Report NEP-FIN-2004-08-16

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

This report is closed
Other reports in NEP-FIN

The following items were announced in this report:

• Item repec:dnb:wormem:760ne is not listed on IDEAS anymore

• Berger, Allen N & Hasan, Iftekhar & Klapper, Leora F., 2003. "Further evidence on the link between finance and growth : an international analysis of community banking and economic performance," Policy Research Working Paper Series 3105, The World Bank.
• Thorsten Beck & Ross Levine, 2003. "Legal institutions and financial development," Policy Research Working Paper Series 3136, The World Bank.
• Maria Demertzis & Andrew Hughes Hallet, 2004. "Rational Ambiguity and Monitoring the Central Bank," WO Research Memoranda (discontinued) 759, Netherlands Central Bank, Research Department.
• Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
• Reena Aggarwal & Leora Klapper & Peter D. Wysocki, 2003. "Portfolio preferences of foreign institutional investors," Policy Research Working Paper Series 3101, The World Bank.
• Burns, Phil & Riechmann, Christoph, 2004. "Regulatory instruments and their effects on investment behavior," Policy Research Working Paper Series 3292, The World Bank.
• calmes christian, 2004. "Trends in the Canadian Financial System," Finance 0408002, University Library of Munich, Germany.
• Auffret, Philippe, 2003. "Catastrophe insurance market in the Caribbean Region : market failures and recommendations for public sector interventions," Policy Research Working Paper Series 2963, The World Bank.
• David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney.
• Alon Raviv, 2004. "Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes," Finance 0408003, University Library of Munich, Germany.
• Item repec:dnb:wormem:001 is not listed on IDEAS anymore

• Winston Moore & Roland Craigwell, 2004. "Financing Constraints and Corporate Growth," Computing in Economics and Finance 2004 25, Society for Computational Economics.
• S. Manzan, 2004. "Nonlinear Mean Reversion in Stock Prices," Computing in Economics and Finance 2004 264, Society for Computational Economics.
• Item repec:dnb:wormem:003 is not listed on IDEAS anymore

• Hanson, James A., 2003. "Banking in developing countries in the 1990s," Policy Research Working Paper Series 3168, The World Bank.
• Majnoni, Giovanni & Shankar, Rashmi & Varhegyi, Eva, 2003. "The dynamics of foreign bank ownership - evidence from Hungary," Policy Research Working Paper Series 3114, The World Bank.
• Clarke, George & Xu, Lixin Colin & Zou, Heng-fu, 2003. "Finance and income inequality : test of alternative theories," Policy Research Working Paper Series 2984, The World Bank.
• Item repec:cla:uclaol:305 is not listed on IDEAS anymore

• Aggarwal, Reena & Klapper, Leora, 2003. "Ownership structure and initial public offerings," Policy Research Working Paper Series 3103, The World Bank.
• Estache, Antonio & Pinglo, Maria Elena, 2004. "Are returns to private infrastructure in developing countries consistent with risks since the Asian crisis?," Policy Research Working Paper Series 3373, The World Bank.
• Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society.
• Levine, Ross & Schmukler, Sergio L., 2003. "Migration, spillovers, and trade diversion : the impact of internationalization on stock market liquidity," Policy Research Working Paper Series 3046, The World Bank.
• Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney.
• Claessens, Stijn & Laeven, Luc, 2003. "What drives bank competition? some international evidence," Policy Research Working Paper Series 3113, The World Bank.
• Item repec:dnb:wormem:002 is not listed on IDEAS anymore

• Sandeep Kapur & Allan Timmermann, 2004. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Finance 0408001, University Library of Munich, Germany.
• Demirguc, Asli & Laeven, Luc & Levine, Ross, 2003. "The impact of bank regulations, concentration, and institutions on bank margins," Policy Research Working Paper Series 3030, The World Bank.
• Item repec:dnb:wormem:005 is not listed on IDEAS anymore

• Ladekarl, Jeppe & Zervos, Sara, 2004. "Housekeeping and plumbing - the investability of emerging markets," Policy Research Working Paper Series 3229, The World Bank.
• Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
• Hokky Situngkir & Yohanes Surya, 2004. "Statistical Facts of Artificial Stock Market: Comparison with Indonesian Empirical Data," Finance 0408004, University Library of Munich, Germany.
• Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
• Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney.
• Adrian Peralta-Alva (Presenter) & Sami Alpanda, 2004. "Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974," Econometric Society 2004 Latin American Meetings 250, Econometric Society.
• Baffes, John, 2004. "Cotton : Market setting, trade policies, and issues," Policy Research Working Paper Series 3218, The World Bank.
• Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
• Alejandro Gaytan & Romain Ranciere, 2004. "Banks, Liquidity Crises and Economic Growth," Econometric Society 2004 North American Summer Meetings 399, Econometric Society.
• Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
• Hess, David & Impavido, Gregorio, 2003. "Governance of public pension funds : lessons from corporate governance and international evidence," Policy Research Working Paper Series 3110, The World Bank.
• PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
• Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004. "An Anatomy of Futures Returns: Risk Premiums and Trading Strategies," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department.
• Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society.
• Carnero, María Ángeles, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de Estadística.
• Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
• Diego Winkelried & Juan Francisco Castro & Eduardo Morón, 2004. "Understanding Financial Vulnerability in Partially Dollarized Economies," Econometric Society 2004 Latin American Meetings 260, Econometric Society.
• Tai-Yeong Chung & Alan Chan, 2004. "Contract Damages and Investment Dynamics," Econometric Society 2004 Far Eastern Meetings 683, Econometric Society.
• Alessandro Beber; Fabio Fornari., 2004. "Volatility and the Term Structure: Evidence from Interest Rate Derivatives," Computing in Economics and Finance 2004 313, Society for Computational Economics.
• W.A. Bruinshoofd & C.J.M. Kool, 2004. "Dutch corporate liquidity management: new evidence on aggregation," WO Research Memoranda (discontinued) 756, Netherlands Central Bank, Research Department.
• Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
• Albert Wang & Joon Chae, 2004. "Who makes markets? The Role of Dealers and Liquidity Provision," Econometric Society 2004 North American Summer Meetings 364, Econometric Society.
• Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney.
• David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney.
• Javorcik, Beata Smarzynska & Saggi, Kamal, 2004. "Technological asymmetry among foreign investors and mode of entry," Policy Research Working Paper Series 3196, The World Bank.
• Nicholas Apergis & Stephen M. Miller, 2004. "Consumption Asymmetry and the Stock Market: Further Evidence," Working papers 2004-19, University of Connecticut, Department of Economics.
• F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.