Francis A. Longstaff
Arvind Rajan
|
An Empirical Analysis of the Pricing of Collateralized Debt Obligations |
|
w12205 |
Amy Finkelstein
James Poterba
Casey Rothschild
|
Redistribution by Insurance Market Regulation: Analyzing a Ban on Gender-Based Retirement Annuities |
|
w12204 |
John Y. Campbell
Yves Nosbusch
|
Intergenerational Risksharing and Equilibrium Asset Prices |
|
w12203 |
Andrew Ang
Li Gu
Yael V. Hochberg
|
Is IPO Underperformance a Peso Problem? |
|
w12200 |
Justin Wolfers
Eric Zitzewitz
|
Interpreting Prediction Market Prices as Probabilities |
|
w12183 |
Long Chen
Ralitsa Petkova
Lu Zhang
|
The Expected Value Premium |
|
w12151 |
Ravi Jagannathan
Ann E. Sherman
|
Why Do IPO Auctions Fail? |
|
w12149 |
John Y. Campbell
|
Household Finance |
|
w12146 |
Clemens Sialm
|
Investment Taxes and Equity Returns |
|
w12144 |
Jules H. van Binsbergen
Michael W. Brandt
Ralph S.J. Koijen
|
Optimal Decentralized Investment Management |
|
w12138 |
Eugene N. White
|
Bubbles and Busts: The 1990s in the Mirror of the 1920s |
|
w12134 |
Li Gan
Qinghua Zhang
|
The Thick Market Effect on Housing Markets Transactions |
|
w12165 |
Robert Engle
Robert Ferstenberg
|
Execution Risk |
|
w12127 |
Galina Hale
Assaf Razin
Hui Tong
|
Institutional Weakness and Stock Price Volatility |
|
w12112 |
Amy Finkelstein
James Poterba
|
Testing for Asymmetric Information Using 'Unused Observables' in Insurance Markets: Evidence from the U.K. Annuity Market |
|
w12109 |
Martin Lettau
Stijn Van Nieuwerburgh
|
Reconciling the Return Predictability Evidence |
|
w12107 |
Patrick Bolton
Jose Scheinkman
Wei Xiong
|
Pay for Short-Term Performance: Executive Compensation in Speculative Markets |
|
w12098 |
Wayne E. Ferson
Andrew F. Siegel
|
Testing Portfolio Efficiency with Conditioning Information |
|
w12090 |
Nicole M. Boyson
Christof W. Stahel
Rene M. Stulz
|
Is There Hedge Fund Contagion? |
|
w12084 |
Gary Gorton
Ping He
|
Agency-Based Asset Pricing |
|
w12083 |
Justin Wolfers
Eric Zitzewitz
|
Prediction Markets in Theory and Practice |
|
w12075 |
Gary Gorton
Ping He
Lixin Huang
|
Asset Prices When Agents are Marked-to-Market |
|
w12073 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections |
|
w12067 |
Raj Chetty
|
A Bound on Risk Aversion Using Labor Supply Elasticities |
|
w12060 |
Justin Wolfers
Eric Zitzewitz
|
Five Open Questions About Prediction Markets |
|
w12055 |
Jay Shanken
Guofu Zhou
|
Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations |
|
w12053 |
Andrew Leigh
Justin Wolfers
|
Competing Approaches to Forecasting Elections: Economic Models, Opinion Polling and Prediction Markets |
|
w12042 |
Steven R. Grenadier
Neng Wang
|
Investment Under Uncertainty and Time-Inconsistent Preferences |
|
w12036 |
Monika Piazzesi
Martin Schneider
Selale Tuzel
|
Housing, Consumption, and Asset Pricing |
|
w12030 |
Laurent E. Calvet
John Y. Campbell
Paolo Sodini
|
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes |
|
w12026 |
John H. Cochrane
|
The Dog That Did Not Bark: A Defense of Return Predictability |
|
w12020 |
Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen
|
Valuation in Over-the-Counter Markets |
|
w12017 |
Jakub W. Jurek
Luis M. Viceira
|
Optimal Value and Growth Tilts in Long-Horizon Portfolios |
|
w12015 |
Ravi Jagannathan
Alexey Malakhov
Dmitry Novikov
|
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
|
w12014 |
Erica X. N. Li
Dmitry Livdan
Lu Zhang
|
Optimal Market Timing |
|
w12011 |
J. Bradford DeLong
Konstantin Magin
|
A Short Note on the Size of the Dot-Com Bubble |
|
w12000 |
Murray Carlson
Zeigham Khokher
Sheridan Titman
|
Equilibrium Exhaustible Resource Price Dynamics |
|
w11989 |
Justin Wolfers
|
Diagnosing Discrimination: Stock Returns and CEO Gender |
|
w11964 |
Jeffrey Brown
James Poterba
|
Household Ownership of Variable Annuities |
|
w11962 |
Darrell Duffie
Leandro Siata
Ke Wang
|
Multi-Period Corporate Default Prediction With Stochastic Covariates |
|
w11961 |
Sanjiv Das
Darrell Duffie
Nikunj Kapadia
Leandro Saita
|
Common Failings: How Corporate Defaults are Correlated |
|
w11941 |
Lubos Pastor
Meenakshi Sinha
Bhaskaran Swaminathan
|
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital |
|
w11929 |
Refet Gurkaynak
Justin Wolfers
|
Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk |
|
w11912 |
Rene M. Stulz
|
Financial Globalization, Corporate Governance, and Eastern Europe |
| 2005 |
|
w11906 |
Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang
|
International Stock Return Comovements |
|
w11903 |
Andrew Ang
Joseph Chen
|
CAPM Over the Long Run: 1926-2001 |
|
w11876 |
Lubos Pastor
Pietro Veronesi
|
Technological Revolutions and Stock Prices |
|
w11864 |
Jaime Casassus
Pierre Collin-Dufresne
Bryan R. Routledge
|
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology |
|
w11861 |
Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein
|
Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options |
|
w11851 |
Xavier Gabaix
Arvind Krishnamurthy
Olivier Vigneron
|
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market |
|
w11843 |
Nicolae Garleanu
Lasse Heje Pedersen
Allen M. Poteshman
|
Demand-Based Option Pricing |
|
w11841 |
Jacob Boudoukh
Matthew Richardson
Robert Whitelaw
|
The Myth of Long-Horizon Predictability |
|
w11840 |
Jacob Boudoukh
Matthew Richardson
Robert Whitelaw
|
The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly |
|
w11838 |
Sendhil Mullainathan
Andrei Shleifer
|
Persuasion in Finance |
|
w11824 |
Andrew Ang
Joseph Chen
Yuhang Xing
|
Downside Risk |
|
w11816 |
Tano Santos
Pietro Veronesi
|
Cash-Flow Risk, Discount Risk, and the Value Premium |
|
w11804 |
Irene Brambilla
Guido Porto
|
Market Structure, Outgrower contracs and Farm Output. Evidence from Cotton Reforms in Zambia |
|
w11803 |
Bernard Dumas
Alexander Kurshev
Raman Uppal
|
What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? |
|
w11775 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
|
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
|
w11766 |
Marcin Kacperczyk
Clemens Sialm
Lu Zheng
|
Unobserved Actions of Mutual Funds |
|
w11758 |
Bruce N. Lehmann
|
The Role of Beliefs in Inference for Rational Expectations Models |
|
w11756 |
Clemens Sialm
|
Tax Changes and Asset Pricing: Time-Series Evidence |
|
w11748 |
Martin D. D. Evans
Richard K. Lyons
|
Understanding Order Flow |
|
w11741 |
Guenter Franke
Jan Pieter Krahnen
|
Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations |
|
w11736 |
Sean D. Campbell
Francis X. Diebold
|
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
|
w11735 |
David K. Musto
Nicholas S. Souleles
|
A Portfolio View of Consumer Credit |
|
w11722 |
Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley
|
Institutional Investors and Stock Market Volatility |
|
w11703 |
Sydeny C. Ludvigson
Serena Ng
|
Macro Factors in Bond Risk Premia |
|
w11698 |
Philipp Hartmann
Stefan Straetmans
Casper G. De Vries
|
Banking System Stability: A Cross-Atlantic Perspective |
|
w11697 |
Kee-Hong Bae
Rene M. Stulz
Hongping Tan
|
Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts |
|
w11687 |
Hanno Lustig
Christopher Sleet
Sevin Yeltekin
|
Fiscal Hedging and the Yield Curve |
|
w11683 |
Stefano DellaVigna
Joshua Pollet
|
Investor Inattention, Firm Reaction, and Friday Earnings Announcements |
|
w11666 |
Loriana Pelizzon
Stephen Schaefer
|
Pillar 1 vs. Pillar 2 Under Risk Management |
|
w11644 |
David W. Galenson
|
Who Are the Greatest Living Artists? The View from the Auction Market |
|
w11643 |
Charles Himmelberg
Christopher Mayer
Todd Sinai
|
Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions |
|
w11608 |
James O'Brien
Jeremy Berkowitz
|
Estimating Bank Trading Risk: A Factor Model Approach |
|
w11606 |
Martin Lettau
Sydney C. Ludvigson
|
Euler Equation Errors |
|
w11579 |
Bernadette A. Minton
René Stulz
Rohan Williamson
|
How Much Do Banks Use Credit Derivatives to Reduce Risk? |
|
w11574 |
Qiang Dai
Thomas Philippon
|
Fiscal Policy and the Term Structure of Interest Rates |
|
w11573 |
Simi Kedia
Thomas Philippon
|
The Economics of Fraudulent Accounting |
|
w11564 |
Hanno Lustig
Stijn Van Nieuwerburgh
|
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street |
|
w11559 |
Jessica A. Wachter
|
Solving Models with External Habit |
|
w11538 |
Andrew Ang
Geert Bekaert
Min Wei
|
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? |
|
w11534 |
John Y. Campbell
João F. Cocco
|
How Do House Prices Affect Consumption? Evidence From Micro Data |
|
w11533 |
Bruce N. Lehmann
|
Notes for a Contingent Claims Theory of Limit Order Markets |
|
w11526 |
Andrea Frazzini
Owen A. Lamont
|
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns |
|
w11509 |
Leonid Kogan
Dmitry Livdan
Amir Yaron
|
Futures Prices in a Production Economy with Investment Constraints |
|
w11493 |
M. Hashem Pesaran
Til Schuermann
Björn-Jakob Treutler
|
Global Business Cycles and Credit Risk |
|
w11489 |
Patric H. Hendershott
Gwilym Pryce
|
The Sensitivity of Homeowner Leverage to the Deductibility of Home Mortgage Interest |
|
w11485 |
Wojciech Kopczuk
Joel Slemrod
|
Denial of Death and Economic Behavior |
|
w11480 |
Laura X.L. Liu
Jerold B. Warner
Lu Zhang
|
Momentum Profits and Macroeconomic Risk |
|
w11478 |
Michael Greenstone
Paul Oyer
Annette Vissing-Jorgensen
|
Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments |
|
w11477 |
Sydney C. Ludvigson
Serena Ng
|
The Empirical Risk-Return Relation: A Factor Analysis Approach |
|
w11476 |
Lars Peter Hansen
John Heaton
Nan Li
|
Consumption Strikes Back?: Measuring Long-Run Risk |
|
w11468 |
John Y. Campbell
Samuel B. Thompson
|
Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? |
|
w11459 |
Evgeny Lyandres
Le Sun
Lu Zhang
|
Investment-Based Underperformance Following Seasoned Equity Offerings |
|
w11444 |
Anna Obizhaeva
Jiang Wang
|
Optimal Trading Strategy and Supply/Demand Dynamics |
|
w11442 |
Mark Carey
Rene M. Stulz
|
The Risks of Financial Institutions |
|
w11441 |
Laurent E. Calvet
Adlai J. Fisher
|
Multifrequency News and Stock Returns |
|
w11426 |
John R. Graham
Campbell R. Harvey
Hai Huang
|
Investor Competence, Trading Frequency, and Home Bias |
|
w11413 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Liquidity and Expected Returns: Lessons From Emerging Markets |
|
w11400 |
Lin Peng
Wei Xiong
|
Investor Attention: Overconfidence and Category Learning |
|
w11389 |
John Y. Campbell
Christopher Polk
Tuomo Vuolteenaho
|
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns |
|
w11385 |
Paul Gompers
Anna Kovner
Josh Lerner
David Scharfstein
|
Venture Capital Investment Cycles: The Impact of Public Markets |
|
w11380 |
Yacine Ait-Sahalia
Per A. Mykland
Lan Zhang
|
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
|
w11367 |
Harrison Hong
Jose Scheinkman
Wei Xiong
|
Asset Float and Speculative Bubbles |
|
w11362 |
Jianping Mei
Jose Scheinkman
Wei Xiong
|
Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia |
|
w11361 |
Manju Puri
David Robinson
|
Optimism and Economic Choice |
|
w11357 |
Joshua D. Coval
Erik Stafford
|
Asset Fire Sales (and Purchases) in Equity Markets |
|
w11345 |
Peter Englund
Ake Gunnelin
Patric H. Hendershott
Bo Soderberg
|
Adjustment in Property Space Markets: Estimates from the Stockholm Office Market |
|
w11340 |
Geert Bekaert
Seonghoon Cho
Antonio Moreno
|
New-Keynesian Macroeconomics and the Term Structure |
|
w11329 |
Patric Hendershott
Robert J. Hendershott
Bryan D. MacGregor
|
Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique |
|
w11326 |
Naiping Lu
Lu Zhang
|
The Value Spread as a Predictor of Returns |
|
w11323 |
Murillo Campello
Long Chen
Lu Zhang
|
Expected Returns, Yield Spreads, and Asset Pricing Tests |
|
w11322 |
Lu Zhang
|
Anomalies |
|
w11319 |
William O. Brown
Richard C. K. Burdekin
Marc D. Weidenmier
|
Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica |
|
w11312 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega
|
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
|
w11310 |
Robert J. Barro
|
Rare Events and the Equity Premium |
|
w11280 |
Mitchell A. Petersen
|
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches |
|
w11276 |
Michael Gallmeyer
Burton Hollifield
Stanley E. Zin
|
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates |
|
w11270 |
Cade Massey
Richard Thaler
|
Overconfidence vs. Market Efficiency in the National Football League |
|
w11266 |
William N. Goetzmann
Andrey Ukhov
|
British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach |
|
w11247 |
Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein
|
Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income |
|
w11243 |
Andrew W. Lo
Dmitry V. Repin
Brett N. Steenbarger
|
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
|
w11225 |
Robert S. Pindyck
|
Pricing Capital Under Mandatory Unbundling and Facilities Sharing |
|
w11222 |
Claude B. Erb
Campbell R. Harvey
|
The Tactical and Strategic Value of Commodity Futures |
|
w11220 |
Richard K. Lyons
Michael J. Moore
|
An Information Approach to International Currencies |
|
w11211 |
Stefano DellaVigna
Joshua M. Pollet
|
Attention, Demographics, and the Stock Market |
|
w11200 |
Nicholas Chan
Mila Getmansky
Shane M. Haas
Andrew W. Lo
|
Systemic Risk and Hedge Funds |
|
w11193 |
John Cochrane
|
Financial Markets and the Real Economy |
|
w11190 |
Gary Gorton
Nicholas Souleles
|
Special Purpose Vehicles and Securitization |
|
w11188 |
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
|
Volatility Forecasting |
|
w11169 |
Peter Hecht
Tuomo Vuolteenaho
|
Explaining Returns with Cash-Flow Proxies |
|
w11162 |
Craig Doidge
G. Andrew Karolyi
Karl V. Lins
Darius P. Miller
Rene M. Stulz
|
Private Benefits of Control, Ownership, and the Cross-Listing Decision |
|
w11155 |
Pierre-Olivier Gourinchas
Helene Rey
|
International Financial Adjustment |
|
w11152 |
David W. Galenson
|
Anticipating Artistic Success (or, How to Beat the Art Market): Lessons from History |
|
w11148 |
Steven R. Grenadier
Neng Wang
|
Investment Timing, Agency, and Information |
|
w11144 |
Martin Lettau
Jessica Wachter
|
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium |
|
w11136 |
Josh Lerner
Antoinette Schoar
Wan Wong
|
Smart Institutions, Foolish Choices? The Limited Partner Performance Puzzle |
|
w11134 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Jin (Ginger) Wu
|
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
|
w11132 |
Hanno Lustig
Yi-Li Chien
|
The Market Price of Aggregate Risk and the Wealth Distribution |
|
w11122 |
George M. Constantinides
John B. Donaldson
Rajnish Mehra
|
Junior is Rich: Bequests as Consumption |
|
w11119 |
John Y. Campbell
Luis Viceira
|
The Term Structure of the Risk-Return Tradeoff |
|
w11104 |
Hanno Lustig
Adrien Verdelhan
|
The Cross-Section of Currency Risk Premia and US Consumption Growth Risk |
|
w11103 |
Patrick de Fontnouvelle
John Jordan
Eric Rosengren
|
Implications of Alternative Operational Risk Modeling Techniques |
|
w11098 |
Martin Feldstein
|
Structural Reform of Social Security |
|
w11089 |
Francis X. Diebold
Monika Piazzesi
Glenn Rudebusch
|
Modeling Bond Yields in Finance and Macroeconomics |
|
w11084 |
Martin Feldstein
|
Reducing the Risk of Investment-Based Social Security Reform |
|
t0305 |
Todd E. Clark
Kenneth D. West
|
Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference |
|
w11078 |
Simeon Djankov
Caralee McLiesh
Andrei Shleifer
|
Private Credit in 129 Countries |
|
w11077 |
Menzie D. Chinn
Guy Meredith
|
Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era |
|
w11070 |
Rene M. Stulz
|
The Limits of Financial Globalization |
|
w11069 |
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
|
Practical Volatility and Correlation Modeling for Financial Market Risk Management |
|
w11042 |
Martin D.D. Evans
Richard K. Lyons
|
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting |
|
w11041 |
Martin D.D. Evans
Richard K. Lyons
|
Do Currency Markets Absorb News Quickly? |
|
w11033 |
Menzie D. Chinn
Michael LeBlanc
Olivier Coibion
|
The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline |
|
w11026 |
Ravi Jagannathan
Yong Wang
|
Consumption Risk and the Cost of Equity Capital |
|
w11023 |
Ross Levine
Sergio L. Schmukler
|
Internationalization and the Evolution of Corporate Valuation |
|
w11021 |
Wayne E. Ferson
Andrea Heuson
Tie Su
|
Weak and Semi-Strong Form Stock Return Predictability Revisited |
|
w11020 |
Wayne E. Ferson
Andrew F. Siegel
Pisun (Tracy) Xu
|
Mimicking Portfolios with Conditioning Information |
|
w11018 |
Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho
|
Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis |
| 2004 |
|
w11011 |
David J. Brophy
Paige P. Ouimet
Clemens Sialm
|
PIPE Dreams? The Performance of Companies Issuing Equity Privately |
|
w11010 |
Anthony W. Lynch
Sinan Tan
|
Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice |
|
w11006 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition |
|
w11004 |
Efraim Benmelech
Mark J. Garmaise
Tobias Moskowitz
|
Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation |
|
w10996 |
Michael W. Brandt
Pedro Santa-Clara
Rossen Valkanov
|
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns |
|
w10994 |
Anthony W. Lynch
Sinan Tan
|
Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs |
|
w10990 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
Stephan Siegel
|
Global Growth Opportunities and Market Integration |
|
w10981 |
Charles Engel
|
Some New Variance Bounds for Asset Prices |
|
w10955 |
Hanno Lustig
Stijn Van Nieuwerburgh
|
A Theory of Housing Collateral, Consumption Insurance and Risk Premia |
|
w10934 |
Michael W. Brandt
Amit Goyal
Pedro Santa-Clara
Jonathan Storud
|
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability |
|
w10925 |
Jun Pan
Allen Poteshman
|
The Information of Option Volume for Future Stock Prices |
|
w10914 |
Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov
|
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
|
w10913 |
Eric Ghysels
Pedro Santa-Clara
Rossen Valkanov
|
There is a Risk-Return Tradeoff After All |
|
w10912 |
Pedro Santa-Clara
Shu Yan
|
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options |
|
w10891 |
Peter M. DeMarzo
Ilan Kremer
Andrzej Skrzypacz
|
Bidding With Securities: Auctions and Security Design |
|
w10872 |
Anusha Chari
Paige P. Ouimet
Linda L. Tesar
|
Acquiring Control in Emerging Markets: Evidence from the Stock Market |
|
w10856 |
Takatoshi Ito
Yuko Hashimoto
|
Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System |
|
w10852 |
Andrew Ang
Robert J. Hodrick
Yuhang Xing
Xiaoyan Zhang
|
The Cross-Section of Volatility and Expected Returns |
|
w10851 |
James Poterba
|
The Impact of Population Aging on Financial Markets |
|
w10850 |
William M. Gentry
Charles M. Jones
Christopher J. Mayer
|
Do Stock Prices Really Reflect Fundamental Values? The Case of REITs |
|
w10823 |
Malcolm P. Baker
Ryan Taliaferro
Jeffrey Wurgler
|
Pseudo Market Timing and Predictive Regressions |
|
w10820 |
Ravi Bansal
Magnus Dahlquist
Campbell R. Harvey
|
Dynamic Trading Strategies and Portfolio Choice |
|
w10816 |
Darrell Duffie
Nicolae Garleanu
Lasse Heje Pedersen
|
Over-the-Counter Markets |
|
w10814 |
Viral V. Acharya
Lasse Heje Pedersen
|
Asset Pricing with Liquidity Risk |
|
w10813 |
Ulrike Malmendier
Geoffrey Tate
|
Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction |
|
w10812 |
Ulrike Malmendier
Devin Shanthikumar
|
Are Investors Naive About Incentives? |
|
w10805 |
Robert P. Flood
Andrew K. Rose
|
Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk |
|
w10794 |
Lily Qiu
Ivo Welch
|
Investor Sentiment Measures |
|
w10773 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions? |
|
w10770 |
Marcin Kacperczyk
Clemens Sialm
Lu Zheng
|
On the Industry Concentration of Actively Managed Equity Mutual Funds |
|
w10756 |
Pierre Collin-Dufresne
Christopher S. Jones
Robert S. Goldstein
|
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility |
|
w10755 |
Markus K. Brunnermeier
Lasse Heje Pedersen
|
Predatory Trading |
|
w10743 |
Darrell Duffie
Ke Wang
|
Multi-Period Corporate Failure Prediction with Stochastic Covariates |
|
w10719 |
John M. Griffin
Federico Nardari
Rene M. Stulz
|
Stock Market Trading and Market Conditions |
|
w10723 |
Charles Engel
Kenneth D. West
|
Exchange Rates and Fundamentals |
|
w10707 |
Markus K. Brunnermeier
Jonathan A. Parker
|
Optimal Expectations |
|
w10704 |
Michael D. Bordo
David C. Wheelock
|
Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms |
|
w10689 |
Wayne E. Ferson
Andrea Heuson
Tie Su
|
Weak and Semi-Strong Form Stock Return Predictability, Revisited |
|
w10675 |
Zoran Ivkovich
Clemens Sialm
Scott Weisbenner
|
Portfolio Concentration and the Performance of Individual Investors |
|
w10672 |
Andrew Ang
Monika Piazzesi
Min Wei
|
What Does the Yield Curve Tell us about GDP Growth? |
|
w10671 |
Jennifer Dlugosz
Rudiger Fahlenbrach
Paul Gompers
Andrew Metrick
|
Large Blocks of Stock: Prevalence, Size, and Measurement |
|
w10685 |
Malcolm Baker
Lubomir Litov
Jessica A. Wachter
Jeffrey Wurgler
|
Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements |
|
w10659 |
Owen Lamont
|
Go Down Fighting: Short Sellers vs. Firms |
|
w10651 |
Jacob Boudoukh
Roni Michaely
Matthew Richardson
Michael Roberts
|
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing |
|
w10650 |
Li Jin
Robert Merton
Zvi Bobie
|
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan? |
|
w10616 |
Francis X. Diebold
Glenn D. Rudebusch
S. Boragan Aruoba
|
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach |
|
w10615 |
Peter M. DeMarzo
Yuliy Sannikov
|
A Continuous-Time Agency Model of Optimal Contracting and Capital Structure |
|
w10599 |
Harry DeAngelo
Linda DeAngelo
Rene Stulz
|
Dividend Policy, Agency Costs, and Earned Equity |
|
w10597 |
David Backus
Bryan Routledge
Stanley Zin
|
Exotic Preferences for Macroeconomists |
|
w10595 |
Gary Gorton
K. Geert Rouwenhorst
|
Facts and Fantasies about Commodity Futures |
|
w10581 |
Lubos Pastor
Pietro Veronesi
|
Was There a Nasdaq Bubble in the Late 1990s? |
|
w10579 |
Yacine Ait-Sahalia
Robert Kimmel
|
Maximum Likelihood Estimation of Stochastic Volatility Models |
|
w10574 |
Rene M. Stulz
|
Should We Fear Derivatives? |
|
w10567 |
Armando Gomes
Gary Gorton
Leonardo Madureira
|
SEC Regulation Fair Disclosure, Information, and the Cost of Capital |
|
w10563 |
Christopher Polk
Paola Sapienza
|
The Real Effects of Investor Sentiment |
|
w10560 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Growth Volatility and Financial Liberalization |
|
w10559 |
Malcolm Baker
C. Fritz Foley
Jeffrey Wurgler
|
The Stock Market and Investment: Evidence from FDI Flows |
|
w10556 |
Alessandro Barbarino
Boyan Jovanovic
|
Shakeouts and Market Crashes |
|
w10550 |
John R. Graham
Campbell R. Harvey
Shiva Rajgopal
|
The Economic Implications of Corporate Financial Reporting |
|
w10548 |
Paul Beaudry
Franck Portier
|
Stock Prices, News and Economic Fluctuations |
|
w10543 |
Daniel Bergstresser
Mihir A. Desai
Joshua Rauh
|
Earnings Manipulation and Managerial Investment Decisions: Evidence from Sponsored Pension Plans |
|
w10537 |
Simon Gilchrist
Charles P. Himmelberg
Gur Huberman
|
Do Stock Price Bubbles Influence Corporate Investment? |
|
w10503 |
Xiaohong Chen
Sydney C. Ludvigson
|
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior |
|
w10502 |
Hyuk Choe
Bong-Chan Kho
Rene M. Stulz
|
Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea |
|
w10483 |
Amit Goval
Ivo Welch
|
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction |
|
w10476 |
Harald Hau
Helene Rey
|
Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? |
|
w10468 |
William N. Goetzmann
Vicente Pons-Sanz
S. Abraham Ravid
|
Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property |
|
w10454 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
Consumption-Wealth Comovement of the Wrong Sign |
|
w10449 |
Malcolm Baker
Jeffrey Wurgler
|
Investor Sentiment and the Cross-Section of Stock Returns |
|
w10448 |
Yuko Hashimoto
Takatoshi Ito
|
High-Frequency Contagion Between the Exchange Rates and Stock Prices |
|
w10447 |
Gopal K. Basak
Ravi Jagannathan
Tongshu Ma
|
A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 |
|
w10436 |
Zoran Ivkovich
Scott Weisbenner
|
Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices |
|
w10434 |
Paul Asquith
Parag A. Pathak
Jay R. Ritter
|
Short Interest and Stock Returns |
|
w10423 |
Francis X. Diebold
|
The Nobel Memorial Prize for Robert F. Engle |
|
w10422 |
Francis A. Longstaff
|
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities |
|
w10418 |
Francis A. Longstaff
Sanjay Mithal
Eric Neis
|
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market |
|
w10413 |
Tano Santos
Pietro Veronesi
|
Conditional Betas |
|
w10412 |
Jonathan Berk
Richard Stanton
|
A Rational Model of the Closed-End Fund Discount |
|
w10411 |
Francis A. Longstaff
|
Financial Claustrophobia: Asset Pricing in Illiquid Markets |
|
w10410 |
Jung-Wook Kim
Jason Lee
Randall K. Morck
|
Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks |
|
w10406 |
Christopher Polk
Samuel Thompson
Tuomo Vuolteenaho
|
New Forecasts of the Equity Premium |
|
w10395 |
James Poterba
|
Valuing Assets in Retirement Saving Accounts |
|
w10372 |
Michael W. Brandt
Pedro Santa-Clara
|
Dynamic Portfolio Selection by Augmenting the Asset Space |
|
w10355 |
Kenneth A. Froot
Melvyn Teo
|
Equity Style Returns and Institutional Investor Flows |
|
w10352 |
William N. Goetzmann
|
Fibonacci and the Financial Revolution |
|
w10343 |
William N. Goetzmann
Massimo Massa
Andrei Simonov
|
Portfolio Diversification and City Agglomeration |
|
w10333 |
Brian Knight
|
Are Policy Platforms Capitalized into Equity Prices? Evidence from the Bush/Gore 2000 Presidential Election |
|
w10327 |
Dimitri Vayanos
|
Flight to Quality, Flight to Liquidity, and the Pricing of Risk |
|
w10302 |
Sebastian Edwards
|
The Economics of Latin American Art: Creativity Patterns and Rates of Return |
|
w10282 |
Erik Hurst
Paul Willen
|
Social Security and Unsecured Debt |
|
w10270 |
Martin Lettau
Sydney C. Ludvigson
Jessica A. Wachter
|
The Declining Equity Premium: What Role Does Macroeconomic Risk Play? |
|
w10267 |
Charles Engel
Kenneth D. West
|
Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One |
|
w10264 |
Josef Lakonishok
Inmoo Lee
Allen M. Poteshman
|
Investor Behavior in the Option Market |
|
w10263 |
John Y. Campbell
Tuomo Vuolteenaho
|
Inflation Illusion and Stock Prices |
|
w10259 |
Jeremy C. Stein
|
Why Are Most Funds Open-End? Competition and the Limits of Arbitrage |
|
w10258 |
Kristian R. Miltersen
Eduardo S. Schwartz
|
R&D Investments with Competitive Interactions |
|
w10240 |
Paul A. Gompers
Joy Ishii
Andrew Metrick
|
Incentives vs. Control: An Analysis of U.S. Dual-Class Companies |
|
w10235 |
Jeffrey R. Brown
Zoran Ivkovich
Paul A. Smith
Scott Weisbenner
|
The Geography of Stock Market Participation: The Influence of Communities and Local Firms |
|
w10233 |
Mihir A. Desai
James R. Hines Jr.
|
Market Reactions to Export Subsidies |
|
w10228 |
James J. Choi
David Laibson
Brigitte Madrian
Andrew Metrick
|
Employees' Investment Decisions about Company Stock |
|
w10226 |
Mark Grinblatt
Matti Keloharju
Seppo Ikaheimo
|
Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors |
|
w10218 |
Owen A. Lamont
Jeremy C. Stein
|
Aggregate Short Interest and Market Valuations |
|
w10211 |
Raj Chetty
|
Consumption Commitments, Unemployment Durations, and Local Risk Aversion |
|
w10210 |
Casey B. Mulligan
|
Robust Aggregate Implications of Stochastic Discount Factor Volatility |
|
w10203 |
Edward L. Glaeser
|
Psychology and the Market |
|
w10202 |
Susan E. Woodward
Robert E. Hall
|
Benchmarking the Returns to Venture |
|
w10200 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave |
| 2003 |
|
w10184 |
Kenneth A. Froot
|
Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers |
|
w10157 |
Kenneth A. Froot
Paul G. J. O'Connell
|
The Risk Tolerance of International Investors |
|
w10150 |
Robert E. Hall
|
Corporate Earnings Track the Competitive Benchmark |
|
w10141 |
Sean D. Campbell
Francis X. Diebold
|
Weather Forecasting for Weather Derivatives |
|
w10131 |
Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho
|
The Price is (Almost) Right |
|
w10124 |
Edward L. Glaeser
Joseph Gyourko
Raven Saks
|
Why is Manhattan So Expensive? Regulation and the Rise in House Prices |
|
w10117 |
Robert F. Engle
Giampiero M. Gallo
|
A Multiple Indicators Model for Volatility Using Intra-Daily Data |
|
w10116 |
John H. Cochrane
Francis A. Longstaff
Pedro Santa-Clara
|
Two Trees: Asset Price Dynamics Induced by Market Clearing |
|
w10115 |
Gordon M. Bodnar
Bernard Dumas
Richard D. Marston
|
Cross-Border Valuation: The International Cost of Equity Capital |
|
w10114 |
Eduardo S. Schwartz
|
Patents and R&D as Real Options |
|
w10111 |
Lan Zhang
Per A. Mykland
Yacine Ait-Sahalia
|
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data |
|
w10107 |
Bryan R. Routledge
Stanley E. Zin
|
Generalized Disappointment Aversion and Asset Prices |
|
w10100 |
David M. Blau
Donna B. Gilleskie
|
The Role of Retiree Health Insurance in the Employment Behavior of Older Men |
|
w10086 |
Antonios Sangvinatsos
Jessica A. Wachter
|
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors |
|
w10080 |
Andrew Ang
Geert Bekaert
|
How do Regimes Affect Asset Allocation? |
|
w10063 |
James P. Smith
|
Consequences and Predictors of New Health Events |
|
w10054 |
Francis Longstaff
Monika Piazzesi
|
Corporate Earnings and the Equity Premium |
|
w10048 |
Francis X. Diebold
Canlin Li
|
Forecasting the Term Structure of Government Bond Yields |
|
w10042 |
Andrew Ang
Jun Liu
|
How to Discount Cashflows with Time-Varying Expected Returns |
|
w10041 |
Jason C. Hsu
Eduardo S. Schwartz
|
A Model of R&D Valuation and the Design of Research Incentives |
|
w10026 |
John Y. Campbell
Motohiro Yogo
|
Efficient Tests of Stock Return Predictability |
|
w10013 |
Harrison Hong
Jeremy C. Stein
|
Simple Forecasts and Paradigm Shifts |
|
w10009 |
Peter F. Christoffersen
Francis X. Diebold
|
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
|
w9997 |
Nicholas Barberis
Ming Huang
Richard Thaler
|
Individual Preferences, Monetary Gambles and the Equity Premium |
|
w9992 |
Richard B. Freeman
|
What Do Unions Do ... to Voting? |
|
w9988 |
Raj Chetty
|
A New Method of Estimating Risk Aversion |
|
w9974 |
Jonathan Lewellen
Stefan Nagel
|
The Conditional CAPM does not Explain Asset-Pricing Anamolies |
|
w9959 |
Hanno Lustig
Stijn Van Nieuwerburgh
|
Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective |
|
w9927 |
Hui Guo
Robert F. Whitelaw
|
Uncovering the Risk-Return Relation in the Stock Market |
|
w9921 |
Thorsten Beck
Asli Demirguc-Kunt
Ross Levine
|
Bank Concentration and Crises |
|
w9915 |
Yacine Ait-Sahalia
|
Disentangling Volatility from Jumps |
|
w9914 |
Alessandro Beber
Michael W. Brandt
|
The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market |
|
w9893 |
H. Henry Cao
Richard K. Lyons
Martin D.D. Evans
|
Inventory Information |
|
w9892 |
James Poterba
Joshua Rauh
Steven Venti
David Wise
|
Utility Evaluation of Risk in Retirement Saving Accounts |
|
w9875 |
Kathryn M.E. Dominguez
|
When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? |
|
w9861 |
Martin B. Haugh
Leonid Kogan
Jiang Wang
|
Evaluating Portfolio Policies: A Duality Approach |
|
w9858 |
Lubos Pastor
Pietro Veronesi
|
Stock Prices and IPO Waves |
|
w9852 |
Louis Kaplow
|
The Value of a Statistical Life and the Coefficient of Relative Risk Aversion |
|
w9848 |
Martin Lettau
Sydney Ludvigson
|
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption |
|
w9840 |
Laurent Calvet
Martin Gonzalez-Eiras
Paolo Sodini
|
Financial Innovation, Market Participation and Asset Prices |
|
w9834 |
Anna Pavlova
Roberto Rigobon
|
Asset Prices and Exchange Rates |
|
w9817 |
Sebastian Edwards
Javier Gomez Biscarri
Fernando Perez de Gracia
|
Stock Market Cycles, Financial Liberalization and Volatility |
|
w9791 |
Sergey Iskoz
Jiang Wang
|
How to Tell if a Money Manager Knows More? |
|
w9787 |
Graciela Kaminsky
Sergio Schmukler
|
Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization |
|
w9778 |
Ricardo J. Caballero
Stavros Panageas
|
Hedging Sudden Stops and Precautionary Contractions |
|
w9759 |
John Y. Campbell
Joao F. Cocco
|
Household Risk Management and Optimal Mortgage Choice |
|
w9758 |
James Dow
Gary Gorton
Arvind Krishnamurthy
|
Equilibrium Asset Prices Under Imperfect Corporate Control |
|
w9743 |
Kent Daniel
Sheridan Titman
|
Market Reactions to Tangible and Intangible Information |
|
w9736 |
John A. List
|
Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace |
|
w9711 |
Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein
|
The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers |
|
w9685 |
Scott Weisbenner
Zoran Ivkovich
|
Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments |
|
w9677 |
Andrew Ang
Angela Maddaloni
|
Do Demographic Changes Affect Risk Premiums? Evidence from International Data |
|
w9673 |
David S. Bates
|
Maximum Likelihood Estimation of Latent Affine Processes |
|
w9664 |
Michael W. Brandt
Francis X. Diebold
|
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
|
w9657 |
Alon Brav
John R. Graham
Campbell R. Harvey
Roni Michaely
|
Payout Policy in the 21st Century |
|
w9647 |
Tokuo Iwaisako
|
Household Portfolios in Japan |
|
w9642 |
Yasushi Hamao
Jianping Mei
Yexiao Xu
|
Idiosyncratic Risk and the Creative Destruction in Japan |
|
w9640 |
Roberto Rigobon
Brian Sack
|
Spillovers Across U.S. Financial Markets |
|
w9620 |
Thorsten Beck
Asli Demirguc-Kunt
Ross Levine
|
Bank Supervision and Corporate Finance |
|
w9614 |
Ross Levine
Sergio L. Schmukler
|
Migration, Spillovers,and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity |
|
w9611 |
Yacine Ait-Sahalia
Per A. Mykland
|
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise |
|
w9609 |
Roberto Rigobon
Brian Sack
|
The Effects of War Risk on U.S. Financial Markets |
|
w9605 |
Martin Lettau
Sydney Ludvigson
|
Expected Returns and Expected Dividend Growth |
|
w9587 |
Andrew Leigh
Justin Wolfers
Eric Zitzewitz
|
What Do Financial Markets Think of War in Iraq? |
|
w9571 |
Mila Getmansky
Andrew W. Lo
Igor Makarov
|
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns |
|
w9548 |
Jonathan A. Parker
|
Consumption Risk and Expected Stock Returns |
|
w9547 |
John Y. Campbell
George Chacko
Jorge Rodriguez
Luis M. Viciera
|
Strategic Asset Allocation in a Continuous-Time VAR Model |
|
w9544 |
Louis K. C. Chan
Jason Karceski
Josef Lakonishok
|
Analysts' Conflict of Interest and Biases in Earnings Forecasts |
|
w9541 |
Julan Du
Shang-Jin Wei
|
Does Insider Trading Raise Market Volatility? |
|
w9538 |
Jonathan A. Parker
Christian Julliard
|
Consumption Risk and Cross-Sectional Returns |
|
w9529 |
Michael W. Brandt
Kenneth A. Kavajecz
|
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve |
|
w9525 |
Rajnish Mehra
Edward C. Prescott
|
The Equity Premium in Retrospect |
|
w9523 |
Sara B. Moeller
Frederik P. Schlingemann
Rene M. Stulz
|
Do shareholders of acquiring firms gain from acquisitions? |
|
w9515 |
Jacob Boudoukh
Matthew Richardson
YuQing Shen
Robert F. Whitelaw
|
Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market |
|
w9512 |
Rajnish Mehra
|
The Equity Premium: Why is it a Puzzle? |
|
w9510 |
Geert Bekaert
Campbell R. Harvey
|
Market Integration and Contagion |
|
w9509 |
John Y. Campbell
Tuomo Vuolteenaho
|
Bad Beta, Good Beta |
|
w9499 |
William N. Goetzmann
Massimo Massa
|
Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias |
|
w9493 |
Andrei Shleifer
|
Will the Sovereign Debt Market Survive? |
|
w9481 |
Rodolfo Martell
Rene M. Stulz
|
Equity market liberalizations as country IPOs |
|
w9475 |
Steven R. Grenadier
|
An Equilibrium Analysis of Real Estate |
|
w9470 |
Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Noriyoshi Shirishi
Masahiro Watanabe
|
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows |
|
w9469 |
William N. Goetzmann
Matthew Spiegel
Andrey Ukhov
|
Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares |
|
w9466 |
William N. Goetzmann
Ning Zhu
Arturo Bris
|
Efficiency and the Bear: Short Sales and Markets around the World |
|
w9465 |
William N. Goetzmann
Ning Zhu
|
Rain or Shine: Where is the Weather Effect? |
|
w9464 |
Stephen J. Brown
William N. Goetzmann
Bing Liang
|
Fees on Fees in Funds of Funds |
|
w9462 |
Todd Sinai
Nicholas S. Souleles
|
Owner-Occupied Housing as a Hedge Against Rent Risk |
|
w9461 |
Bruce N. Lehmann
David M. Modest
|
Diversification and the Optimal Construction of Basis Portfolios |
|
w9458 |
Michael W. Brandt
Amir Yaron
|
Time-Consistent No-Arbitrage Models of the Term Structure |
|
w9454 |
Alexander Ljungqvist
Matthew Richardson
|
The cash flow, return and risk characteristics of private equity |
|
w9453 |
Harvey S. Rosen
Stephen Wu
|
Portfolio Choice and Health Status |
|
w9442 |
Francesco Caselli
Nicola Gennaioli
|
Dynastic Management |
|
w9441 |
Wayne E. Ferson
|
Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance |
|
w9434 |
Leonid Kogan
Stephen Ross
Jiang Wang
Mark Westerfield
|
The Price Impact and Survival of Irrational Traders |
|
w9423 |
Eli Ofek
Matthew Richardson
Robert F. Whitelaw
|
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets |
| 2002 |
|
w9392 |
Christopher S. Jones
Jay Shanken
|
Mutual Fund Performance with Learning Across Funds |
|
w9388 |
Eduardo Jallath-Coria
Tridas Mukhopadhyay
Amir Yaron
|
How Well Do Banks Manage Their Reserves? |
|
w9383 |
Ravi Bansal
Varoujan Khatachtrian
Amir Yaron
|
Interpretable Asset Markets? |
|
w9366 |
Mark Hugget
Gustavo Ventura
Amir Yaron
|
Human Capital and Earnings Distribution Dynamics |
|
w9365 |
Joao Gomes
Amir Yaron
Lu Zhang
|
Asset Pricing Implications of Firms' Financing Constraints |
|
w9364 |
Joao Gomes
Amir Yaron
Lu Zhang
|
Asset Prices and Business Cycles with Costly External Finance |
|
w9359 |
Randolph Cohen
Joshua Coval
Lubos Pastor
|
Judging Fund Managers by the Company They Keep |
|
w9353 |
Mark Grinblatt
Jun Liu
|
Debt Policy, Corporate Taxes, and Discount Rates |
|
w9348 |
Jeeman Jung
Robert J. Shiller
|
One Simple Test of Samuelson's Dictum for the Stock Market |
|
w9344 |
Stefano Cavaglia
Robert J. Hodrick
Moroz Vadim
Xiaoyan Zhang
|
Pricing the Global Industry Portfolios |
|
w9331 |
Steven J. Davis
Felix Kubler
Paul Willen
|
Borrowing Costs and the Demand for Equity Over the Life Cycle |
|
w9312 |
Francis A. Longstaff
|
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices |
|
w9301 |
Clemens Sialm
|
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium |
|
w9277 |
G. William Schwert
|
Anomalies and Market Efficiency |
|
w9275 |
Jonathan B. Berk
Richard C. Green
|
Mutual Fund Flows and Performance in Rational Markets |
|
w9264 |
Pekka Hietala
Steven N. Kaplan
David T. Robinson
|
What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies |
|
w9251 |
Antonio E. Bernardo
Ivo Welch
|
Financial Market Runs |
|
w9246 |
Paul Asquith
Michael B. Mikhail
Andrea S. Au
|
Information Content of Equity Analyst Reports |
|
w9243 |
William Gentry
David M. Schizer
|
Frictions and Tax-Motivated Hedging: An Empirical Exploration of Publicly-Traded Exchangeable Securities |
|
w9241 |
Jessica Tjornhom Donohue
Kenneth A. Froot
|
The Persistence of Emerging Market Equity Flows |
|
w9222 |
Nicholas Barberis
Richard Thaler
|
A Survey of Behavioral Finance |
|
w9217 |
Lior Menzly
Tano Santos
Pietro Veronesi
|
The Time Series of the Cross Section of Asset Prices |
|
w9214 |
Patric H. Hendershott
Charles W.R. Ward
|
Valuing and Pricing Retail Leases with Renewal and Overage Options |
|
w9210 |
Andrew B. Abel
|
The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security |
|
w9178 |
John H. Cochrane
Monika Piazzesi
|
Bond Risk Premia |
|
w9177 |
Amir Dembo
Jean-Deominique Deuschel
Darrell Duffie
|
Large Portfolio Losses |
|
w9143 |
Wayne E. Ferson
Sergei Sarkissian
Timothy Simin
|
Spurious Regressions in Financial Economics? |
|
w9116 |
William Goetzmann
Jonathan Ingersoll
Matthew I. Spiegel
Ivo Welch
|
Sharpening Sharpe Ratios |
|
w9111 |
Arik Ben Dor
Ravi Jagannathan
|
Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
|
w9105 |
Merle Erickson
Austan Goolsbee
Edward Maydew
|
How Prevalent is Tax Arbitrage? Evidence from the Market for Municipal Bonds |
|
w9103 |
Jun Liu
Francis A. Longstaff
Jun Pan
|
Dynamic Asset Allocation With Event Risk |
|
w9101 |
Kenneth A. Froot
Tarun Ramadorai
|
Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals |
|
w9087 |
Peter G. Dunne
Michael J. Moore
Richard Portes
|
Defining Benchmark Status: An Application using Euro-Area Bonds |
|
w9080 |
Kenneth A. Froot
Tarun Ramadorai
|
Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals |
|
w9079 |
Kenneth A. Froot
Jessica D. Tjornhom
|
Decomposing the Persistence of International Equity Flows |
|
w9075 |
John Y. Campbell
Luis M. Viceira
Joshua S. White
|
Foreign Currency for Long-Term Investors |
|
w9070 |
Reena Aggarwal
Nagpurnanand R. Prabhala
Manju Puri
|
Institutional Allocation In Initial Public Offerings: Empirical Evidence |
|
w9056 |
Michael W. Brandt
Qiang Kang
|
On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach |
|
w9050 |
Neil Doherty
Kent Smetters
|
Moral Hazard in Reinsurance Markets |
|
w9049 |
Owen A. Lamont
|
Evaluating Value Weighting: Corporate Events and Market Timing |
|
w9047 |
Sergio L. Schmukler
Luis Serven
|
Pricing Currency Risk: Facts and Puzzles from Currency Boards |
|
w9009 |
Boyan Jovanovic
Serguey Braguinsky
|
Bidder Discounts and Target Premia in Takeovers |
|
w9000 |
John M. Griffin
Federico Nardari
Rene M. Stulz
|
Daily Cross-Border Equity Flows: Pushed or Pulled? |
|
w8997 |
Orley Ashenfelter
Kathryn Graddy
|
Art Auctions: A Survey of Empirical Studies |
|
w8994 |
G. Andrew Karolyi
Rene M. Stulz
|
Are Financial Assets Priced Locally or Globally? |
|
w8991 |
Lubos Pastor
Pietro Veronesi
|
Stock Valuation and Learning about Profitability |
|
w8990 |
Jun Liu
Francis A. Longstaff
Ravit E. Mandell
|
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads |
|
w8987 |
John H. Cochrane
|
Stocks as Money: Convenience Yield and the Tech-Stock Bubble |
|
w8969 |
Matthias Kahl
Jun Liu
Francis A. Longstaff
|
Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? |
|
w8961 |
John Y. Campbell
Glen B. Taksler
|
Equity Volatility and Corporate Bond Yields |
|
w8959 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega
|
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
|
w8956 |
Yacine Ait-Sahalia
|
Closed-Form Likelihood Expansions for Multivariate Diffusions |
|
w8944 |
Yacine Ait-Sahalia
Jefferson Duarte
|
Nonparametric Option Pricing under Shape Restrictions |
|
w8925 |
Lars E.O. Svensson
|
Inflation Targeting: Should It Be Modeled as an Instrument Rule or a Targeting Rule? |
|
w8922 |
Ravi Jagannathan
Tongshu Ma
|
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
|
w8906 |
George M. Constantinides
John B. Donaldson
Rajnish Mehra
|
Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security |
|
w8895 |
Nicholas Barberis
Andrei Shleifer
Jeffrey Wurgler
|
Comovement |
|
w8884 |
Annette Vissing-Jorgensen
|
Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures |
|
w8877 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Confronting Information Asymmetries: Evidence from Real Estate Markets |
|
w8876 |
Tobias J. Moskowitz
Annette Vissing-Jorgensen
|
The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? |
|
w8874 |
Mark J. Garmaise
Tobias J. Moskowitz
|
Informal Financial Networks: Theory and Evidence |
|
w8867 |
George M. Constantinides
Stylianos Perrakis
|
Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs |
|
w8839 |
John H. Cochrane
Monika Piazzesi
|
The Fed and Interest Rates: A High-Frequency Identification |
|
w8826 |
George M. Constantinides
|
Rational Asset Prices |
|
w8822 |
Alon Brav
George M. Constantinides
Christopher C. Geczy
|
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence |
|
w8816 |
Malcolm Baker
Jeremy C. Stein
|
Market Liquidity as a Sentiment Indicator |
|
w8795 |
Geert Bekaert
Min Wei
Yuhang Xing
|
Uncovered Interest Rate Parity and the Term Structure |
|
w8794 |
Roberto Rigobon
Brian P. Sack
|
The Impact of Monetary Policy on Asset Prices |
|
w8793 |
Randolph B. Cohen
Paul A. Gompers
Tuomo Vuolteenaho
|
Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions |
|
w8791 |
Heber Farnsworth
Wayne E. Ferson
David Jackson
Steven Todd
|
Performance Evaluation with Stochastic Discount Factors |
|
w8790 |
Wayne Ferson
Kenneth Khang
|
Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds |
|
w8789 |
Wayne E. Ferson
Andrew Siegel
|
Stochastic Discount Factor Bounds with Conditioning Information |
|
w8788 |
Amit Goyal
Ivo Welch
|
Predicting the Equity Premium With Dividend Ratios |
|
w8781 |
James M. Poterba
John B. Shoven
|
Exchange Traded Funds: A New Investment Option for Taxable Investors |
|
w8750 |
Malcolm Baker
Jeremy C. Stein
Jeffrey Wurgler
|
When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms |
|
w8746 |
Bhagwan Chowdhry
Mark Grinblatt
David Levine
|
Information Aggregation, Security Design and Currency Swaps |
|
w8745 |
Mark Grinblatt
Matti Keloharju
|
Tax-Loss Trading and Wash Sales |
|
w8744 |
Mark Grinblatt
Tobias J. Moskowitz
|
What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns? |
|
w8740 |
Boyan Jovanovic
Peter L. Rousseau
|
The Q-Theory of Mergers |
|
w8734 |
Mark Grinblatt
Bing Han
|
The Disposition Effect and Momentum |
|
w8731 |
Marie-Eve Lachance
Olivia S. Mitchell
|
Guaranteeing Defined Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise |
|
w8719 |
Ravi Jagannathan
Iwan Meier
|
Do We Need CAPM for Capital Budgeting? |
|
w8700 |
Michael F. Bryan
Stephen G. Cecchetti
Roisin O'Sullivan
|
Asset Prices in the Measurement of Inflation |
| 2001 |
|
w8686 |
William N. Goetzmann
Alok Kumar
|
Equity Portfolio Diversification |
|
w8683 |
Bryan R. Routledge
Stanley E. Zin
|
Model Uncertainty and Liquidity |
|
w8682 |
Ravi Jagannathan
Andrew Kaplin
Steve Guoqiang Sun
|
An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
|
w8678 |
John R. Graham
Campbell R. Harvey
|
Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective |
|
w8666 |
Jay Shanken
Ane Tamayo
|
Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield |
|
w8655 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
Defined Contribution Pensions: Plan Rules, Participant Decisions, and the Path of Least Resistance |
|
w8654 |
Randall Morck
Fan Yang
|
The Mysterious Growing Value of S&P 500 Membership |
|
w8653 |
Mary Margaret Myers
James M. Poterba
Douglas A. Shackelford
|
Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry |
|
w8651 |
James J. Choi
David Laibson
Brigitte C. Madrian
Andrew Metrick
|
For Better or For Worse: Default Effects and 401(k) Savings Behavior |
|
w8649 |
Andrew B. Abel
|
On the Invariance of the Rate of Return to Convex Adjustment Costs |
|
w8643 |
Andrew Ang
Joseph Chen
Yuhang Xing
|
Downside Risk and the Momentum Effect |
|
w8641 |
Sheridan Titman
|
The Modigliani and Miller Theorem and Market Efficiency |
|
w8636 |
Roberto Rigobon
|
The Curse of Non-Investment Grade Countries |
|
w8630 |
Eli Ofek
Matthew Richardson
|
DotCom Mania: The Rise and Fall of Internet Stock Prices |
|
w8623 |
Ellen R. McGrattan
Edward C. Prescott
|
Taxes, Regulations, and Asset Prices |
|
w8622 |
Ellen R. McGrattan
Edward C. Prescott
|
The Stock Market Crash of 1929: Irving Fisher Was Right! |
|
w8618 |
Robert C. Apfel
John E. Parsons
G. William Schwert
Geoffrey S. Stewart
|
Short Sales, Damages and Class Certification in 10b-5 Actions |
|
w8612 |
William N. Goetzmann
Lingfeng Li
K. Geert Rouwenhorst
|
Long-Term Global Market Correlations |
|
w8610 |
James M. Poterba
Steven F. Venti
David A. Wise
|
The Transition to Personal Accounts and Increasing Retirement Wealth: Macro and Micro Evidence |
|
w8609 |
Leonid Kogan
Raman Uppal
|
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies |
|
w8607 |
Yeung Lewis Chan
Leonid Kogan
|
Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices |
|
w8586 |
Michelle Lowry
G. William Schwert
|
Biases in the IPO Pricing Process |
|
w8566 |
John Y. Campbell
Yeung Lewis Chan
Luis M. Viceira
|
A Multivariate Model of Strategic Asset Allocation |
|
w8565 |
Andrew W. Lo
Jiang Wang
|
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model |
|
w8557 |
David S. Bates
|
The Market for Crash Risk |
|
w8554 |
Robert F. Engle
Kevin Sheppard
|
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
|
w8538 |
Craig Doidge
G. Andrew Karolyi
Rene M. Stulz
|
Why are Foreign Firms Listed in the U.S. Worth More? |
|
w8533 |
John H. Cochrane
|
A Rehabilitation of Stochastic Discount Factor Methodology |
|
w8510 |
Torben G. Andersen
Luca Benzoni
Jesper Lund
|
An Empirical Investigation of Continuous-Time Equity Return Models |
|
w8508 |
Andrew W. Lo
Dmitry V. Repin
|
The Psychophysiology of Real-Time Financial Risk Processing |
|
w8504 |
Yacine Ait-Sahalia
|
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion |
|
w8494 |
Charles M. Jones
Owen A. Lamont
|
Short Sale Constraints and Stock Returns |
|
w8472 |
Kenneth A. Froot
Tarun Ramadorai
|
The Information Content of International Portfolio Flows |
|
w8462 |
Lubos Pastor
Robert F. Stambaugh
|
Liquidity Risk and Expected Stock Returns |
|
w8453 |
Kathryn M.E. Dominguez
Linda L. Tesar
|
Exchange Rate Exposure |
|
w8452 |
Campbell R. Harvey
Karl V. Lins
Andrew H. Roper
|
The Effect of Capital Structure When Expected Agency Costs are Extreme |
|
w8449 |
Paul A. Gompers
Joy L. Ishii
Andrew Metrick
|
Corporate Governance and Equity Prices |
|
w8439 |
Andrei Shleifer
Robert W. Vishny
|
Stock Market Driven Acquisitions |
|
w8436 |
G. William Schwert
|
Stock Volatility in the New Millennium: How Wacky Is Nasdaq? |
|
w8417 |
Yacine Ait-Sahalia
Jonathan A. Parker
Motohiro Yogo
|
Luxury Goods and the Equity Premium |
|
w8404 |
Michael W. Brandt
John H. Cochrane
Pedro Santa-Clara
|
International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) |
|
w8367 |
Luis Garicano
Tano Santos
|
Referrals |
|
w8363 |
Andrew Ang
Monika Piazzesi
|
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables |
|
w8360 |
Fernando Alvarez
Urban J. Jermann
|
The Size of the Permanent Component of Asset Pricing Kernels |
|
w8358 |
Harrison Hong
Jeffrey D. Kubik
Jeremy C. Stein
|
Social Interaction and Stock-Market Participation |
|
w8350 |
Roberto Rigobon
Brian Sack
|
Measuring the Reaction of Monetary Policy to the Stock Market |
|
w8340 |
James M. Poterba
|
Taxation, Risk-Taking, and Household Portfolio Behavior |
|
w8312 |
Guillermo Llorente
Roni Michaely
Gideon Saar
Jiang Wang
|
Dynamic Volume-Return Relation of Individual Stocks |
|
w8311 |
Andrew W. Lo
Harry Mamaysky
Jiang Wang
|
Asset Prices and Trading Volume Under Fixed Transactions Costs |
|
w8309 |
Tano Santos
Pietro Veronesi
|
Labor Income and Predictable Stock Returns |
|
w8308 |
Konan Chan
Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok
|
Earnings Quality and Stock Returns |
|
w8302 |
Owen A. Lamont
Richard H. Thaler
|
Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs |
|
w8282 |
Louis K.C. Chan
Jason Karceski
Josef Lakonishok
|
The Level and Persistence of Growth Rates |
|
w8265 |
Anusha Chari
Peter Blair Henry
|
Stock Market Liberalizations and the Repricing of Systematic Risk |
|
w8246 |
Monika Piazzesi
|
An Econometric Model of the Yield Curve with Macroeconomic Jump Effects |
|
w8245 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Does Financial Liberalization Spur Growth? |
|
w8242 |
Randolph B. Cohen
Christopher Polk
Tuomo Vuolteenaho
|
The Value Spread |
|
w8240 |
Tuomo Vuolteenaho
|
What Drives Firm-Level Stock Returns? |
|
w8223 |
James M. Poterba
|
Taxation and Portfolio Structure: Issues and Implications |
|
w8221 |
John Y. Campbell
Robert J. Shiller
|
Valuation Ratios and the Long-Run Stock Market Outlook: An Update |
|
w8218 |
Jordi Gali
Mark Gertler
J. David Lopez-Salido
|
European Inflation Dynamics |
|
w8207 |
Andrew Ang
Geert Bekaert
|
Stock Return Predictability: Is it There? |
|
w8190 |
Nicholas Barberis
Ming Huang
|
Mental Accounting, Loss Aversion, and Individual Stock Returns |
|
w8173 |
Stephen J. Brown
William N. Goetzmann
|
Hedge Funds With Style |
|
w8172 |
Ravi Jagannathan
Ellen R. McGrattan
Anna Scherbina
|
The Declining U.S. Equity Premium |
|
w8167 |
Qiang Dai
Kenneth J. Singleton
|
Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure |
|
w8166 |
Boyan Jovanovic
Peter L. Rousseau
|
Vintage Organization Capital |
|
w8162 |
Sassan Alizadeh
Michael W. Brandt
Francis X. Diebold
|
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models |
|
w8160 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys
|
Modeling and Forecasting Realized Volatility |
|
w8151 |
Joseph Chen
Harrison Hong
Jeremy C. Stein
|
Breadth of Ownership and Stock Returns |
|
w8143 |
David Genesove
Christopher Mayer
|
Loss Aversion and Seller Behavior: Evidence from the Housing Market |
|
w8135 |
Kenneth L. Judd
Sy-Ming Guu
|
Asymptotic Methods for Asset Market Equilibrium Analysis |
|
w8132 |
Andrew B. Abel
|
An Exploration of the Effects of Pessimism and Doubt on Asset Returns |
|
w8131 |
Andrew B. Abel
|
Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire? |
|
w8127 |
Yacine Ait-Sahalia
Michael W. Brandt
|
Variable Selection for Portfolio Choice |
|
w8110 |
Kenneth A. Froot
|
The Market for Catastrophe Risk: A Clinical Examination |
|
w8106 |
Kenneth A. Froot
Steven E. Posner
|
The Pricing of Event Risks with Parameter Uncertainty |
|
w8098 |
Ravi Jagannathan
Zhenyu Wang
|
Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
|
w8093 |
Artyom Durnev
Randall Morck
Bernard Yeung
|
Does Firm-specific Information in Stock Prices Guide Capital Allocation? |
|
w8092 |
John H. Boyd
Ravi Jagannathan
Jian Hu
|
The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
|
w8077 |
Ellen R. McGrattan
Edward C. Prescott
|
Is the Stock Market Overvalued? |
|
w8073 |
Hyuk Choe
Bong-Chan Kho
Rene M. Stulz
|
Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors? |
|
w8066 |
John H. Cochrane
|
The Risk and Return of Venture Capital |
| 2000 |
|
w8059 |
Ravi Bansal
Amir Yaron
|
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles |
|
w8039 |
Nicholas Barberis
Andrei Shleifer
|
Style Investing |
|
w8011 |
Jennifer L. Blouin
Jana Smith Raedy
Douglas A. Shackelford
|
The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion |
|
w7997 |
Takatoshi Ito
Kimie Harada
|
Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises |
|
w7995 |
Kjetil Storesletten
Chris I. Telmer
Amir Yaron
|
Consumption and Risk Sharing Over the Life Cycle |
|
w7991 |
James M. Poterba
John B. Shoven
Clemens Sialm
|
Asset Location for Retirement Savers |
|
w7978 |
Fernando Alvarez
Urban J. Jermann
|
Using Asset Prices to Measure the Cost of Business Cycles |
|
w7948 |
Sendhil Mullainathan
Richard H. Thaler
|
Behavioral Economics |
|
w7933 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Heiko Ebens
|
The Distribution of Stock Return Volatility |
|
w7913 |
Kee-Hong Bae
G. Andrew Karolyi
Rene M. Stulz
|
A New Approach to Measuring Financial Contagion |
|
w7905 |
Steven J. Davis
Paul Willen
|
Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice |
|
w7879 |
David Laibson
Andrea Repetto
Jeremy Tobacman
|
A Debt Puzzle |
|
w7878 |
James J. Choi
David Laibson
Andrew Metrick
|
Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans |
|
w7873 |
Frederik P. Schlingemann
Rene M. Stulz
Ralph A. Walkling
|
Asset Liquidity and Segment Divestitures |
|
w7861 |
Martin Feldstein
Elena Ranguelova
|
Accumulated Pension Collars: A Market Approach to Reducing the Risk of Investment-Based Social Security Reform |
|
w7855 |
Graciela Kaminsky
Richard K. Lyons
Sergio Schmukler
|
Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets |
|
w7835 |
Evan Gatev
Stephen A. Ross
|
Rebels, Conformists, Contrarians and Momentum Traders |
|
w7808 |
Hyun-Han Shin
Rene M. Stulz
|
Firm Value, Risk, and Growth Opportunities |
|
w7803 |
Owen Lamont
Christopher Polk
|
Does Diversification Destroy Value? Evidence From Industry Shocks |
|
w7796 |
Steven J. Davis
Jeremy Nalewaik
Paul Willen
|
On the Gains to International Trade in Risky Financial Assets |
|
w7783 |
Andrew Ang
Geert Bekaert
Jun Liu
|
Why Stocks May Disappoint |
|
w7779 |
Lubos Pastor
Robert F. Stambaugh
|
Evaluating and Investing in Equity Mutual Funds |
|
w7778 |
Lubos Pastor
Robert F. Stambaugh
|
The Equity Premium and Structural Breaks |
|
w7763 |
Geert Bekaert
Campbell R. Harvey
Christian Lundblad
|
Emerging Equity Markets and Economic Development |
|
w7753 |
Aaron Tornell
|
Robust-H-infinity Forecasting and Asset Pricing Anomalies |
|
w7739 |
Andrew B. Abel
|
The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks |
|
w7699 |
Jonathan Lewellen
Jay Shanken
|
Estimation Risk, Market Efficiency, and the Predictability of Returns |
|
w7687 |
Joseph Chen
Harrison Hong
Jeremy C. Stein
|
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices |
|
w7684 |
Bart Hobijn
Boyan Jovanovic
|
The Information Technology Revolution and the Stock Market: Evidence |
|
w7661 |
Robert J. Hodrick
Xiaoyan Zhang
|
Evaluating the Specification Errors of Asset Pricing Models |
|
w7625 |
Andrew W. Lo
Jiang W. Wang
|
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
|
w7622 |
Brent W. Ambrose
Patric H. Hendershott
Malgorzata M. Klosek
|
Pricing Upward-Only Adjusting Leases |
|
w7615 |
Kent D. Daniel
David Hirshleifer
Avanidhar Subrahmanyam
|
Covariance Risk, Mispricing, and the Cross Section of Security Returns |
|
w7613 |
Andrew W. Lo
Harry Mamaysky
Jiang Wang
|
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
|
w7609 |
Geert Bekaert
Robert J. Hodrick
|
Expectations Hypotheses Tests |
|
w7595 |
Daniel Bergstresser
James Poterba
|
Do After-Tax Returns Affect Mutual Fund Inflows? |
|
w7590 |
John Y. Campbell
Martin Lettau
Burton G. Malkiel
Yexiao Xu
|
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk |
|
w7589 |
John Y. Campbell
|
Asset Pricing at the Millennium |
|
w6130 |
Yacine Ait-Sahalia
Andrew W. Lo
|
Nonparametric Risk Management and Implied Risk Aversion |
|
w7567 |
William N. Goetzmann
Massimo Massa
|
Daily Momentum and Contrarian Behavior of Index Fund Investors |
|
w7566 |
Bradford Case
William N. Goetzmann
K. Geert Rouwenhorst
|
Global Real Estate Markets - Cycles and Fundamentals |
|
w7565 |
Philippe Jorion
William N. Goetzmann
|
A Century of Global Stock Markets |
|
w7559 |
Ben Bernanke
Mark Gertler
|
Monetary Policy and Asset Price Volatility |
|
w7529 |
Rene M. Stulz
|
U.S. Banks, Crises, and Bailouts: From Mexico to LTCM |
|
w7498 |
John H. Cochrane
|
Money as Stock: Price Level Determination with no Money Demand |
|
w7489 |
Kent Daniel
Sheridan Titman
|
Market Efficiency in an Irrational World |
|
w7488 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys
|
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
|
w7480 |
Ravi Jagannathan
Shaker B. Srinivasan
|
Does Product Market Competition Reduce Agency Costs? |
| 1999 |
|
w7445 |
Trevor S. Harris
R. Glenn Hubbard
Deen Kemsley
|
The Share Price Effects of Dividend Taxes and Tax Imputation Credits |
|
w7409 |
Luis M. Viceira
|
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income |
|
w7406 |
Alon Brav
George M. Constantinides
Christopher C. Geczy
|
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence |
|
w7403 |
Rafael La Porta
Florencio Lopez-deSilanes
Andrei Shleifer
Robert W. Vishny
|
Investor Protection and Corporate Valuation |
|
w7396 |
Owen Lamont
Christopher Polk
|
The Diversification Discount: Cash Flows vs. Returns |
|
w7392 |
James M. Poterba
Andrew Samwick
|
Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s |
|
w7377 |
George Chacko
Luis M. Viceira
|
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets |
|
w7376 |
Harrison Hong
Jeremy C. Stein
|
Differences of Opinion, Rational Arbitrage and Market Crashes |
|
w7346 |
Geert Bekaert
Steven R. Grenadier
|
Stock and Bond Pricing in an Affine Economy |
|
w7341 |
Robert F. Engle
Simone Manganelli
|
CAViaR: Conditional Value at Risk by Quantile Regression |
|
w7337 |
Kathryn M. Dominguez
|
The Market Microstructure of Central Bank Intervention |
|
w7331 |
Young-Hye Cho
Robert F. Engle
|
Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
|
w7330 |
Young-Hye Cho
Robert F. Engle
|
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
|
w7325 |
David Ikenberry
Josef Lakonishok
Theo Vermaelen
|
Stock Repurchases in Canada: Performance and Strategic Trading |
|
w7317 |
Martin D.D. Evans
Richard K. Lyons
|
Order Flow and Exchange Rate Dynamics |
|
w7287 |
Kenneth A. Froot
|
The Evolving Market for Catastrophic Event Risk |
|
w7286 |
Kenneth A. Froot
|
The Market for Catastrophe Risk: A Clinical Examination |
|
w7284 |
Lubos Pastor
Robert F. Stambaugh
|
Comparing Asset Pricing Models: An Investment Perspective |
|
w7267 |
Kristin Forbes
Roberto Rigobon
|
No Contagion, Only Interdependence: Measuring Stock Market Co-movements |
|
w7247 |
Takatoshi Ito
Michael Melvin
|
Japan's Big Bang and the Transformation of Financial Markets |
|
w7246 |
Kent Daniel
Sheridan Titman
K.C. John Wei
|
Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? |
|
w7237 |
John Y. Campbell
John H. Cochrane
|
Explaining the Poor Performance of Consumption-Based Asset Pricing Models |
|
w7223 |
Louis K.C. Chan
Josef Lakonishok
Theodore Sougiannis
|
The Stock Market Valuation of Research and Development Expenditures |
|
w7220 |
Nicholas Barberis
Ming Huang
Tano Santos
|
Prospect Theory and Asset Prices |
|
w7219 |
Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine
|
The Dynamics of Emerging Market Equity Flows |
|
w7215 |
Louis K.C. Chan
Hsiu-Lang Chen
Josef Lakonishok
|
On Mutual Fund Investment Styles |
|
w7214 |
Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw
|
Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns |
|
w7213 |
Jacob Boudoukh
Matthew Richardson
Richard Stanton
Robert F. Whitelaw
|
A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility |
|
w7192 |
John B. Shoven
Clemens Sialm
|
Asset Location in Tax-Deferred and Conventional Savings Accounts |
|
w7170 |
John H. Cochrane
|
Portfolio Advice for a Multifactor World |
|
w7169 |
John H. Cochrane
|
New Facts in Finance |
|
w7162 |
A. Craig MacKinlay
Lubos Pastor
|
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection |
|
w7159 |
Narasimhan Jegadeesh
Sheridan Titman
|
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations |
|
w7157 |
Robert J. Hodrick
David Tat-Chee Ng
Paul Sengmueller
|
An International Dynamic Asset Pricing Model |
|
w7144 |
John Y. Campbell
Martin Lettau
|
Dispersion and Volatility in Stock Returns: An Empirical Investigation |
|
w7105 |
Darrell Duffie
Jun Pan
Kenneth Singleton
|
Transform Analysis and Asset Pricing for Affine Jump-Diffusions |
|
w7085 |
G. William Schwert
|
Hostility in Takeovers: In the Eyes of the Beholder? |
|
w7075 |
Severin Borenstein
Joseph Farrell
|
Do Investors Forecast Fat Firms? Evidence from the Gold Mining Industry |
|
w7069 |
Klaas Baks
Andrew Metrick
Jessica Wachter
|
Bayesian Performance Evaluation |
|
w7067 |
Charles Engel
|
On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models |
|
w7055 |
Owen Lamont
|
Economic Tracking Portfolios |
|
w7039 |
Louis K.C. Chan
Jason Karceski
Josef Lakonishok
|
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model |
|
w7033 |
William N. Goetzmann
Massimo Massa
|
Index Funds and Stock Market Growth |
|
w7032 |
Evan G. Gatev
William N. Goetzmann
K. Geert Rouwenhorst
|
Pairs Trading: Performance of a Relative Value Arbitrage Rule |
|
w7029 |
John Y. Campbell
Joao F. Cocco
Francisco J. Gomes
Pascal J. Maenhout
|
Investing Retirement Wealth: A Life-Cycle Model |
|
w7021 |
Rene M. Stulz
|
Globalization of Equity Markets and the Cost of Capital |
|
w7020 |
Steven Huddart
Ravi Jagannathan
Jane Saly
|
Valuing the Reload Features of Executive Stock Options |
|
w7009 |
Wayne E. Ferson
Campbell R. Harvey
|
Conditioning Variables and the Cross-Section of Stock Returns |
|
w6991 |
Andrew B. Abel
|
The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation |
|
w6967 |
Wayne E. Ferson
Campbell R. Harvey
|
Economic, Financial, and Fundamental Global Risk In and Out of the EMU |
|
w6961 |
Torben Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys
|
The Distribution of Exchange Rate Volatility |
|
w6953 |
Fernando Alvarez
Urban J. Jermann
|
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints |
|
w6928 |
Francis X. Diebold
Lutz Kilian
|
Unit Root Tests Are Useful for Selecting Forecasting Models |
|
w6913 |
Leslie A. Jeng
Andrew Metrick
Richard Zeckhauser
|
The Profits to Insider Trading: A Performance-Evaluation Perspective |
|
w6880 |
Geert Bekaert
Jun Liu
|
Conditioning Information and Variance Bounds on Pricing Kernels |
| 1998 |
|
w6845 |
Francis X. Diebold
Jinyong Hahn
Anthony S. Tay
|
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
|
w6844 |
Peter F. Christoffersen
Francis X. Diebold
|
How Relevant is Volatility Forecasting for Financial Risk Management? |
|
w6801 |
John Y. Campbell
Luis M. Viceira
|
Who Should Buy Long-Term Bonds? |
|
w6774 |
James M. Poterba
|
Population Age Structure and Asset Returns: An Empirical Investigation |
|
w6747 |
S. Rao Aiyagari
Mark Gertler
|
"Overreaction" of Asset Prices in General Equilibrium |
|
w6745 |
Jonathan B. Berk
Richard C. Green
Vasant Naik
|
Valuation and Return Dynamics of New Ventures |
|
w6736 |
David Backus
Silverio Foresi
Chris Telmer
|
Discrete-Time Models of Bond Pricing |
|
w6724 |
Geert Bekaert
Campbell R. Harvey
Robin L. Lumsdaine
|
Dating the Integration of World Equity Markets |
|
w6723 |
Paul A. Gompers
Andrew Metrick
|
Institutional Investors and Equity Prices |
|
w6687 |
Kenneth A. Froot
Paul G.J. O'Connell
Mark S. Seasholes
|
The Portfolio Flows of International Investors, I |
|
w6683 |
Andrew B. Abel
|
Risk Premia and Term Premia in General Equilibrium |
|
w6678 |
Jonathan B. Berk
|
A Simple Approach for Deciding When to Invest |
|
w6673 |
Bengt Holmstrom
Jean Tirole
|
LAPM: A Liquidity-based Asset Pricing Model |
|
w6669 |
Geert Bekaert
Campbell R. Harvey
|
Capital Flows and the Behavior of Emerging Market Equity Returns |
|
w6666 |
Torben G. Anderson
Tim Bollerslev
Ashish Das
|
Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment |
|
w6656 |
Josef Lakonishok
Inmoo Lee
|
Are Insiders' Trades Informative? |
|
w6648 |
Andrew Metrick
|
Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters |
|
w6644 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Fee Speech: Adverse Selection and the Regulation of Mutual Funds |
|
w6641 |
Robert J. Shiller
|
Social Security and Institutions for Intergenerational, Intragenerational, and International Risk Sharing |
|
w6639 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
On the Regulation of Fee Structures in Mutual Funds |
|
w6635 |
Sanjiv R. Das
Rangarajan K. Sundaram
|
A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives |
|
w6634 |
Rajesh Aggarwal
Andrew A. Samwick
|
The Other Side of the Tradeoff: The Impact of Risk on Executive Compensation |
|
w6631 |
Sanjiv R. Das
|
Poisson-Guassian Processes and the Bond Markets |
|
w6627 |
Jonathan Berk
Richard C. Green
Vasant Naik
|
Optimal Investment, Growth Options, and Security Returns |
|
w6617 |
George M. Constantinidies
John B. Donaldson
Rajnish Mehra
|
Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle |
|
w6616 |
James M. Poterba
Scott J. Weisbenner
|
Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns |
|
w6611 |
Fernando Restoy
Philippe Weil
|
Approximate Equilibrium Asset Prices |
|
w6583 |
Joel Slemrod
Timothy Greimel
|
Did Steve Forbes Scare the Municipal Bond Market? |
|
w6572 |
Kenneth A. Froot
Emil Dabora
|
How are Stock Prices Affected by the Location of Trade? |
|
w6553 |
Harrison Hong
Terence Lim
Jeremy C. Stein
|
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies |
|
w6552 |
Robert J. Shiller
Allan N. Weiss
|
Moral Hazard in Home Equity Conversion |
|
w6508 |
Andrew Ang
Geert Bekaert
|
Regime Switches in Interest Rates |
|
w6505 |
David Bates
Roger Craine
|
Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash |
|
w6490 |
Lubos Pastor
Robert F. Stambaugh
|
Costs of Equity Capital and Model Mispricing |
|
w6485 |
John Y. Campbell
|
Asset Prices, Consumption, and the Business Cycle |
|
w6476 |
Fernando Alvarez
Urban J. Jermann
|
Asset Pricing when Risk Sharing is Limited by Default |
|
w6434 |
Connie Becker
Wayne Ferson
David Myers
Michael Schill
|
Conditional Market Timing with Benchmark Investors |
|
w6427 |
Stephen J. Brown
William N. Goetzmann
James Park
|
Hedge Funds and the Asian Currency Crisis of 1997 |
|
w6413 |
William N. Goetzmann
Jonathan Ingersoll
Jr.
Stephen A. Ross
|
High Water Marks |
|
w6412 |
Stephen J. Brown
William N. Goetzmann
Mark Grinblatt
|
Positive Portfolio Factors |
|
w6207 |
John H. Cochrane
|
Where is the Market Going? Uncertain Facts and Novel Theories |
|
w6382 |
Urban J. Jermann
|
International Portfolio Diversification and Labor/Leisure Choice |
|
w6381 |
G. William Schwert
|
Stock Market Volatility: Ten Years After the Crash |
|
w6379 |
David Backus
Silverio Foresi
Abon Mozumdar
Liuren Wu
|
Predictable Changes in Yields and Forward Rates |
|
w6375 |
Robert J. Shiller
|
Human Behavior and the Efficiency of the Financial System |
|
w6354 |
Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark
|
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True? |
|
w6351 |
Karen K. Lewis
|
International Home Bias in International Finance and Business Cycles |
|
w6347 |
Stephen J. Brown
William N. Goetzmann
Takato Hiraki
Toshiyuki Otsuki
Noriyoshi Shiraishi
|
The Japanese Open-End Fund Puzzle |
| 1997 |
|
w6325 |
Pierluigi Balduzzi
Sanjiv Ranjan Das
Silverio Foresi
|
The Central Tendency: A Second Factor in Bond Yields |
|
w6324 |
Harrison Hong
Jeremy C. Stein
|
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets |
|
w6312 |
Geert Bekaert
Campbell R. Harvey
|
Foreign Speculators and Emerging Equity Markets |
|
w6257 |
Andrew W. Lo
A. Craig MacKinlay
June Zhang
|
Econometric Models of Limit-Order Executions |
|
w6250 |
Dimitris Bertsimas
Leonid Kogan
Andrew W. Lo
|
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
|
w6243 |
John M. Griffin
Rene M. Stulz
|
International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns |
|
w6222 |
Joshua V. Rosenberg
Robert F. Engle
|
Option Hedging Using Empirical Pricing Kernels |
|
w6218 |
Sara Fisher Ellison
Wallace P. Mullin
|
Gradual Incorporation of Information into Stock Prices: Empirical Strategies |
|
w6210 |
Owen Lamont
Christopher Polk
Jesus Saa-Requejo
|
Financial Constraints and Stock Returns |
|
t0216 |
Christian Gollier
Richard J. Zeckhauser
|
Horizon Length and Portfolio Risk |
|
w6158 |
Dong-Hyun Ahn
Jacob Boudoukh
Matthew Richardson
Robert F. Whitelaw
|
Optimal Risk Management Using Options |
|
w6147 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
"Peso Problem" Explanations for Term Structure Anomalies |
|
w6129 |
Robert F. Engle
Joe Lange
|
Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
|
w6128 |
Qiang Dai
Kenneth J. Singleton
|
Specification Analysis of Affine Term Structure Models |
|
w6098 |
Louis K. C. Chan
Jason Karceski
Josef Lakonishok
|
The Risk and Return from Factors |
|
t0212 |
Sanjiv Ranjan Das
|
An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model |
|
w6045 |
George Chacko
Sanjiv Ranjan Das
|
Average Interest |
|
w6025 |
Kenneth A. Froot
|
The Limited Financing of Catastrophe Risk: An Overview |
|
w6023 |
Torben G. Andersen
Tim Bollerslev
|
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
|
w6022 |
Geert Bekaert
Guojun Wu
|
Asymmetric Volatility and Risk in Equity Markets |
|
w6011 |
Kenneth A. Froot
Paul G. J. O'Connell
|
On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance |
|
w6002 |
Olivia S. Mitchell
James M. Poterba
Mark J. Warshawsky
|
New Evidence on the Money's Worth of Individual Annuities |
|
w6001 |
James M. Poterba
|
The History of Annuities in the United States |
|
w5991 |
Karen K. Lewis
|
Are Countries with Official International Restrictions "Liquidity Constrained?" |
|
w5976 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance |
|
w5974 |
Jose M. Campa
P. H. Kevin Chang
|
The Forecasting Ability of Correlations Implied in Foreign Exchange Options |
|
w5962 |
Lars E. O. Svensson
|
Inflation Targeting: Some Extensions |
|
w5950 |
Patrick K. Asea
Mthuli Ncube
|
Heterogeneous Information Arrival and Option Pricing |
|
w5936 |
Takatoshi Ito
Richard K. Lyons
Michael T. Melvin
|
Is There Private Information in the FX Market? The Tokyo Experiment |
|
w5926 |
Nicholas Barberis
Andrei Shleifer
Robert W. Vishny
|
A Model of Investor Sentiment |
|
w5918 |
Robert F. Stambaugh
|
Analyzing Investments Whose Histories Differ in Length |
|
w5913 |
David M. Cutler
Richard J. Zeckhauser
|
Reinsurance for Catastrophes and Cataclysms |
|
t0209 |
Stefano Athanasoulis
Robert J. Shiller
|
The Significance of the Market Portfolio |
|
w5909 |
Stephen J. Brown
William N. Goetzmann
Roger G. Ibbotson
|
Offshore Hedge Funds: Survival and Performance 1989-1995 |
|
w5906 |
William N. Goetzmann
Philippe Jorion
|
Re-emerging Markets |
|
w5901 |
William N. Goetzmann
Philippe Jorion
|
A Century of Global Stock Markets |
|
w5894 |
David S. Bates
|
Post-'87 Crash Fears in S&P 500 Futures Options |
|
w5877 |
Paul Soderlind
Lars E. O. Svensson
|
New Techniques to Extract Market Expectations from Financial Instruments |
|
w5873 |
Sanjiv Ranjan Das
Rangarajan K. Sundaram
|
Auction Theory: A Summary with Applications to Treasury Markets |
| 1996 |
|
w5860 |
Wayne E. Ferson
Campbell R. Harvey
|
Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing |
|
w5857 |
John Y. Campbell
Luis M. Viceira
|
Consumption and Portfolio Decisions When Expected Returns are Time Varying |
|
w5852 |
Judith Chevalier
Glenn Ellison
|
Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance |
|
w5830 |
Jon A. Christopherson
Wayne E. Ferson
Debra A. Glassman
|
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance |
|
w5821 |
David G. Barr
John Y. Campbell
|
Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices |
|
w5819 |
Jun-Koo Kang
Yong-Cheol Kim
Rene M. Stulz
|
The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan |
|
w5816 |
Robert F. Engle
|
The Econometrics of Ultra-High Frequency Data |
|
w5783 |
Torben G. Andersen
Tim Bollerslev
|
DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
|
w5752 |
Torben G. Andersen
Tim Bollerslev
|
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
|
w5714 |
Jeffrey A. Frankel
Sergio L. Schmukler
|
Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors? |
|
w5671 |
Owen Lamont
|
Earnings and Expected Returns |
|
t0198 |
James H. Stock
Jonathan Wright
|
Asymptotics for GMM Estimators with Weak Instruments |
|
w5638 |
David Backus
Silverio Foresi
Stanley Zin
|
Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing |
|
w5635 |
David I. Laibson
|
Hyperbolic Discount Functions, Undersaving, and Savings Policy |
|
w5623 |
David Backus
Silverio Foresi
Chris Telmer
|
Affine Models of Currency Pricing |
|
w5610 |
John Y. Campbell
|
Consumption and the Stock Market: Interpreting International Experience |
|
w5607 |
N. Gregory Mankiw
James M. Poterba
|
Stock Market Yields and the Pricing of Municipal Bonds |
|
w5588 |
Peter Klibanoff
Owen Lamont
Thierry A. Wizman
|
Investor Reaction to Salient News in Closed-End Country Funds |
|
w5587 |
John Y. Campbell
Robert J. Shiller
|
A Scorecard for Indexed Government Debt |
|
w5505 |
Blake LeBaron
|
Technical Trading Rule Profitability and Foreign Exchange Intervention |
|
w5500 |
Bernard Dumas
Jeff Fleming
Robert E. Whaley
|
Implied Volatility Functions: Empirical Tests |
|
w5496 |
Jeremy C. Stein
|
Rational Capital Budgeting in an Irrational World |
|
w5489 |
John H. Cochrane
Jesus Saa-Requejo
|
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets |
|
w5479 |
Yacine Ait-Sahalia
|
Dynamic Equilibrium and Volatility in Financial Asset Markets |
|
w5446 |
Charles M. Jones
Owen Lamont
Robin Lumsdaine
|
Public Information and the Persistence of Bond Market Volatility |
|
w5445 |
Geert Bekaert
Stephen F. Gray
|
Target Zones and Exchange Rates: An Empirical Investigation |
|
w5403 |
Kenneth A. Froot
Jeremy C. Stein
|
Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach |
|
t0191 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates |
| 1995 |
|
w5375 |
Louis K. C. Chan
Narasimhan Jegadeesh
Josef Lakonishok
|
Momentum Strategies |
|
w5374 |
Louis K. C. Chan
Josef Lakonishok
|
A Cross-Market Comparison of Institutional Equity Trading Costs |
|
w5363 |
Andrew B. Abel
Janice C. Eberly
|
The Effects of Irreversibility and Uncertainty on Capital Accumulation |
|
w5351 |
Yacine Ait-Sahalia
Andrew W. Lo
|
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
|
w5346 |
Yacine Ait-Sahalia
|
Testing Continuous-Time Models of the Spot Interest Rate |
|
w5345 |
Yacine Ait-Sahalia
|
Nonparametric Pricing of Interest Rate Derivative Securities |
|
w5323 |
Eli Bartov
Gordon M. Bodnar
Aditya Kaul
|
Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System |
|
w5312 |
Charles Engel
|
The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence |
|
w5311 |
Rafael La Porta
Josef Lakonishok
Andrei Shleifer
Robert Vishny
|
Good News for Value Stocks: Further Evidence on Market Efficiency |
|
w5307 |
Geert Bekaert
Campbell R. Harvey
|
Emerging Equity Market Volatility |
|
w5289 |
Karen K. Lewis
|
Stochastic Regime Switching and Stabilizing Policies within Regimes |
|
w5262 |
Michele Boldrin
Lawrence J. Christiano
Jonas D.M. Fisher
|
Asset Pricing Lessons for Modeling Business Cycles |
|
w5227 |
Andrew B. Abel
Avinash K. Dixit
Janice C. Eberly
Robert S. Pindyck
|
Options, the Value of Capital, and Investment |
|
w5213 |
Robert B. Barsky
Miles S. Kimball
F. Thomas Juster
Matthew D. Shapiro
|
Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey |
|
w5203 |
Karen K. Lewis
|
What Can Explain the Apparent Lack of International Consumption Risk Sharing? |
|
w5172 |
Jiang Wang
|
The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors |
|
w5167 |
Andrei Shleifer
Robert W. Vishny
|
The Limits of Arbitrage |
|
w5166 |
Jun-Koo Kang
Rene M. Stulz
|
Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan |
|
w5165 |
Larry Lang
Eli Ofek
Rene M. Stulz
|
Leverage, Investment, and Firm Growth |
|
t0183 |
Kenneth D. West
|
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator |
|
w5141 |
Benjamin M. Friedman
|
Economic Implications of Changing Share Ownership |
|
w5129 |
David S. Bates
|
Testing Option Pricing Models |
|
w5128 |
Robert F. Engle
Joshua V. Rosenberg
|
GARCH Gamma |
|
w5100 |
Gary Gorton
Richard Rosen
|
Banks and Derivatives |
|
w5096 |
Robert C. Merton
|
Financial Innovation and the Management and Regulation of Financial Institutions |
|
w5095 |
Robert J. Shiller
Stefano Athanasoulis
|
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities |
|
w5078 |
Karl E. Case
Robert J. Shiller
Allan N. Weiss
|
Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate |
|
t0179 |
Charles Goodhart
Takatoshi Ito
Richard Payne
|
One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System |
|
w5031 |
John Y. Campbell
|
Some Lessons from the Yield Curve |
|
w5027 |
Andrew W. Lo
A. Craig MacKinlay
|
Maximizing Predictability in the Stock and Bond Markets |
|
w5010 |
Hua He
Jiang Wang
|
Differential Information and Dynamic Behavior of Stock Trading Volume |
|
t0173 |
Francis X. Diebold
Jose A. Lopez
|
Measuring Volatility Dynamics |
|
w4997 |
Shmuel Kandel
Robert F. Stambaugh
|
On the Predictability of Stock Returns: An Asset-Allocation Perspective |
|
w4995 |
John Y. Campbell
John H. Cochrane
|
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior |
|
w4990 |
Geert Bekaert
Michael S. Urias
|
Diversification, Integration and Emerging Market Closed-End Funds |
|
w4988 |
William A. Brock
Blake D. LeBaron
|
A Dynamic Structural Model for Stock Return Volatility and Trading Volume |
| 1994 |
|
w4966 |
Robert F. Engle
Jeffrey R. Russell
|
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
|
w4958 |
Robert F. Engle
Joshua Rosenberg
|
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
|
w4951 |
Karen K. Lewis
|
Puzzles in International Financial Markets |
|
w4890 |
John R. Graham
Campbell R. Harvey
|
Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations |
|
w4863 |
G. William Schwert
|
Mark-Up Pricing in Mergers and Acquisitions |
|
w4858 |
James Dow
Gary Gorton
|
Noise Trading, Delegated Portfolio Management, and Economic Welfare |
|
w4857 |
Niko Canner
N. Gregory Mankiw
David N. Weil
|
An Asset Allocation Puzzle |
|
w4843 |
Geert Bekaert
Campbell R. Harvey
|
Time-Varying World Market Integration |
|
w4830 |
Robert J. Shiller
Allan N. Weiss
|
Home Equity Insurance |
|
w4818 |
Geert Bekaert
|
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective |
|
t0163 |
Dean P. Foster
Daniel B. Nelson
|
Continuous Record Asymptotics for Rolling Sample Variance Estimators |
|
t0162 |
Daniel B. Nelson
|
Asymptotic Filtering Theory for Multivariate ARCH Models |
|
t0161 |
Daniel B. Nelson
|
Asymptotically Optimal Smoothing with ARCH Models |
|
w4801 |
Michael R. Darby
|
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System |
|
w4778 |
Roni Michaely
Richard H. Thaler
Kent Womack
|
Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? |
|
w4756 |
A. Craig MacKinlay
|
Multifactor Models Do Not Explain Deviations from the CAPM |
|
w4743 |
K.C. Chan
Wai-Ming Fong
Rene M. Stulz
|
Information, Trading and Stock Returns: Lessons from Dually-Listed Securities |
|
w4727 |
Peter C. Reiss
Ingrid M. Werner
|
Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange |
|
w4720 |
Andrew W. Lo
Jiang Wang
|
Implementing Option Pricing Models When Asset Returns Are Predictable |
|
w4718 |
James M. Hutchinson
Andrew W. Lo
Tomaso Poggio
|
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
|
w4702 |
Shmuel Kandel
Robert F. Stambaugh
|
Portfolio Inefficiency and the Cross-Section of Expected Returns |
|
t0129 |
Daniel B. Nelson
Dean P. Foster
|
Asypmtotic Filtering Theory for Univariate Arch Models |
|
w4676 |
David K. Backus
Stanley E. Zin
|
Reverse Engineering the Yield Curve |
|
t0153 |
Lars Peter Hansen
Ravi Jagannathan
|
Assessing Specification Errors in Stochastic Discount Factor Models |
|
w4663 |
Campbell R. Harvey
Roger D. Huang
|
The Impact of the Federal Reserve Bank's Open Market Operations |
|
w4660 |
Campbell R. Harvey
Bruno Solnik
Guofu Zhou
|
What Determines Expected International Asset Returns? |
|
w4657 |
Bernard Dumas
|
A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables |
|
w4654 |
Larry Lang
Annette Poulsen
Rene M. Stulz
|
Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion |
|
w4645 |
Rene M. Stulz
|
International Portfolio Choice and Asset Pricing: An Integrative Survey |
|
wise94-1 |
David A. Wise
editor
|
Studies in the Economics of Aging |
|
w4632 |
Olivia S. Mitchell
Ping Lung Hsin
|
"Public Sector Pension Governance and Performance" |
|
w4624 |
Geert Bekaert
Robert J. Hodrick
David A. Marshall
|
The Implications of First-Order Risk Aversion for Asset Market Risk Premiums |
|
w4623 |
Campbell R. Harvey
|
Conditional Asset Allocation in Emerging Markets |
|
w4622 |
Wayne E. Ferson
Campbell R. Harvey
|
Sources of Risk and Expected Returns in Global Equity Markets |
|
w4621 |
Campbell R. Harvey
|
Predictable Risk and Returns in Emerging Markets |
|
w4611 |
Linda L. Tesar
Ingrid M. Werner
|
International Equity Transactions and U.S. Portfolio Choice |
|
t0152 |
Kenneth D. West
Dongchul Cho
|
The Predictive Ability of Several Models of Exchange Rate Volatility |
|
t0151 |
Douglas Staiger
James H. Stock
|
Instrumental Variables Regression with Weak Instruments |
| 1993 |
|
t0131 |
Robert J. Shiller
|
Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures |
|
w4596 |
David S. Bates
|
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options |
|
w4595 |
Wayne E. Ferson
Campbell R. Harvey
|
An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns |
|
w4587 |
John Y. Campbell
Kenneth A. Froot
|
International Experiences with Securities Transaction Taxes |
|
w4554 |
John Y. Campbell
|
Understanding Risk and Return |
|
w4524 |
Larry G. Epstein
Angelo Melino
|
A Revealed Preference Analysis of Asset Pricing Under Recursive Utility |
|
w4522 |
Bernard Dumas
L. Peter Jennergren
Bertil Naslund
|
Currency Option Pricing in Credible Target Zones |
|
w4520 |
Jaesun Noh
Robert F. Engle
Alex Kane
|
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
|
w4519 |
Robert F. Engle
Alex Kane
Jaesun Noh
|
Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
|
t0145 |
Lars Peter Hansen
John Heaton
Erzo G.J. Luttmer
|
Econometric Evaluation of Asset Pricing Models |
|
w4459 |
Bernard Dumas
Bruno Solnik
|
The World Price of Foreign Exchange Risk |
|
w4458 |
Bernard Dumas
L. Peter Jennergren
Bertil Naslund
|
Realignment Risk and Currency Option Pricing in Target Zones |
|
w4446 |
Bernard Dumas
|
Partial- Vs. General-Equilibrium Models of the International Capital Market |
|
t0142 |
John Y. Campbell
|
Why Long Horizons: A Study of Power Against Persistent Alternatives |
|
t0141 |
Lars Peter Hansen
Jose Alexandre Scheinkman
|
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes |
|
t0140 |
Robert F. Stambaugh
|
Estimating Conditional Expectations when Volatility Fluctuates |
|
w4412 |
Andrew B. Abel
Janice C. Eberly
|
An Exact Soultion for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility |
|
w4396 |
Robert J. Shiller
|
Aggregate Income Risks and Hedging Mechanisms |
|
w4369 |
Shlomo Benartzi
Richard H. Thaler
|
Myopic Loss Aversion and the Equity Premium Puzzle |
|
w4360 |
Josef Lakonishok
Robert W. Vishny
Andrei Shleifer
|
Contrarian Investment, Extrapolation, and Risk |
|
w4355 |
Kenneth A. Froot
|
Currency Hedging over Long Horizons |
|
t0134 |
Shmuel Kandel
Robert McCulloch
Robert F. Stambaugh
|
Bayesian Inference and Portfolio Efficiency |
|
w4347 |
Pierluigi Balduzzi
Giuseppe Bertola
Silverio Foresi
|
A Model of Target Changes and the Term Structure of Interest Rates |
|
w4329 |
John Campbell
Jianping Mei
|
Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk |
|
w4315 |
James Dow
Gary Gorton
|
Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing |
|
w4314 |
James Dow
Gary Gorton
|
Arbitrage Chains |
|
w4373 |
Jeremy C. Stein
|
Prices and Trading Volume in the Housing Market: A Model with Downpayment Effects |
|
w4294 |
Charles Engel
Jeffrey A. Frankel
Kenneth A. Froot
Anthony P. Rodrigues
|
The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market |
|
t0133 |
David K. Backus
Stanley E. Zin
|
Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates |
|
w4249 |
John Heaton
Deborah Lucas
|
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing |
| 1992 |
|
w4234 |
Douglas Elmendorf
Mary Hirshfeld
David Weil
|
The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920 |
|
t0132 |
Daniel B. Nelson
Dean P. Foster
|
Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model |
|
w4217 |
Rene M. Stulz
Walter Wasserfallen
|
Foreign Equity Investment Restrictions and Shareholder Wealth Maximization |
|
t0128 |
Kenneth D. West
Hali J. Edison
Dongchul Cho
|
A Utility Based Comparison of Some Models of Exchange Rate Volatility |
|
w4193 |
John Y. Campbell
Sanford J. Grossman
Jiang Wang
|
Trading Volume and Serial Correlation in Stock Returns |
|
w4134 |
Karen K. Lewis
Martin D. Evans
|
Do Expected Shifts in Inflation Policy Affect Real Rates? |
|
w4121 |
David Romer
|
Rational Asset Price Movements Without News |
|
w4116 |
Martin D. Evans
Karen K. Lewis
|
Trends in Expected Returns in Currency and Bond Markets |
|
t0124 |
Stephen G. Cecchetti
Pok-sang Lam
Nelson C. Mark
|
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns |
|
w4110 |
Andrew B. Abel
|
Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle |
|
w4108 |
Tim Bollerslev
Robert J. Hodrick
|
Financial Market Efficiency Tests |
|
w4104 |
Phillip A. Braun
George M. Constantinides
Wayne E. Ferson
|
Time Nonseparability in Aggregate Consumption: International Evidence |
|
w4088 |
John H. Cochrane
Lars Peter Hansen
|
Asset Pricing Explorations for Macroeconomics |
|
w4083 |
Robert S. Pindyck
|
The Present Value Model of Rational Commodity Pricing |
|
w4074 |
K.C. Chan
G. Andrew Karolyi
Rene M. Stulz
|
Global Financial Markets and the Risk Premium on U.S. Equity |
|
w4054 |
J. Bradford De Long
Marco Becht
|
"Excess Volatility" and the German Stock Market, 1876-1990 |
|
w4043 |
Bruce N. Lehmann
|
Empirical Testing of Asset Pricing Models |
|
w4036 |
Orley Ashenfelter
David Genesove
|
Testing for Price Anomalies in Real Estate Auctions |
|
w4025 |
John H. Cochrane
|
A Cross-Sectional Test of a Production-Based Asset Pricing Model |
|
w4003 |
Martin D. Evans
Karen K. Lewis
|
Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets |
|
w3995 |
Robert B. Barsky
J. Bradford De Long
|
Why Does the Stock Market Fluctuate? |
|
w3992 |
Olivier Jean Blanchard
Philippe Weil
|
Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty |
|
w3989 |
John Y. Campbell
|
Intertemporal Asset Pricing Without Consumption Data |
|
w3976 |
Miles Kimball
Philippe Weil
|
Precautionary Saving and Consumption Smoothing Across Time and Possibilities |
|
w3975 |
Philippe Weil
|
Equilibrium Asset Prices With Undiversifiable Labor Income Risk |
|
w3954 |
Zvi Bodie
Robert C. Merton
William F. Samuelson
|
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model |
| 1991 |
|
w3937 |
Mark Schankerman
|
Revisions and Investment Plans and the Stock Market Rate of Return |
|
w3911 |
Wen-Ling Lin
Robert F. Engle
Takatoshi Ito
|
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
|
w3910 |
Shang-Jin Wei
Jeffrey A. Frankel
|
Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable? |
|
w3904 |
Douglas W. Elmendorf
Miles S. Kimball
|
Taxation of Labor Income and the Demand For Risky Assets |
|
w3888 |
Jerry A. Hausman
Andrew W. Lo
A. Craig MacKinlay
|
An Ordered Probit Analysis of Transaction Stock Prices |
|
w3873 |
Bruce N. Lehmann
|
Asset Pricing and Intrinsic Values: A Review Essay |
|
w3862 |
Franklin Allen
Gary Gorton
|
Stock Price Manipulation, Market Microstructure and Asymmetric Information |
|
w3861 |
Geert Bekaert
Robert J. Hodrick
|
On Biases in the Measurement of Foreign Exchange Risk Premiums |
| 1971 |
|
hemp71-1 |
George H. Hempel
|
The Postwar Quality of State and Local Debt |
| 1970 |
|
herz70-1 |
John P. Herzog and James S. Earley
|
Home Mortgage Delinquency and Foreclosure |
| 1966 |
|
wool66-1 |
Herbert B. Woolley
|
Measuring Transactions between World Areas |
| 1962 |
|
wojn62-1 |
Albert M. Wojnilower
|
The Quality of Bank Loans: A Study of Bank Examination Records |
|
holl62-1 |
Daniel M. Holland
|
Dividends Under the Income Tax |
|
hanc62-1 |
George Hanc
|
The United States Savings Bond Program in the Postwar Period |
| 1961 |
|
repo61-1 |
Price Statistics Review Committee
|
The Price Statistics of the Federal Goverment |
| 1960 |
|
robi60-1 |
Roland Robinson
|
Postwar Market for State and Local Government Securities |
| 1958 |
|
holl58-1 |
Daniel M. Holland
|
The Income Tax Burden on Stockholders |
|
hick58-1 |
W. Braddock Hickman
|
Corporate Bond Quality and Investor Experience |
| 1953 |
|
hick53-1 |
W. Braddock Hickman
|
The Volume of Corporate Bond Financing Since 1900 |
| 1952 |
|
hick52-1 |
W. Braddock Hickman
|
Trends and Cycles in Corporate Bond Financing |
| 1951 |
|
harr51-1 |
C. Lowell Harriss
|
History and Policies of the Home Owners' Loan Corporation |
| 1945 |
|
whit45-1 |
Charles R. Whittlesey
|
Bank Liquidity and the War |
| 1944 |
|
higg44-1 |
Benjamin H. Higgins
|
Canada's Financial System in War |
| 1943 |
|
whit43-1 |
Charles R. Whittlesey
|
The Banking System and War Finance |
|
whit43-2 |
Charles R. Whittlesey
|
The Effect of War on Currency and Deposits |
| 1942 |
|
habe42-1 |
Gottfried Haberler
|
Consumer Instalment Credit and Economic Fluctuations |
| 1941 |
|
wick41-1 |
David L. Wickens
|
Residential Real Estate, Its Economic Position as Shown by Values, Rents, Family Incomes, Financing, and Construction, Together with Estimates for All Real Estate |
