WORKING PAPERS - 2002
Click on any title listed below to see the abstract. Click on the
icon beside the title in order to download the full paper in Adobe Acrobat. (If you do not have the Adobe Reader you can get a free
copy from Adobe's World Wide Web Site at http://www.adobe.com/acrobat/readstep.html).
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]
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]
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]
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]
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]
10-02
Modeling and Forecasting Realized Volatility
Torben G. Anderson, Tim Bollerslev, Francis X. Diebold and Paul Labys
[abstract]
11-02
Technical Analysis and Liquidity Provision
Kenneth A. Kavajecz and Elizabeth R. Odders-White
[abstract]
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]
13-02
The Effects of a Baby Boom on Stock Prices
and Capital Accumulation in the Presence of Social Security
Andrew B. Abel
[abstract]
14-02
Price Discovery in the U.S. Treasury Market:
The Impact of Orderflow and Liquidity on the Yield Curve
Michael W. Brandt
Kenneth A. Kavajecz
[abstract]
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]
17-02
Asset Pricing and Business Cycles with
Costly External Finance
Joao Gomes, Amir Yaron and Lu Zhang.
[abstract]
18-02
Corporate Bankruptcy Reorganizations:
Estimates from a Bargaining Model
Hulya Eraslan
[abstract]
19-02
Weather Forecasting for Weather Derivatives
Sean D. Campbell and Francis X. Diebold
[abstract] | 
