Review of Financial Studies

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.43 0.18 37 621 63 27 0 7 0.19 0.08 1997 0.48 0.22 35 743 73 35 0 9 0.26 0.09 1998 0.64 0.25 28 414 72 46 0 7 0.25 0.1 1999 1 0.31 40 676 63 63 0 10 0.25 0.15 2000 0.71 0.42 36 544 68 48 0 16 0.44 0.19 2001 0.92 0.41 38 668 76 70 0 29 0.76 0.16 2002 1.3 0.44 55 632 74 96 0 28 0.51 0.2 2003 1.34 0.46 38 435 93 125 0 15 0.39 0.21 2004 1.63 0.51 37 311 93 152 0 24 0.65 0.23 2005 1.56 0.54 38 383 75 117 0 59 1.55 0.24 2006 1.69 0.56 45 270 75 127 0 27 0.6 0.24 2007 1.67 0.45 45 118 83 139 0 21 0.47 0.21 2008 1.08 0.5 82 227 90 97 0 51 0.62 0.24
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2 CiY: Cites in year y to documents published in year y IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:oup:rfinst:v:1:y:1988:i:3:p:195-228 The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988).
Cited: 183 times.

(2) RePEc:oup:rfinst:v:1:y:1988:i:1:p:41-66 Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test (1988).
Cited: 178 times.

(3) RePEc:oup:rfinst:v:5:y:1992:i:3:p:357-86 Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. (1992).
Cited: 157 times.

(4) RePEc:oup:rfinst:v:1:y:1988:i:1:p:3-40 A Theory of Intraday Patterns: Volume and Price Variability (1988).
Cited: 151 times.

(5) RePEc:oup:rfinst:v:3:y:1990:i:1:p:5-33 Transmission of Volatility between Stock Markets. (1990).
Cited: 145 times.

(6) RePEc:oup:rfinst:v:3:y:1990:i:4:p:573-92 Pricing Interest-Rate-Derivative Securities. (1990).
Cited: 141 times.

(7) RePEc:oup:rfinst:v:3:y:1990:i:2:p:281-307 Correlations in Price Changes and Volatility across International Stock Markets. (1990).
Cited: 133 times.

(8) RePEc:oup:rfinst:v:6:y:1993:i:2:p:327-43 A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. (1993).
Cited: 132 times.

(9) RePEc:oup:rfinst:v:13:y:2000:i:4:p:959-84 The Interaction between Product Market and Financing Strategy: The Role of Venture Capital. (2000).
Cited: 130 times.

(10) RePEc:oup:rfinst:v:5:y:1992:i:2:p:153-80 Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World. (1992).
Cited: 124 times.

(11) RePEc:oup:rfinst:v:12:y:1999:i:4:p:687-720 Modeling Term Structures of Defaultable Bonds. (1999).
Cited: 122 times.

(12) RePEc:oup:rfinst:v:5:y:1992:i:2:p:199-242 Stock Prices and Volume. (1992).
Cited: 117 times.

(13) RePEc:oup:rfinst:v:9:y:1996:i:1:p:69-107 Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. (1996).
Cited: 116 times.

(14) RePEc:oup:rfinst:v:10:y:1997:i:2:p:481-523 A Markov Model for the Term Structure of Credit Risk Spreads. (1997).
Cited: 110 times.

(15) RePEc:oup:rfinst:v:6:y:1993:i:3:p:473-506 Differences of Opinion Make a Horse Race. (1993).
Cited: 107 times.

(16) RePEc:oup:rfinst:v:6:y:1993:i:3:p:527-66 The Risk and Predictability of International Equity Returns. (1993).
Cited: 106 times.

(17) RePEc:oup:rfinst:v:8:y:1995:i:3:p:773-816 Predictable Risk and Returns in Emerging Markets. (1995).
Cited: 106 times.

(18) RePEc:oup:rfinst:v:15:y:2002:i:4:p:1137-1187 International Asset Allocation With Regime Shifts (2002).
Cited: 103 times.

(19) RePEc:oup:rfinst:v:14:y:2001:i:3:p:659-80 Familiarity Breeds Investment. (2001).
Cited: 97 times.

(20) RePEc:oup:rfinst:v:10:y:1997:i:3:p:661-91 Trade Credit: Theories and Evidence. (1997).
Cited: 95 times.

(21) RePEc:oup:rfinst:v:9:y:1996:i:2:p:385-426 Testing Continuous-Time Models of the Spot Interest Rate. (1996).
Cited: 87 times.

(22) RePEc:oup:rfinst:v:16:y:2003:i:3:p:765-791 Financial Development and Financing Constraints: International Evidence from the Structural Investment Model (2003).
Cited: 78 times.

(23) RePEc:oup:rfinst:v:14:y:2001:i:1:p:1-27 Learning to be Overconfident. (2001).
Cited: 77 times.

(24) RePEc:oup:rfinst:v:1:y:1988:i:4:p:427-445 On Jump Processes in the Foreign Exchange and Stock Markets (1988).
Cited: 75 times.

(25) RePEc:oup:rfinst:v:4:y:1991:i:4:p:727-52 Stock Price Distributions with Stochastic Volatility: An Analytic Approach. (1991).
Cited: 74 times.

(26) RePEc:oup:rfinst:v:5:y:1992:i:1:p:1-33 On the Estimation of Beta-Pricing Models. (1992).
Cited: 71 times.

(27) RePEc:oup:rfinst:v:7:y:1994:i:1:p:125-48 The Value of the Voting Right: A Study of the Milan Stock Exchange Experience. (1994).
Cited: 67 times.

(28) RePEc:oup:rfinst:v:5:y:1992:i:4:p:531-52 A Theory of the Nominal Term Structure of Interest Rates. (1992).
Cited: 67 times.

(29) RePEc:oup:rfinst:v:5:y:1992:i:4:p:553-80 Survivorship Bias in Performance Studies. (1992).
Cited: 67 times.

(30) RePEc:oup:rfinst:v:13:y:2000:i:1:p:1-42 Asymmetric Volatility and Risk in Equity Markets. (2000).
Cited: 67 times.

(31) RePEc:oup:rfinst:v:7:y:1994:i:4:p:631-51 Transactions, Volume, and Volatility. (1994).
Cited: 66 times.

(32) RePEc:oup:rfinst:v:3:y:1990:i:2:p:175-205 When Are Contrarian Profits Due to Stock Market Overreaction? (1990).
Cited: 64 times.

(33) RePEc:oup:rfinst:v:2:y:1989:i:1:p:73-89 Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth. (1989).
Cited: 63 times.

(34) RePEc:oup:rfinst:v:6:y:1993:i:3:p:659-81 The Informational Content of Implied Volatility. (1993).
Cited: 61 times.

(35) RePEc:oup:rfinst:v:16:y:2003:i:3:p:717-763 A New Approach to Measuring Financial Contagion (2003).
Cited: 59 times.

(36) RePEc:oup:rfinst:v:13:y:2000:i:2:p:433-51 Recovering Risk Aversion from Option Prices and Realized Returns. (2000).
Cited: 59 times.

(37) RePEc:oup:rfinst:v:9:y:1996:i:1:p:141-61 Dynamic Nonmyopic Portfolio Behavior. (1996).
Cited: 58 times.

(38) RePEc:oup:rfinst:v:12:y:1999:i:4:p:653-86 Conflict of Interest and the Credibility of Underwriter Analyst Recommendations. (1999).
Cited: 57 times.

(39) RePEc:oup:rfinst:v:11:y:1998:i:2:p:309-41 An Equilibrium Model with Restricted Stock Market Participation. (1998).
Cited: 56 times.

(40) RePEc:oup:rfinst:v:6:y:1993:i:4:p:733-64 Auctions of Divisible Goods: On the Rationale for the Treasury Experiment. (1993).
Cited: 55 times.

(41) RePEc:oup:rfinst:v:11:y:1998:i:4:p:817-44 Modeling Asymmetric Comovements of Asset Returns. (1998).
Cited: 55 times.

(42) RePEc:oup:rfinst:v:15:y:2002:i:1:p:243-288 Quadratic Term Structure Models: Theory and Evidence (2002).
Cited: 55 times.

(43) RePEc:oup:rfinst:v:9:y:1996:i:1:p:37-68 Design and Valuation of Debt Contracts. (1996).
Cited: 55 times.

(44) RePEc:oup:rfinst:v:18:y:2005:i:2:p:351-416 How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005).
Cited: 54 times.

(45) RePEc:oup:rfinst:v:12:y:1999:i:5:p:975-1007 Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model. (1999).
Cited: 52 times.

(46) RePEc:oup:rfinst:v:3:y:1990:i:1:p:115-31 The Stock Market and Investment. (1990).
Cited: 50 times.

(47) RePEc:oup:rfinst:v:12:y:1999:i:1:p:197-226 Estimating the Price of Default Risk. (1999).
Cited: 49 times.

(48) RePEc:oup:rfinst:v:19:y:2006:i:3:p:967-1000 Competition and Strategic Information Acquisition in Credit Markets (2006).
Cited: 49 times.

(49) RePEc:oup:rfinst:v:12:y:1999:i:3:p:579-607 Deposits and Relationship Lending. (1999).
Cited: 49 times.

(50) RePEc:oup:rfinst:v:15:y:2002:i:1:p:1-33 Testing Trade-Off and Pecking Order Predictions About Dividends and Debt (2002).
Cited: 49 times.

Recent citations received in: | 2008 | 2007 | 2006 | 2005

Recent citations received in: 2008

(1) RePEc:aah:create:2008-47 Mean Reversion in US and International Short Rates (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:aah:create:2008-49 Glossary to ARCH (GARCH) (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(3) RePEc:bos:wpaper:wp2008-016 Time-series predictability in the disaster model (2008). Department of Economics, Boston University / Boston University Working Papers Series

(4) RePEc:cmf:wpaper:wp2008_0807 THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY (2008). CEMFI / Working Papers

(5) RePEc:cpr:ceprdp:6915 Individual Investors and Volatility (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(6) RePEc:cpr:ceprdp:6959 Sovereign Wealth Funds: Their Investment Strategies and Performance (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(7) RePEc:cpr:ceprdp:6971 Assessing the Accuracy of the Aggregate Law of Motion in Models with Heterogeneous Agents (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(8) RePEc:cpr:ceprdp:7013 Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001 (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(9) RePEc:cpr:ceprdp:7083 Firm Default and Aggregate Fluctuations (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(10) RePEc:ctc:serie3:ief0081 Shareholders agreements and voting power. Evidence from Italian listed firms (2008). Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE) / DISCE - Quaderni dell'Istituto di Economia e Finanza

(11) RePEc:doj:compad:200809 Should Banking Be Kept Separate from Commerce (2008). Department of Justice, Antitrust Division / EAG Competition Advocacy Papers

(12) RePEc:doj:eagpap:200809 Should Banking Be Kept Separate from Commerce (2008). Department of Justice, Antitrust Division / EAG Discussions Papers

(13) RePEc:ebg:heccah:0899 Individual investors and volatility (2008). Groupe HEC / Les Cahiers de Recherche

(14) RePEc:ebg:iesewp:d-0773 The European venture capital and private equity country attractiveness index(es) (2008). IESE Business School / IESE Research Papers

(15) RePEc:ecl:ohidic:2008-13 Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization (2008). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(16) RePEc:ecl:ohidic:2008-19 Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions (2008). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(17) RePEc:fip:fedfwp:2008-28 Chinas exporters and importers: firms, products, and trade partners (2008). Federal Reserve Bank of San Francisco / Working Paper Series

(18) RePEc:fip:fedgfe:2008-37 Temporal risk aversion and asset prices (2008). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(19) RePEc:fip:fedgfe:2008-55 Specification analysis of structural credit risk models (2008). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(20) RePEc:fip:fedgif:940 Friends or foes? The stock price impact of sovereign wealth fund investments and the price of keeping secrets (2008). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(21) RePEc:fip:fedhwp:wp-08-04 Bank lending, financing constraints and SME investment (2008). Federal Reserve Bank of Chicago / Working Paper Series

(22) RePEc:fip:fedlwp:2008-005 Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK (2008). Federal Reserve Bank of St. Louis / Working Papers

(23) RePEc:fip:fedpwp:08-21 Firm default and aggregate fluctuations (2008). Federal Reserve Bank of Philadelphia / Working Papers

(24) RePEc:fir:econom:wp2008_03 Comparison of Volatility Measures: a Risk Management Perspective (2008). Universita' degli Studi di Firenze, Dipartimento di Statistica G. Parenti / Econometrics Working Papers Archive

(25) RePEc:hal:journl:halshs-00365942_v1 Corporate Venturing, Allocation of Talent, and Competition for Star Managers (2008). HAL / Post-Print

(26) RePEc:han:dpaper:dp-407 Investor sentiment and stock returns: Some international evidence (2008). Universität Hannover, Wirtschaftswissenschaftliche Fakultät / Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hanno

(27) RePEc:hhs:vxcafo:2009_010 Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia (2008). Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University / CAFO Working Papers

(28) RePEc:hhs:vxcafo:2009_011 Liquidity on the Scandinavian Order-driven Stock Exchanges (2008). Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University / CAFO Working Papers

(29) RePEc:ijf:ijfiec:v:13:y:2008:i:1:p:14-25 What determines transaction costs in foreign exchange markets? (2008). International Journal of Finance & Economics

(30) RePEc:imf:imfwpa:08/229 Banks and Labor as Stakeholders: Impact on Economic Performance (2008). International Monetary Fund / IMF Working Papers

(31) RePEc:iza:izadps:dp3857 Not So Lucky Any More: CEO Compensation in Financially Distressed Firms (2008). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(32) RePEc:kap:jfsres:v:34:y:2008:i:1:p:35-59 Information, Credit Risk, Lender Specialization and Loan Pricing: Evidence from the DIP Financing Market (2008). Journal of Financial Services Research

(33) RePEc:mia:wpaper:0906 Not So Lucky Any More: CEO Compensation in Financially Distressed Firms (2008). University of Miami, Department of Economics / Working Papers

(34) RePEc:nbr:nberch:5371 Inflation Illusion, Credit, and Asset Prices (2008). National Bureau of Economic Research, Inc / NBER Chapters

(35) RePEc:nbr:nberwo:13804 Predictive Systems: Living with Imperfect Predictors (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(36) RePEc:nbr:nberwo:14111 Inexperienced Investors and Bubbles (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(37) RePEc:nbr:nberwo:14113 Bank Governance, Regulation, and Risk Taking (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(38) RePEc:nbr:nberwo:14218 Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(39) RePEc:nbr:nberwo:14342 Costly External Finance: Implications for Capital Markets Anomalies (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(40) RePEc:nbr:nberwo:14543 Asset Pricing Tests with Long Run Risks in Consumption Growth (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(41) RePEc:nbr:nberwo:14571 Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(42) RePEc:nbr:nberwo:14609 Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds (2008). National Bureau of Economic Research, Inc / NBER Working Papers

(43) RePEc:ner:maastr:urn:nbn:nl:ui:27-20507 Tournaments in the UK mutual fund industry. (2008). Maastricht University / Open Access publications from Maastricht University

(44) RePEc:ner:tilbur:urn:nbn:nl:ui:12-305977 Who are the active investors? Evidence from venture capital. (2008). Tilburg University / Open Access publications from Tilburg University

(45) RePEc:nuf:econwp:0802 Measuring downside risk-realised semivariance (2008). Economics Group, Nuffield College, University of Oxford / Economics Papers

(46) RePEc:oxf:wpaper:382 Measuring downside risk - realised semivariance (2008). University of Oxford, Department of Economics / Economics Series Working Papers

(47) RePEc:pen:papers:08-042 Bounds on Revenue Distributions in Counterfactual Auctions with Reserve Prices (2008). Penn Institute for Economic Research, Department of Economics, University of Pennsylvania / PIER Working Paper Archive

(48) RePEc:pra:mprapa:15204 Market Bubbles and Chrashes (2008). University Library of Munich, Germany / MPRA Paper

(49) RePEc:pse:psecon:2008-56 The case for a financial approach to money demand (2008). PSE (Ecole normale supérieure) / PSE Working Papers

(50) RePEc:zbw:bubdp2:7318 Market conditions, default risk and credit spreads (2008). Deutsche Bundesbank, Research Centre / Discussion Paper Series 2: Banking and Financial Studies

(51) RePEc:zbw:zewdip:7358 International Stock Return Predictability Under Model Uncertainty (2008). ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research / ZEW Discussion Papers

Recent citations received in: 2007

(1) RePEc:bos:wpaper:wp2007-037 Resuscitating The Businessman Risk: A Rationale For Familiarity-Based Portfolios (2007). Department of Economics, Boston University / Boston University Working Papers Series

(2) RePEc:cpr:ceprdp:6136 Asset Pricing with Limited Risk Sharing and Heterogeneous Agents (2007). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(3) RePEc:cpr:ceprdp:6161 Robust Portfolio Optimisation with Multiple Experts (2007). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(4) RePEc:cpr:ceprdp:6473 Financial Exchange Rates and International Currency Exposures (2007). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(5) RePEc:ecl:ohidic:2007-5 The Impact of Shareholder Power on Bondholders: Evidence from Mergers and Acquisitions (2007). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(6) RePEc:fip:fedgif:903 Trading activity and exchange rates in high-frequency EBS data (2007). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(7) RePEc:fip:fedmsr:398 The international diversification puzzle is not as bad as you think (2007). Federal Reserve Bank of Minneapolis / Staff Report

(8) RePEc:kap:apfinm:v:14:y:2007:i:4:p:299-324 A Factor Allocation Approach to Optimal Bond Portfolio (2007). Asia-Pacific Financial Markets

(9) RePEc:lvl:lacicr:0729 On Debt Service and Renegotiation when Debt-holders Are More Strategic (2007).

(10) RePEc:mie:wpaper:573 Contract Enforcement and Firmsd5 FinancingContract Enforcement and Firmsd5 Financing (2007). Research Seminar in International Economics, University of Michigan / Working Papers

(11) RePEc:min:wpaper:2007-3 The International Diversification Puzzle Is Not as Bad as You Think (2007). University of Minnesota, Department of Economics / Working Papers

(12) RePEc:nbr:nberwo:13251 Agency Conflicts, Investment, and Asset Pricing (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(13) RePEc:nbr:nberwo:13430 Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(14) RePEc:nbr:nberwo:13433 Financial Exchange Rates and International Currency Exposures (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(15) RePEc:nbr:nberwo:13483 The International Diversification Puzzle Is Not As Bad As You Think (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(16) RePEc:ner:leuven:urn:hdl:123456789/175483 Home bias in international equity portfolios: a review. (2007). Katholieke Universiteit Leuven / Open Access publications from Katholieke Universiteit Leuven

(17) RePEc:ner:tilbur:urn:nbn:nl:ui:12-301942 Saving and investing over the life cycle and the role of collective pension funds. (2007). Tilburg University / Open Access publications from Tilburg University

(18) RePEc:nys:sunysb:07-08 Financing Constraints and Firm Dynamics with Durable Capital (2007). SUNY-Stony Brook, Department of Economics / Department of Economics Working Papers

(19) RePEc:pra:mprapa:3110 Driven to distraction: Extraneous events and underreaction to earnings news (2007). University Library of Munich, Germany / MPRA Paper

(20) RePEc:ven:wpaper:2007_17 Dynamic Risk Exposure in Hedge Funds (2007). University of Venice Ca' Foscari, Department of Economics / Working Papers

(21) RePEc:yor:yorken:07/07 Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors (2007). Department of Economics, University of York / Discussion Papers

Recent citations received in: 2006

(1) RePEc:aea:aecrev:v:96:y:2006:i:3:p:552-576 Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? (2006). American Economic Review

(2) RePEc:bca:bocawp:06-45 The Role of Debt and Equity Finance over the Business Cycle (2006). Bank of Canada / Working Papers

(3) RePEc:bpj:bejtec:v:contributions.6:y:2006:i:1:n:7 Multiple Lending and Constrained Efficiency in the Credit Market (2006). The B.E. Journal of Theoretical Economics

(4) RePEc:cdx:dpaper:2006-05 Uniform price auctions and fixed price offerings in IPOs: an experimental comparison (2006). The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham / Discussion Papers

(5) RePEc:cpr:ceprdp:5695 A Lender-Based Theory of Collateral (2006). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(6) RePEc:cpr:ceprdp:5901 Information Acquisition and Portfolio Performance (2006). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(7) RePEc:cte:wbrepe:wb063310 CREDIT SPREADS: THEORY AND EVIDENCE ABOUT THE INFORMATION CONTENT OF STOCKS, BONDS AND CDSs (2006). Universidad Carlos III, Departamento de Economía de la Empresa / Business Economics Working Papers

(8) RePEc:dgr:kubcen:200667 The Impact of Organizational Structure and Lending Technology on Banking Competition (2006). Tilburg University, Center for Economic Research / Discussion Paper

(9) RePEc:dgr:kubcen:200668 The Impact of Competition on Bank Orientation (2006). Tilburg University, Center for Economic Research / Discussion Paper

(10) RePEc:ecb:ecbwps:20060706 What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis (2006). European Central Bank / Working Paper Series

(11) RePEc:fip:fedcwp:0616 Bank branch presence and access to credit in low-to-moderate income neighborhoods (2006). Federal Reserve Bank of Cleveland / Working Paper

(12) RePEc:fip:fedcwp:0617 Foreclosures: relationship lending in the consumer market and its aftermath (2006). Federal Reserve Bank of Cleveland / Working Paper

(13) RePEc:fip:fedgif:886 Global asset prices and FOMC announcements (2006). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(14) RePEc:fip:fedlwp:2006-047 Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market (2006). Federal Reserve Bank of St. Louis / Working Papers

(15) RePEc:hit:hituec:a487 Endogenous Relationship Banking to Alleviate Excessive Screening in Transaction Banking (2006). Institute of Economic Research, Hitotsubashi University / Discussion Paper Series

(16) RePEc:hst:hstdps:d06-178 Subsampling-Based Tests of Stock-Return Predictability (2006). Institute of Economic Research, Hitotsubashi University / Hi-Stat Discussion Paper Series

(17) RePEc:kap:annfin:v:2:y:2006:i:3:p:259-285 Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia (2006). Annals of Finance

(18) RePEc:kap:jfsres:v:29:y:2006:i:3:p:177-210 Macroeconomic Conditions, Firm Characteristics, and Credit Spreads (2006). Journal of Financial Services Research

(19) RePEc:lmu:muenec:1208 Entry of Foreign Banks and their Impact on Host Countries (2006). University of Munich, Department of Economics / Discussion Papers in Economics

(20) RePEc:nbr:nberwo:12360 A Skeptical Appraisal of Asset-Pricing Tests (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(21) RePEc:nbr:nberwo:12365 Why Has CEO Pay Increased So Much? (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(22) RePEc:nbr:nberwo:12555 Financially Constrained Stock Returns (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(23) RePEc:nbr:nberwo:12766 Can Housing Collateral Explain Long-Run Swings in Asset Returns? (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(24) RePEc:nbr:nberwo:12781 Heterogeneous Expectations and Bond Markets (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(25) RePEc:pra:mprapa:247 Risk Premia, diverse belief and beauty contests (2006). University Library of Munich, Germany / MPRA Paper

(26) RePEc:rut:rutres:200610 Highs and Lows: A Behavioral and Technical Analysis (2006). Rutgers University, Department of Economics / Departmental Working Papers

(27) RePEc:sef:csefwp:167 Information Acquisition and Portfolio Performance (2006). Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy / CSEF Working Papers

Recent citations received in: 2005

(1) RePEc:acb:camaaa:2005-25 THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA (2005). Australian National University, Centre for Applied Macroeconomic Analysis / CAMA Working Papers

(2) RePEc:bos:macppr:wp2005-005 Capital Structure, Credit Risk, and Macroeconomic Conditions (2005). Department of Economics, Boston University / Boston University Working Papers Series in Macroeconomics

(3) RePEc:bro:econwp:2005-06 Future Industrial Organization and Stock Returns versus the Decision to Issue IPOs (2005). Brown University, Department of Economics / Working Papers

(4) RePEc:cfs:cfswop:wp200529 Awareness and Stock Market Participation (2005). Center for Financial Studies / CFS Working Paper Series

(5) RePEc:cfs:cfswop:wp200533 The Volatility of Realized Volatility (2005). Center for Financial Studies / CFS Working Paper Series

(6) RePEc:cla:levrem:172782000000000068 A Theory of Influence: The Strategic Value of Public Ignorance (2005). UCLA Department of Economics / Levine's Bibliography

(7) RePEc:cpr:ceprdp:4870 Relational Delegation (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(8) RePEc:cpr:ceprdp:4907 A Theory of Influence: The Strategic Value of Public Ignorance (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(9) RePEc:cpr:ceprdp:5020 The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(10) RePEc:cpr:ceprdp:5041 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(11) RePEc:cpr:ceprdp:5148 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(12) RePEc:cpr:ceprdp:5341 Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(13) RePEc:cpr:ceprdp:5352 Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(14) RePEc:cte:wbrepe:wb057718 THE SPEED OF LIMIT ORDER EXECUTION IN THE SPANISH STOCK EXCHANGE (2005). Universidad Carlos III, Departamento de Economía de la Empresa / Business Economics Working Papers

(15) RePEc:dgr:uvatin:20050002 Model-based Measurement of Actual Volatility in High-Frequency Data (2005). Tinbergen Institute / Tinbergen Institute Discussion Papers

(16) RePEc:eab:financ:1556 Comments on “A selective overview of nonparametric methods in financial econometrics” (2005). East Asian Bureau of Economic Research / Finance Working Papers

(17) RePEc:ecl:ohidic:2004-24 Institutional Investment Constraints and Stock Prices (2005). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(18) RePEc:fip:fedbwp:05-7 Borrowing costs and the demand for equity over the life cycle (2005). Federal Reserve Bank of Boston / Working Papers

(19) RePEc:fip:fedgfe:2005-01 Precautionary savings motives and tax efficiency of household portfolios: an empirical analysis (2005). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(20) RePEc:fip:fedgfe:2005-48 Term structure estimation with survey data on interest rate forecasts (2005). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(21) RePEc:fip:fedgfe:2005-63 Explaining credit default swap spreads with the equity volatility and jump risks of individual firms (2005). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(22) RePEc:fip:fedhwp:wp-05-06 Price discovery in a market under stress: the U.S. Treasury market in fall 1998 (2005). Federal Reserve Bank of Chicago / Working Paper Series

(23) RePEc:fip:fednsr:207 The joint dynamics of liquidity, returns, and volatility across small and large firms (2005). Federal Reserve Bank of New York / Staff Reports

(24) RePEc:fip:fednsr:216 Arbitrage pricing theory (2005). Federal Reserve Bank of New York / Staff Reports

(25) RePEc:fip:fedpwp:05-7 The life-cycle effects of house price changes (2005). Federal Reserve Bank of Philadelphia / Working Papers

(26) RePEc:gen:geneem:2005.02 Indirect Robust Estimation of the Short-term Interest Rate Process; (2005). Département d'Econométrie, Université de Genève / Cahiers du Département d'Econométrie

(27) RePEc:has:discpr:0517 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises (2005). Institute of Economics, Hungarian Academy of Sciences / IEHAS Discussion Papers

(28) RePEc:hhs:cbsfin:2004_011 On a class of adjustable rate mortgage loans subject to a strict balance principle (2005). Copenhagen Business School, Department of Finance / Working Papers

(29) RePEc:hhs:gunwpe:0178 The Dark Side of Wage Indexed Pensions (2005). Göteborg University, Department of Economics / Working Papers in Economics

(30) RePEc:ivi:wpasec:2005-13 LA INFLUENCIA DEL PODER DE LA DIRECCION EN EL RIESGO Y EN EL VALOR DE LA EMPRESA: EVIDENCIA PARA EL MERCADO ESPAÑOL (2005). Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) / Working Papers. Serie EC

(31) RePEc:iza:izadps:dp1454 Relational Delegation (2005). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(32) RePEc:kap:eurfin:v:9:y:2005:i:2:p:165-200 Optimal Liquidity Trading (2005). Review of Finance

(33) RePEc:kap:jfsres:v:28:y:2005:i:1:p:113-133 Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization? (2005). Journal of Financial Services Research

(34) RePEc:kap:pubcho:v:122:y:2005:i:1:p:9-38 Representative versus direct democracy: The role of informational asymmetries (2005). Public Choice

(35) RePEc:kap:pubcho:v:122:y:2005:i:3:p:417-448 The European constitution project from the perspective of constitutional political economy (2005). Public Choice

(36) RePEc:kap:pubcho:v:124:y:2005:i:1:p:157-177 The eclipse of legislatures: Direct democracy in the 21st century (2005). Public Choice

(37) RePEc:knz:cofedp:0504 Default risk sharing between banks and markets: the contribution of collateralized debt obligations (2005). Center of Finance and Econometrics, University of Konstanz / CoFE Discussion Paper

(38) RePEc:nbr:nberte:0319 Edgeworth Expansions for Realized Volatility and Related Estimators (2005). National Bureau of Economic Research, Inc / NBER Technical Working Papers

(39) RePEc:nbr:nberwo:11069 Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(40) RePEc:nbr:nberwo:11247 Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(41) RePEc:nbr:nberwo:11380 Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(42) RePEc:nbr:nberwo:11413 Liquidity and Expected Returns: Lessons From Emerging Markets (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(43) RePEc:nbr:nberwo:11426 Investor Competence, Trading Frequency, and Home Bias (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(44) RePEc:nbr:nberwo:11534 How Do House Prices Affect Consumption? Evidence From Micro Data (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(45) RePEc:nbr:nberwo:11685 The Risk-Adjusted Cost of Financial Distress (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(46) RePEc:nbr:nberwo:11741 Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(47) RePEc:nbr:nberwo:11775 Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(48) RePEc:nuf:econwp:0505 Estimating quadratic variation when quoted prices jump by a constant increment (2005). Economics Group, Nuffield College, University of Oxford / Economics Papers

(49) RePEc:nuf:econwp:0516 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). Economics Group, Nuffield College, University of Oxford / Economics Papers

(50) RePEc:oxf:wpaper:225 Security Design in the Real World: Why are Securitization Issues Tranched? (2005). University of Oxford, Department of Economics / Economics Series Working Papers

(51) RePEc:oxf:wpaper:240 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). University of Oxford, Department of Economics / Economics Series Working Papers

(52) RePEc:pen:papers:05-007 Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005). Penn Institute for Economic Research, Department of Economics, University of Pennsylvania / PIER Working Paper Archive

(53) RePEc:pra:mprapa:11974 Empirical comparisons in short-term interest rate models using nonparametric methods (2005). University Library of Munich, Germany / MPRA Paper

(54) RePEc:sce:scecf5:391 A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Mertons Problem (2005). Society for Computational Economics / Computing in Economics and Finance 2005

(55) RePEc:sce:scecf5:421 Predatory Governance (2005). Society for Computational Economics / Computing in Economics and Finance 2005

(56) RePEc:siu:wpaper:08-2005 Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan (2005). Singapore Management University, School of Economics / Working Papers

(57) RePEc:siu:wpaper:13-2005 Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde (2005). Singapore Management University, School of Economics / Working Papers

(58) RePEc:trn:utwpce:0503 Expectations structure in asset pricing experiments (2005). Computable and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia / CEEL Working Papers

(59) RePEc:zbw:bubdp1:4224 Ultra high frequency volatility estimation with dependent microstructure noise (2005). Deutsche Bundesbank, Research Centre / Discussion Paper Series 1: Economic Studies

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.