Working Papers 2002
01-02
Defined Contribution Pensions: Plan Rules, Participant Decisions, and the Path of Least Resistance
James J. Choi, David Laibson, Brigitte C. Madrian and Andrew Metrick
[abstract]
Tax Policy and the Economy, Vol 16, 2002
02-02
For Better or For Worse: Default effects and 401(k) Savings Behavior
James J. Choi, David Laibson, Brigitte C. Madrian and Andrew Metrick
[abstract]
Perspectives on the Economics of Aging, 2004
03-02
Consumer Sentiment: Its Rationality and Usefulness in Forecasting Expenditure–Evidence from the Michigan Micro Data
Nicholas S. Souleles
[abstract]
04-02
Packaging Liquidity: Blind Auctions and Liquidity Provision
Kenneth A. Kavajecz and Donald B. Keim
[abstract]
Journal of Financial and Quantitative Analysis, Vol 40, Issue 3, September 2005
05-02
A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the FAMA-French Three-Factor Model
Michael J. Brennan, Ashley W. Wang and Yihong Xia
[abstract]
06-02
The Structure of the US Equity Markets
Marshall E. Blume
[abstract]
07-02
Credibility of Management Forecasts
Jonathan L. Rogers and Phillip C. Stocken
[abstract]
The Accounting Review, Vol 80, Issue 4, October 2005
08-02
On Replicating the S&P 500 Index
Marshall E. Blume and Roger M. Edelen
[abstract]
09-02
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Torben G. Anderson, Tim Bollerslev, Francis X. Diebold and Clara Vega
[abstract]
The American Economic Review, Vol 93, Issue 1, March 2003
10-02
Modeling and Forecasting Realized Volatility
Torben G. Anderson, Tim Bollerslev, Francis X. Diebold and Paul Labys
[abstract]
Econometrica, Vol 71, Issue 2, March 2003
11-02
Technical Analysis and Liquidity Provision
Kenneth A. Kavajecz and Elizabeth R. Odders-White
[abstract]
Review of Financial Studies, Vol 17, Issue 4, January 2004
12-02
On the Relationship Between the Conditional Mean and the Volativity of Stock Returns: A Latent VAR APproach
Michael W. Brandt and Qiang Kang
[abstract]
Journal of Financial Economics, Vol 72, Issue 2, May 2004
13-02
The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security
Andrew B. Abel
[abstract]
Econometrica, Vol 71, Issue 2, March 2003
14-02
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
Michael W. Brandt and Kenneth A. Kavajecz
[abstract]
The Journal of Finance, Vol 59, Issue 6, December 2004
15-02
The Positive Role of Overconfidence and Optimism in Investment Policy
Simon Gervais, J. B. Heaton and Terrance Odean
[abstract]
16-02
Asset Pricing Implications of Firms’ Financing Constraints
Joao Gomes, Amir Yaron and Lu Zhang.
[abstract]
The Review of Financial Studies, Vol 19, Issue 4, December 2006
17-02
Asset Pricing and Business Cycles with Costly External Finance
Joao Gomes, Amir Yaron and Lu Zhang.
[abstract]
Review of Economic Dynamics, Vol 6, Issue 4, October 2003
18-02
Corporate Bankruptcy Reorganizations: Estimates from a Bargaining Model
Hulya Eraslan
[abstract]
International Economic Review, Vol 49, Issue 2, May 2008
19-02
Weather Forecasting for Weather Derivatives
Sean D. Campbell and Francis X. Diebold
[abstract]
Journal of the American Statistical Association, Vol 100, Issue 469, 2005