Report NEP-FIN-2005-11-19

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:

• Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Staff Working Papers 05-32, Bank of Canada.
• Luigi Benfratello & Fabio Schiantarelli & Alessandro Sembenelli, 2005. "Banks and Innovation: Microeconometric Evidence on Italian Firms," Boston College Working Papers in Economics 631, Boston College Department of Economics, revised 13 Jun 2007.
• Simon Deakin & Beth Ahlering, 2005. "Labour regulation, corporate governance and legal origina: a case of institutional complementarity?," Working Papers wp312, Centre for Business Research, University of Cambridge.
• Ajit Singh & Jack Glen & Ann Zammitt & Rafael De Hoyos & Alaka Singh & Bruce Weisse, 2005. "Shareholder value maximisation, stock market and new technology: should the US corporate model be the universal standard," Working Papers wp315, Centre for Business Research, University of Cambridge.
• Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
• Hallerbach, W.G.P.M. & Pouchkarev, I., 2005. "A Relative View on Tracking Error," ERIM Report Series Research in Management ERS-2005-063-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:kubcen:2005111 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2005112 is not listed on IDEAS anymore

• Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
• Campa, Jose M. & Goldberg, Linda S. & Gonzalez-Minguez, Jose M., 2005. "Exchange-rate pass-through to import prices in the euro area," IESE Research Papers D/609, IESE Business School.
• Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñezr & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, "undated". "Implicit regimes for the Spanish Peseta/Deutschmark exchange rate," Working Papers 2005-21, FEDEA.
• Oxelheim, Lars & Randoy, Trond, 2004. "The Effects of Internationalization on CEO Compensation," Working Paper Series 611, Research Institute of Industrial Economics.
• Peter Nippel & Christian Pierdzioch & Andrea Schertler, 2005. "Underpricing and Index Excess Returns," Kiel Working Papers 1259, Kiel Institute for the World Economy.
• Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
• Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc.
• Itay Goldstein & Assaf Razin, 2005. "An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment," NBER Working Papers 11757, National Bureau of Economic Research, Inc.
• Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
• Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
• Charles Engel, 2005. "The US Current Account Deficit: A Re-examination of the Role of Private Saving," RBA Research Discussion Papers rdp2005-09, Reserve Bank of Australia.
• Pasquale Lucio Scandizzo, 2004. "Financing Technology: An Assessment of Theory and Practice," CEIS Research Paper 43, Tor Vergata University, CEIS.
• Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004. "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper 52, Tor Vergata University, CEIS.
• Michael R. Wickens & Chiona Balfoussia, 2004. "Macroeconomic Sources of Risk in the Term Structure," CEIS Research Paper 61, Tor Vergata University, CEIS.
• Greg Duffee, 2005. "Term structure estimation without using latent factors," Computing in Economics and Finance 2005 103, Society for Computational Economics.
• Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005 140, Society for Computational Economics.
• Oleksandr Zhylyevskyy, 2005. "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005 187, Society for Computational Economics.
• Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics.
• Willi Semmler & Lars Grüne, 2005. "Asset Pricing and Loss Aversion," Computing in Economics and Finance 2005 199, Society for Computational Economics.
• Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
• Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
• Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
• Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
• Mathias Hoffmann, 2005. "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005 229, Society for Computational Economics.
• Sikandar Hussain & M. Shahid Ebrahim, 2005. "Financial Development and Property Valuation," Computing in Economics and Finance 2005 24, Society for Computational Economics.
• Michel PHILIP & Patrick Micheletti, 2005. "HRM and Value Creation," Computing in Economics and Finance 2005 264, Society for Computational Economics.
• David Goldbaum & Bruce Mizrach, 2005. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Computing in Economics and Finance 2005 295, Society for Computational Economics.
• Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
• Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
• Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
• Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
• Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational Economics.
• Min Wei & Stefania D'Amico & Don H. Kim, 2005. "TIPS: Taking Inflation Premium Seriously," Computing in Economics and Finance 2005 363, Society for Computational Economics.
• Giulio Bottazzi & Mikhail Anufriev, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005 375, Society for Computational Economics.
• Xin Wang & Chris Downing, 2005. "Optimal Capital Structure and the Term Structure of Interest Rates," Computing in Economics and Finance 2005 38, Society for Computational Economics.
• Simon Lysbjerg Hansen, 2005. "A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Computing in Economics and Finance 2005 391, Society for Computational Economics.
• Jing Yang & Sheri Markose & Amadeo Alentorn, 2005. "Designing large value payment systems: an agent based approach," Computing in Economics and Finance 2005 396, Society for Computational Economics.
• Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
• Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
• Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics.
• Matt Pritsker, 2005. "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005 414, Society for Computational Economics.
• Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics.
• Dalida Kadyrzhanova, 2005. "Predatory Governance," Computing in Economics and Finance 2005 421, Society for Computational Economics.
• Kris Jacobs & Stephane Pallage & Michel A. Robe, 2005. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," Computing in Economics and Finance 2005 47, Society for Computational Economics.
• Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
• James Stodder, 2005. "Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data," Computing in Economics and Finance 2005 64, Society for Computational Economics.
• Eymen Errais & Jeffrey Sadowsky, 2005. "Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach," Computing in Economics and Finance 2005 73, Society for Computational Economics.
• Joseph B. Nichols, 2005. "Housing Wealth and Mortgage Contracts," Computing in Economics and Finance 2005 75, Society for Computational Economics.
• Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics.
• Daniela Fabbri & Anna Maria Cristina Menichini, 2005. "Trade Credit, Collateral Liquidation and Borrowing Constraints," CSEF Working Papers 146, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 08 Feb 2009.
• Michael Haliassos & Michael Reiter, 2005. "Credit card debt puzzles," Economics Working Papers 901, Department of Economics and Business, Universitat Pompeu Fabra.
• Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series 168, Quantitative Finance Research Centre, University of Technology, Sydney.
• paolo pianca, 2005. "Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model," Finance 0511005, University Library of Munich, Germany.
• Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
• Sautner, Zacharias & Weber, Martin, 2005. "Corporate Governance and the Design of Stock Option Programs," Sonderforschungsbereich 504 Publications 05-32, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Glaser, Markus & Weber, Martin, 2005. "Which Past Returns Affect Trading Volume?," Sonderforschungsbereich 504 Publications 05-33, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Glaser, Markus & Langer, Thomas & Reynders, Jens & Weber, Martin, 2005. "Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns," Sonderforschungsbereich 504 Publications 05-40, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Item repec:cnb:wpaper:2005/1 is not listed on IDEAS anymore

• Urs von Arx, 2005. "Principle guided investing: The use of negative screens and its implications for green investors," CER-ETH Economics working paper series 05/45, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
• Kollo, Michael G., 2005. "Underwriter competition and gross spreads in the eurobond market," Working Paper Series 0550, European Central Bank.
• Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 0552, European Central Bank.
• Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:hum:wpaper:sfb649dp2005-011 is not listed on IDEAS anymore

• Fengler, Matthias R., 2005. "Arbitrage-free smoothing of the implied volatility surface," SFB 649 Discussion Papers 2005-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.