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Altissimo, Filippo and Mele, Antonio (2004) Simulated nonparametric estimation of continuous time models of asset prices and returns. Discussion paper, 476. Financial Markets Group, London School of Economics and Political Science, London, UK.
Altissimo, Filippo and Mele, Antonio (2005) Simulated nonparametric estimation of dynamic models with applications to finance. Discussion paper, 539. Financial Markets Group, London School of Economics and Political Science, London, UK.
Anton, Miguel and Polk, Christopher (2010) Connected stocks. FMG discussion papers, 651. Financial Markets Group, London School of Economics and Political Science, London, UK.
Bazdrech, Santiago, Belo, Frederico and Lin, Xiaoji (2008) Labor hiring, investment and stock return predictability in the cross section. Discussion paper, 628. Financial Markets Group, London School of Economics and Political Science, London, UK.
Belo, Frederico and Lin, Xiaoji (2012) The inventory growth spread. Review of financial studies, 25 (1). pp. 278-313. ISSN 0893-9454
Biais, Bruno, Rochet, Jean-Charles and Woolley, Paul (2009) The lifecycle of the financial sector and other speculative industries. Discussion paper, 632. Financial Markets Group, London School of Economics and Political Science, London, UK.
Bikbov, Ruslan and Chernov, Mikhail (2013) Monetary policy regimes and the term structure of interest rates. Journal of econometrics, 174 (1). pp. 27-43. ISSN 0304-4076
Bikbov, Ruslan and Chernov, Mikhail (2011) Yield curve and volatility: lessons from Eurodollar futures and options. Journal of financial econometrics, 9 (1). pp. 66-105. ISSN 1479-8409
Brunnermeier, Markus K. and Julliard, Christian (2008) Money illusion and housing frenzies. Review of financial studies, 21 (1). pp. 135-180. ISSN 1465-7368
Brunnermeier, Markus K. and Julliard, Christian (2006) Money illusion and housing frenzies. 12810. National Bureau of Economic Research, Cambridge, MA., USA.
Brunnermeier, Markus K. and Julliard, Christian (2007) Money illusion and housing frenzies. 6183. Centre for Economic Policy Research, London School of Economics and Political Science, London, UK.
Brunnermeier, Markus K. and Julliard, Christian (2006) Money illusion and housing frenzies. 579. Financial Markets Group, London School of Economics and Political Science, London, UK.
Brunnermeier, Markus K. and Parker, Jonathan A. (2002) Optimal expectations. Discussion paper, 434. Financial Markets Group, London School of Economics and Political Science, London, UK.
Buiter, Willem H. (2008) Central banks and financial crises. Discussion paper, 619. Financial Markets Group, London School of Economics and Political Science, London, UK.
Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) Economic uncertainty, disagreement, and credit markets. . (Unpublished)
Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) When uncertainty blows in the orchard: comovement and equilibrium volatility risk premia. EFA 2009 Bergen meetings paper, SSRN.
Bustamante, Maria Cecilia (2011) Strategic investment, industry concentration and the cross section of returns. Financial Markets Group Discussion Paper, 681. London School of Economics and Political Science, London, UK. ISBN 09568549681
Cambell, John Y. and Nosbusch, Yves (2007) Intergenerational risksharing and equilibrium asset prices. Journal of monetary economics, 54 (8). pp. 2251-2268. ISSN 0304-3932
Campbell, John Y., Giglio, Stefano and Polk, Christopher (2013) Hard times. The review of asset pricing studies, 3 (1). pp. 95-132. ISSN 2045-9920
Campbell, John Y., Giglio, Stefano and Polk, Christopher (2011) Hard times. AFA 2012 Chicago Meetings Paper , SSRN.
Campbell, John Y., Giglio, Stefano and Polk, Christopher (2012) An intertemporal CAPM with stochastic volatility. National Bureau of Economic Research. (Unpublished)
Carrasco, M., Chernov, Mikhail, Florens, Jean-Pierre and Ghysels, E. (2007) Efficient estimation of general dynamic models with a continuum of moment conditions. Journal of econometrics, 140 (2). pp. 529-573. ISSN 0304-4076
Chabakauri, Georgy (2010) Asset pricing with heterogeneous investors and portfolio constraints. Working paper series, London School of Economics and Political Science, London, UK.
Chen, Xiaohong, Favilukis, Jack and Ludvigson, Sydney C. (2013) An estimation of economic models with recursive preferences. Quantitative economics, 4 (1). pp. 39-83. ISSN 1759-7323
Chernov, Mikhail (2003) Empirical reverse engineering of the pricing kernel. Journal of econometrics, 116 (1-2). pp. 329-364. ISSN 0304-4076
Connor, Gregory, Hagmann, Matthias and Linton, Oliver (2007) Efficient estimation of a semiparametric characteristic-based factor model of security returns. EM/2007/524. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
Connor, Gregory, Hagmann, Matthias and Linton, Oliver (2007) Efficient estimation of a semiparametric characteristic-based factor model of security returns. Discussion paper, 599. Financial Markets Group, London School of Economics and Political Science, London, UK.
Connor, Gregory and Linton, Oliver (2006) Semiparametric estimation of a characteristic-based factor model of common stock returns. EM/2006/506. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
Constantinides, George M. and Ghosh, Anisha (2008) Asset pricing tests with long run risks in consumption growth. Discussion paper, 609. Financial Markets Group, London School of Economics and Political Science, London, UK.
Cvijanovic, Dragana, Favilukis, Jack and Polk, Christopher (2010) New in town: demographics, immigration, and the price of real estate. Department of Finance, The London School of Economics and Political Science, London, UK. (Unpublished)
Danielsson, Jon and Zigrand, Jean-Pierre (2006) Equilibrium asset pricing with systemic risk. Discussion paper, 561. Financial Markets Group, London School of Economics and Political Science, London, UK.
Dittmar, Robert F. and Yuan, Kathy (2008) Do sovereign bonds benefit corporate bonds in emerging markets? Review of financial studies, 21 (5). pp. 1983-2014. ISSN 0893-9454
Ellul, Andrew (2001) The dealers ride again: volatility and order flow dynamics in a hybrid market. Discussion paper, 368. Financial Markets Group, London School of Economics and Political Science, London, UK.
Espinoza, Raphael A., Goodhart, Charles and Tsomocos, Dimitrios P. (2007) Endogenous state prices, liquidity, default, and the yield curve. Discussion paper, 583. Financial Markets Group, London School of Economics and Political Science, London, UK.
Eyster, Erik and Piccione, Michele (2013) An approach to asset-pricing under incomplete and diverse perceptions. Econometrica . ISSN 0012-9682 (In Press)
Favilukis, Jack (2013) Inequality, stock market participation, and the equity premium. Journal of financial economics, 107 (3). pp. 740-759. ISSN 0304-405X
Favilukis, Jack (2011) International capital flows and house prices: theory and evidence. In: Glaeser, Edward and Sinai, Todd, (eds.) Housing and the financial crisis. National Bureau of Economic Research, Massachusetts, USA.
Favilukis, Jack and Lin, Xiaoji (2011) Micro frictions, asset pricing, and aggregate implications. . (Unpublished)
Favilukis, Jack and Lin, Xiaoji (2012) Wage rigidity: a solution to several asset pricing puzzles. . (Unpublished)
Favilukis, Jack, Ludvigson, Sydney C. and Van Nieuwerburgh, Stijn (2012) Foreign ownership of U.S. safe assets: good or bad? Finance working papers, FIN-11-057. Leonard N. Stern School of Business, New York University, New York, USA.
Favilukis, Jack, Ludvigson, Sydney C. and Van Nieuwerburgh, Stijn (2012) The macroeconomic effects of housing wealth, housing finance, and limited risk-sharing in general equilibrium. Finance working papers, FIN-11-054. Leonard N. Stern School of Business, New York University, New York, USA.
Gao, Pengjie and Lou, Dong (2011) Cross-market timing in security issuance. AFA 2012 Chicago Meetings Paper , SSRN.
Ghosh, Anisha and Linton, Oliver (2007) Consistent estimation of the risk-return tradeoff in the presence of measurement error. Discussion paper, 605. Financial Markets Group, London School of Economics and Political Science, London, UK.
Gomes, Francisco and Michaelides, Alexander (2008) Asset pricing with limited risk sharing and heterogeneous agents. The review of financial studies, 21 (1). pp. 415-448. ISSN 0893-9454
Gomes, Francisco and Michaelides, Alexander (2007) Asset pricing with limited risk sharing and heterogeneous agents. 6136. Centre for Economic Policy Research, London, UK.
Gomes, Francisco and Michaelides, Alexander (2005) Asset pricing with limited risk sharing and heterogeneous agents. In: 15th Utah Winter Finance Conference, 10-12 Feb 2005, Utah, USA. (Unpublished)
Gospodinov, Nikolay and Otsu, Taisuke (2012) Local GMM estimation of time series models with conditional moment restrictions. Journal of Econometrics, 170 (2). pp. 476-490. ISSN 0304-4076
Gromb, Denis and Vayanos, Dimitri (2010) A model of financial market liquidity based on intermediary capital. Journal of the European Economic Association, 8 (2-3). pp. 456-466. ISSN 1542-4774
Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri (2013) Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of financial studies, Online . ISSN 0893-9454 (In Press)
Gârleanu, Nicolae, Kogan, Leonid and Panageas, Stavros (2012) Displacement risk and asset returns. Journal of financial economics, 105 (3). pp. 491-510. ISSN 0304-405X
Gârleanu, Nicolae, Panageas, Stavros and Yu, Jianfeng (2012) Technological growth and asset pricing. The journal of finance, 67 (4). pp. 1265-1292. ISSN 0022-1082
Hilscher, Jens and Nosbusch, Yves (2010) Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of finance, 14 (2). pp. 235-262. ISSN 1572-3097
Hwang, Byoung-Hyoun and Lou, Dong (2012) Do analysts manage earnings forecasts to 'confirm' their own recommendations? . (Unpublished)
Julliard, Christian (2007) Labor income risk and asset returns. Christian Julliard, London, UK. (Unpublished)
Julliard, Christian (2005) Labor income risk and asset returns. In: European Economic Association 20th Annual Congress, 24-27 Aug 2005, Amsterdam, Netherlands. (Unpublished)
Julliard, Christian (2002) The international diversification puzzle is not worse than you think. Christian Julliard, London, UK. (Unpublished)
Julliard, Christian and Ghosh, Anisha (2008) Can rare events explain the equity premium puzzle? Discussion paper, 610. Financial Markets Group, London School of Economics and Political Science, London, UK.
Julliard, Christian and Ghosh, Anisha (2012) Can rare events explain the equity premium puzzle? Review of financial Studies, 25 (10). pp. 3037-3076. ISSN 0893-9454
Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Revisited multi-moment approximate option pricing models: a general comparison (Part 1). Discussion paper, 430. Financial Markets Group, London School of Economics and Political Science, London, UK.
Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Skewness and kurtosis implied by option prices: a second comment. Discussion paper, 419. Financial Markets Group, London School of Economics and Political Science, London, UK.
Kang, Johnny, Pekkala, Tapio, Polk, Christopher and Ribeiro, Ruy (2011) Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year. FMG discussion paper, 671. Financial Markets Group, London School of Economics and Political Science, London, UK.
Kondor, Peter (2004) Rational trader risk. Discussion paper, 533. Financial Markets Group, London School of Economics and Political Science, London, UK.
Kondor, Peter (2004) The more we know, the less we agree: public announcements and higher-order expectations. Discussion paper, 532. Financial Markets Group, London School of Economics and Political Science, London, UK.
Lin, Xiaoji (2009) Endogenous technological progress and the cross section of stock returns. Discussion paper, 634. Financial Markets Group, London School of Economics and Political Science, London, UK.
Linton, Oliver and Mammen, Enno (2003) Estimating semiparametric ARCH (8) models by kernel smoothing methods. Econometrics; EM/2003/453, EM/03/453. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
Linton, Oliver, Mammen, Enno, Perch Nielsen, Jens and Tanggaard, C (2000) Yield curve estimation by kernel smoothing methods. Econometrics; EM/2000/385, EM/00/385. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London.
Linton, Oliver and Perron, Benoit (2000) The shape of the risk premium: evidence from a semiparametric GARCH model. Discussion paper, 514. Financial Markets Group, London School of Economics and Political Science, London, UK.
Lou, Dong (2011) Anticipated and repeated shocks in liquid markets. Financial Markets Group Discussion Paper, 684. Financial Markets Group, London School of Economics and Political Science, London, UK.
Lou, Dong (2012) A flow-based explanation for return predictability. Review of financial studies, 25 (12). pp. 3457-3489. ISSN 0893-9454
Martin, Ian W. R. (2008) Disasters and the welfare cost of uncertainty. American economic review, 98 (2). pp. 74-78. ISSN 0002-8282
Mele, Antonio (2004) General properties of rational stock-market fluctuations. Discussion paper, 489. Financial Markets Group, London School of Economics and Political Science, London, UK.
Merz, Monika and Yashiv, Eran (2005) Labor and the market value of the firm. CEDP, 690. Centre for Economic Performance, London School of Economics and Political Science, London, UK. ISBN 0753018705
Millo, Yuval and MacKenzie, Donald (2009) The usefulness of inaccurate models: financial risk management "in the wild". Journal of risk model validation, 3 (1). pp. 23-49. ISSN 1753-9579
Mueller, Philippe, Stathopoulos, Andreas and Vedolin, Andrea (2013) International correlation risk. FMG discussion papers, DP716. Financial Markets Group, The London School of Economics and Political Science, London, UK.
Mueller, Philippe, Vedolin, Andrea and Yen, Yu-Min (2011) Bond variance risk premia. . (Unpublished)
Mueller, Philippe, Vedolin, Andrea and Zhou, Hao (2011) Short-run bond risk premia. . (Unpublished)
Muñoz, Sònia (2004) Real effects of regional house prices: dynamic panel estimation with heterogeneity. Discussion paper, 493. Financial Markets Group, London School of Economics and Political Science, London, UK.
Niguez, Trino-Manuel and Perote, Javier (2004) Forecasting the density of asset returns. EM, 479. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
Norberg, Ragnar (2005) Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and stochastics, 9 (4). pp. 519-537. ISSN 0949-2984
Norberg, Ragnar (2006) Dynamic Greeks. Insurance: mathematics and economics, 39 (1). pp. 123-133. ISSN 0167-6687
Parker, Jonathan A. and Julliard, Christian (2003) Consumption risk and cross-sectional returns. 9538. National Bureau of Economic Research, Cambridge, MA., USA.
Patton, Andrew J. and Verardo, Michela (2009) Does beta move with news?: Systematic risk and firm-specific information flows. Discussion paper, 630. Financial Markets Group, London School of Economics and Political Science, London, UK.
Patton, Andrew J. and Verardo, Michela (2012) Does beta move with news?: firm-specific information flows and learning about profitability. Review of financial studies, 25 (9). pp. 2789-2839. ISSN 0893-9454
Penaranda, Francisco (2007) Portfolio choice beyond the traditional approach. Discussion paper, 587. Financial Markets Group, London School of Economics and Political Science, London, UK.
Peñaranda, Francisco (2009) Understanding portfolio efficiency with conditioning information. Discussion paper, 626. Financial Markets Group, London School of Economics and Political Science, London, UK.
Peñaranda, Francisco and Sentana, Enrique (2004) Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Discussion paper, 497. Financial Markets Group, London School of Economics and Political Science, London, UK.
Rahi, Rohit and Zigrand, Jean-Pierre (2006) Arbitrage networks. In: Decentralization Conference, 6 - 8 April 2006, Université Paris 1 Panthéon Sorbonne. (Unpublished)
Rahi, Rohit and Zigrand, Jean-Pierre (2008) Arbitrage networks. Rohit Rahi and Jean-Pierre Zigrand, London, UK. (Unpublished)
Rahi, Rohit and Zigrand, Jean-Pierre (2009) Strategic financial innovation in segmented markets. Review of financial studies, 22 (8). pp. 2941-2971. ISSN 0893-9454
Rahi, Rohit and Zigrand, Jean-Pierre (2007) Strategic financial innovation in segmented markets. Discussion paper, 595. Financial Markets Group, London School of Economics and Political Science, London, UK.
Shanken, Jay and Tamayo, Ane (2012) Payout yield, risk, and mispricing: A Bayesian analysis. Journal of financial economics, 105 (1). pp. 131-152. ISSN 0304-405X
Vayanos, Dimitri and Woolley, Paul (2013) An institutional theory of momentum and reversal. Review of financial studies, 26 (5). pp. 1087-1145. ISSN 0893-9454
Vedolin, Andrea (2009) Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia. . (Unpublished)
Yuan, Kathy (2005) Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion. The journal of finance, 60 (1). pp. 379-411. ISSN 0022-1082
Yuan, Kathy (2005) The liquidity service of benchmark securities. Journal of the European Economic Association, 3 (5). pp. 1156-1180. ISSN 1542-4774
Yuan, Kathy, Zheng, Liu and Zhu, Qiaoqiao (2006) Are investors moonstruck?: lunar phases and stock returns. Journal of empirical finance, 13 (1). pp. 1-23. ISSN 0927-5398
Zigrand, Jean-Pierre (2002) Rational asset pricing implications from realistic trading frictions. Discussion paper, 414. Financial Markets Group, London School of Economics and Political Science, London, UK.
Zigrand, Jean-Pierre (2001) Rational limits to arbitrage. Discussion paper, 392. Financial Markets Group, London School of Economics and Political Science, London, UK.
Zigrand, Jean-Pierre and Danielsson, Jon (2001) What happens when you regulate risk?: evidence from a simple equilibrium model. Discussion paper, 393. Financial Markets Group, London School of Economics and Political Science, London, UK.
