Report NEP-FIN-2006-01-24

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:

• Marco Committeri, 2004. "Investire in Italia? Risultati di una recente indagine empirica," Temi di discussione (Economic working papers) 491, Bank of Italy, Economic Research and International Relations Area.
• Massimo Omiccioli, 2004. "Il credito commerciale: problemi e teorie," Temi di discussione (Economic working papers) 494, Bank of Italy, Economic Research and International Relations Area.
• Amanda Carmignani, 2004. "Funzionamento della giustizia civile e struttura finanziaria delle imprese: il ruolo del credito commerciale," Temi di discussione (Economic working papers) 497, Bank of Italy, Economic Research and International Relations Area.
• Antonio Di Cesare, 2004. "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers) 506, Bank of Italy, Economic Research and International Relations Area.
• Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research and International Relations Area.
• Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
• Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
• Luca Casolaro & Leonardo Gambacorta, 2004. "Un modello dei conti economici per il sistema bancario italiano," Temi di discussione (Economic working papers) 519, Bank of Italy, Economic Research and International Relations Area.
• Fabio Panetta & Fabiano Schivardi & Matthew Shum, 2004. "Do mergers improve information? Evidence from the loan market," Temi di discussione (Economic working papers) 521, Bank of Italy, Economic Research and International Relations Area.
• Alberto Franco Pozzolo, 2004. "The role of guarantees in bank lending," Temi di discussione (Economic working papers) 528, Bank of Italy, Economic Research and International Relations Area.
• Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
• Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.
• Vlachos, Jonas & Nilsson, Mattias & Svaleryd, Helena & Cronqvist, Henrik & Heyman, Fredrik, 2005. "Do Entrenched Managers Pay Their Workers More?," CEPR Discussion Papers 5371, C.E.P.R. Discussion Papers.
• Pagano, Marco & Volpin, Paolo, 2005. "Shareholder Protection, Stock Market Development and Politics," CEPR Discussion Papers 5378, C.E.P.R. Discussion Papers.
• Buiter, Willem & Sibert, Anne, 2005. "How the Eurosystem?s Treatment of Collateral in its Open Market Operations Weakens Fiscal Discipline in the Eurozone (and what," CEPR Discussion Papers 5387, C.E.P.R. Discussion Papers.
• Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
• Inderst, Roman, 2006. "Consumer Lending When Lenders are More Sophisticated Than Households," CEPR Discussion Papers 5410, C.E.P.R. Discussion Papers.
• Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
• Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
• Item repec:dgr:uvatin:20050102 is not listed on IDEAS anymore

• Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries, 2005. "Risk Diversification by European Financial Conglomerates," Tinbergen Institute Discussion Papers 05-110/2, Tinbergen Institute.
• Item repec:dgr:uvatin:20050115 is not listed on IDEAS anymore

• Item repec:eab:financ:646 is not listed on IDEAS anymore

• Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI, 2005. "Distribution Risk and Equity Returns," FAME Research Paper Series rp161, International Center for Financial Asset Management and Engineering.
• Dusan ISAKOV & Dennis Y. CHUNG & Christophe PERIGNON, 2005. "Repurchasing Shares on a Second Trading Line," FAME Research Paper Series rp162, International Center for Financial Asset Management and Engineering.
• Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
• Enrico Perotti & Bernardo Bortolotti, 2005. "From Government to Regulatory Governance: Privatization and the Residual Role of the State," Working Papers 2005.151, Fondazione Eni Enrico Mattei.
• Christina E. Bannier & Marcel Tyrell, 2005. "Modelling the role of credit rating agencies - Do they spark off a virtuous circle?," Working Paper Series: Finance and Accounting 160, Department of Finance, Goethe University Frankfurt am Main.
• Björk, Tomas & Biagini, Francesca, 2005. "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance 619, Stockholm School of Economics.
• Glaser, Markus & Weber, Martin, 2005. "Which Past Returns Affect Trading Volume?," SIFR Research Report Series 35, Institute for Financial Research.
• Kaplan, Steven N. & Sensoy, Berk A. & Strömberg, Per, 2005. "What are Firms? Evolution from Birth to Public Companies," SIFR Research Report Series 36, Institute for Financial Research.
• Axelson, Ulf, 2005. "Security Design with Investor Private Information," SIFR Research Report Series 37, Institute for Financial Research.
• Bjönnes, Geir H. & Holden, Steinar & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," SIFR Research Report Series 38, Institute for Financial Research.
• Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
• Glaser, Markus & Weber, Martin, 2005. "Overconfidence and Trading Volume," SIFR Research Report Series 40, Institute for Financial Research.
• Galina Hale, 2005. "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over," The Institute for International Integration Studies Discussion Paper Series iiisdp062, IIIS.
• Frances Ruane & Padraig Moore, 2005. "Taxation and the Financial Structure of Foreign Direct Investment," The Institute for International Integration Studies Discussion Paper Series iiisdp88, IIIS.
• Thomas Lagoarde Segot & Brian M Lucey, 2005. "Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp92, IIIS.
• Kato, Takao & Long, Cheryl, 2006. "CEO Turnover, Firm Performance and Enterprise Reform in China: Evidence from New Micro Data," IZA Discussion Papers 1914, Institute of Labor Economics (IZA).
• Thomas Harr & Thomas Rønde, 2006. "Regulation of Banking Groups," FRU Working Papers 2006/01, University of Copenhagen. Department of Economics. Finance Research Unit.
• Marin, Dalia, 2006. "The Vanishing Barter Economy in Russia: A Test of the Virtual Economy Hypothesis? Reply to Barry Ickes," Discussion Papers in Economics 753, University of Munich, Department of Economics.
• Rene M. Stulz, 2006. "Financial Globalization, Corporate Governance, and Eastern Europe," NBER Working Papers 11912, National Bureau of Economic Research, Inc.
• A. Burak Güner & Ulrike Malmendier & Geoffrey Tate, 2006. "Financial Expertise of Directors," NBER Working Papers 11914, National Bureau of Economic Research, Inc.
• Refet Gurkaynak & Justin Wolfers, 2006. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Working Papers 11929, National Bureau of Economic Research, Inc.
• Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers 11941, National Bureau of Economic Research, Inc.
• Kevin F. Hallock & Craig Olson, 2006. "The Value of Stock Options to Non-Executive Employees," NBER Working Papers 11950, National Bureau of Economic Research, Inc.
• Alan J. Auerbach & Kevin A. Hassett, 2006. "Dividend Taxes and Firm Valuation: New Evidence," NBER Working Papers 11959, National Bureau of Economic Research, Inc.
• Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc.
• Darrell Duffie & Leandro Siata & Ke Wang, 2006. "Multi-Period Corporate Default Prediction With Stochastic Covariates," NBER Working Papers 11962, National Bureau of Economic Research, Inc.
• Jeffrey Brown & James Poterba, 2006. "Household Ownership of Variable Annuities," NBER Working Papers 11964, National Bureau of Economic Research, Inc.
• Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
• Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
• Donald S. Siegel & Kenneth L. Simons, 2006. "Assessing the Effects of Mergers and Acquisitions on Firm Performance, Plant Productivity, and Workers: New Evidence from Matched Employer-Employee Data," Rensselaer Working Papers in Economics 0601, Rensselaer Polytechnic Institute, Department of Economics.
• John Landon-Lane & Kim Oosterlinck, 2005. "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers 200513, Rutgers University, Department of Economics.
• Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics.
• Item repec:scp:wpaper:05-42 is not listed on IDEAS anymore

• Graham Bird & Wolfgang Mayer & Alex Mourmouras, 2005. "The Viability of Economic Reform Programs Supported by the International Financial Institutions," School of Economics Discussion Papers 0605, School of Economics, University of Surrey.
• Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005. "On the Stability of the Wealth Effect," School of Economics Discussion Papers 1405, School of Economics, University of Surrey.
• Marie Obidzinski & Bruno Deffains, 2006. "Real Options Theory for Law Maker," Working Papers of BETA 2006-04, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• J. David Brown & John S. Earle & Almos Telegdy, 2005. "Does Privatization Hurt Workers? Lessons from Comprehensive Manufacturing Firm Panel Data in Hungary, Romania, Russia, and Ukraine," Upjohn Working Papers 05-125, W.E. Upjohn Institute for Employment Research.
• Marco Gallegati, 2005. "A Wavelet Analysis of MENA Stock Markets," Finance 0512027, University Library of Munich, Germany.
• Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, University Library of Munich, Germany.
• Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
• Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
• Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.
• Mario Quagliariello, 2006. "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers 06/02, Department of Economics, University of York.
• Matthews, Kent & Ismail, Mahadzir, 2006. "Efficiency and Productivity Growth of Domestic and Foreign Commercial Banks in Malaysia," Cardiff Economics Working Papers E2006/2, Cardiff University, Cardiff Business School, Economics Section.
• Daley, J & Matthews, Kent & Whitfield, Keith, 2006. "Too-Big-To-Fail: Bank Failure and Banking Policy in Jamaica," Cardiff Economics Working Papers E2006/4, Cardiff University, Cardiff Business School, Economics Section.
• Matthews, Kent & Murinde, Victor & Zhao, Tianshu, 2006. "Competitiveness and Market Contestability of Major UK Banks," Cardiff Economics Working Papers E2006/6, Cardiff University, Cardiff Business School, Economics Section.
• Ehrmann, Michael & Fratzscher, Marcel, 2005. "The timing of central bank communication," Working Paper Series 0565, European Central Bank.
• González, Fernando & Launonen, Simo, 2005. "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 0569, European Central Bank.
• Rinaldi, Laura & Sanchis-Arellano, Alicia, 2006. "Household debt sustainability: what explains household non-performing loans? An empirical analysis," Working Paper Series 0570, European Central Bank.
• Boissay, Frédéric, 2006. "Credit chains and the propagation of financial distress," Working Paper Series 0573, European Central Bank.
• Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Forecasting ECB monetary policy: accuracy is (still) a matter of geography," Working Paper Series 0578, European Central Bank.
• Kok, Christoffer & Werner, Thomas, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 0580, European Central Bank.
• Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Christian Weiner, 2005. "The Impact of Industry Classification Schemes on Financial Research," SFB 649 Discussion Papers SFB649DP2005-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Christian Weiner, 2005. "The Conglomerate Discount in Germany and the Relationship to Corporate Governance," SFB 649 Discussion Papers SFB649DP2005-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Christian Weiner & Niels Ulbricht, 2005. "Worldscope meets Compustat: A Comparison of Financial Databases," SFB 649 Discussion Papers SFB649DP2005-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Kai Detlefsen & Wolfgang Härdle, 2006. "Calibration Risk for Exotic Options," SFB 649 Discussion Papers SFB649DP2006-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Kai Detlefsen & Wolfgang Härdle, 2006. "Calibration Design of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2006-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolfgang Härdle & Zdenek Hlavka & Gerhard Stahl, 2006. "On the Appropriateness of Inappropriate VaR Models," SFB 649 Discussion Papers SFB649DP2006-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Szilárd Erhart, 2005. "Driving factors behind O/N interbank interest rates – the Hungarian experiences," MNB Occasional Papers 2005/34, Magyar Nemzeti Bank (Central Bank of Hungary).
• Domenico SCALERA & Alberto ZAZZARO, 2004. "From regulation to free market: the experience of the European motor insurance market," Working Papers 205, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Ping Zhang, 2005. "Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison," Discussion Papers 2005-20, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
• Kaestner, Michael, 2005. "Investors’ Misreaction to Unexpected Earnings: Evidence of Simultaneous Overreaction and Underreaction," Accepted Papers Series 2005-3, Montpellier University, Center for Research in Finance.
• Kaestner, Michael, 2005. "Anomalous Price Behavior Following Earnings Surprises: Does Representativeness Cause Overreaction?," Working Paper Series 2005-1, Montpellier University, Center for Research in Finance.