Report NEP-FIN-2004-12-12

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:

• Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
• Jacobsen, B. & Marquering, W.A., 2004. "Is it the weather?," ERIM Report Series Research in Management ERS-2004-100-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Item repec:dgr:rugsom:04b25 is not listed on IDEAS anymore

• Item repec:dgr:rugsom:04e15 is not listed on IDEAS anymore

• Item repec:dgr:rugsom:04e16 is not listed on IDEAS anymore

• Item repec:dgr:rugsom:04e19 is not listed on IDEAS anymore

• Item repec:att:belgnw:200461 is not listed on IDEAS anymore

• Wilko Bolt & Alexander F. Tieman, 2004. "Skewed Pricing in Two-Sided Markets: An IO approach," DNB Working Papers 013, Netherlands Central Bank, Research Department.
• Robert S. Chirinko & Leo de Haan & Elmer Sterken, 2004. "Asset Price Shocks, Real Expenditures, and Financial Structure: A Multi-Country Analysis," DNB Working Papers 014, Netherlands Central Bank, Research Department.
• Item repec:att:belgnw:200462 is not listed on IDEAS anymore

• Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS.
• Adriana Breccia, 2004. "Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors," Birkbeck Working Papers in Economics and Finance 0411, Birkbeck, Department of Economics, Mathematics & Statistics.
• Item repec:fmg:fmgdps:dp524 is not listed on IDEAS anymore

• Thomas Kiehlborn & Mark Mietzner, 2004. "EU Financial Integration: Is There a ’Core Europe’? - Evidence from a Cluster-Based Approach," Working Paper Series: Finance and Accounting 130, Department of Finance, Goethe University Frankfurt am Main.
• Nicole Branger & Antje Mahayni, 2006. "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting 135, Department of Finance, Goethe University Frankfurt am Main.
• Nicole Branger & Christian Schlag, 2008. "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Working Paper Series: Finance and Accounting 136, Department of Finance, Goethe University Frankfurt am Main.
• Item repec:fra:franaf:137 is not listed on IDEAS anymore

• Nicole Branger & Angelika Esser & Christian Schlag, 2004. "When Are Static Superhedging Strategies Optimal?," Working Paper Series: Finance and Accounting 138, Department of Finance, Goethe University Frankfurt am Main.
• Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main.
• Ralf Elsas & Frank Heinemann & Marcel Tyrell, 2004. "Multiple but Asymmetric Bank Financing: The Case of Relationship Lending," Working Paper Series: Finance and Accounting 141, Department of Finance, Goethe University Frankfurt am Main.
• Brigitte Desroches, 2004. "The Transmission of World Shocks to Emerging-Market Countries: An Empirical Analysis," Staff Working Papers 04-44, Bank of Canada.
• Stotz, Olaf & Lutje, Torben & Menkhoff, Lukas & von Nitzsch, Rudiger, 2004. "Do Fund Managers Expect Mean Averting Returns?," Hannover Economic Papers (HEP) dp-309, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Stuart Turnbull & Jun Yang, 2004. "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers 04-45, Bank of Canada.
• Gaspar, Raquel M., 2004. "On Finite Dimensional Realizations of Forward Price Term Structure Models," SSE/EFI Working Paper Series in Economics and Finance 569, Stockholm School of Economics.
• Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
• Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.
• Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004. "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series d04-43, Institute of Economic Research, Hitotsubashi University.
• E Philip Davis & Yuwei Hu, 2004. "Is There A Link Between Pension-Fund Assets And Economic Growth? - A Cross-Country Study," Public Policy Discussion Papers 04-23, Economics and Finance Section, School of Social Sciences, Brunel University.
• Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics.
• Enrique G. Mendoza & Katherine A. Smith, 2004. "Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices," NBER Working Papers 10940, National Bureau of Economic Research, Inc.
• Fernando A. Broner & R. Gaston Gelos & Carmen Reinhart, 2004. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," NBER Working Papers 10941, National Bureau of Economic Research, Inc.
• Eswar S. Prasad & Kenneth S. Rogoff & Shang-Jin Wei & M. Ayhan Kose, 2004. "Financial Globalization, Growth and Volatility in Developing Countries," NBER Working Papers 10942, National Bureau of Economic Research, Inc.
• Randall Morck, 2004. "How to Eliminate Pyramidal Business Groups - The Double Taxation of Inter-Corporate Dividends and Other Incisive Uses of Tax Policy," NBER Working Papers 10944, National Bureau of Economic Research, Inc.
• Davies, G.B. & Satchell, S.E., 2004. "Continuous Cumulative Prospect Theory and Individual Asset Allocation," Cambridge Working Papers in Economics 0467, Faculty of Economics, University of Cambridge.
• Charles W. Calomiris & Joseph R. Mason, 2004. "Resolving the Puzzle of the Underissuance of National Bank Notes," NBER Working Papers 10951, National Bureau of Economic Research, Inc.
• Assaf Razin, 2004. "Globalization and Disinflation: A Note," NBER Working Papers 10954, National Bureau of Economic Research, Inc.
• Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
• John Quah, 2004. "The aggregate weak axiom in a financial economy through dominant substitution effects," Economics Papers 2004-W18, Economics Group, Nuffield College, University of Oxford.
• Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
• Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.
• Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers rdp2004-10, Reserve Bank of Australia.
• Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2004. "Large Devaluations and the Real Exchange Rate," RCER Working Papers 513, University of Rochester - Center for Economic Research (RCER).
• Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Marcelo Braga Nonnemberg & Mario Jorge Cardoso de Mendonça, 2004. "The Determinants Of Foreign Direct Investment In Developing Countries," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
• Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2004. "Overconfidence and market efficiency with heterogeneous agents," Economics Working Papers 786, Department of Economics and Business, Universitat Pompeu Fabra.
• Chiona Balfoussia & Michael Wickens & Michael R. Wickens, 2004. "Macroeconomic Sources of Risk in the Term Structure," CESifo Working Paper Series 1329, CESifo.
• Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, University Library of Munich, Germany.
• Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004. "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics 0411018, University Library of Munich, Germany.
• Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, University Library of Munich, Germany.
• Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, University Library of Munich, Germany.
• Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics 0412003, University Library of Munich, Germany.
• Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, University Library of Munich, Germany.
• Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, University Library of Munich, Germany.
• Rama Prasad Kanungo, 2004. "Security Analysts and Market Reaction:Caveat for Monitoring," Finance 0411039, University Library of Munich, Germany.
• Supreena Narayanan & Rashmi Dalvi, 2004. "Assessment of Financial Stability Reports:Sveriges Riksbank," Finance 0411040, University Library of Munich, Germany.
• Salman Shah & Anjan V. Thakor, 2004. "Optimal Capital Structure and Project Financing," Finance 0411041, University Library of Munich, Germany.
• Item repec:wpa:wuwpfi:0411042 is not listed on IDEAS anymore

• Item repec:wpa:wuwpfi:0411043 is not listed on IDEAS anymore

• Item repec:wpa:wuwpfi:0411044 is not listed on IDEAS anymore

• David Besanko & Anjan V. Thakor, 2004. "Competitive Equilibrium in the Credit Market under Asymmetric Information," Finance 0411045, University Library of Munich, Germany.
• David Besanko & Anjan V. Thakor, 2004. "Relationship Banking, Deposit Insurance and Bank Portfolio Choice," Finance 0411046, University Library of Munich, Germany.
• Paul K. Chaney & Anjan V. Thakor, 2004. "Incentive Effects of Benevolent Intervention - The case of government loan guarantees," Finance 0411047, University Library of Munich, Germany.
• Anjan V. Thakor, 2004. "Toward a Theory of Bank Loan Commitments," Finance 0411048, University Library of Munich, Germany.
• Yuk-Shee Chan & Stuart I. Greenbaum & Anjan V. Thakor, 2004. "Information Reusability, Competition and Bank Asset Quality," Finance 0411049, University Library of Munich, Germany.
• Anjan V. Thakor & Hai Hong & Stuart I. Greenbaum, 2004. "Bank Loan Commitments and Interest Rate Volatility," Finance 0411050, University Library of Munich, Germany.
• Arnoud Boot & Anjan V. Thakor & Gregory F. Udell, 2004. "Competition, Risk Neutrality and Loan Commitments," Finance 0411051, University Library of Munich, Germany.
• Stuart I. Greenbaum & Anjan V. Thakor, 2004. "Bank Funding Modes," Finance 0411052, University Library of Munich, Germany.
• Anjan V. Thakor & Gregory F. Udell, 2004. "An Economic Rationale for the Pricing Structure of Bank Loan Commitments," Finance 0411053, University Library of Munich, Germany.
• Patricia J. Hughes & Eduardo S. Schwartz & Anjan V. Thakor, 2004. "Continuous Signaling Within Partitions: Capital Structure and the FIFO/LIFO Choice," Finance 0411054, University Library of Munich, Germany.
• David Hirshleifer & KEWEI HOU & Siew Hong Teoh & YINGLEI ZHANG, 2004. "Do Investors Overvalue Firms With Bloated Balance Sheets?," Finance 0412001, University Library of Munich, Germany.
• MING DONG & David Hirshleifer & SCOTT RICHARSON & Siew Hong Teoh, 2004. "Does Investor Misvaluation Drive the Takeover Market?," Finance 0412002, University Library of Munich, Germany.
• David Hirshleifer & James N. Myers & Linda A. Myers & Siew Hong Teoh, 2004. "Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades," Finance 0412003, University Library of Munich, Germany.
• David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance 0412004, University Library of Munich, Germany.
• JOSHUA D. COVAL & David Hirshleifer & TYLER G. SHUMWAY, 2004. "Can Individual Investors Beat the Market?," Finance 0412005, University Library of Munich, Germany.
• KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, University Library of Munich, Germany.
• Zhiwu Chen & Ming Dong, 2004. "Stock Valuation and Investment Strategies," Finance 0412007, University Library of Munich, Germany.
• Ming Dong & David Hirshleifer, 2004. "A Generalized Earnings-Based Stock Valuation Model," Finance 0412008, University Library of Munich, Germany.
• Ming Dong & Chris Robinson & Chris Veld, 2004. "Why Individual Investors Want Dividends," Finance 0412009, University Library of Munich, Germany.
• Sanjai Bhagat & Ming Dong & David A. Hirshleifer & Robert B. Noah, 2004. "Do Tender Offers Create Value? New Methods and Evidence," Finance 0412011, University Library of Munich, Germany.
• Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, University Library of Munich, Germany.
• Puja Guha & Shivani Daga & Richa Gulati & Ganita Bhupal & Hena Oak, 2004. "International Financial Markets Integration or Segmentation: A Case Study of Equity Markets," Finance 0412013, University Library of Munich, Germany.
• Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, University Library of Munich, Germany.
• Supreena Narayanan & Nikesh Agarwal & Leisha Weissenberger & Marta Wisniewska, 2004. "Boca Resorts Inc.-A Valuation Report," Finance 0412015, University Library of Munich, Germany.
• Kashyap Vattipalli, 2004. "Banking Crisis in Japan," General Economics and Teaching 0411001, University Library of Munich, Germany.
• Rose Cunningham, 2004. "Finance Constraints and Inventory Investment: Empirical Tests with Panel Data," Macroeconomics 0411015, University Library of Munich, Germany.
• Christian Bayer, 2004. "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Macroeconomics 0411018, University Library of Munich, Germany.
• David S. Bieri, 2004. "The Basel Process and Financial Stability," Macroeconomics 0412001, University Library of Munich, Germany.
• Guerdjikova, Ani, 2004. "Asset Prices in an Overlapping Generations Model with Case-Based Decision Makers with Short Memory," Sonderforschungsbereich 504 Publications 04-44, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Guerdjikova, Ani, 2004. "Evolution of Wealth and Asset Prices in Markets with Case-Based Investors," Sonderforschungsbereich 504 Publications 04-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series 1348, CESifo.
• Item repec:rsm:riskun:r303 is not listed on IDEAS anymore

• James E. Foster & Tapan Mitra, 2001. "Ranking Investment Projects," Vanderbilt University Department of Economics Working Papers 0107, Vanderbilt University Department of Economics.
• Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
• Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.
• Abdelkrim Seghir & Leila Triki & Stella Kanellopoulou, 2004. "On the survival and irreducibility assumptions for financial markets with nominal assets," Cahiers de la Maison des Sciences Economiques b04008, Université Panthéon-Sorbonne (Paris 1).
• Wassim Daher & Leonard J. Mirman, 2004. "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques b04025, Université Panthéon-Sorbonne (Paris 1).
• Wassim Daher & Leonard J. Mirman, 2004. "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques b04077, Université Panthéon-Sorbonne (Paris 1).
• Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2003. "Limited participation and exchange rate dynamics: does theory meet the data?," Cahiers de la Maison des Sciences Economiques v04013, Université Panthéon-Sorbonne (Paris 1).
• Sébastien Vivier-Lirimont, 2004. "Interbanking networks: towards a small financial world?," Cahiers de la Maison des Sciences Economiques v04046, Université Panthéon-Sorbonne (Paris 1).
• François Fontaine, 2004. "Do workers really benefit from their social networks?," Cahiers de la Maison des Sciences Economiques v04085, Université Panthéon-Sorbonne (Paris 1).
• ronald l goettler & christine a parlour & uday rajan, 2003. "Equilibrium in a dynamic limit order market," GSIA Working Papers 2003-E23, Carnegie Mellon University, Tepper School of Business.
• Richard C. Green & Burton Hollifield & Norman Schurhoff, "undated". "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers 2004-11, Carnegie Mellon University, Tepper School of Business.
• Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated". "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.