Author Index
AAadland, R., 2053
Aas, K., 236
Abarbanell, J.S., 2407
Abdel-Kader, M.G., 755
Abdel-khalik, A.R., 807, 808
Abdulai, A., 2131
Abe, S., 1195–1245
Abel, A.B.., 415, 1125
Abhyankar, A., 1001
Aboody, D., 2627
Abraham, J.M., 2129
Abramson, D., 1372
Acharya, V.V., 1469, 1477
Ackert, L., 1985, 1989
Adams, J., 2562
Adams, Z., 1469
Adrian, T., 1469, 1757
Afonso, A., 443, 474
Afza, T., 110
Agarwal, V., 1462
Agca, S., 1615
Aggarwal, N., 110
Aggarwal, R., 317–346, 2644
Aggarwal, R.K., 852
Agrawal, A., 72, 842, 1382, 2140
Agresti, A., 767
Ahmad, K., 1349
Ahn, D.H., 963, 2220, 2221, 2345, 2347
Aitchison, J., 8
Ait-Sahalia, Y., 8, 1516, 1523, 1553,
1556, 2379
Aivazian, V., 2138, 2140, 2156, 2160
Akaike, H., 2095, 2097, 2099
Akay, O., 2045
Akgiray, V., 2178
Akyurek, C., 1665
Albert, J.H., 1880, 2320, 2321
Albrecher, H., 2304
Alda Garcıa, M., 1801–1826
Alexe, G., 444
Alexe, S., 444, 446
Alizadeh, A.H., 1901
Alizadeh, S., 1114, 2031, 2035, 2037, 2038,
2043, 2045
Allen, D., 2117
Allen, F., 752, 1986, 1988
Allison, P.D., 47, 1947, 1951, 1952, 1960, 1976
Almeida, H., 1563–1615
Almond, J., 1348
Aloui, C., 1402
Alsati, M., 1976
Altissimo, F., 1511
Altman, E., 1947, 1949, 1950, 1962, 1970
Altonji, J., 1581
Alzola, C., 1957, 1959
Amad, K., 1349, 1353
Amato, J., 1974, 1976
Amemiya, T., 6, 2124, 2553
Amihud, Y., 618, 619, 1312, 1313, 1315–1316,
1319, 2182
Amin, K., 2654
Ammann, M., 109
Ananth, C.V., 744
Anas, A., 2129
Andersen, J.V., 2179
Andersen, L., 640, 2363, 2505
Andersen, P.K., 1954
Andersen, T.G., 904, 907, 909, 1109, 1110,
1113, 1510, 1517, 1518, 1553, 1622,
1623, 1631, 1634, 1635, 1643, 2030,
2032, 2042, 2265, 2341, 2342, 2360,
2362, 2378, 2655
Anderson, D.R., 767
Anderson, H.M., 2096
Anderson, T.W., 7, 8, 576, 591, 1064, 1067,
2420, 2468, 2592, 2593
Andrews, A.P., 41
Andrews, D.W.K., 875–877, 893, 894, 896,
1000, 1160, 1512, 1519, 1528, 2318
C.-F. Lee, J. Lee (eds.), Handbook of Financial Econometrics and Statistics,DOI 10.1007/978-1-4614-7750-1,# Springer Science+Business Media New York 2015
2709
Ang, A., 234, 415, 709, 1434, 1830, 1831
Ang, J.S., 1983–2026, 2479, 2482–2484
Ang, R., 1694
Angel, J.J., 709
Angelidis, T., 1401
Angrist, J.D., 5, 2593
Anjum, B., 110
Ansoff, H.I., 600
Antoniadis, A., 2102
Antoniou, A., 2182
Aoki, M., 2144
Apilado, V., 74
Arak, M., 1911
Areal, N.M.P.C., 909
Arellano, M., 6, 22, 41, 318–320, 345, 1564,
1565, 1578, 1589, 2420, 2422, 2424,
2429, 2433
Arkes, H., 1957, 1979
Armstrong, J.S., 2459
Arnold, B.C., 2288
Aronow, M.E., 963, 972
Arrington, E.E., 794
Arshadi, N., 731
Artzner, P., 1356
Arugaslan, O., 116
Aruoba, B.S., 1103
Arzberger, P., 1376
Asai, M., 1327, 1704, 1708, 2038, 2044
Ashbaugh, H., 1184
Asquith, P., 2139
Assef, J.G., 1503
Astola, J., 528, 529, 531
Atan, R., 2623
Athreya, K.B., 100
Atkins, D.E., 1344
Atkinson, A.C., 2573
Atsulakis, G.S., 2459
Attfield, C., 1007
Au, S., 520
Aurora, D., 1947, 1950, 1951
Aussenegg, W., 235
Avard, S., 428
Avery, C., 1805
Avery, R.B., 2463
Avramov, D., 2178
Ayvaz, E., 794
Azizpour, S., 305
BBabiak, H., 1063, 1064, 1067, 1069
Backus, D.K., 1125
Bae, K.-H., 1472
Bae, S.C., 150, 152, 153, 155, 158, 161,
171, 188
Bagehot, W., 2604
Bagnoli, M., 2219
Bahar, R., 301
Bai, J., 876, 877, 1511, 1520, 2095, 2318,
2319, 2331
Bai, Z.D., 1451–1463
Bailey, A.D., 807, 810
Bailey, W., 670, 689, 693, 2654
Baillie, R.T., 415, 906, 907, 910, 1878, 1879,
1881, 1898, 2084, 2178, 2318
Baily, W., 74
Bajari, P., 2130
Baker, G.P., 1988, 1995
Baker, K.H., 116
Baker, M., 109, 1452
Bakke, T., 1616
Bakken, H., 1435
Bakshi, G., 7, 210, 218, 221, 222, 228,
915, 2322, 2654, 2655, 2658, 2659, 2661
Balakrishnan, N., 2183
Balasubramanian, S.A., 802
Baldwin, S., 958, 2037
Balestra, P., 22, 318, 319, 321, 329
Bali, T.G., 415, 1105–1139, 1401, 2179
Balkenborg, D., 793
Ball, C., 2031, 2360, 2378
Ball, L., 1665
Ball, R., 281, 415, 2218
Baltagi, B.H., 6, 22, 319, 321, 327, 328,
334, 340–343, 2426, 2429, 2433
Balvers, R.J., 1834
Bandi, F., 1556
Bandyopadhyay, S., 2625
Banerjee, A., 1204, 1805
Bangia, A., 1949, 1951
Banker, R., 2626
Bannister, J., 73
Bannouh, K., 2043
Bansal, R., 677, 2345
Banyi, M., 1071, 1086
Bapna, R., 809
Bar Yosef, S., 1492, 1500
Barber, B.M., 72, 384, 386, 387, 390–395,
405, 407, 1382, 1387, 1389, 1391, 2625
Baresa, S., 822
Barndorff-Nielsen, O.E., 909, 2030, 2042,
2180, 2563–2565
Barnea, A., 151, 153, 154
Barnett, W.A., 415
2710 Author Index
Barone-Adesi, G., 2662
Barr, R.S., 447
Barrett, C.B., 2184, 2212
Bartels, L.M., 2582, 2588
Barter, B., 8, 1026
Barth, J.R., 381
Bartley, J.W., 276
Bartov, E., 2623, 2627
Barua, S.K., 104
Barz, G., 936
Basak, S., 1278, 1280
Bassett, G.S., 1145, 1147–1149, 1470, 1472,
1474, 1839
Basso, A., 209
Bastide, D., 641
Basu, D., 1001
Basu, S., 655
Batchelor, R., 1201, 1202
Bates, D.S., 2322, 2323
Bates, J.M., 2410, 2437, 2449
Batra, G.S., 110
Bauer, G.H., 234
Baum, C., 1581
Bauman, M.P., 2623
Bauman, W.S., 104
Baumler, J.V., 810, 812
Baumol, W.J., 809, 823
Baur, D.G., 1621
Bauwens, L., 2040
Bawa, V.S., 2562
Bayer, P., 2131
Beasley, M.S., 1175, 1176
Beattie, D.L., 600
Beaver, W., 281, 282, 730
Beck, T., 327, 329, 331, 2596
Becker, B.E., 1989, 1995
Beckers, S., 1510, 1515, 2031, 2046,
2088, 2478
Beckmann, D., 107
Beder, T.S., 1278
Begley, J., 2407
Beja, A., 146
Bekaert, G., 234, 670, 681, 982, 1434, 1831,
2084
Bell, D., 1351, 1352
Bellman, R., 2112, 2144
Belsley, D., 1332, 1768
Benartzi, S., 2139
Bender, R., 1773
Beneish, D., 1726, 1728
Benfratello, L., 2131
Benhamou, E., 641
Benkwitz, A., 1648, 1661
Bennett, P., 1202
Benninga, S., 1030, 1031, 1038, 1044, 1047,
1911
Benos, A., 1401
Benzoni, L., 2341, 2342
Beran, J., 881
Beresford, D., 2408
Berg, D., 1435
Berger, A.N., 350, 352, 354, 357, 2594
Bergman, N.K., 843, 862, 1493
Bergstresser, D., 2623, 2627
Berkowitz, D., 2592
Berkowitz, J., 1471, 1476
Bermudez, J.D., 709, 711
Bernard, R.H., 823
Bernard, V., 929, 1386
Bernhardt, D., 64, 65, 67, 69
Bernheim, B.D., 2139
Bertoni, A., 106
Bertrand, M., 1568
Bessler, D., 1949
Bettis, C.J., 852, 853
Bevan, A.A., 1673
Beyer, A., 64, 67
Bharath, S.T., 1312
Bharati, J.S., 108
Bhardwaj, G., 1511, 1512, 1523, 1525,
1527–1529, 1535, 1536, 1538, 1540,
1542, 1549, 1553, 1556, 1558
Bhargava, A., 1061–1089
Bhargava, R., 105
Bhaskar, I.C., 823
Bhaskar, K.A., 823, 824
Bhatia, A.V., 458
Bhatia, M., 302, 2497
Bhattacharya, N., 74
Bhattacharya, S., 322, 1860, 2136, 2139
Bhattacharyya, M., 1401
Bhuiyan, R., 1649
Bian, G., 1463
Bianchi, G., 526
Bianchi, M.L., 1327, 1328, 1330, 1331,
1722, 2131
Bibby, B.M., 2563
Bibby, J.M., 2096
Biddle, G., 2409, 2413
Bielecki, T.R., 2497
Bierman, H. Jr., 1985
Bikbov, R., 2341
Bikhchandani, S., 1805
Bilderbeek, J., 730
Author Index 2711
Billett, M.T., 150
Billings, M., 1726, 1728
Bingham, N.H., 2563
Binkley, C.S., 959, 963, 970, 972
Biorn, E., 41, 1565, 1574, 1575, 1577–1580,
1583, 1598, 1600
Bishop, G., 535
Bishop, K., 2131
Bitler, M.P., 1497, 1504, 2594
Bizjak, J.M., 852, 853, 2623, 2626
Black, F., 7, 8, 208, 218, 753, 936, 988, 1358,
1514, 1772, 1859, 2087, 2408,
2480–2482, 2484, 2654
Black, S.W., 2536–2538
Blake, C.R., 1860
Blanchard, O., 1616
Blankley, A., 1144
Blasco, N., 1806
Blæsid, P., 2566
Blau, B.M., 2138, 2140, 2153, 2156, 2160,
2164, 2166
Bliss, R., 1094, 1096
Blomquist, G., 2129
Blossfeld, H.P., 1951, 1960
Blume, M.E., 7, 731, 738, 1505, 1859, 1951
Blundell, R., 22, 319–321, 327, 329, 334, 337,
340, 341, 344–346, 1578, 1602
Boardman, W., 823
Bodie, Z., 151, 153, 154, 1012, 1015
Bodurtha, J.N. Jr., 670, 671, 679, 694
Boe, W.J., 807, 810
Boehmer, E., 2161, 2604
Bogdan, S., 822
Bognanno, M.L., 1986, 1989, 1995
Bohl, M.T., 1806
Bohl, S., 1807
Bollen, N.P., 2604
Bollerslev, T., 905, 908–915, 930, 1109, 1115,
1125, 1135–1137, 1147, 1165, 1326,
1403, 1404, 1626, 1627, 1898, 2030,
2040, 2043, 2084, 2178, 2180, 2182,
2318
Bollwerslev, T., 2084
Bonates, T.O., 444
Bond, S., 22, 41, 319–321, 327, 329, 334, 337,
340, 341, 344–346, 1565, 1578, 1589,
2420, 2422, 2424, 2429, 2433
Bonfim, D., 734
Bonham, C.S., 35, 1195–1245
Boni, L., 67
Bonser-Neal, C., 704
Bontemps, C., 1511, 2130
Bookstein, A., 2603
Boone, P., 1174
Booth, J.R., 188
Booth, L., 2138, 2140, 2156, 2160
Boothe, P., 1202
Borison, A., 2053
Borkowski, S.C., 808
Born, E.K., 117
Boros, E., 444, 446
Bos, M., 1773
Botlen, N., 2448
Botteron, P., 2053
Bouchaud, J.-P., 569
Boucher, T.O., 794
Bouchet, M.H., 480
Boucrelle, C., 1635, 1643
Boudoukh, J., 415, 618
Bourke, P., 456
Bouwman, M., 1724
Bouye, E., 1151, 1152, 1436, 1830, 1831,
1835, 2497
Bover, O., 6, 345
Bowden, R.J., 2129
Bowe, M., 1806
Bowen, R.M., 1673
Box, G.E.P., 204, 288, 2126, 2203
Boyer, B., 2179
Boyer, M.M., 1621
Boyle, P., 209, 1910, 1911, 1915, 1917, 1920,
1940
Brace, A., 2343, 2363, 2377
Brandenburg, R.G., 600
Brander, L., 2131
Brandt, M.W., 415, 1106, 1114, 1125, 2031,
2038, 2040, 2043, 2347
Bratley, P., 1359, 1361, 1362
Brauer, G., 704
Brav, A., 388, 389, 754, 1068, 1388
Breach, A., 1174
Brealey, R.A., 752
Breeden, D.T., 414, 2378, 2536
Breen, W., 415, 1125
Breidt, F.J., 908, 914
Breiman, L., 2095, 2099
Breitung, J., 1649
Brennan, M.J., 151, 153, 488, 1312, 1515,
1805, 2144, 2604
Brenner, M., 2378
Brenner, R., 2478, 2479, 2481
Breusch, T.S., 1229, 1234
Brewer, T.L., 456, 474
Brick, I.E., 149–183, 1293–1309
Bricker, R., 1724
Brickley, J., 2623, 2626
2712 Author Index
Brief, R., 2408
Brier, G., 47, 1948, 1956, 1971
Brigham, E.F., 599
Brigham, S., 1013
Brigo, D., 640
Broadie, M., 210, 1911, 2310, 2314, 2323
Brockwell, P.J., 906
Broll, U., 1452, 1463
Brook, Y., 2139
Brooks, C., 2180, 2181
Brooks, R., 2183, 2193
Brorsen, B., 2180
Brotherton-Ratcliffe, R., 2361, 2363
Broto, C., 2526
Brown, F.E., 102
Brown, J.A.C., 8
Brown, J.R., 2594
Brown, L.D., 75, 1734, 2631
Brown, P., 281, 2218
Brown, S.J., 8, 72, 390, 398, 1250, 2189, 2285
Brownlees, C.T., 1469, 2044
Brownstone, D., 660
Brtmetti, G., 106
Brugal, I., 2044
Bruggemann, R., 1649
Brumbaugh, R.D., 381
Brumberg, R., 414
Brunnermeier, M.K., 1469, 1754, 1756, 1757
Bryan, S., 852
Bryant, R.C., 1200, 1202, 1212, 1238
Bu, Q., 109
Bubnys, E.L., 8
Bughin, J., 1345
Bun, M.J.G., 344–346
Bunn, D., 936
Burden, R., 1406
Burgstahler, D., 1688
Burke, S., 2180, 2181
Burnside, C., 1878
Burrows, M., 1347
Buser, S.A., 352
Bushee, B.J., 2407
Bushman, R., 2626
Busse, J., 2448
Butler, A.W., 405
Butry, D., 2131
Byard, D., 2633
CCabedo, J.D., 1401, 1402
Cadsby, C.B., 1453
Caginalp, G., 1986
Cahan, S., 2409
Cai, F., 488, 489
Cai, J., 2319, 2333
Cai, L., 1512, 1533, 1537, 1542, 1545, 1553,
1554, 1556
Cai, Y., 2041
Cai, Z., 1468
Callen, J.L., 2407, 2413–2415
Calomiris, C.W., 352, 353
Calvert, J., 802
Calvert, L.E., 1628
Calvo, G., 1805
Camerer, C., 1985
Cameron, A.B.., 261
Cameron, A.C., 6, 659, 660, 666, 2161
Campa, J.M., 2594
Campbell, J.Y., 182, 380, 415, 416, 419, 426,
674, 890, 962, 978, 981, 1106, 1115,
1125, 1505, 2082, 2083, 2096, 2264, 2537
Campello, M., 1563–1615, 2594
Campi, J.P., 794
Candes, E., 2095
Caner, M., 2592
Canon, R.S., 1345
Cantoni, E., 534
Cantor, R., 456, 1947, 1949, 1950, 1969, 1976
Cao, C., 2088, 2653–2698
Cao, H., 488
Cao, J., 2623
Cao, M., 210
Capie, F., 1621, 1631, 1643
Caporin, M., 1622, 1631, 1636, 1643
Cappiello, L., 2040
Carchano, O., 1325–1339
Carey, M.S., 66, 440, 442
Carhart, M., 105, 385, 389, 1383, 1394, 1395,
1811, 1814, 1816–1818, 1822
Carleton, W.T., 2143
Carlson, W.L., 767
Carlstein, E., 532
Carpenter, J.N., 856, 1505
Carr, P., 1911, 1914, 1924, 1925, 2267
Carroll, R., 1485
Carter, R., 72, 76, 78
Carty, L.V., 1947, 1949, 1950, 1960, 1962
Casassus, J., 2345
Cascio, A.J., 959
Casella, G., 44, 1700
Cason, T., 1986
Catlett, C., 1348
Caton, G., 1946
Caulfield, J.P., 959
Cavaglia, S.M.F.G., 1200
Author Index 2713
Cavaliere, G., 887, 888
Cavanagh, C., 1744, 1749
Cecchetti, S.G., 415, 1648
Cech, C., 235
Celec, S.E., 823
Cesari, C., 106
Chaabane, A., 1649
Chacko, G., 7, 2341
Chakravarty, S., 2088
Chan, C.Y., 1463
Chan, H., 1726
Chan, K., 1385, 1388
Chan, K.C., 1106, 1124, 1386, 1510, 1518,
2088, 2655, 2670
Chan, L.K., 51, 234, 2218–2221, 2235,
2245, 2257
Chan, N.H., 892
Chan, R., 1453
Chan, W.H., 1401, 2264–2266
Chan, Y.L., 794, 801–803, 825, 2087
Chance, D.M., 188, 2478, 2479
Chander, R., 107
Chander, S., 106
Chandra, T., 1347
Chang, C., 6, 7, 843, 848, 852, 856, 1004, 1671,
2605, 2617
Chang, E.C., 670, 673, 689, 1805, 1806, 1860,
2265, 2267, 2269, 2655, 2667, 2689
Chang, F., 1347
Chang, H.S., 6
Chang, H.-Y., 108
Chang, I., 794
Chang, J.-R., 2495–2517
Chang, R., 1698
Chang, S.S., 1878, 1879, 1881
Chang, T.H., 1401
Chao, J.C., 2593
Chao, S.-K., 1467–1488
Chaplinsky, S., 152
Chapman, D., 2347
Chari, V.V., 1805
Charlton, W.T. Jr., 2139
Charnes, A., 811, 823, 826
Chatfield, R.E., 153
Chaudhary, A., 1401
Chava, S., 2089
Chen, A.-C., 2495–2517
Chen, A.H., 352
Chen, C., 283, 1007, 1008, 2045
Chen, C.R., 1860, 1866
Chen, C.W.S., 2040, 2044
Chen, C.Y., 2623
Chen, F., 1897
Chen, G., 283, 847, 850, 1358, 1373
Chen, H., 443, 454
Chen, H.-Y., 7, 1003–1022, 1293–1309,
2135–2173, 2217–2259, 2401–2442,
2605
Chen, J., 1830, 1831
Chen, K.H., 8
Chen, L., 963, 1518, 1911
Chen, L.-J., 283, 841–871, 1302, 1303, 1723
Chen, L.-S., 1954, 1955, 1972, 2263–2278
Chen, M., 72
Chen, N.-F., 192, 196, 1005, 1115, 1834
Chen, Q., 65, 67–71, 89, 223, 661, 1402
Chen, R.-R., 207–230, 617–637, 1909–1942
Chen, S., 1723, 2624, 2628
Chen, S.N., 8
Chen, S.S., 1068, 2127–2259, 2563, 2567
Chen, S.X., 1462
Chen, T.H., 1954, 1955, 1972
Chen, T.-Y., 2521, 2523, 2527
Chen, W.-H., 443, 454
Chen, W.P., 5, 6
Chen, X., 1151, 1153, 1435, 1441, 1835, 2113
Chen, Z., 4, 7, 210, 218, 221, 222, 228, 915,
2322, 2653–2698
Cheng, C., 2408
Cheng, D., 1349
Cheng, D.C., 4
Cheng, J.K., 823, 2413, 2441
Cheng, J.W., 1363
Cheng, K.F., 5
Cheng, L., 838
Cheng, N., 2045
Cheng, Q., 2623, 2627, 2628, 2630
Chenyao, D., 2180
Chernobai, A., 575–596
Chernoff, H., 2322
Chernov, M., 2341, 2361
Chernozhukov, V., 1468
Cherubini, U., 236, 1435, 1436
Chesney, M., 2053
Cheung, Y., 2031, 2045
Chew, B.K., 1463
Chia, Y., 258
Chiang, A.C., 2169
Chiang, E., 982, 988
Chiang, M.H., 641, 2044
Chiang, S., 982
Chiang, T.C., 1623, 1627, 2177–2212
Chiao, C.H., 1698
Chib, S., 1320, 1321, 1698, 1880
Chien, C.C., 4
Chien, I.S., 811, 814
2714 Author Index
Childers, D., 543
Chin, K., 794
Chionis, D., 1201, 1239
Chiou, W.-J.P., 233–250
Chiras, D., 1773
Chirinko, R., 1569, 1603
Chiu, C.L., 1401
Chiu, C.-Y., 1771–1799
Chng, B.F., 2623
Cho, J.Y., 282
Cho, M., 2594
Cho, S.H., 1330, 2131
Choe, H., 488
Choi, I.J., 827
Choi, J.H., 2409, 2413
Choi, J.J., 188
Choi, K.-W., 466
Choi, T.S., 824
Choi, Y.K., 107
Chollete, L., 234, 236, 1831, 1840
Chong, Y.Y., 2411
Chordia, T., 2219, 2220, 2223, 2227, 2230, 2255
Chou, H.-C., 2045
Chou, H.M., 1376
Chou, R.Y., 911, 1107, 1125, 1147, 1165,
1403, 2043, 2178
Chou, W.L., 657–667
Choudhury, A.H., 190
Chourdakis, K., 640
Chow, G.C., 4, 875, 876, 2164
Chow, Y.F., 1462
Christensen, J.H.E., 1101
Christensen, K., 2032, 2042, 2043
Christiansen, C., 1878
Christie, A.A., 188, 282
Christie, W.G., 1804–1806
Christoffersen, P.F., 210, 915, 1106, 1622,
2035
Christophe, S.E., 709
Chu, C.C., 7
Chu, C.J., 896–899
Chu, C.K., 5, 8, 1758
Chuang, H., 210
Chui, M., 1345
Chung, D.M., 1330, 1722
Chung, H., 1341–1377, 1877–1889, 2448
Chung, K.H., 1312
Chung, K.S., 599
Chung, P., 2088
Chung, S.L., 210
Chung, Y.P., 2087
Church, K.W., 2603
Churchill, G.A., 2468
Cipollini, F., 2039
Citron, J.T., 456, 474
Ciuca, M., 641
Cizek, P., 1357
Claessens, S., 1170, 1172, 1175
Clarida, R., 1878, 1879
Clark, E., 480
Clark, P.K., 1327, 2180, 2265
Cleary, S., 2138, 2140, 2160
Clemen, R.T., 731, 2449
Clement, M., 64, 66, 70, 72
Clements, B.J., 1648
Clements, M.P., 874, 1207, 1520
Clemons, E., 123
Clewlow, L., 936, 937, 942
Cliff, M.T., 2594
Clutter, M.L., 957–975
Coase, R.H., 322
Coates, J.C., 108
Cochran, W.G., 2207
Cochrane, J.H., 677, 697, 2083
Coghlan, S., 1345
Cohen, K., 142
Cohen, R.H., 1195–1245
Cohn, R., 1012
Colak, G., 1567
Coles, J.L., 2594, 2623, 2626
Collin-Dufresne, P., 2339, 2341, 2343, 2350,
2358
Collins, A., 2130
Collins, D.W., 282
Comer, G., 107
Comon, P., 2096
Comte, F., 915
Conger, J., 2633
Connolly, R.A., 1854
Connor, G., 1859
Conover, W.J., 767
Conrad, J.S., 64, 963, 1327, 2180, 2220, 2221,
2345, 2594
Conroy, R., 959
Constantinides, G.M., 209, 210, 1505
Cook, D.O., 150, 152, 153, 162, 169
Cook, R.D., 1734, 1740, 1742, 1748, 2113
Cooper, W.W., 811, 823, 826
Copeland, T.E., 599, 754, 1327, 2604
Core, J.E., 7, 843, 853, 2623, 2629, 2644
Cornell, B., 282
Corner, I.L., 824
Corradi, V., 41, 1511–1513, 1523–1534, 1538,
1545, 1547–1550, 1553, 1554, 1558
Corrado, C.J., 2045, 2478, 2479
Corredor, P., 1806
Author Index 2715
Corsi, F., 552
Cortazar, G., 2053
Cosimano, T.F., 1834
Costanigro, M., 2130, 2131
Court, A.T., 2120
Courtadon, G., 1515
Courtenay, S., 2409
Cowan, A.R., 391, 393
Cox, D.R., 1025, 1947, 1948, 1952, 2126
Cox, J.C., 8, 145, 190, 209, 620, 1026, 1094,
1510, 1515, 1911, 2031, 2536, 2654,
2658, 2660, 2689
Crabbe, L., 150, 153, 162
Cragg, J.G., 1570, 2591, 2596, 2597
Craig, A.T., 2142
Crama, Y., 444
Crane, M., 569
Crato, N., 908, 914
Craven, P., 2097, 2098
Crepey, S., 2497
Crouhy, M., 730
Crowley, P., 551, 556, 560, 562
Crutchley, C., 152
Cubbage, F.W., 959, 969
Cumby, R.E., 673, 689
Cummins, J., 1565
Cummins, J.D., 7
Curci, G., 552
Curry, T., 447
Curtis, S.L., 807
Cutler, D.M., 1985
Cutter, B., 2131
Cvitanic, J., 2179
Czado, C., 236
Czerwonko, M., 210
Czyzyk, J., 452
DDacorogna, M.M., 522, 526, 541, 908
DaDalt, P., 2633
D’Agostino, R., 576
Dahl, D., 350
Dahlquist, M., 388
Dai, Q., 1518, 1532, 1553, 2339,
2345, 2347
Dai, T.-S., 1771–1799
Daigler, R.T., 1059
Daily, C.M., 2633
Daines, R., 2594
Daley, L.A., 1673
Dalton, D.R., 2633
Danbolt, J., 1673
Dang, H., 1945–1980
Daniel, K., 1382, 1383, 1387, 1394, 2221
Danielson, M.G., 752
Danielsson, J., 1279, 1708
Dann, L.Y., 152
D’Antonio, L.J., 2563, 2567, 2568
Dantzig, G.B., 809, 811, 822, 826
Dark, F., 72
Darling, D.A., 576
Darrat, A.F., 415
Das, S., 257, 267, 300, 301, 304, 1726, 2341,
2628, 2631, 2633, 2644
Datar, S., 2626
Datar, V.T., 1312
Dave, R., 541
Daves, P., 599
David, A., 153
Davidson, R., 660, 2589, 2593
Davidson, W., 2633
Davies, A., 1244
Davies, R.B., 875, 876
Davis, J., 1878, 1879
Davis, M., 301, 304, 306
Davis, R.A., 906
Davison, A.C., 388, 392
Davitopolous, D., 1984, 2479
Dawson, N., 1957, 1979
Dawson, P.J., 1898
De Angelo, H., 1063
De Angelo, L., 1063
De Jong, A., 942, 2562
de Jong, F., 388
De Jong, P., 74
de la Pena, V., 209, 210, 236, 1831, 1840
de Lima, P., 908, 914
De Long, B., 2085
de Peretti, C., 1452
De Prado Lopez, M., 2605
De Roon, F., 2562
De Santis, G., 697
de Servigny, A., 443, 448
Dean, J., 1347
DeAngelo, H., 1673
DeAngelo, L., 49, 2137, 2139–2141, 2146,
2166
Dear, G., 1349
Deaves, R., 1985
DeBodt, E.W., 2460
DeBondt, G., 1648
Dechow, P.M., 73, 1172, 1175, 1176, 1178,
1181, 1186, 1188, 1687, 1736, 2407,
2415–2417
Decicen, R.F., 824
2716 Author Index
Deckro, R.F., 824
DeGennaro, R.P., 415, 2178
Degiannakis, S., 1401, 1402
Deheuvels, P., 585, 1435
DeLong, J.B., 1985
Demarta, S., 236
Demartines, P., 2096
Demirer, R., 1805–1807
Demirguc-Kunt, A., 327, 329, 331, 2596
Demsetz, H., 2052
Deng, X.T., 708
Denis, D.J., 1386, 2140, 2594
Denis, D.K., 2140
Dennis, S., 2594
Dent, P., 1402
Dentcheva, D., 2281–2300
Dermoune, A., 535
Desai, M.A., 2594
Desbiens, N., 1957, 1979
Deuskar, P., 2373
Devenow, A., 1805
Devereux, M., 1578
DeWayne, L.S., 802
DeYoung, R., 354, 357
Dhaliwal, D., 2408, 2413, 2441
Dhanda, S.K., 110
Dhompongsa, D., 1453
Diamond, D.B. Jr., 2129
Diamond, D.W., 323, 352, 1754–1757
Diavatopoulos, D., 1983–2026
Diba, B.T., 890, 1987
Dichev, I., 1178, 1181, 1186, 1188, 1688
Dickey, D.A., 292
Diebold, F.X., 1095–1099, 1101, 1106, 1114,
1511, 1520, 1522, 1553, 2031, 2040,
2043, 2084, 2318, 2405, 2410, 2411,
2416, 2437, 2441
Diermeier, J.J., 323, 324
Diewert, W.E., 2130
Dimson, E., 752
DiNardo, J., 1191, 2463, 2468, 2469, 2473
Ding, Z., 904, 906, 908, 2264
Dittmann, I., 858, 1500
Dittmar, R.F., 963, 2180, 2220, 2221, 2345
Diwan, I., 670, 685, 690
Dixon, J.R., 800, 807
Djankov, S., 327, 331–333, 336, 339
Djarraya, M., 1067
Djehiche, B., 535
Doetsch, G., 1338
Doganoglu, T., 2180
Dolado, J.J., 1204
Dolde, W., 1704
Domowitz, I., 1109
Domuta, D., 1806
Donald, S.G., 2591, 2596, 2597
Donaldson, J.M., 1505
Dong, G.N., 1753–1769
Donoho, D.L., 523, 532
Donovan, G., 2131
Doong, S.C., 1623
Dopuch, N., 809
Doran, H.E., 962, 1581
d’Orey, V., 1149
Dorion, C., 210, 915
Dotzauer, E., 708
Dowd, K., 234, 1144, 1278, 1356
Dowell, R., 1504
Downing, C., 2089
Doyle, J., 75, 1723, 1724, 1726, 1727
Drake, D.F., 809
Draney, B., 1345
Dreiman, M., 2129
Driessen, J., 301, 304
Droms, W.G., 104
Drozdz, S., 552, 569
Drucker, P.F., 793
Dua, P., 1202
Duan, J.C., 353, 354, 1511, 1927
Duan, R., 520
Duarte, J., 2342, 2345, 2368, 2386, 2389,
2605
Duckstein, L., 810, 825
Duesenberry, J., 1063
Duffee, G.R., 22, 301, 304–307, 852, 2345
Duffie, D., 303, 304, 915, 1094, 1144,
1250, 1516, 2264, 2322, 2341,
2343–2345, 2347, 2359, 2362,
2377, 2392
Dufour, J., 2592
Dufour, R., 577
Dufwenberg, M., 1985
Duin, R., 443
Dumas, B., 923, 929, 2655, 2667
Duncan, J., 2027
Dunn, P.C., 103
Duong, D., 1509–1558
Duong, H.N., 2045
Durand, R.B., 415, 1996
Durbin, J., 971, 2588
Durrleman, A., 1436, 2497
Duru, A., 1734, 2631–2633, 2644
Dybvig, P.H., 352, 986, 1757
Dyer, R.F., 802, 825, 827
Dyl, E., 1071, 1086
Dyson, R.G., 801
Author Index 2717
EEames, M., 1744, 2632, 2644
Easley, D., 56, 2088, 2602, 2605, 2608, 2609,
2618
Easterbrook, F.H., 2136, 2139
Easterwood, C., 67
Easterwood, J.C., 67, 150, 152, 153, 162, 169
Easton, P., 280, 282, 283, 285, 2625
Ebens, H., 907, 909, 1113, 1623, 1631, 2042
Eberhart, A.C., 1382, 1387, 1394, 1395
Eberlein, E., 2563
Eccles, R.G., 793, 800, 808
Eckbo, B.E., 152, 388
Economou, F., 1806
Eddie, W., 801
Ederington, L.H., 731, 909, 1892, 1893, 1946
Edward, G., 1700
Edwards, E., 110
Edwards, F.R., 1250
Efendi, J., 2623
Efron, B., 388, 392, 999, 1360, 2095,
2105, 2114
Egozcue, M., 1462, 1463
Ehrbeck, T., 1202
Ehrenberg, R.G., 1986, 1989, 1995
Ehrmann, M., 1648
Eichenbaum, M., 1878
Eichler, M., 936
Eisenbeis, R.A., 2462, 2463
Elango, R., 113
Elder, E.M., 859
Elder, J., 552, 560
Eliasson, A., 443, 455
Eling, M., 107
Elizalde, A., 301, 304
Elkamhi, R., 210, 915
Elliott, G., 1201, 1202, 1232, 1239, 1241–1243
Ellis, K., 2604
Elton, E.J., 104, 1280, 2285, 2702
Elyasiani, E., 188, 193
Emanuel, D., 1515
Embrechts, P., 236, 238, 1436, 2497
Enders, W., 1137
Engel, C., 1878, 1881
Engle, F., 2182
Engle, R.F., 234, 424, 425, 428, 432, 904,
908, 937, 1131, 1135, 1136, 1139, 1153,
1197, 1204, 1242, 1326, 1439, 1440,
1468, 1469, 1623, 1626, 1627, 1631,
1705, 1833, 1842, 1897, 2030, 2032,
2039, 2040, 2044, 2203, 2264, 2318,
2327, 2332, 2379, 2520, 2602
Epple, D., 2130
Epps, L.M., 1327
Epps, T.W., 1327
Epstein, L.G., 1505
Eraker, B., 1698, 1708, 2264, 2323, 2361
Erb, C.B., 1830, 1831
Ergungor, O.E., 321, 327
Erickson, T., 41, 1565, 1566, 1570, 1571,
1573–1575, 1584, 1585, 1602, 1606
Errais, E., 305
Errunza, V., 670, 674–676, 685, 691, 694
Escribano, A.J., 936, 937
Esty, B.C., 353
Eum, S.J., 2129
Eun, C.S., 103, 670, 673, 689
Evans, G.W., 890, 892
Evans, M.D., 414
FFabian, T., 809
Fabozzi, F.J., 520, 575–596, 1325–1339
Fadil, M.W., 2500
Faff, R., 1976
Fair, R.C., 6, 1665, 2411, 2553
Faires, J.D., 1406
Fama, E.F., 7, 8, 73, 102, 103, 157,
171, 188, 191, 196, 197, 202,
281, 384, 385, 387–390, 393, 394,
414, 415, 681, 752–754, 756, 983,
1012, 1015, 1063, 1064, 1067, 1069,
1070, 1072, 1086, 1094, 1096, 1115,
1172, 1175, 1189, 1309, 1382–1384,
1387, 1388, 1392–1394, 1673, 1727,
1730, 1733, 1737, 1740, 1811, 1814,
1860, 1878, 2156, 2180, 2224, 2230,
2410, 2546, 2634
Fan, D., 1736
Fan, J., 520, 521, 524, 532, 1171, 1189, 1484,
2094–2096, 2102, 2103, 2105–2109,
2111, 2112, 2116
Fan, J.P.H., 1171–1173, 1175, 1178, 1183,
1188, 1189
Fan, R., 2339
Fan, Y., 552
Fang, F., 2304
Farragher, E.I., 823
Faulkender, M., 2594
Faure, H., 1359
Favre, L., 2179
Fawson, C., 2184, 2212
Fazzari, S., 1568, 1584, 1602, 1603
Feenstra, R.C., 2130
Feltham, G.A., 2405, 2407, 2415, 2440, 2626
2718 Author Index
Feng, M., 1723
Feng, Y., 2096, 2112, 2116
Fenn, G.W., 2160
Fermanian, J.D., 1545, 1546
Fernandes, M., 2040
Fernandez, L., 2131
Fernandez, V., 552
Fernandez-Aviles, G., 937
Ferreira, F., 2130
Ferreruela, S., 1806
Ferri, G., 449, 455, 466, 480
Ferri, M.G., 709
Ferruz, L., 751–788
Ferson, W.E., 414, 676, 677, 681,
693, 977–1000, 1808
Feunou, B., 210, 915
Figlewski, S., 1200, 1239, 1774, 1947, 1949,
1951, 1958, 1970, 2670
Fikes, A., 1347
Fillion, D., 1621
Filter, K., 27
Findlay, M.C., 2282
Finegold, D., 2633
Finger, C., 300
Finnerty, J.E., 6, 7
Firth, M., 283, 449
Fischer, A.J., 1628
Fishburn, P.C., 2282, 2285, 2562
Fisher, J., 794
Fisher, L., 157, 181, 281
Flachaire, E., 660
Flannery, M.J., 188, 190, 204, 354, 1834
Fledelius, P., 1969
Fleming, J., 923, 2655
Fligstein, N., 327
Flood, R.P., 1985, 2082
Floros, C., 1402, 2031
Fluck, Z., 600
Flynn, P.J., 845
Focardi, S.M., 1326
Fogler, H.R., 1005
Fok, R.C.W., 4
Foley, C.F., 2594
Follain, J.R., 2121, 2129
Follmer, H., 1903
Fong, G., 1278
Fong, K., 1807
Fong, W.M., 1452, 2087
Fons, J.S., 1947, 1949, 1950, 1960, 1962
Fontes, D.B.M.M., 2053
Forman, E.H., 797, 802, 825, 827, 828
Fornari, F., 419
Forsythe, R., 1991, 1999
Fortson, J.C., 959
Foster, D.P., 1252–1254, 1261
Foster, F.D., 2604
Foster, F.J., 1327
Foster, G., 2218, 2257
Foster, I., 1345, 1346, 1348
Fountain, T., 1353, 1376
Fouque, J.P., 2526, 2528
Fox, B.L., 1359, 1361, 1362
Frances, P.H., 2448
Francioni, R., 125
Francis, J., 1186, 1188, 1727, 1730
Francis, J.C., 2128, 2702
Francis, P., 2448
Frank, I.E., 2101
Frank, R., 1725
Franke, J., 236
Frankel, J.A., 1200, 1230
Frankel, R., 2625
Franz, L.S., 824
Frecka, T.J., 4
Frederiksen, P., 552, 560
Freed, L., 300, 301
Freeman, R., 282
Frees, E., 1604
French, K.R., 73, 190, 191, 197, 202, 387,
389, 393, 414–416, 681, 753, 756, 961,
1063, 1070, 1072, 1086, 1106, 1115,
1124, 1309, 1383, 1384, 1387, 1394,
1673, 1727, 1730, 1733, 1737, 1740,
1811, 1814, 2083, 2156, 2178, 2224,
2230, 2410, 2546, 2634
Frey, R., 209, 210, 236, 238, 306
Friedman, B.M., 2010
Friedman, D., 143
Friedman, E., 1192
Friedman, J.H., 2094, 2101
Friedman, M., 414
Friend, I., 7, 102, 1008, 1009, 1505, 1859
Frieze, A.M., 1701
Frigessi, A., 236
Frishkoff, P., 1724
Frishling, V., 1773, 1774, 1794, 1795
Fromlet, H., 1804
Froot, K.A., 488–490, 493, 1200, 1230, 1878,
1985, 1989
Frost, P.A., 991, 2702
Fruhwirth, M., 852
Frydman, H., 1947, 1955, 1977
Frydman, R., 1202
Fuh, C.D., 283, 841–871, 1723
Fuller, K.P., 2138, 2140, 2153, 2156, 2160,
2164, 2166
Author Index 2719
Fuller, W.A., 292, 887, 2593
Fung, H.G., 1327
Furfine, C., 618, 1974, 1976
Fusai, G., 709
F€uss, R., 1469
GGabaix, X., 851
Gabbouj, M., 528
Gabudean, R.C., 2140
Gagnon, L., 1903, 1904
Galai, D., 730, 2604, 2689
Galanti, S., 1359
Galbraith, J.W., 1204
Gale, D., 2026
Gale, W.A., 2603
Galindo, J., 443
Gallagher, D.R., 1807
Gallant, A.R., 909, 1545, 2049, 2345, 2348
Gallo, G.M., 1319, 2039, 2044, 2045
Gallo, J., 105
Galvao, A.F. Jr, 1563–1615
Gan, J., 1616
Gannon, G.L., 1249–1275
Gao, B., 1774, 2345, 2347
Gao, J., 1472
Garbade, K., 142, 144
Garber, P., 1985
Garcıa, L.F., 1463
Garcia, M.C., 937
Garcia, P., 1327
Gardeazabai, J., 2084
Gardner, D.C., 599
Gardner, P., 1807
Gargett, D., 1012
Garmaise, M.J., 2594
Garman, M., 142, 144, 2031, 2033–2035,
2042, 2046
Garvin, T., 802
Gasbarro, D., 1462
Gastaldi, T., 577
Gastwirth, J.L., 2288
Gatarek, D., 2343, 2377
Gatev, E., 350, 356
Gatheral, J., 2520
Gaudenzi, M., 1774
Gavin, W.T., 1243
Gay, G., 1911
Ge, W., 1723, 1724, 1726, 1727, 1730, 1731
Gebizlioglu, O.L., 1402
Gebka, B., 1806
Geczy, C., 389
Gehrlein, W.V., 466
Gelbach, J.B., 6, 659, 660, 666, 2161
Gelfand, A.E., 44, 1700
Geman, H., 2267
Gencay, R., 1401, 1402
Genest, C., 1435
Geng, G., 300, 301
Gennotte, G., 1125
Gentle, J.E., 2526
George, T., 2689
Geoum, I.S., 1202
Gerlach, R., 1402, 2040, 2044
Gervais, S., 1493
Geske, R., 1012, 1773
Geweke, J., 1703, 1706
Ghalibaf, H., 1807
Gharbi, H.O., 1805
Gharbi, S., 1805
Ghemawat, S., 1347
Ghijsels, H., 2448
Ghose, D., 1258, 1259
Ghosh, A., 1728
Ghoshal, D., 1345
Ghoudi, K., 1435
Ghysel, E., 415, 1106, 1115, 1125,
2180, 2361
Gibbons, M.R., 191, 196, 978, 980, 981
Gibson-Anser, R., 2053
Giesecke, K., 305
Gijbels, I., 532
Gilks, W.R., 44, 1700
Gillam, L., 1349
Gillette, A., 1174
Gilley, O.W., 415
Gilroy, B.M., 2053
Giot, P., 1401
Givoly, D., 72, 78, 2625
Glaser, M., 1493
Glasserman, P., 641, 1505, 2363
Glassman, D., 1202, 2207
Gleason, K.C., 1806
Glen, J.D., 673, 689
Glosten, L.R., 415, 419, 424, 426, 433, 1106,
1125, 1438, 2182, 2264, 2604
Glover, S., 1744, 2632, 2644
Goasguen, S., 1345
Godfrey, L.G., 1229, 1242
Goes, P., 836
Goeth-Chi, G., 1807
Goetzmann, W., 2130
Goetzmann, W.N., 8, 2285
Goh, J.C., 1946
Goicoechea, A., 810, 825
2720 Author Index
Golarzi, H., 1807
Goldberg, L.R., 305
Goldberg, M.D., 1202
Goldberger, A.S., 1004, 1005, 1007, 1670
Goldfeld, S.M., 2319
Goldreich, D., 618
Goldstein, R.S., 2339, 2341, 2343, 2345, 2358
Gollinger, T.L., 2500
Gomes, J., 1569, 1603
Gomes, P., 443
Gomez-Bezares, F.R., 751–788
Gompers, P.A., 389, 1805, 2594
Goncalves, S., 1547
Gonzalez, G., 824
Gonzalez, J.J., 824
Gonzalez, P., 1802
Gonzalez-Rivera, G., 419
Goodell, J.W., 317–346
Goodfellow, C., 1806
Goodman, L., 1911
Gopalakrishnan, S., 2131
Gordon, M.J., 37, 1294–1296, 1305,
1308, 1309
Gorton, G., 353, 1754, 1756, 1986, 1988
Goto, M., 936
Goto, S., 2095
Gotoh, J.Y., 209, 214, 216, 218, 219
Gould, J.P., 2167
Gourieroux, C., 419
Gow, I.D., 35, 1178, 1181, 1189–1191
Goyal, A., 878, 1106
Goyenko, R.Y., 1312, 1314, 1315
Gradojevic, N., 552, 560
Graham, J.R., 1068
Grammatikos, T., 2033
Gramming, J., 2604
Grance, T., 1347
Granger, C.W.J., 7, 15, 25, 53, 731, 880,
881, 906, 907, 909, 910, 937, 1012,
1066, 1203, 2079, 2404, 2410, 2411,
2416, 2437, 2441, 2449
Granger, C.W.S., 1197, 1204, 1242
Grant, D., 1860
Grant, J., 1724
Gray, S.F., 1362, 2333
Green, P.J., 534
Green, R., 153
Greene, W.H., 123, 183, 703, 744, 1170, 1191,
1435, 1748, 2015, 2543
Gregoriou, G.N., 1462
Gregory, A.W., 415, 1125
Gregory, J., 301, 305, 306, 640
Grewal, M.S., 535
Gribble, J., 2408
Griffin, J.M., 489, 490, 500, 515, 1987, 2088,
2220, 2221, 2245
Griffiths, M.D., 2045
Griffiths, P., 1343
Griliches, Z., 41, 1574, 1575, 1577,
2590, 2591
Grimshaw, A.S., 1348
Grinblatt, M., 102, 489, 1805, 2220, 2235
Grinold, R.C., 978, 980, 988
Grinols, E.L., 2536
Gronewoller, P., 2409
Grootveld, H., 708, 711
Gropp, R., 1469
Groslambert, B., 480
Grossman, H.I., 890, 1987
Grossman, S.J., 1681, 1682, 1904, 2537
Grothe, O., 936
Gruber, M.J., 104, 689, 1280, 2285, 2702
Gruber, R.E., 1347
Grullon, G., 1063, 1064, 1066, 1087,
2138–2140, 2156, 2157, 2160, 2162
Grundy, B., 209
Grunert, J., 1949
Gu, F., 1090
Gu, K., 544
Gu, Y.X., 6, 1004, 1671
Gu, Z., 64, 1739, 2219, 2632, 2633, 2648
Guay, W., 843, 853, 1068, 2623, 2626
Gueyie, J.P., 1462
Guidi, M., 1639
Guidolin, M., 1830, 1831
Guilbaud, O., 577
Gujarati, D.N., 2164
Gukhal, C.R., 853
Gulen, H., 2088
Gullett, N.S., 105
Guloglu, B., 1649
Gultekin, N., 1012
Gunny, K., 1687
Gunther, T., 1511, 1520
Guo, H., 619, 1106, 1115, 1125, 1143–1166
Guo, J.-H., 1880, 2303–2315
Guo, S., 2448
Gupta, A., 106, 809, 2339, 2373
Gupta, M., 110, 1687
Gupta, M.C., 4, 2135–2173
Gupta, O.P., 106
Gupton, G., 302
Gurkaynak, R.S., 1985
Gurun, U.G., 2089
Guttler, A., 1976
Gweon, S.C., 2537–2539
Author Index 2721
Gwilym, O., 1327
Gyetvan, F., 811, 826
HHaas, G.C., 180
Habib, A., 1688
Hachicha, A., 1647–1666, 1697–1717
Hachicha, F., 1697–1717
Hadar, J., 2282, 2286
Hadelman, R.G., 730
Hadlock, C., 1568
Hafner, C., 552
Hahn, J., 1520, 1522, 2593
Hahn, W.F., 2130
Hai, W., 2085
Haight, R.G., 959
Hajdu, L., 1345
Hakansson, N., 142
Hakkio, C.S., 1197, 1204, 1222, 1223,
1228, 1242
Haldeman, R., 2462
Hall, A.R., 1544
Hall, B.J., 843, 855, 1505, 2623, 2625, 2626
Hall, P., 1161, 1650, 1661, 2095, 2107, 2108
Hallerbach, W., 708, 711
Hallerback, W.G.P.M., 2478, 2479
Hallman, J., 937
Haltiwanger, J.C., 1200
Halton, J.H., 1359
Halvorsen, R., 2126
Hamao, Y., 489
Hamburger, M., 1012, 1015
Hameed, A., 1327
Hameed, A.S., 188
Hamerle, A., 1951
Hamid, S., 190
Hamilton, D., 1947, 1949, 1950, 1955, 1969,
1970, 1976
Hamilton, J.D., 6, 7, 356, 380, 419, 541–544,
623, 1207, 1435, 1881, 1900, 1902,
1927, 2089, 2146, 2319, 2320, 2553
Hammer, P.L., 442–444, 446–448,
455, 457–459, 462, 463, 466–468,
471, 472
Hamori, S., 887
Han, B., 65, 2343, 2359, 2363, 2370
Han, C.-H., 2519–2532
Han, Y., 794
Hand, D., 730
Hanke, B., 618
Hanke, J., 2036
Hanley, K.W., 677
Hanlon, M., 2623, 2624, 2627, 2629
Hanoch, G., 1462, 2286
Hansen, B.E., 5, 893, 894, 1215, 1438, 1513,
2164, 2179, 2180, 2183, 2201
Hansen, C.B., 2183
Hansen, D.R., 810, 825
Hansen, J., 1688
Hansen, L.P., 6, 182, 183, 320, 379, 674,
701, 703, 962–964, 978, 982, 983, 999,
1207, 1215, 2410, 2587, 2655
Hansen, R.S., 152
Haque, N.U., 443, 474
Hardle, W.K., 236, 1357, 1467–1488
Hardouvellis, G., 670, 679
Hardy, C., 794
Hardy, G.H., 2282
Harford, J., 1068
Harjes, R.H., 188, 2378
Harker, P.T., 794, 801
Harlow, W.V., 2570
Harrell, F., 1957, 1979
Harris, J.H., 489, 490, 500, 515
Harris, L.E., 2604
Harris, R.D.F., 2037, 2041
Harris, T., 280, 282, 283, 285, 958
Harrison, M., 1987, 2659
Harrison, P., 1125
Harshbarger, S., 1059
Hart, O.D., 322, 1681, 1682
Hartz, C., 1401
Harvey, A.C., 419, 535, 914, 971, 1704, 3037
Harvey, C.R., 414, 415, 681, 697, 1106, 1125,
1808, 1830, 1831, 2179, 2180, 2594,
2662
Hasan, T., 755
Hasbrouck, J., 1316, 2085–2087, 2604
Haslem, J.A., 119
Hastie, T., 2094–2096, 2104, 2105, 2114
Hastings, W.K., 1700, 2278
Haugen, R.A., 150, 151, 153–155, 415
Hausman, J.A., 41, 334, 1574, 1575, 2586,
2588, 2589, 2593
Hauswald, R., 1343
Hautsch, N., 1484
Haw, I., 1171–1173, 1179, 1183
Hawkes, A.G., 22, 305
Hayashi, F., 1568, 1581, 1603, 2015, 2584
Hazarika, S., 125
He, A., 2046
He, J., 2140
He, X., 2113
He, Y., 619
Healy, P.M., 600, 1687, 2139
2722 Author Index
Heaney, R., 935–956
Heath, D., 1773, 1794, 1911, 2343
Heaton, J.B., 1493
Heck, J.L., 752
Heckman, J.J., 2130, 2579, 2595, 2596
Hedge, S., 1911
Hedin, S.R., 824
Heffernan, J.E., 1831
Heidari, M., 2339
Heikkinen, V.P., 959
Heinemann, F., 1996
Heinen, A., 234, 236
Hek, P.A., 1504
Hemler, M., 1911
Hemmer, T., 842, 853
Hendershott, P.H., 2129
Hendershott, R.J., 2139
Henderson, B.L., 534
Hendricks, D., 1278, 1279
Hendry, D.F., 874, 1204, 1207, 2411
Henker, J., 1805
Henker, T., 1805
Henley, W., 730
Hennessy, C., 1567
Henriksson, R.D., 1860
Hentchel, L., 1125
Heo, Y., 1753–1769
Herath, H., 1685–1694
Herault, J., 2096
Heravi, S., 2180, 2181
Herbert, J.E., 824
Hermalin, B.E., 1174, 2578
Herman, E.S., 102
Herring, R.J., 350, 352
Hesar, S., 520
Heston, S.L., 7, 1517, 2218, 2219, 2221,
2235, 2255
Hickman, A., 300
Hidalgo, J., 882, 883
Hietala, P.T., 689
Higgins, H.N., 1734
Higgins, R.C., 600, 1301–1303, 2157, 2159
Hill, P., 1976
Hillegeist, S., 72
Hillier, F.S., 822, 823, 827, 832
Hillison, W., 794
Hines, J.R., 2594
Hinkley, D.V., 388
Hirschey, M., 73
Hirshleifer, D., 1805, 2221
Hirshleifer, J., 808
Hirst, E., 281
Hite, G., 1946
Ho, J., 1736
Ho, L.C., 1401, 1402
Ho, L.C.J., 2632
Ho, T.S.Y., 125, 1928, 2051–2075
Ho, Y., 1726
Hobson, D., 210
Hocking, R.R., 2124
Hodder, L., 1726, 1728
Hodge, F.D., 843
Hodges, D., 2131
Hodrick, R.J., 415, 534, 549, 1207, 1985,
2082–2084, 2410
Hoerl, A., 2100
Hofstede, G., 326, 330–333, 336, 337, 339–341
Hogan, K., 670, 674, 675, 691, 694
Hogg, R.V., 2142, 2180
Holden, C.W., 1312, 1314, 1315
Holden, K., 1197, 1204, 1208, 1210, 1215,
1223, 1241, 1243
Holland, L.C., 859
Hollander, M., 395, 408
Holmes, T.P., 959
Holmstrom, B., 1494, 2626
Holt, C.A., 1996
Holthausen, R.W., 282, 1946, 1976, 2408,
2623, 2629, 2644
Holtz-Eakin, D., 1578
Homa, K., 1012, 1015
Hong, H.G., 66, 1758, 1986, 2219, 2221, 2240
Hong, Y., 624, 1511, 1520, 2037
Hong, Y.M., 1511
Hong, Y.S., 415
Hoppe, R., 1278
Hornik, K., 4, 5, 2164
Horvath, L., 892
Hoshi, T., 1568
Hoshino, T., 2131
Hoshino, Y., 600
Hosking, J.R.M., 2180
Hosmer, D., 1951, 1952, 1978
Hotchkiss, E.S., 2089
Hourany, D., 1996
Hovakimian, A., 350, 354
Howard, C.T., 2563, 2567, 2568
Howe, K.M., 823, 2140
Howell, R.A., 822
Hribar, P., 2627
Hsiao, C., 6, 880, 1064, 1067, 2420
Hsieh, D.A., 677, 2037
Hsieh, J., 2594
Hsieh, M.H., 641
Hsieh, S., 1807
Hsieh, W.C., 1347
Author Index 2723
Hsu, C., 883
Hsu, C.-J., 443, 454
Hsu, C.T., 909, 2043
Hsu, D., 73, 1698
Hsu, Y.C., 1468
Hsu, Y.H., 848, 852, 856
Hsu,Y.Y., 490
Hu, B., 1171–1173, 1179, 1183
Hu, L., 235, 1434, 1435, 1831, 1840
Hu, T.C., 1484
Hu, Y.T., 466
Hua, J., 599, 1093–1103
Huang, B.-N., 485–517
Huang, C.-H., 490
Huang, C.-W., 233–250
Huang, C.Y., 1327
Huang, H., 210
Huang, J., 210, 2659
Huang, J.-Z., 2093–2116
Huang, M., 794, 1698
Huang, R.D., 1319, 1804–1806
Huang, S., 794
Huang, S.L., 661
Huang, X., 823, 1469
Huang, Y.C., 1401
Huang, Z., 443, 454
Hubbard, G.R., 108
Hubbard, P., 1353
Hubbard, R.G., 1568, 1569, 1584,
1602, 1603
Huber, C.C. Jr., 1673
Huddart, S., 853
Hueng, C.J., 2182, 2183, 2193
Hughes, J.P., 354, 355, 360
Hugonnier, J., 2341
Hui, Y.C., 1451–1463
Huisman, R., 936, 942, 951, 2180
Hull, J.C., 39, 300, 640, 853, 923, 1094,
1279, 1356, 1358, 1402, 1403,
1406, 1418–1420, 1422, 1428, 1517,
1782, 1913, 1926, 1933, 2363, 2478,
2491, 2497, 2528, 2529, 2654, 2657,
2661
Hulton, C., 2128
Hung, J.C., 1401, 2045
Hung, K., 187–205, 253–276, 485–517,
597–614, 1277–1290, 2701–2707
Hung, M.-W., 210, 2303–2315
Hung, W., 794
Hung, W.L., 2180
Hunton, J., 1725
Hurvich, C.M., 534
Huselid, M.A., 1989, 1995
Hutchinson, J.M., 8
Hutton, A.P., 2407, 2415–2417
Huurman, C., 936, 951
Hvidkjaer, S., 2605
Hwang, B.B.K., 2044
Hwang, L., 852, 1172, 1173, 1179, 1183
Hwang, R.C., 5, 8
Hwang, S., 1706, 1804–1806, 1808–1811
Hwang, W.L., 532
IIacobucci, A., 541
Iacobucci, D., 2468
Ibaraki, T., 444, 446
Ibbotson, R.G., 323, 324, 1382, 1395
Ibragimov, R., 209, 210
Ichiue, H., 1878, 1879, 1881–1883
Ignizio, J.P., 824, 2470, 2475
Ikenberry, D., 386–388, 1074, 1086, 1385,
1387, 1388, 1393
Imbens, G.W., 2593
Imhoff, E.A., 261, 2625
Indjejikian, R., 2626
Ingersoll, J.E., 190, 211, 620, 843, 848, 852,
853, 1094, 1510, 1515, 1924, 1934,
2536, 2658, 2660, 2689
Inoue, A., 1513, 1544
Inoue, H., 711
Intriligator, M.D., 2144, 2590, 2591
Iqbal, M., 193
Irani, A., 72
Irizarry, R.A., 534
Isaac, R.M., 2027
Ishizaka, A., 793
Ito, T., 1197, 1201, 1202,1204, 1218,1220, 1229,
1230, 1232, 1239, 1241–1243, 1622
Ittner, C.D., 7, 2644
Ivkovic, Z., 2594
Ivrendi, M., 1649
JJach, A., 892
Jackel, P., 52, 2311, 2315
Jackson, D., 1996
Jackwerth, J.C., 210, 2379
Jacobs, K., 210, 915
Jacquier, E., 1698, 1702, 1704, 1708
Jaffe, J., 1294, 1302, 1382
Jaffee, D.M., 6, 1012, 1015, 2386, 2553
Jagannathan, M., 1063, 2138, 2140, 2153,
2156, 2162
2724 Author Index
Jagannathan, R., 415, 419, 424, 426,
433, 962–964, 991, 1125, 1928, 1929,
2182, 2264, 2339, 2355
Jaggi, B., 255, 258, 267
Jagtiani, J., 689, 693
Jahera, J., 1685–1694
Jain, A.K., 443
Jain, K., 845
Jame, R.E., 1807
James, C.M., 188, 190, 204
Jamshidian, F., 1914
Jarque, C.M., 1410
Jarrow, R., 53, 301, 303, 304, 306, 640, 1094,
1773, 1794, 2343, 2344, 2377, 2386,
2390, 2654
Jasni, N.R., 2623
Jayadeve, M., 104
Jayaraman, N., 2140
Jeanblanc, M., 2497
Jegadeesh, N., 391, 393, 1120, 1394,
2218–2223, 2225, 2230, 2231,
2235, 2239, 2240, 2245, 2255, 2257,
2258, 2625
Jei, S.Y., 1900
Jen, F.C., 4
Jenkins, G.M., 204, 288
Jenkins, G.W., 204
Jennings, R., 2408
Jensen, G.R., 2140
Jensen, M.C., 7, 102, 103, 152–154, 157, 181,
753, 842, 960, 1172, 1175, 1673, 1859,
1860, 2137, 2139, 2633
Jensen, P.H., 2130
Jensen, R.E., 794
Jenter, D., 843, 862, 1493
Jeon, B.N., 1623
Ji, L., 1101
Ji, P., 2095, 2106
Jiang, D., 794
Jiang, G.J., 1511, 2525
Jiang, J., 256, 258, 267, 268
Jiang, W., 65, 67–71, 89
Jiao, L., 2131
Jimenez, E., 2121
Jin, H., 552, 560
Jin, J., 2095, 2106
Jobson, J.D., 243, 978, 981, 1453, 1455, 1459
Joe, H., 240, 1435, 1436, 1440
Joe, S., 1359, 1364, 1365
Johannes, M., 1708, 2264
Johansen, S., 1650, 1655, 1656
John, K., 353, 360, 1005, 1064, 2136, 2139
Johnson, B., 936
Johnson, H., 2088
Johnson, K.M., 2594
Johnson, L.L., 1893, 2408, 2562
Johnson, N., 2603
Johnson, N.J., 395, 408
Johnson, R., 201, 601, 1289, 1950
Johnson, S., 1174
Johnson, S.A., 2594
Johnston, J., 1191, 2463, 2473
Johnston, R., 2089
Johnstone, D., 1949
Johnstone, I., 2095, 2105, 2114
Johnstone, I.M., 523, 532
Jondeau, E., 1434, 1438
Jondrow, J., 355, 377
Jones, C.M., 2031, 2032, 2038, 2043, 2161
Jones, J., 16, 43, 1689, 1692, 1693
Jones, M.C., 1485
Jones, R., 1063
Joo, J.H., 521, 522, 532
Jordan, S., 209, 210
Joreskog, K.G., 1004, 1007, 1670, 2469
Jorge, S., 1860
Jorion, P., 39, 709, 986, 991, 1278, 1281, 1289,
1403, 1404, 1406, 1427, 1958, 1960,
2264, 2506
Joshi, M.S., 641
Jou, G.D., 2479, 2482–2484
Joyeux, R., 881, 907, 910
Julier, S.J., 535
Julio, B., 1074, 1086
Jung, A., 1359
Jung, K., 154, 282
Jurczenko, E., 2179
KKadam, A., 1947, 1950, 1969
Kahl, C., 52, 2304, 2310, 2315
Kahle, K., 1071, 1086
Kahn, C.M., 352
Kahn, R.N., 978, 980, 988
Kahnemann, D., 1804
Kahya, E., 283
Kainth, D., 641
Kajshmi, N., 108
Kakes, J.I., 1649
Kalay, A., 2139
Kalbfleisch, J.D., 1953, 1960
Kale, J., 142
Kalev, P.S., 2045
Kallsen, J., 915
Kalman, R.E., 535
Author Index 2725
Kamara, A., 618
Kamath, R.R., 802, 825
Kamesaka, A., 490
Kaminski, V., 936, 937, 942
Kaminsky, G., 455, 480
Kamstra, M., 29, 730–733, 748
Kan, R., 1094, 1516, 2345
Kanagaretnam, K., 1725, 1732, 2621–2648
Kandel, S.A., 981
Kane, A., 1107, 1125, 1911
Kane, E.J., 188, 196, 350, 354
Kang, E.L., 534
Kang, L., 1431–1448
Kang, Q., 415, 1106, 1125
Kannan, R., 1701
Kantar, Y.M., 1402
Kantor, J., 807, 823
Kao, C., 2139
Kao, D., 1947, 1949, 1962, 1970
Kao, G.W., 2140
Kao, L.-J., 299–314, 639–654, 2263–2278,
2461–2475
Kapadia, N., 300, 301, 304
Kaplan, P., 2082
Kaplan, R.S., 731, 794, 801
Kaplan, S., 1602
Kaplan, T., 793
Kaplin, A., 1928, 1929, 2339, 2355
Karakatsani, N., 936
Karali, B., 2045
Karanasos, M., 2045
Karanovic, G., 822
Karceski, J., 234, 391, 393
Karlin, S., 1522
Karolyi, G.A., 488–490, 493, 936, 1106, 1124,
1472, 1510, 1518
Karpoff, J.M., 1327
Kartsaklas, A., 2045
Kasch, M., 1622, 1631, 1636, 1643
Kashyap, A., 1568, 1754
Kassie, G., 2131
Katz, M., 1976
Katz, S., 730
Kau, J.B., 4, 2128
Kaufman, L., 8
Kaufmann, D., 328, 457
Kaul, A., 1622
Kavajecz, K.A., 2594
Kavussanos, M.G., 1898, 1900
Kawakita, H., 490
Kaya, €O., 2310, 2314Kayhan, A., 658, 659, 663
Kazakevicius, V., 880
Kaznik, R., 2627
Ke, B., 1725, 2624, 2628
Kealhofer, S., 300
Keane, M.P., 1201, 1203, 1231, 1232, 1242,
1244, 1245
Kedia, S., 2594
Keeley, M.C., 353, 354, 360
Keenan, S.C., 470, 472
Keeping, E.S., 2185
Kehoe, P., 1805
Keim, D., 1951
Keim, D.B., 1115, 2235
Keller, U., 2563
Keloharju, M., 489
Kennard, R., 2100
Kennedy, P., 29, 123, 731–733, 748
Kenney, J.F., 2185
Kent, J.T., 2096, 2180
Keohane, N., 2131
Keran, M., 1012, 1015
Kessleman, C., 1346, 1348
Khaksari, S.Z., 802, 825
Kho, B.C., 488
Khorana, A., 1805, 1806
Khurshid, S.M.Z., 109
Kiefer, N., 1955, 1977, 2602, 2605
Kiesel, R., 466, 2563
Kiker, B.F., 1504
Kilcollin, T., 1911
Kim, C., 415, 1880
Kim, C.S., 532
Kim, D.-S., 4, 353, 360, 670, 671, 679, 694
Kim, E.H., 152
Kim, I.J., 1772, 2662
Kim, J., 893, 894, 896, 1312, 2625
Kim, J.B., 1722
Kim, K., 1807
Kim, O., 842
Kim, S.G., 2131
Kim, S.H., 823
Kim, S.N., 1703
Kim, T.H., 885–887
Kim, Y., 154
Kim, Y.S., 1325–1339
Kindleberger, C.P., 874
King, B.F., 964
King, R., 1648
King, R.R., 2002
King, T.D., 150
Kinney, W.R., 1723
Kirman, A.P., 889, 890, 1200
Kiviet, J.F., 1230
Klaassen, P., 1218
2726 Author Index
Klass, M., 2031, 2033, 2035, 2042, 2046
Klassen, K., 2644
Kleiber, C., 4, 2164
Kleibergen, F., 2593
Klein, A., 1172, 1175, 1176, 1184, 1806
Klein, D.P., 150, 152, 153, 155, 158, 161, 171
Kleinbaum, D.G., 744
Kleinman, G., 2445–2459
Kleshchelski, I., 1878
Klimberg, R.K., 2450
Kloeden, P.E., 1539
Kluger, B., 1985, 1989
Klugman, S.A., 2180
Knaus, W., 1957, 1979
Knez, P.J., 963
Knill, A., 63–98
Knittel, C.R., 937, 2130
Kochin, L., 1012, 1015
Koedijk, K., 236, 241, 1280, 1290
Koehler, G., 2478
Koekebakker, S., 2053
Koenker, R., 1145, 1147–1151, 1153–1155,
1470, 1472, 1474, 1835, 1837, 1839
Koeste, M., 2131
Kogan, A., 439–480
Kokoszka, P.S., 892
Kolari, J.W., 405
Kole, E., 236, 241
Kolmogorov, A.N., 1519
Kolodny, R., 103, 670, 673, 689, 2139
Konno, H., 209, 214, 216, 218, 219, 708,
710, 714, 718, 722, 2283
Kontolemis, G.Z., 1648
Koonce, L., 281
Koopman, S.J., 937, 971
Koopmans, T.C., 1063
Kopa, M., 1861
Kopecky, K., 188
Korajczyk, R.A., 1808, 1859, 2221
Korkie, B., 243, 978, 981, 1453, 1455, 1459
Kormendi, R., 282
Korpela, E., 1345
Koschnick, T., 1375
Kostakis, A., 1806
Kothari, S.P., 73, 280, 282, 283, 286, 384,
386, 390–392, 394, 407, 415, 1184,
1186, 1382
Kotz, S., 2183, 2603
Kou, S., 2363
Koutmos, G., 2182
Koyama, K., 1878, 1879, 1881–1883
Koyuoglu, H.U., 300
Kraay, A., 328, 457
Kratzig, M., 1667
Krausz, J., 413–435
Kreps, D., 1987, 2659
Kreyszig, E., 2144
Krische, S., 2625
Krishnaiah, P.R., 1683
Krishnamurthy, A., 618, 1754, 1756
Krishnan, C.N.V., 1099
Krishnan, T., 2606
Krishnaswami, S., 74
Kristensen, D., 1545
Kroner, K., 2043, 2378
Kroner, K.E., 234, 1147, 1165, 1258,
1259, 1403, 1898, 1903, 1904,
2178
Kronimus, A., 1949, 1951
Kronmal, R., 1069
Kross, W., 255, 267, 268, 1734, 2631
Krueger, A.B.., 2593
Kruse, R., 886, 887
Kruse, S., 2310
Kuan, C.M., 5, 883, 1468, 2046
Kubik, J., 66
K€ucher, U., 2563Kuersteiner, G., 2593
Kuh, E., 1332, 1768
Kuipers, L., 1358
Kumar, M.S., 443, 474
Kumar, R., 2604
Kunczik, M., 442
Kunitomo, N., 2031, 2033–2035, 2593
K€unsch, H.R., 1547Kuo, C., 544
Kuo, F.Y., 1359, 1365
Kuo, H., 1954, 1955, 1972
Kuo, S., 209, 214, 216
Kuosmanen, P., 528, 529, 531
Kuosmanen, T., 1861
Kupiec, P., 39, 1330, 1402, 1407, 1408, 1415,
1417, 1422
Kuriyama, K., 2131
Kutan, A., 1805, 1806
Kutan, M.A., 1665
Kutanand, A., 1807
Kutner, M.H., 2531
Kutsoati, E., 64, 65, 67, 69
Kwak, W., 791–836
Kwan, C.C.Y., 709
Kwan, S.H., 2089
Kwapien, J., 552, 569
Kwok, C.C., 321, 327
Kwok, J., 2046
Kwon, S., 73
Author Index 2727
LLa Porta, R., 327, 331–333, 336, 339,
1170–1172, 1174, 1175, 1382, 1386
Labys, P., 904, 909, 1109, 1110, 1113, 1623,
1634, 1635, 1643, 2030, 2032, 2042
Lacey, N., 109
Ladd, G.W., 2472, 2474
Laeven, L.A., 352
LaFond, R., 1184, 1186, 1188, 1723
Lafuente, J., 1904
Lahiri, K., 1004, 1244
Lai, K., 1202
Lai, R., 85
Lai, T.L., 2317–2333
Lai, T.Y., 2479, 2482–2484
Lakonishok, J., 72, 78, 234, 487, 489, 1382,
1385–1388, 1393, 1394, 1805–1807,
2625
Laksmana, I., 2623
Lam, K., 1453, 2321
Lam, M.S., 1143–1166
Lam, P., 415
Lam, S.S., 2623
Lamb, R., 1167
Lambert, A., 532
Lambert, D., 2131
Lambert, R.A., 7, 281, 843, 855, 2623,
2626, 2644
Lamont, O., 1202, 1568
Lamoureux, C.G., 2318
Lancaster, K.J., 2121
Landier, A., 851
Lando, D., 303–305, 1773, 1947, 1949, 1952,
1961, 1962, 1969, 1971
Landsman, W.R., 64, 282
Lane, W.R., 188
Lang, L.H.P., 1170, 1172, 1175, 2140
Lang, M.H., 853, 1171, 1174, 1734, 2408,
2631, 2633
Lang, W.W., 355
Langetieg, T., 1926
Lanier Benkard, C., 2130
Lanza, A., 1623
Larcker, D.F., 7, 843, 855, 1734, 1746, 2593,
2594, 2623, 2626, 2629, 2644
Larrain, G., 455
Larson, C., 1955, 1977
Laster, D., 1202
Lastrapes, W.D., 2318
Latane, H.A., 2478
Lathom, G.P., 821, 832
Laurence, P., 210
Laurent, J.P., 301, 305, 306, 640
Laurent, S., 1401, 2040
Lauret, J., 1345
Laury, S.K., 1996
Lavy, V., 5
Lawler, E. III, 2633
Lawless, J.F., 1953
Lawley, D.N., 2469
Lawrence, E.C., 731
Lawrence, K.D., 2445–2459
Lawrence, S.M., 2445–2459
Le Fur, Y., 1635, 1643
Leamer, E.E., 2124
Lean, H.H., 1452, 1462
LeBaron, B., 1202
Lecraw, D.J., 807
Ledoit, O., 244–246
Lee, A.C., 6, 7, 2135–2173, 2535–2559
Lee, B.-S., 2083
Lee, C., 677, 1067, 2604, 2606, 2625
Lee, C.F., 1–58, 299–314, 639–654, 729–749,
791–836, 1003–1022, 1293–1309,
1341–1377, 1399–1429, 1647–1666,
1669–1683, 1857–1876, 2135–2173,
2217–2259, 2263–2278, 2401–2442,
2461–2475, 2477–2492, 2535–2559,
2561–2575, 2601–2618
Lee, C.-H., 485–517
Lee, C.I., 1806
Lee, C.-J., 1619–1643
Lee, C.M.C., 670, 671, 679, 694, 2220
Lee, C.W., 641
Lee, D., 354, 357
Lee, E.S., 715, 716, 726
Lee, E.T., 1952
Lee, F., 1698
Lee, H.M., 791–836, 2180
Lee, H.T., 1901
Lee, I., 1385–1388
Lee, J.C., 5, 8, 1030, 1038, 1294
Lee, J.H., 909
Lee, Jieun, 1311–1322
Lee, John, 1025–1059
Lee, John C., 1–58
Lee, J.-Y., 2561–2575
Lee, K.-W., 5, 7, 8, 1169–1191
Lee, M.C., 1401
Lee, O., 2040
Lee, P.M., 2594
Lee, R., 2304
Lee, S., 1928
Lee, S.B., 2051–2075
Lee, S.M., 824
Lee, T., 534
2728 Author Index
Lee, T.-H., 1434
Lee, T.S., 490
Lee, W.Y., 708, 711, 713, 714
Lee, Y.R., 811, 826
Lee, Y.-T., 490
Lee, Y.W., 6, 1004, 1671
Lefebvre, C., 807, 823
Leftwich, R.W., 1946, 1976
Lehavy, R., 72, 754, 2625
Lehman, B., 2406, 2407
Lehmann, B.N., 1860
Lehmann, E., 2286
Lehn, K., 158
Lei, Q., 2604
Lei, V., 1985
Leippold, M., 2341, 2347, 2391, 2392
Leipus, R., 880
Leisc, F., 4, 2164
Leitch, G., 1202
Lejeune, M.A., 439–480
Leland, H.E., 1772
Lemeshow, S., 1951, 1952, 1978
Lemmon, M.L., 852, 853, 2594
Lendasse, A., 2448
Lenk, P., 1947, 1950, 1969
Lenoulu, B., 1402
Leon, A., 7
Leon, H., 1878
Leone, A.J., 71, 75, 1184
Lepelley, D., 466
Lerner, E.M., 2143
Lerner, J., 2594
LeRoy, S.F., 2410
Lerro, A., 824
Leser, C.E.V., 534
Lesmond, D.A., 37, 1312, 1313, 1316, 1317,
1321, 2221
Lessard, D., 1012
Leto, A., 1351
Lettau, M., 1107, 1125
Leukert, P., 1903
Leung, E., 1976
Leung, P.L., 1462
Leuthold, M.R., 1327
Leuz, C., 1174, 1690, 1694
Lev, B., 281, 1085, 1176
Levary, R.R., 824
Levine, C.B., 1726, 2628, 2631, 2633, 2644
Levine, R., 332, 333, 336, 339, 352
Levy, A., 1947
Levy, H., 208, 209, 600, 754, 756, 1462,
1505, 2286
Levy, J.V., 1648
Lewellen, W.G., 600, 1860
Lewis, A., 2305
Lewis, C., 154
Leybourne, S., 885, 886
Li, B., 415
Li, C., 1095–1099, 1101, 1723
Li, C.K., 1453, 1463, 1553
Li, D., 619, 2041
Li, D.X., 301, 305, 306, 640, 2497, 2503
Li, H., 74, 801, 1453, 1455–1458, 1461, 1462,
2037, 2339, 2342, 2344, 2347, 2348,
2377, 2386, 2390
Li, H.M., 1623
Li, H.T., 1511
Li, J., 2177–2212
Li, K., 2580
Li, K.C., 2113
Li, L., 2096, 2109–2113
Li, Q., 319, 321, 327, 328, 340, 341
Li, R., 2094–2096, 2101–2103, 2105,
2109–2112, 2114, 2116
Li, R.J., 715, 716, 726
Li, S., 2478, 2479
Li, W., 2531
Li, W.K., 2321
Li, Y., 794, 2633
Li, Z.F., 708
Lian, Y., 2044
Liang, H., 1472
Liang, N., 2160
Liang, S., 2045
Liang, W., 1947, 1949, 1951, 1958, 1970
Liao, C., 1955, 1972
Liao, F.Y., 853
Liao, W.L., 5, 6
Liao, X., 959
Libby, R., 1725
Liberatore, M.J., 794, 802
Lie, E., 2140
Lieberman, O., 1000
Liebman, J.B., 1497, 1505
Liechty, J.C., 2213
Liechty, M.W., 2213
Lien, D., 7, 1891–1906, 2562, 2563, 2570,
2571
Lilien, D.M., 1136, 2203
Lilien, S., 852
Lillo, F., 1806
Lim, F., 731, 738
Lim, J., 670
Lim, S.R., 707–727
Lim, T., 64, 65, 67–69, 71, 89, 1726, 2628,
2631, 2632
Author Index 2729
Lin, A.Y., 1806
Lin, B., 72
Lin, B.H., 1927
Lin, B.J., 1401
Lin, C.S., 2448
Lin, C.T., 641, 794
Lin, D.Y., 47, 1952
Lin, E., 2601–2618
Lin, E.M.H., 2040
Lin, F.C., 4
Lin, F.-P., 1341–1377
Lin, H., 617–637
Lin, H.-C., 4, 20, 207–230, 1358, 1373
Lin, J.B., 1327
Lin, J.C., 490, 2042
Lin, L., 807
Lin, R., 661
Lin, S., 2409
Lin, T.I., 1059
Lin, T.W., 823
Lin, W.L., 1622
Lin, X., 209
Lin, Y.C., 4
Lin, Y.M., 2403, 2415, 2416, 2430
Linck, J.S., 2594
Lindqvist, T., 1985
Lindskog, F., 236
Lins, K., 1171, 1174, 2594
Linsmeier, T., 2408
Lintner, J., 752, 960, 1004, 1063, 1064, 1067,
1453, 2142, 2143, 2153, 2156
Liou, D., 1954, 1955, 1972
Lipe, R., 282
Lipson, M.L., 1312
Litan, R.E., 348
Litterman, R., 2398
Littlewood, J.E., 2282
Litzenberger, R.H., 1008, 1009, 2140, 2378
Litzkow, M.J., 1348
Liu, B., 4
Liu, C., 2408
Liu, H.C., 1176, 1401, 2045, 2322, 2324–2326,
2333
Liu, H.X., 1453, 1456, 1462
Liu, J., 982, 2407, 2418
Liu, L., 2221
Liu, L.G., 449, 455, 466, 480
Liu, N., 2029–2047
Liu, P., 1197, 1200, 1204, 1214, 1241
Liu, R.Y., 660
Liu, S., 619
Liu, S.M., 2180
Liu, T., 1453
Liu, W., 754, 1312
Liu, W.H., 2521, 2523
Liu, X., 962
Liu, Y., 2131
Liu, Y.J., 490
Livingston, M., 1911
Livny, M., 1348
Ljungqvist, A., 2594, 2596
Lloyd, W.P., 188
Lo, A.W., 8, 209, 216, 1120, 1453, 1924, 2181,
2379, 2537
Lo, K., 72
Lo, V., 301, 304, 306
Loayza, N., 327, 329, 331, 2596
Lobao, J., 1807
Lobato, I., 1471, 1475, 1476, 1482
Lobo, G.J., 1723, 2621–2648
Locke, E.A., 821, 832
Lowenstein, U., 2139
Loffler, G., 1976
Loh, R., 2625
Long, X., 1434
Longin, F., 1830, 1831, 1840, 2203
Longstaff, F.A., 619, 621, 1927, 2344, 2386,
2667, 2689
Lonski, J., 1960, 1962
Lopez, J.A., 1402, 1408, 1415, 1422, 2410
Lopez-De-Silanes, F., 1170–1172, 1174, 1175
Lord, R., 2304
Lorenz, M.O., 2288
Lorie, J.H., 829–832
Losq, E., 670, 674, 676, 685
Loughran, T., 72, 389, 390, 392, 1392
Louzis, D.P., 2044
Lovell, C.A., 377
Lowry, M., 2594
Lu, C., 236, 1401, 1402, 1831
Lu, M., 1698
Lu, S., 1345
Lu, Z., 1402, 2044
Lubberink, M., 1728
Lucas, A., 1281
Lucas, D., 301, 1960, 1962
Lucas, R.E. Jr., 414, 962
Lucey, B.M., 552, 1621
Lucia, J.J., 533, 937
Luciano, E., 236, 709, 1435, 1436
Lucke, B., 1649
Ludvigson, S.C., 415, 1107, 1125
Ludwig, A.S., 1351, 1352
Luis, M.D., 1860
Lukas, E., 2053
Lumsdaine, R., 2334
2730 Author Index
Lund, J., 1510, 1517, 2360, 2378, 2655
Lundblad, C., 1106, 1125
Lundholm, R., 75, 283, 1734, 2631, 2633
Lundholm, R.J., 1734
Luo, X., 794
Lusk, E.J., 807, 808
Lutje, T., 107
L€utkepohl, H., 878, 879, 1648, 1649, 1651,1652, 1655, 1661, 2079
Lv, J., 2095, 2096, 2106–2109, 2111, 2112
Lyandres, E., 1617
Lynch, A.W., 600
Lynch, P., 541
Lynge, M., 188
Lynn, B.E., 794, 801–803
Lyon, J.D., 384, 386–388, 390–396, 405, 407,
409, 1382, 1387–1389, 1391, 1392
Lyons, R.K., 1201
Lypny, G.J., 1903, 1904
Lys, T., 1736
Lyuu, Y.D., 853, 1773, 1775, 1779
MMa, C., 1462
Ma, L., 1837
Ma, T., 991
Maag, U.R., 577
Mabrouk, S., 1402
MacBeth, J., 1189
Macbeth, J.D., 7, 753, 1190, 1515, 2478
MacDonald, R., 1200, 1201, 1239
Mackie-Mason, J.K., 152
MacKinlay, A.C., 673, 978, 981, 1120, 2182,
2609
MacKinnon, J.G., 2589, 2593
Maclennan, D., 2129
MacMillan, D., 1327
MacStravic, E.L., 794
Madan, D.B., 2265, 2267, 2269, 2289, 2655,
2667, 2695
Madariaga, J.A., 754
Maddala, G.S., 4, 1004, 1197, 1200, 1204,
1214, 1241, 1671, 1681
Madhavan, A., 2604
Maggina, A., 279–296
Magliolo, J., 282
Mah, S., 1949
Mahajan, S., 1492
Maheu, J.M., 51, 1401, 2264–2266, 2271, 2272
Mahmoud, E., 731
Mahoud, E., 2460
Maier, S., 142
Maillet, B., 2179
Majluf, N., 1673
Makridakis, S., 2460
Makris, I., 1402
Maksimovic, V., 704, 705
Malaty, R., 962
Malevergne, Y., 2179
Malkiel, B.G., 146, 753
Mallat, S.G., 532
Maller, R.A., 415
Malliavin, P., 55, 2521, 2522
Mallows, C.L., 2099
Malmendier, U., 1493, 1497, 1505, 1568
Malpezzi, S., 2129
Mammen, E., 27, 660
Manakyan, H., 105
Manaster, S., 72, 76, 78, 1773, 1911, 2088,
2478
Manchaldore, J., 552
Mancino, M.E., 55, 2521, 2522
Mandelbrot, B., 281, 881, 2031, 2180
Mandelker, G.N., 842
Manera, M., 1623
Manganelli, S., 1145, 1153, 1468, 2039
Manickavasagam, S., 802
Mankiw, N.G., 2083
Mann, C., 1947, 1950, 1955, 1969, 1970
Manner, H., 936
Manry, D., 65
Mansinghka, S.K., 598, 600
Mantegna, R., 1806
Manyika, J., 1345
Manzur, M., 1463
Mao, C., 74
Marathe, V., 281
Marches, M., 2448
Marcis, R., 2052
Marcus, A.J., 353, 1911
Mardia, K.V., 2096
Margrabe, W., 1911
Mariano, R.S., 1522
Maritz, J.S., 1161
Mark, N.C., 415, 2084, 2085
Mark, R., 730
Markov, S., 2089
Markowitz, H.M., 239, 708, 710, 979, 1453,
1858, 2283, 2284, 2538, 2702, 2703
Marmer, V., 1000
Marquardt, C., 1687–1689, 1694
Marquez, R., 1343
Marron, J.S., 532
Marsh, T.A., 1125, 1515
Marshall, A.W., 2282
Author Index 2731
Marsten, R.E., 829
Marston, F., 2594, 2596
Martens, M., 2031, 2032, 2042, 2043, 2045
Martin, C., 6
Martin, J.S., 2220, 2221
Martin, T., 1806
Masa, M., 108
Mashal, R., 640
Masmoudi, A., 1697–1717
Mason, J.R., 1828
Mason, R., 618
Masset, P., 539–571
Masulis, R., 1673
Materov, I.S., 377
Mathews, K.H., 2130
Mathieson, D., 443, 474
Mathieu, A., 1725, 1732
Mathieu, R., 2621–2648
Mathur, I., 272, 1804
Matsumoto, D., 283, 1723, 2624, 2628
Matsumoto, M., 394
Matsumura, E.M., 1463
Matsunaga, S., 853
Matsushita, Y., 767, 2593
Matzkin, R., 2130
Mauer, D.C., 150
Maug, E., 858, 1805
Mawani, A., 2644
Maxwell, A.E., 2469
Maxwell, W., 1382, 1387, 1394, 1395
May, S., 1951, 1952, 1978
Mayer, K.U., 1951
Mayer, P., 2304
Mayer, W.J., 6
Mayew, W., 1725
Mayhew, B.W., 1184
Mayhew, S., 2088
Maynard, A., 1199, 1215
Mayo, J., 443
Mayoraz, E., 444, 446
Mazumder, M.I., 755
Mazuy, K.K., 102, 103, 112, 1860
McAleer, M., 1327, 1623, 2032, 2042
McBeth, J., 2672
McCluskey, J.J., 2130, 2131
McConnell, J.J., 155, 2633
McCullagh, P., 744
McCulloch, C.E., 2277
McCulloch, J.H., 2180
McCulloch, R.E., 2321, 2322, 2324
McCurdy, T.H., 1259, 2265, 2266, 2271,
2272
McDermott, T.K., 1621
McDonald, B., 1834
McDonald, C.G., 150, 152, 153, 162, 169
McDonald, J., 2182
McDonald, J.B., 2183, 2185, 2212
McDonald, R.L., 2054
McFadden, D., 29, 733, 743, 744
McKelvey, W., 744
McKinney, G., 809
McLachlan, G.J., 2606
McMillan, R., 2130
McNamee, P., 823
McNeil, A., 236, 238, 306, 2497
McNichols, M., 1688, 2625
McQueen, G., 1834
McVay, S., 1723, 1724, 1726, 1727, 1730,
1731
Meadows, M., 801
Meckling, W.H., 152, 153, 842, 1673
Meddahi, N., 1511, 1517, 1704
Medeiros, M., 2032
Meese, R., 1878, 2084
Megginson, W., 1063, 1078
Mehra, R., 1505
Mehran, H., 1174
Mei, B., 957–975
Mei, J., 489
Meinl, T., 519–536
Mele, A., 419, 1511
Melino, A., 2658, 2666
Mell, P., 1347
Memmel, C., 243, 1453, 1455, 1459
Mendelson, H., 142, 618, 619, 1312, 2182
Mendes-de-Oliveira, M., 1504
Mendoza, E., 1805
Meneu, V., 937
Menkhoff, L., 1879
Mensah, Y.M., 823
Merrett, C., 2131
Merton, C.R., 1510
Merville, L.J., 807, 810, 2672
Meschke, F.J., 2594
Mesnier, M.P., 452
Mest, D., 64, 66, 67, 69
Mester, L.J., 354, 355, 360
Metrick, A., 1754, 1756, 1757, 1805
Metropolis, N., 1883, 2277
Meulbroek, L.K., 155, 864
Mezrich, J., 2327
Mian, G., 2625
Michaely, R., 754, 1063, 1064, 1066, 1087,
2138–2140, 2156, 2160, 2162, 2604
Michaud, R.O., 991
Mikhail, M., 72
2732 Author Index
Mikkelsen, H.O., 905, 908, 910, 912, 913, 915,
930, 2318
Miles, M., 959
Milgrom, P., 2626
Miller, A.J., 2097
Miller, D., 1171, 1174
Miller, D.L., 659, 660, 666
Miller, H., 2095, 2107, 2108
Miller, M.H., 4, 5, 109, 152, 1239, 1252, 1264,
1673, 2136, 2451
Miller, N.H., 2594
Miller, R.B., 1463
Miller, R.E., 104
Miller, T.W., 2478, 2479
Mills, T.C., 1621, 1631
Milne, F., 1926, 2267
Milojicic, S.D., 1344
Miltersen, M., 2343, 2363, 2377
Mincer, J., 1207, 1208, 1210, 1243
Mingo, K.A., 8, 54, 730, 2462, 2470
Minnick, K., 63–98
Minton, L., 1278
Miranti, P.J. Jr., 823
Mishkin, F.S., 1661
Mitchell, H., 935–956
Mitchell, M.L., 381, 391, 392, 395,
1392, 1393
Mithal, S., 619, 621
Mitov, I., 2131
Mitsios, A., 1805
Mittelhammer, R.C., 2130, 2131
Mittnik, S., 2180
Mitton, T., 2179, 2595
Mo, H., 2179
Modest, D.M., 1860
Modigliani, F., 4, 5, 109, 114, 152, 321,
322, 414, 1064, 2136, 2541
Modigliani, L., 114, 759
Moerman, G.A., 324
Mohanram, P., 2220, 2221, 2245, 2623, 2627
Mohnhan, T.F., 794, 802, 825
Mohr, M.F., 535
Molina, C.A., 2594
Molina, G., 2526
Molnar, P., 2033
Monfort, A., 419
Monoyios, M., 1903
Montgomery, T., 600
Montero, J.M., 937
Montesi, C.J., 2562
Moon, C., 354, 355, 360
Moore, E., 1985
Moosa, I.A., 2045
Mora, N., 455
Morck, R., 324
More, J.J., 452
Moreau, A.F., 353
Moreira, M.J., 2592
Morel, M., 2407
Morey, M.R., 1860
Morga, J.B., 2500
Morgan, D.P., 448
Morgan, I.G., 1259
Morgan, J.P., 54, 300, 1166, 1279, 1739,
2269–2272, 2276, 2496, 2498,
2500, 2554
Morgenstern, O., 2282, 2283, 2286, 2296
Morin, T.L., 829
Morlet, J., 532
Morley, J.C., 437
Moro, E., 1806
Morse, D., 281
Mortal, S., 1312
Morton, A., 1911, 2343
Morton, R., 534
Moskowitz, T.J., 1497, 1504, 2220,
2221, 2594
Mosler, K., 2282
Mossin, J., 1004, 2142, 2143, 2536
Mota, B., 2040
Moya, I., 1401, 1402
Moyer, R.C., 153
Mozumdar, A., 1615
Muchnik, I., 444, 446
Mueller, H.G., 532
Mulherin, J.H., 155
Muliere, P., 2288
Mullainathan, S., 1568
Muller, D.C., 600
M€uller, M., 1472
Muller, P., 2213
Muller, U.A., 908
Mullins, D.W. Jr., 2139
Muralidhar, K., 795, 824
Muriki, K., 1345
Murphy, A.H., 1949, 1956, 2131
Murphy, K.J., 843, 855, 1492, 1496, 1497,
1500, 1505, 2623, 2625, 2626
Murray, A., 2131, 2448
Murty, M.N., 845
Murugesan, B., 108
Musiela, M., 1773, 2343, 2377
Mussavian, M., 752
Muth, J., 1200
Muthuswamy, J., 1256, 1264
Mutka, M.W., 1348
Author Index 2733
Myers, J.N., 2407
Myers, L., 283
Myers, R.J., 7, 1898
Myers, S.C., 153, 322, 752, 1673, 2053,
2054, 2061
Mykland, P., 2521
NNachtsheim, C.J., 2531
Nadenichek, J., 1649
Naert, P.A., 809
Nage, S., 1878, 1879, 1884
Nagler, R.J., 908
Nagpal, K., 301
Naik, N.Y., 1312, 1462, 1805
Nakagawa, R., 1805
Nakayama, H., 822
Naldi, M., 640
Nam, K., 413–435
Namboodiri, K., 1953
Nanda, D., 1174, 1690, 1694, 1727, 1730
Nandi, S., 2655, 2667, 2688
Nankervis, J.C., 1476
Nanni, A.J., 800, 807
Nantel, T.J., 2570
Narayanan, P., 730, 2462
Nardari, F., 1698
Nash, R.C., 150
Natarajan, T., 802
Nath, P., 618
Nazem, S.M., 827
Neal, R., 671
Neckelburg, G., 456, 474
Neil, R., 1890
Neis, E., 619, 621
Nejadmalayeri, A., 63–98
Nelling, E., 1806
Nelsen, R.B., 1436, 1832
Nelson, C.R., 415, 419, 1012, 1015, 1094, 1125
Nelson, D.B., 415, 910, 911, 914, 1125,
1250, 1252–1254, 1260, 1517,
1880, 2032, 2180, 2182, 2183,
2261, 2264
Nelson, R.B., 236, 237
Nerlove, M., 343
Nesheim, L., 2130
Neter, J., 2531
Netter, J.M., 150, 155
Neumann, K., 2563
Newbold, P., 7, 53, 767, 887, 1012, 2404, 2411,
2416, 2437, 2441
Newby, R., 1996
Newey, W.K., 1120, 1121, 1189, 1245, 1393,
1394, 2183
Newman, H., 73
Neyman, J., 1069, 1087, 1089
Ng, A., 1622
Ng, S., 415, 2095
Ng, S.Z., 657–667
Ng, V.K., 234, 424, 425, 428, 432, 2264, 2654
Ng, W.-Y., 466
Nguyen, H.T., 1453
Nichols, C., 2627
Nickell, P., 1951
Niden, C., 1327
Niederreiter, H., 1358, 1359, 1361
Nielsen, J., 1969
Nielsen, M.S., 305, 552, 560
Nieuwenhuis, J., 1773
Nikeghbali, G.R., 1436, 2497
Nikolaidis, V., 1402
Nikos, K., 1621, 1626, 1631, 1643
Nikoulis, P., 150
Nimalendran, M., 1005, 1671, 1681
Nishimura, T., 394
Nissim, D., 2139, 2414
Noe, T., 1174
Nofsinger, J.R., 488
Nogel, U., 2310
Nohel, T., 856
Nomikos, N., 1900, 1901
Norden, L., 1949
Nordman, E., 2131
Noreen, E.W., 409
Norli, O., 388
North, D.C., 322
Norton, D.P., 801
Noussair, C.N., 1986
Novales, A., 1904
Nunes, L., 552
Nutt, S., 67
Nyberga, H., 415
Nyfeler, M., 306
OO’Brien, T.J., 1704
O’Connell, P.G.J., 488–490
Odders-White, E.R., 2594, 2604
Odean, T., 1493, 2235
Oehler, A., 1807
Ofek, E., 1452–1454
Officer, D.T., 188
Officer, R., 2180
Ogden, J.P., 1316–1317
2734 Author Index
Ogryczak, W., 2285, 2286, 2288, 2294
Oh, Y.L., 490
Ohanissian, A., 905, 908, 909
O’Hanlon, J., 2409, 2441
O’Hara, M., 56, 2088, 2602, 2604, 2605
Ohlson, J.A., 281, 731, 2402–2409, 2415,
2418, 2440
Ohlson, J.S., 5, 15, 16, 53
Okimoto, T., 234, 1831
Oksendal, B., 2530
Olkin, I., 2282
Olsen, R.B., 908
Olsson, P., 1186, 1188
Onsi, M., 809
Oosterlee, C.W., 2304
Ormazabal, G., 35, 1170, 1178, 1181,
1189–1191
Ornthanalai, C., 915
Ortiz-Molina, H., 2594
Osobov, I., 2140
Osterberg, W.P., 1197
Oswiecimka, P., 552, 569
Ota, K., 1688
Otranto, E., 2044, 2045
Otto, C.A., 1493
Ou, J., 282
Oye, R., 1957, 1979
Oyer, P., 843, 1493
Oztekin, O., 354, 357
PPacker, F., 456, 1947, 1950
Padmaraj, R., 150, 152, 153, 155, 158, 161, 171
Pagan, A.R., 415, 1234
Pagano, M., 355
Palepu, K.G., 600, 2139
Palfrey, T., 1991, 1999
Palia, D., 2594
Palit, I., 552
Palliam, R., 823
Palmon, O., 149–183, 207–230, 1491–1506
Palmquist, R., 2126
Palta, M., 1565, 1575
Pan, J., 915, 1144, 2088, 2264, 2322, 2341,
2343, 2344, 2347, 2359, 2361, 2362,
2371, 2377
Panjer, H.H., 2283
Pankratz, A., 2203
Panzone, L., 2131
Paolellad, M., 1401
Papahristoulou, C., 708
Papanicolaou, G., 2528
Paparoditis, E., 891
Paperman, J.B., 56, 2602, 2605
Pardo, A., 937, 1330
Pardoux, E., 1533
Pare, P., 261
Parfionovas, A., 892
Park, H.Y., 2481, 2486
Park, S.Y., 1900
Parker, C., 123
Parkinson, M., 1114, 1116, 1120, 1122, 1124,
2031, 2033–2035, 2046, 2271
Parks, R.W., 1138
Partch, M.M., 152, 157
Partington, G., 1949
Pas, P.F., 2448
Pasaribu, R.B., 755
Paskov, S.H., 1361
Pasquariello, P., 618, 619, 626
Pastor, L., 415, 1312, 1315, 1316
Patel, S., 1951
Patro, D.K., 149–183, 669–703
Patterson, D.M., 1805
Patterson, G.A., 1327
Patterson, I.H., 823
Patton, A.J., 234–236, 1434, 1435, 1437, 1440,
1830, 1831, 2045, 2179
Pauly, P., 2404, 2411, 2416, 2437, 2441
Peaea, J., 936, 937
Pearson, E.S., 398
Pearson, K., 1069, 1087
Peasnell, K., 1172, 1175, 2408
Peavy, J.W. III, 677
Pedersen, L.H., 1469, 1878, 1879, 1884,
2221, 2255
Pedersen, N., 1878, 1879
Peel, D.A., 1197, 1201, 1204, 1205, 1208,
1210, 1215, 1223, 1241, 1243
Pehlivanli, D., 794
Peker, A., 1327
Pelletier, D., 1471, 1476
Peltonen, S., 528
Pena, D., 2203
Pena, J., 210
Peng, H., 1511
Peng, L., 1106, 1125, 2130
Penman, S.H., 282, 325, 2413, 2414
Pennacchi, G., 353
Percival, D., 526, 551, 552, 555, 557, 558
Perez-Rodrıguez, J., 1623
Pericli, A., 2182
Perkins, A.B.., 1452
Perkins, M.C., 1452
Perotti, E., 321, 322
Author Index 2735
Perrakis, S., 208–210, 212, 214, 216, 218
Perraudin, W., 466, 1951
Perron, P., 492, 876, 877, 887, 890, 2318,
2319, 2331
Perry, T., 1172, 1174
Persand, G., 2180, 2181
Pesando, J., 1012, 1015
Pesaran, H.M., 1198, 1200, 1233, 1234, 1242
Petersen, B., 1568, 1602, 1603
Petersen, M.A., 6, 66, 74, 319, 340, 658,
844, 846, 847, 1179–1182, 2594
Peterson, P.P., 2161
Petkova, R., 1382, 1395
Petroni, K., 2408
Petrov, B.N., 2117
Pettengill, G.N., 264, 272
Petty, W.J., 807, 810
Pevzner, M., 1687
Peyer, U., 1382, 1395
Pfaff, B., 1651
Pfleiderer, P., 1860
Philbrick, D., 2629
Philippas, N., 1806
Philippon, T., 1469, 1477, 2623, 2627
Phillips, A., 1343
Phillips, P.C.B., 492, 887, 890–894, 1199,
1215
Phillips, R., 1957, 1979
Phoon, K.F., 1452, 1462
Piacenza, M., 2131
Pianca, P., 209
Piazzesi, M., 1518, 1553, 2345
Pictet, O.V., 908
Pike, R., 823
Pilar, G., 1860
Pilbeam, K., 1202
Pinches, G.E., 8, 54, 730, 2462, 2470
Pindyck, R.S., 415, 1904
Pitts, M., 1327
Platen, E., 1539
Please, N.W., 398
Ploberger, W., 2318
Plosser, C., 1648
Plott, C., 1985, 1991, 1994, 1999
Plummer, E., 64, 66, 67, 69
Podolskij, M., 1101, 2032, 2042, 2043
Poggio, T., 60
Polasky, S., 2131
Polimenis, V., 2179
Politis, D.N., 891, 1513
Pollakowski, H.O., 2126
Pollock, D.S.G., 520, 529
Polson, N., 1698, 1702, 1704, 1708, 2323
Polya, G., 2282
Pomerleano, M., 348
Pompe, P.M., 730
Pong, S., 909
Pontiff, J., 671
Poon, S.H., 1831, 2043
Poon, W.P.H., 449
Pope, P., 1175, 2409, 2441
Popescu, M., 2604
Porter, D.P., 1985
Porter, R.D., 2410
Porter, R.L., 349–380
Portner, F.E., 600
Portnoy, S.L., 1149
Post, M., 66
Post, T., 1861
Poterba, J.M., 415, 420, 1568, 1904
Poteshman, A., 2088
Potters, M., 569
Poudyal, N., 2131
Pouliasis, P.K., 1901
Poulsen, A.B.., 150, 155
Poulsen, J., 158
Powell, J., 437
Prabhala, N.R., 2580
Prasch, R.E., 1504
Pratt, J.W., 2142
Prause, K., 2563
Prekopa, A., 2288
Prentice, R.L., 1953, 1960
Prescott, E.C., 534, 549, 1505
Prescott, E.S., 353
Previts, G., 1724
Price, B., 2570
Price, K., 2570
Pritsker, M., 1511
Protopapadakis, A.A., 1834
Protter, P., 2345
Puckett, A., 1805
Pyburn, P.J., 793
Pynnonen, S., 405
Pyun, C., 428
QQi, L., 2094
Qian, M., 114
Qiao, Z., 1452
Qing, K.Y., 755
Qiu, P., 521, 522, 532
Qu, Z., 2319
Quandt, R.E., 6, 823, 875, 876, 2318,
2319, 2553
2736 Author Index
Quenouille, M., 461
Quiggin, J., 2282, 2283
Quintos, C.E., 893
Quirk, J.P., 2282, 2286
RRachev, S.T., 520, 521, 575–596, 1325–1339
Radcliffe, R., 1312
Radosevich, R., 600
Raeei, R., 1807
Ragunathan, V., 1327
Rahman, S., 1860
Rahmania, N., 535
Raicu, I., 1345
Raimondo, M., 532
Rajan, M.V., 7
Rajan, R.G., 66, 74, 322, 323, 326, 352,
1754–1757, 1805
Rajgopal, S., 283, 1723, 2623, 2624, 2626,
2627, 2629
Ramakrishnan, L., 1345
Ramanathan, R., 7, 53, 2404, 2411, 2416, 2437
Ramanlal, P., 153
Ramasamy, B., 105
Ramaswamy, K., 1008, 1009, 1772, 2481, 2609
Ramaswamy, R., 1648
Rambaldi, A.N., 962
Ramiah, V., 935–956
Ramnath, S., 67, 68, 1387
Ramsey, J.B., 529, 551, 552
Ranaldo, A., 1622, 1878, 2179
Rangan, K.P., 354
Rangel, J.G., 2332
Ranu, A., 110
Ranu, D., 110
Rao, C.R., 4
Raper, C.F., 959
Rappoport, P., 2318
Ratings, F., 448, 449
Rauf, A., 110
Rauh, J., 1565, 1602
Ravid, S.A., 152
Ravn, M.O., 535
Rayburn, J., 282
Ready, M., 2604, 2606
Rebeggiani, L., 107
Rebello, M., 1174
Rebelo, S., 1878
Reck, M., 125
Redmand, A.L., 105
Redmond, C.H., 959
Reeb, D., 1734, 2631–2633, 2644
Reeve, R., 794
Reeves, G.A., 824
Reeves, G.F., 824
Reeves, G.R., 824, 2450
Reeves, R., 824
Refenes, A.N., 2044
Reichlin, L., 2318
Reiner, E., 1774, 1776, 1794
Reinhart, C.M., 46, 1662, 1663
Reinhart, I., 823
Reinsel, G., 2459
Reisen, H., 455
Reither, C., 2408
Remenyi, D., 1343
Remolona, E., 618
Renault, E., 915, 1704
Renault, O., 443, 448
Rendelman, R.J., 2091
Rendleman, R.J., 8, 1026, 2088, 2478
Reno, R., 2521, 2523
Resnick, B.G., 103
Rhodes, S.A., 599, 600
Richard, S.F., 32, 978, 982, 983
Richardson, G., 2625
Richardson, M., 415, 673, 1452–1454, 1469,
1477, 1756
Richardson, S.A., 1736, 1746
Richardson, V., 73
Ricke, M., 1986
Ricks, W., 2629
Riddick, L., 1606
Rigobon, R., 1639
Rijken, H.A., 458
Ripple, R.D., 2045
Ritchken, P., 20, 208–210, 212–214, 216, 218,
228, 915, 1911, 2339
Ritov, Y., 1487
Ritter, J.R., 72, 388–390, 392, 1382, 1383,
1392
Rivest, L., 1435
Rivoli, P., 456, 474
Ro, B., 1734, 2631
Robbins, E.H., 151, 153
Roberts, M., 937
Roberts, R., 2131
Robin, S., 1985
Robins, R.P., 1136, 2203
Robinson, L., 2408
Robinson, P.M., 880, 882, 883
Rocha, G., 2040
Rock, K., 152, 2136, 2139
Rockafellar, R.T., 709, 2291
Rockinger, M., 1434, 1438
Author Index 2737
Rodriguez, J.C., 234, 236
Rodriguez, R., 209, 214, 216, 218, 220
Rogalski, R., 154
Rogers, D.S., 1890
Rogers, L., 2031, 2033–2035, 2046
Rogers, R., 1724
Rogoff, K., 1662, 1663, 1878, 2084
Rohwer, G., 1951, 1960
Roley, V.V., 1834
Roll, R.R., 37, 673, 978, 981, 983, 986, 1004,
1012, 1014, 1312–1314, 1493, 1773,
1794, 1805, 1834, 1985
Romano, J.P., 1513
Romano, R., 2130
Rombouts, J.V.K., 2040
Romer, D., 2083
Romero, C., 2470, 2475
Romilly, P., 962
Roncalli, T., 1436, 2497
Ronchetti, E., 534
Ronen, J., 809, 1689
Ronen, T., 2089
Roper, A.H., 2594
Rosen, H.S., 1578
Rosen, S., 2121
Rosenberg, B., 281
Rosenberg, J., 2379
Rosenblatt, M., 1519
Rosenbluth, A.W., 1883
Rosenbluth, M.N., 1883
Rosenfeld, E., 1515
Rosenstein, S., 1175
Rosenthal, L., 1949
Rosett, R.N., 1316, 1321
Ross, S.A., 152, 209, 579, 986, 1294, 1302,
1986, 2265, 2626, 2654, 2657
Rossi, P., 1702
Rotch, W., 802
Roth, G., 150, 152, 153, 162, 169
Rothenberg, T.J., 2590, 2591
Rother, P., 443
Rothman, P., 419
Rothschild, M., 2282, 2286
Roubi, R., 1685–1694
Rountree, B., 64
Rousseeuw, P.J., 8
Roy, A.D., 1279
Rozeff, M.S., 2042, 2138, 2140, 2154, 2156,
2160, 2162
Rua, A., 552
Ruback, R.C., 190, 191, 197, 202
Ruback, R.S., 600
Rubin, H., 2592
Rubinstein, M., 8, 145, 208, 923, 1026, 1774,
1776, 1794, 2031, 2655, 2656, 2659,
2667, 2668, 2672, 2691
Rudebusch, G.D., 1101, 2043
Ruefli, T.W., 809
Ruffieux, B., 1985
Ruffley, R., 1949
Ruiz, E., 2526, 2594
Runkle, D.E., 415, 419, 424, 426,
433, 1106, 1125, 1201, 1203, 1231,
1232, 1242, 1244, 1245, 1438,
2182, 2264
Ruppert, D., 1485
Rush, M., 1197, 1204, 1222, 1223, 1228, 1242
Ruskin, H., 569
Russell, A., 1639
Russell, J.R., 905, 908, 909, 2039
Russell, W., 2282, 2286
Rusticus, T.O., 2593, 2594
Ruszczynski, A., 2281–2300
Rutkowski, M., 1773
Ryan, H.E., 856, 1172, 1174
Ryan, J., 208–210, 212, 214, 216, 218
Rydberg, T.H., 2563
SSaaty, T.L., 794, 796, 801, 803, 804, 825, 828
Sacchetto, S., 2131
Sack, B., 1639
Sadeghi, M., 1401
Sadhak, H., 105
Sadorsky, P., 503
Sahut, J.M., 1805
Saikkonen, P., 1215
Saita, L., 304
Sakrejda, I., 1345
Salanie, B., 1545, 1546
Salmon, M., 1151, 1152, 1706, 1804–1806,
1808–1811, 1830, 1831, 1835
Salomon, A., 66, 2240
Samant, A., 116
Samarakoon, L.P., 755
Samuelson, P., 281, 2702
Samuelson, W., 1949
Samwick, A.A., 852, 2644
Samworth, R., 2095, 2106, 2113, 2116
Sander, F., 1956
Sander, H., 2131
Sanders, A.B., 1106, 1124, 1518, 2655
Sandmann, K., 2343, 2363, 2377
Sanghani, J., 1996
Sankarasubramanian, L., 1911
2738 Author Index
Santa-Clara, P., 415, 1106, 2343, 2358
Santhanam, R., 795, 824
Santibanez, J., 754
Santomero, A.M., 353, 360
Santos, J.A., 352
Santos, M., 1503
Sanz, J., 1802
Saposnik, R., 2282, 2286
Sapp, S., 1622
Sargan, J.D., 1067, 1071, 1088, 1089, 1604,
2586
Sarig, O.H., 152
Sarin, A., 1386, 2140
Sarkar, S., 454
Sarkissian, S., 991
Sarma, M., 1147
Sarno, L., 1876, 1879, 1901
Sarto, J.L., 1807
Sasi, K.K., 106
Satchell, S., 2031, 2033, 2034, 2046
Satya Sekhar, G.V., 101–116
Saunders, A., 353, 360, 1144, 2033
Savage, L.I., 829
Savarino, J.E., 991, 2702
Savin, N., 1476
Savu, C., 1434
Scarsini, M., 2282, 2288
Schachter, B., 1278
Schadt, R., 676, 677
Schaefer, S., 843, 1493
Schaefer, T., 2408
Schaffer, M., 1616
Schagen, C., 1949, 1951
Schall, L.D., 600
Scharfstein, D.S., 1754, 1805, 1985, 1989
Schatzberg, J.D., 151, 153
Schaumburg, J., 1469, 1484
Scheinkman, J.A., 5, 1758, 1986
Schere, F.M., 600
Schiantarelli, F., 1578
Schienle, M., 1484
Schill, M.J., 2179, 2221
Schipper, K., 1008, 1012, 1722
Schleicher, C., 551
Schleifer, A., 1985
Schlicht, E., 535
Schmeling, M., 1879
Schmidt, A., 1355, 1356
Schmidt, P., 377, 1581
Schmukler, S.L., 455, 480
Schneck, R., 1947, 1950, 1951
Schniederjans, M.J., 802
Schoar, A., 1568
Scholes, M., 7, 11, 54, 57, 208, 218–220,
936, 1026, 1358, 1514, 1772, 2478,
2480, 2654
Schonbucher, P., 300, 301, 306
Schoutens, W., 2304
Schrimpf, A., 1879
Schroder, M., 8
Schroeder, D., 1734, 2631
Schroeder, R., 1167
Schuermann, T., 350, 1947, 1949, 1951, 1955,
1977
Schuhmacher, F., 1462
Schultz, P., 388, 1393, 1454
Schwartz, E.S., 151, 153, 533, 1515, 1927,
2053, 2343, 2344
Schwartz, G., 2095, 2097, 2099
Schwartz, R.A., 121–146, 151
Schwartz, W.A., 822
Schwarz, T., 1991, 1994, 1996
Schwert, G.W., 190, 191, 197, 202, 415, 416,
1106, 1124, 1327, 2178, 2478
Schwert, W.G., 188, 191, 197, 202, 1012, 1015
Scorcu, A.E., 2130
Scott, E., 1089
Scott, J., 152
Scott, L., 210, 218, 221, 228, 1912, 1926–1929,
1934, 2360, 2378, 2654, 2655, 2658,
2660, 2661
Scott, T., 2131
Scott, W., 2571
Scruggs, J.T., 415, 426, 1106, 1115, 1125
Sealey, C.W. Jr., 6, 353, 354
Sears, R.S., 4, 2486
Seasholes, M.S., 488–490, 493, 2220, 2221,
2245
Seber, G.A.F., 2526
Seethamraju, C., 1687
Segal, L., 1581
Segen, J., 897
Seguin, P., 677
Segura, J.V., 709, 711
Seifert, J., 521, 533
Seiford, L., 810, 811, 822, 826, 828
Selcuk, F., 541, 548, 551, 552, 554, 559,
560, 1401, 1402
Selly, M.A., 797, 828
Senbet, L., 353, 360
Senbet, L.W., 150, 151, 153–155, 670, 674,
675, 685, 690, 691, 694
Seneta, E., 2267
Sentana, E., 1125, 2182
Sergeant, A.M.A., 391, 393
Serra, A., 1807
Author Index 2739
Serra, P., 1807
Servaes, H., 2633
Seth, A., 600
Seward, J.K., 154
Seybert, N., 1725
Shackleton, M.B., 909
Shaffer, D.R., 752
Shah, A., 1147
Shahwan, Y., 2623
Shaked, I., 353
Shamaie, A., 569
Shanken, J., 978, 980, 981, 1004, 1834
Shanmugam, B., 456
Shao, J., 1565, 1575, 2097, 2099
Shao, X., 2044
Shapiro, A., 1278, 1280
Shapiro, A.F., 5
Shapiro, M.D., 2083
Shapour, M., 1807
Sharifi, S., 569
Sharma, R., 2131
Sharma, V., 1704, 1805
Sharp, S., 66
Sharpe, I.G., 2594
Sharpe, W.F., 18, 102, 103, 116, 752, 960,
979, 1004, 1462, 2142, 2143, 2536
Shastri, K., 754
Shavvalpour, S., 1401
Shaw, K.N., 821, 832
Shaw, K.W., 2623
Shaw, W., 65, 2311, 2315
Shea, J., 2590, 2596
Sheather, S.J., 1161, 1485
Shefrin, H., 1804
Shehata, M., 1692
Shelton, J.P., 2404, 2440
Shen, C.H., 490
Shen, W.T., 661
Shephard, N., 909, 914, 1698, 1704, 2030,
2037, 2042
Shepherd, P., 1698
Sheppard, K., 234, 1439, 1440, 2040
Sheppard, S., 2121
Sheppardy, K., 234
Sheridan, N., 1665
Sherman, R.P., 1744, 1749
Sheu, Y.-C., 2561–2575
Shevlin, T., 843, 853, 2218, 2257, 2623, 2624,
2626, 2627, 2629
Shi, J., 2144
Shi, Y., 791–836
Shi, Z., 2093–2116
Shibut, L., 447
Shick, R., 188
Shieh, J.S., 1327
Shih, T.-L., 1619–1643
Shih, W.K., 2401–2442
Shiller, R.J., 888, 1115, 1738, 1904, 1985,
2082, 2410, 2411
Shimerda, T.A., 8
Shin, D.W., 2040
Shin, H., 1568
Shin, Y., 1545
Shirai, S., 322
Shivdasani, A., 1174
Shleifer, A., 327, 331–333, 336, 339, 487, 489,
671, 1170, 1174, 1175, 1382, 1386,
1387, 1394, 1805–1807, 1989, 2085,
2221, 2245, 2249
Shorack, G., 576
Shores, D., 2408
Shrestha, K., 7, 2563, 2567
Shreve, E., 1776
Shreve, S.E., 844, 845, 2523
Shrieves, E., 350
Shroff, P., 2625
Shu, J.H., 2031, 2034
Shu, S., 2594
Shum, K.H., 466
Shumway, T., 5
Shyam-Sunder, L., 152
Sias, R.W., 490
Sibbertsen, P., 886, 887
Sidana, G., 107
Siddique, A., 1382, 1387, 1394, 1395, 2179,
2180
Siddiqui, M., 1161
Sidenius, J., 640, 2505
Sieg, H., 2130
Siegel, A.F., 977–1000, 1094
Siegel, J.J., 1986
Siegel, L.B., 323, 324
Siegmund, D., 532, 897
Siems, T.F., 447
Sigh, P., 600
Sikorski, D., 1463
Silvennoien, A., 2041
Silverman, B.W., 534
Sim, N., 1829–1854
Simaan, Y., 708
Simin, T., 991, 1813, 1824
Simioni, M., 2130
Simonato, J., 1927
Simonoff, J.S., 534
Sims, C.A., 2078–2080
Sin, C., 209, 210
2740 Author Index
Sing, G.P., 109
Singh, A., 72
Singh, J., 106
Singhal, J., 829
Singleton, K.J., 303, 304, 915, 1516,
1518, 1532, 1553, 2264, 2322,
2339, 2345, 2347, 2359, 2362,
2377, 2392
Sinha, M., 415
Sircar, R., 2528
Sirmans, C.F., 4
Siry, J., 958
Sisodiya, Amit Singh, 106
Sivakumar, K., 75
Sivaramakrishnan, K., 1726, 2219, 2628, 2631,
2633, 2644
Skinner, D.J., 1063, 1069, 1078, 1085, 1687,
2139
Sklar, A., 236, 305, 306, 312, 640,
1436, 2502
Skodeberg, T., 1947, 1949, 1952, 1961,
1962, 1969
Sloan, R.G., 1172, 1175, 1176, 1386, 1736,
2407, 2415–2417
Sloek, T., 1648
Slott, J., 2131
Smarr, L., 1348
Smidt, S., 2604
Smirlock, M., 1327, 1911
Smirnov, N., 1519
Smith, A.F.M., 1700
Smith, B., 2129
Smith, C., 1186, 2623, 2626
Smith, D.M., 109
Smith, J., 1520, 2408
Smith, M., 937, 945, 2131
Smith, P.A., 2408, 2594
Smith, T., 2604
Smith, V.L., 143, 1985, 1986, 1988, 1989,
1991, 2002
Smithson, C., 1278
Snedecor, G.W., 2207
Snelling, D., 1348
Snir, M., 1367
Snyder, R.D., 2448
So, M.K.P., 1401, 2321
Sobehart, J.R., 470, 472
Sobol, I.M., 1359, 1361–1363
Sodal, S., 2053
Soderlind, P., 1622
Sogner, L., 852
Solberg, D.P., 2140
Soliman, M., 75
Solnik, B., 673, 1012, 1830, 1831, 1840
Solomon, D., 1721, 1725
Soloviev, O., 552
Son, K., 1928
Sondermann, D., 2343, 2363, 2377
Sondhi H.J., 108
Song, B.Y., 1722
Song, F., 188
Song, H., 962
Song, M., 1723
Song, R., 2095, 2108, 2109
Song, S., 1470, 1472, 1485, 1487
Sonlinik, B., 1635, 1643
Soo, L., 1736
Sopranzetti, B.J., 2119–2132
Sorbom, D., 1670
Sorensen, M., 2180, 2563, 2595
Sornette, D., 2179, 2343, 2358
Sorrentino, R., 526
Sortino, F.A., 1462
Sougiannis, T., 2409, 2625
Sounders, A., 730
Spahr, R.W., 824
Spalt, O., 1500
Speight, A., 1327
Speranza, M.G., 711, 724
Speroff, T., 1957, 1979
Spiegel, Y., 155
Spitz, A.E., 1860
Spokoiny, V., 1485
Sriboonchitta, S., 1453
Srinivas, P.S., 2088
Sriram, R.S., 454
Srivastava, A., 2623
Srivastava, S.C., 187–205, 597–614,
1277–1290
Stafford, E., 388, 391, 392, 395, 1392, 1393
Staiger, D., 2590
Stambaugh, R.F., 415, 417, 981, 1000,
1106, 1115, 1124, 1312, 1315,
1316, 2178
Stambough, R., 1008, 1009, 1021
Stanford, M., 1723
Stangeland, D., 73
Starks, L.T., 490, 1327, 2140
Startz, R., 415, 419, 1125, 1880
Statman, M., 112, 1452
Stavroyiannis, S., 1402
Stein, C., 641
Stein, E., 2654, 2661
Stein, J.C., 155, 1452, 1568, 1569, 1805, 1985,
1989, 2219, 2221, 2240, 2594, 2654,
2661
Author Index 2741
Stein, J.L., 1893
Stein, R.M., 470, 472
Steinitz, J., 1621, 1626, 1631
Stephan, J., 2088
Stephens, C.P., 1063, 1065, 2138, 2140, 2153,
2156, 2162
Stephens, M.A., 576, 659
Steuer, R., 810, 825
Stevenson, B.G., 2500
Stevenson, M., 1949
Stevenson, S., 709
Stickel, S., 2625
Stiglitz, J.E., 449, 455, 466, 480, 1984,
2282, 2286
Stillman, S., 1581
Stinchcombe, M., 896–899
Stivers, C.T., 1854
Stock, J.H., 876, 1648, 2079, 2096, 2318, 2319,
2331, 2590–2593, 2596, 2597
Stockman, A.C., 1201
Stockum, S., 1860, 1866
Stoja, E., 2041
Stokes-Rees, I., 1350
Stoll, H.R., 1319, 2052
Stone, B., 188, 189
Storkenmaier, A., 123, 141
Stout, D.E., 794, 802, 825
Stoyan, D., 520
Stoyan, S., 2286
Strahan, P.E., 350, 356
Strandell, E., 1376
Straumann, D., 2497
Strebulaev, I., 618
Streller, A., 2563
Streme, A., 982
Strickland, C., 936, 937, 942
Strong, N., 280, 282
Struzik, Z., 551
Stultz, R., 1063
Stulz, R.M., 154, 673, 674, 693, 1106, 1124,
1472, 1568, 1756, 1758, 2139, 2140,
2146, 2166, 2626, 2654
Sturm, J.E., 1649
Su, H.M., 1401
Su, J.-B., 1399–1429
Su, X., 283
Su, Yongru, 256, 268
Subbotin, A., 560
Subha, M.V., 108
Subrahmanyam, A., 1312, 1805, 2604
Subrahmanyam, M.G., 2373, 2478, 2481
Subramaniam, V., 74
Subramanyam, K., 2408, 2413, 2441
Suchanek, G., 1988, 1989, 1991
Suchindran, C.M., 1953
Sudhakar, A., 106
Sufi, A., 74
Suh, C.K., 827
Suh, E.H., 827
Sul, D., 2084
Sullivan, R., 1512
Sultan, J., 1898, 1903, 1904
Summers, L., 1904, 2085
Summers, L.H., 415, 420
Sun, C., 959, 962
Sun, E.W., 519–536, 1325–1339
Sun, J., 532
Sun, L., 1854
Sun, S., 1928, 1929
Sun, W., 520
Sundaram, S., 272
Sundararajan, V., 348
Sundaresan, S., 1772, 1911
Sundaresan, S.M., 2481
Sunder, S., 1985, 1986, 1991, 1994
Suntheim, F., 1493
Surry, Y., 2130
Susmel, R., 419, 2320
Sutcliffe, C., 1222, 1897
Sutton, C.D., 387, 395, 409
Swaminathan, B., 2138–2140, 2156, 2157,
2160, 2162, 2220
Swan, P.L., 1807
Swanson, D., 2603
Swanson, E., 2623
Swanson, N.R., 1509–1558, 2593
Swanson, P.E., 1806
Swason, P.T., 105
Sweeney, A.P., 1172, 1175, 1176
Sweeney, D.J., 767
Sweeney, R.J., 188, 190
Swieringa, R., 2408
Sy, A.N.R., 449, 466, 480
Szego, G.P., 350, 352
TTadesse, S., 321, 327
Taggart, R.A., 151, 153, 154
Tai, T., 1669–1683, 2461–2475
Tai, Y., 1807
Tajvidi, N., 532
Takahashi, S., 711
Talay, D., 1533
2742 Author Index
Talmor, E., 415
Talmor, S., 1278
Tamayo, P., 443
Tan, H., 1725
Tan, L., 1623, 1806
Tanaka, S., 1350, 1351
Tang, A.P., 1719–1749
Tang, G.Y.N., 2179
Tang, L.T., 1327
Tang, R.Y.W., 807, 808, 812
Tang, Y., 2179
Tanner, J.E., 1202
Tanner, M.A., 2277
Tao, T., 2095
Tapinos, E., 801
Taqqu, M., 915
Tarbert, H., 1639
Tarjan, R.E., 465
Tastan, H., 1623
Tate, G., 1493, 1497, 1505, 1568
Tatsuoka, M.M., 2463, 2468, 2469
Tauchen, G.E., 909, 1327, 1545,
2043, 2348
Tawn, J.A., 1831
Tay, A.S., 1511, 1520
Taylor, A.M.R., 887, 888
Taylor, D.J., 1178, 1181, 1189–1191
Taylor, G., 2625
Taylor, H.M., 1522
Taylor, J.W., 1469, 2448
Taylor, R., 885, 886
Taylor, S.J., 880, 903–932, 2030
Teller, A.H., 1883, 2277
Teller, E., 1883, 2277
Temin, P., 1985
Teoh, S., 1736
Terasvirta, T., 2042
Terrin, N., 881
Tewari, M., 153
Teyssiere, G., 889, 890
Thakor, A.V., 322
Thaler, R.H., 671, 1804, 1878, 2139
Thanassoulis, E., 823, 824
Thanou, E., 108
Theil, H., 1210
Theisen, R.D., 103
Theissen, E., 2604
Theodossiou, P., 283, 1401, 1405, 1418–1420,
2183, 2193
Thomas, A.L., 810
Thomas, J., 1386, 2407
Thomas, S., 74, 935–956, 1147
Thompson, H.E., 1462
Thompson, R., 1008, 1012
Thompson, S.B., 6, 658, 659, 662, 665–667,
1511, 1628, 2161, 2342
Thomson, J., 1099
Thorne, B.M., 767
Thrane, C., 2131
Thulasiram, R.K., 1347, 1358, 1373
Thulasiraman, P., 1347, 1358, 1373
Thurman, W.N., 2045
Thursby, J.G., 4
Tiao, G.C., 2203
Tibshirani, R.J., 388, 392, 999, 1360, 2094,
2095, 2101, 2105, 2114
Tiffin, A.L., 1898
Tilak, S., 1353, 1376
Timmermann, A., 1512, 1830, 1831
Timmins, C., 2131
Tinbergen, J., 1063
Tipton, J., 1005
Tirole, J., 2028
Tistaert, J., 2304
Titman, S., 6, 101, 102, 658, 659, 663, 1004,
1382, 1383, 1387, 1394, 1671, 1673,
1681, 1682, 1805, 2218, 2220, 2223,
2230, 2235, 2255
Tobin, J., 1316, 1321, 1453, 2538
Todd, S., 856
Todorova, N., 2043
Toft, K., 1772
Tokihisa, A., 887
Tolley, G., 2133
Tookes, H., 2089
Topaloglou, N., 709
Topaloglu, S., 489, 490, 500, 515
Toppinen, A., 962
Torous, W.N., 415, 2031, 2360, 2378
Tran, L.T., 892
Traub, J.F., 1361
Treacy, W.F., 440, 442
Trevor, R., 915
Treynor, J.L., 102, 103, 988, 1860
Trezevant, R., 2408, 2413, 2441
Triantis, A., 2053
Trigeorgis, L., 2053
Trimbur, T., 535
Trivedi, P.K., 1435, 1832
Trolle, A.B.., 2343
Trueman, B., 68, 72, 281, 1805, 2625
Truong, C., 2045
Truong, Y.K., 1484
Tsafack, G., 1434
Author Index 2743
Tsai, C.L., 386–388, 390–393, 395, 396,
405, 409, 534, 1382, 1388, 1389, 1391,
1392, 2116
Tsai, C.M., 6, 2535–2559
Tsai, G.M., 6
Tsai, P.H., 794
Tsai, R.S., 2520
Tsaig, Y., 1947
Tsay, J., 2632
Tsay, R.C., 2203
Tsay, R.S., 502, 503, 512, 516, 521, 905,
1137, 2321, 2322, 2324, 2403, 2415,
2416, 2430
Tse, S., 64, 66, 70, 72
Tse, Y.K., 2562, 2563, 2570, 2571
Tsui, K.W., 1463
Tucker, A.L., 2478, 2479
Tucker, S., 2027
Tuerk, D., 936
Tuna, A.I., 1734, 1746
TurnBull, S., 303, 640, 1926, 2658, 2666
Turner, C.M., 415, 419, 1125
Turner, P., 324
Turney, S.T., 823
Turnovsky, S., 1004
Tversky, A., 1804
UUchida, H., 1805
Uhlig, H., 535
Uhlmann, J.K., 535
Uhrig-Homburg, M., 521, 533
Ulug€ulyagci, A., 1401, 1402Umantsev, L., 1468
Unal, H., 188, 196
Underwood, S., 2089
Unite, A., 2038
Upper, C., 1622
Upton, D., 2409
Urias, M., 670
Urwitz, G., 731
Uryasev, S., 709, 2291
Usikov, D., 552
VVaello-Sebastia, A., 7
Vaglica, G., 1806
Vahid, F., 2096
Valavanis, K.P., 2448
Valdesogo, A., 234, 236
Valente, G., 1878, 1901
Valkanov, R., 415, 1106, 1115, 1125
Valletta, R., 660
Valor, E., 937
Van Boening, M., 2002
Van Der Klaauw, W., 5
van der Meer, R., 1462
van Dijk, D., 2031, 2042, 2043, 2045
van Dijk, M.A., 324
Van Dyke, C.J., 1890
Vanderbei, R.J., 2283, 2298
Vandermark, S., 1773
Vanness, J.W., 881
Varadharajan-Krishnakumar, J., 22, 319,
321, 329
Varela, O., 755
Vargas, L.G., 794, 801
Vargas, M., 751–788
Varma, J.R., 104
Varma, P., 1947, 1950, 1955, 1969, 1970
Varotto, S., 1951
Vasicek, O.A., 300, 1094, 1278, 1510,
1514, 1927
Vayanos, D., 619
Vazza, D., 1947, 1950, 1951, 1976
Vecchiato, W., 236, 1435, 1436
Vega, C., 618, 619, 626, 1622
Veld, C., 2562
Vellekoop, M., 1773
Velucchi, M., 2044
Venezia, I., 1297, 1491–1506
Venkataraman, S., 281
Vera, J.C., 210
Verbeek, M., 236, 241, 1330
Vercher, E., 709, 711
Verde, M., 1949
Verhofen, M., 109
Verlegsen, M., 2448
Vermaelen, T., 1382, 1385, 1387, 1388, 1393,
1395
Verrecchia, R.E., 282, 843, 855
Verrechia, R.K., 842
Verschoor, W.F.C., 1200
Vetter, M., 2043
Viano, M., 880
Viceira, L.M., 7, 2083
Vicente, L., 1807
Vickers, D., 102
Vidmar, N., 1996
Viitanen, J., 962
Vijh, A.M., 2088
Villani, G., 2053
Villaplana, P., 936, 937
Vinod, H.D., 2179
2744 Author Index
Vishny, R.W., 487, 489, 1170, 1174, 1175,
1382, 1386, 1387, 1394, 1805–1807,
1989, 2221, 2245, 2249
Viskanta, T.E., 1830, 1831
Vissing-Jorgensen, A., 1497, 1504, 2594
Visvikis, I.D., 1898
Viswanathan, S., 388, 677, 2604
Vlaar, P.J.G., 1401, 1402
Vladimirou, H., 709
Volkman, D.A., 104
Vollmann, T.E., 800, 807
Von Eije, H., 1063, 1078
von Maltzan, J., 455
von Neumann, J., 2282, 2283, 2286
Vorkink, K., 234, 2179
Voronkova, S., 1807
Vorst, T., 929, 1773
Voth, H.-J., 1985, 1988
Vuong, Q., 1519
Vuorenmaa, T., 552
WWachtel, P., 1200, 1239
Wadhwani, S., 2182
Wagener, M., 123, 141
Wagner, J., 2131
Wahal, S., 110, 155, 2594
Wahba, G., 2097, 2098
Wahl, J.E., 1452
Wahlen, J., 1687, 1688
Walden, A., 551, 552, 555, 557, 558
Waldman, M., 1200
Waldman, R., 2085
Waldmann, R.T., 1202, 1985
Waldron, R., 828
Walkenbach, J., 1059
Walker, D.A., 104
Walker, M.B., 280, 282, 640, 1345
Walkling, R.A., 2594
Wallace, H.A., 2120
Wallach, D.A., 1347
Wallingford, B.A. II., 151, 2156
Wallis, K.D., 1511, 1520
Walter, A., 1807
Walter, I., 1769
Walther, D., 72
Wan, A., 2045, 2046
Wan, H., 405
Wand, M.P., 1485
Wang, Alber (Yan), 110
Wang, A.T., 1623
Wang, C.-J., 2577–2597
Wang, D., 1805, 1807, 2031, 2045
Wang, G., 1327
Wang, H., 2116
Wang, H.W., 2403, 2415, 2416, 2430
Wang, J., 2046, 2221, 2321, 2448, 2537
Wang, J.J., 2448
Wang, J.Y., 210
Wang, K., 2605
Wang, K.L., 2184, 2212
Wang, K.Y., 1453, 1455–1458, 1461
Wang, L., 2044
Wang, L.-R., 490
Wang, R.S., 1059
Wang, S., 624, 711
Wang, C.S.-H., 873–900
Wang, S.S., 2283
Wang, S.Y., 708, 1863
Wang, T.H., 210
Wang, W., 1467–1488
Wang, X., 1468, 1727, 1730
Wang, Y., 522, 532, 915, 1068, 1385, 1947
Wang, Y.J., 1877–1889
Wang, Y.T., 1376
Wansbeek, T.J., 1565
Wantz, A., 2139
Ward, J., 541
Warfield, T., 1184, 1188, 2408, 2623, 2627,
2628, 2630, 2633
Warga, A., 618, 1946
Warga, A.D., 188, 190
Warner, J., 407, 1382, 2189
Warner, J.B., 384, 386, 390–392, 394, 398
Warren, J.M., 17, 53, 2402, 2404
Washbrun, C.L., 959, 963, 970, 972
Wasley, C.E., 1184, 1186
Wasserfallen, W., 674, 693
Watson, D.J.H., 810, 812
Watson, M.W., 1648, 2079, 2096
Watts, R.L., 73, 1185, 1687, 2408, 2623, 2626
Waymire, G., 73
Weale, M., 1200
Weber, B.W., 121–146
Weber, F., 1807
Weber, M., 1493
Webster, E., 2130
Wei, B., 388
Wei, G.C.G., 2277
Wei, H.C., 5
Wei, J., 2594
Wei, K.C.J., 4, 8, 47, 1003–1022, 2220
Wei, L.J., 1946, 1952
Wei, S., 1462, 1807
Wei, W.W., 298
Author Index 2745
Wei, Z., 2594
Weill, P., 619
Weiner, R.J., 1806
Weingartner, H.M., 823
Weinhardt, C., 123, 141
Weinstein, M.I., 1834
Weintrop, J., 2219, 2225, 2257, 2633
Weisbach, M.S., 1063, 1065, 1174, 1175, 2138,
2140, 2153, 2156, 2162, 2578
Weisbenner, S., 2594
Weisberg, S., 2113
Weiss, K., 677
Weissfeld, L., 1952
Welch, G., 535
Welch, I., 878, 1805
Welch, P., 543
Wellner, J., 576
Wells, E., 1059
Welsch, R., 1332, 1768
Wermers, R., 1805
Weron, R., 1357
Werwatz, A., 1472
Wessels, R., 1004, 1671
West, K., 1245, 1393, 1394, 1985
Westerfield, R., 1008, 1009, 1294, 1302
Weston, J.F., 598–600, 754
Whaley, R.E., 923, 1256, 1264, 2088, 2480,
2481, 2604, 2655, 2662, 2667, 2670
Wheatly, S., 671
Whitcher, B., 541, 548, 551, 552, 554, 559, 560
Whitcomb, D., 125
White, A., 300, 640, 853, 1094, 1279, 1402,
1403, 1406, 1418–1420, 1422, 1428,
1517, 1926, 2363, 2497, 2654, 2657
White, B., 1898
White, E., 1985, 2002
White, H., 4, 182, 288, 896–899, 1189, 1191,
1512, 1519, 1522, 1523, 1547
White, J.A., 709
Whited, T., 41, 1565–1567, 1570, 1571,
1573–1575, 1584, 1585, 1602,
1605, 1606
Whitelaw, R.F., 415, 618, 1106, 1115, 1125
Whitmore, G.A., 2282
Wichern, D., 201, 601, 1289, 2036
Wiedman, C., 1688, 1689, 1694
Wiggins, J., 2031, 2033, 2654, 2661
Wiggins, R.A., 856, 1172, 1174
Wild, C.J., 2526
Wild, J.J., 1184, 1188
Wild, K., 1184, 1188, 2623, 2627, 2628,
2630, 2633
Wild, P., 1700
Wilhelm, W.J., 2594, 2596
Wilkie, S., 155
Williams, A., 143, 1988, 1989, 1991, 2002
Williams, J., 1064, 2136, 2139
Williams, T.A., 767
Williamson, O.E., 322, 598, 600
Willis, R., 72, 1725
Wilson, R.L., 795, 802
Windmeijer, F., 22, 319, 344–346
Winker, R.L., 2460
Winkler, R.L., 68, 1949
Winters, D.B., 2045
Wintoki, M.B., 2594
Wirl, F., 2053
Wizman, T., 670, 679
Wohar, M.E., 104
Wolf, A., 2481
Wolf, M., 244–246, 1513
Wolfe D.A., 395
Wolfe, P., 809, 822
Wolff, C.C.P., 1200
Wollny, C., 2131
Wolters, J., 1648, 1661
Womack, K., 67, 1725
Wong, E., 1515, 1522
Wong, T.J., 1171–1173, 1175, 1178, 1183,
1188, 1189
Wong, W.K., 1451–1463
Wood, G., 1621, 1631, 1643
Woodgate, A., 991
Wooldridge, J.M., 6, 319, 340, 744, 911, 1117,
1125, 1138, 1139, 2015, 2579, 2582,
2583, 2585, 2589
Woolridge, J., 197, 601
Worley, L., 2129
Wright, J.A., 1462
Wright, J.H., 914, 2591–2593, 2596, 2597
Wright, N.J., 1345
Wu, C., 4, 619, 621, 2045, 2139, 2486, 2592
Wu, C.C., 4
Wu, C.F.G., 660
Wu, C.-R., 794
Wu, D., 2588
Wu, G., 892, 1144, 2604
Wu, H., 1954, 1955, 1972
Wu, J.S., 71, 75, 1739, 2632, 2633
Wu, J.W., 2180
Wu, K., 619
Wu, L., 2339, 2341, 2347, 2391, 2392,
2602, 2605
Wu, L.-S., 108
2746 Author Index
Wu, M.C., 1623, 1627
Wu, P.X., 334
Wu, P.C., 299–314, 639–654
Wu, S., 443, 454
Wu, S.C., 1401, 1402
Wu, W., 1171–1173, 1179, 1183
Wu, Y., 415, 890, 891, 1063, 2085, 2095, 2106,
2112, 2116, 2221
Wulf, W.A., 1348
Wyatt, J., 1175
Wycoff, F., 2128
Wylie, S., 1807
Wysocki, P., 1174, 1690, 1694, 1736
XXanthopoulos-Sisinis, S., 2044
Xia, Y.S., 708
Xiao, Z., 892, 1143–1166, 1565, 1575, 1835
Xie, B., 2633
Xie, F., 2594
Xie, J., 2626
Xie, Y.M., 873–900
Xing, H., 2317–2333
Xing, Y., 415, 709, 2089
Xiong, W., 1757, 1986
Xu, J.J., 240, 1435
Xu, Jinjuan, 257
Xu, L., 1719–1749
Xu, P., 982
Xu, Xiubin, 256, 267
Xu, Y., 1435, 2095
Xu, Y.J., 2183
Xue, J., 64
YYaari, M.E., 2283
Yaari, V., 1689
Yadav, G., 1401
Yajima, Y., 881
Yam, S.C.P., 1462
Yamaguchi, K., 1951, 1952
Yamazaki, H., 708, 710, 714, 718, 722, 2283
Yan, A., 2594
Yan, X., 1805
Yan, Yuxing, 105
Yandell, B., 532
Yang, C.C., 4, 6, 1004
Yang, C.-W., 485–517, 1671, 2701–2707
Yang D., 2031, 2034, 2035, 2046
Yang, R., 72
Yang, S.Y., 1623
Yang, T.C., 2507, 2508
Yang, T.Y., 1807
Yang, Y., 657–667, 729–749, 2218
Yao, Q., 520, 521, 524
Yao, Y., 1949, 2255
Yao, Y.C., 2322
Yates, J., 47, 1948, 1949, 1956, 1957,
1972, 1979
Yau, J., 1327
Yazhen, W., 552
Yee, K.K., 2410
Yeh, J., 1736, 2046
Yeh, J.-H., 1468
Yeh, S.-K., 1909–1942
Yelick, K., 1345
Yen, D.C., 794
Yen, M., 1954, 1955, 1972
Yeo, H.H., 1175, 1176
Yermack, D., 2627
Yeung, B., 324
Yeung, C.H.M., 105
Yie, Meiling, 256
Yilmaz, F., 2037, 2041
Yilmaz, K., 1105–1139, 2084
Yin, L., 2044
Ying, F., 2592
Yoder, J.K., 1901
Yogo, M., 2591–2593, 2596, 2597
Yong, V.R., 2283
Yoon, P.S., 2140
Yoon, Y., 2034
Yor, M., 2267
Young, L., 2605
Young, S., 1172, 1175
Yourougou, P., 188
Yu, F., 301, 304, 306
Yu, H.-C., 1619–1643
Yu, J., 415, 890, 891, 1704, 2526
Yu, J.R., 707–727
Yu, K., 1485
Yu, K.C., 1493, 1500
Yu, M., 711
Yu, P.L., 810, 811, 814, 822, 825, 826, 828
Yu, P.L.H., 1401
Yu, W., 324
Yu, Y., 1725, 2624, 2628
Yu, Y.L., 811, 826
Yuan, L., 532
Yuan, Q., 617–637
Yuan, Y., 415
Yue, V., 1099
Yueh, M.L., 641
Author Index 2747
Yung, S.P., 1462
Yunker, P.J., 807, 812
ZZaabar, R., 2045
Zacharatos, N., 1222
Zacks, S., 2322
Zaffaroni, P., 880
Zaman, M., 1454
Zanette, A., 1774
Zang, A., 1725
Zanola, R., 2130
Zapata, H., 1327
Zapatero, F., 2179
Zarangas, L., 1402
Zargari, B., 2497
Zariphopoulou, T., 209
Zarnowitz, V., 1207, 1208, 1210, 1239, 1243
Zaslavsky, G., 552
Zavoina, R., 744
Zeileis, A., 4, 2164
Zeleny, M., 810, 811, 825, 826
Zellner, A., 1004, 1201, 1231
Zemsky, P., 1805
Zenios, S.A., 709
Zhang, B.Z., 1463
Zhang, C., 2103
Zhang, D., 959
Zhang, F., 55, 74, 1726
Zhang, G., 1958, 1960
Zhang, H.H., 1125, 2104
Zhang, J.E., 2031, 2034, 2529
Zhang, L., 1382, 1395, 1722, 2221, 2521
Zhang, P.G., 209, 210, 216, 1924
Zhang, Q., 2031, 2034, 2035, 2046
Zhang, S., 383–409, 2594
Zhang, S.S., 123, 141
Zhang, X., 415, 2161
Zhang, X.J., 2443
Zhang, X.F., 147
Zhang, Y., 959
Zhang, Z., 552, 2448
Zhao, F., 52, 53, 1511, 2337–2339, 2342, 2344,
2347, 2348, 2377, 2386, 2390
Zhao, Q., 1145, 1154
Zhao, S., 322
Zhao, Y., 1345
Zheng, S., 73
Zhong, R., 74
Zhong, W., 2096
Zhong, Z.K., 210
Zhongjie, X., 532
Zhou, C., 300, 2221
Zhou, F., 2035
Zhou, H., 1125, 1469, 2345
Zhou, J., 2113
Zhou, T., 85
Zhou, X., 2089
Zhu, H., 1469
Zhu, L., 2096, 2109–2112
Zhu, Y., 55, 2520, 2529
Zimmer, D.A., 1832
Zimmer, D.M., 1435
Zimmerman, J.L., 280, 283, 286, 1687
Zimmermann, H.J., 715, 726
Zin, S.E., 1505
Zingales, L., 323, 326, 1602
Zinkhan, F.C., 959, 969
Zitikis, R., 1463
Zitzewitz, E., 72
Ziv, A., 2139
Zivot, E., 1222, 2321
Zmijewski, M.E., 282, 731
Zoido-Lobaton, P., 457
Zorn, T.S., 2140
Zou, C., 2113
Zou, H., 2095, 2101, 2103–2105, 2114, 2115
Zuluaga, L.F., 210
Zumbach, G., 541
Zumwalt, J., 188
Zumwalt, J.K., 5, 1462, 2219
2748 Author Index
Subject Index
AAbnormal earnings, 11, 53, 325, 2405, 2417,
2420–2422, 2425, 2429–2433, 2441
Accounting earnings, 11, 53, 280–283,
823, 2407, 2629
Activity-based costing system, 11, 30, 794
Agency costs, 11, 57, 150–161, 163, 169,
171, 174, 321, 842, 1171, 1172, 1174,
1182–1184, 1188, 1673, 2140, 2623
Aggregation bias, 11, 35, 1197, 1236, 1239,
2130
AHP. See Analytic hierarchy process (AHP)
A mixture of Poisson distribution, 14, 57
Analysis of variance, 14, 26, 558–560
Analyst estimation, 14, 18, 89
Analyst experience, 11, 18, 65–67, 71, 74,
75, 78, 80, 84, 91, 93, 95, 96
Analyst forecast accuracy, 11, 44, 1721, 2257,
2632, 2633, 2639
Analyst forecast bias, 1721
Analytic hierarchy process (AHP), 14, 29,
30, 793–804, 807, 824–829, 832–835,
1861, 1865
Anderson-Darling statistic, 26, 582–588, 591
Anderson-Rubin statistic, 14, 56, 2592
ANOVA (Analyst estimation), 14, 761,
765, 771–774, 778–781, 785–788
ANST-GARCHmodel (Asymmetric Nonlinear
Smooth Transition-GARCH model),
14, 24, 424, 431, 434
Approximately normal distribution, 29, 761,
2035
Arbitrage, 11, 32, 115, 116, 208, 210, 212, 225,
228, 352, 486, 671, 709, 753, 757, 940,
959, 1004, 1029, 1031, 1094, 1101,
1199, 1774, 1859, 1912, 1915–1918,
1923, 1938, 1996, 2004, 2241, 2243,
2391, 2609, 2635
Arbitrage pricing theory (APT), 11, 20, 32, 33,
187–205, 753, 959, 1004–1009,
1012–1022, 1859, 1860
ARCH. See Autoregressive conditionalheteroskedastic (ARCH)
ARX-GARCH, Autoregressive (AR) mean
process with exogenous
(X) variables–GARCH model
(ARX–GARCH)
Asset
allocation, 11, 36, 39, 105, 236, 239,
1277–1290, 1432, 1434, 1448, 1643,
1698, 1863, 1866, 1868–1871, 1873,
2030, 2040, 2045, 2082–2083, 2284,
2446, 2447
allocation fund, 11, 53, 1867, 2447
pricing, 2–6, 9–11, 15, 18, 20, 23,
28, 32–33, 48, 105, 111–113,
189, 192–193, 201, 210, 385, 389,
390, 392, 414, 415, 417, 659–662,
666, 670, 676, 681, 684, 697, 701, 752,
753, 960, 963, 993, 1003–1022, 1382,
1384, 1396, 1513, 1514, 1517, 1698,
1804, 1985, 1992, 2113, 2304, 2318,
2536, 2538, 2540, 2553
pricing tests, 6, 7, 15, 978, 2219
return predictability, 2082–2083
returns, 11, 39, 45, 50, 113, 210,
234, 239, 246, 324, 354, 414,
600, 697, 708, 711, 980, 982, 988, 993,
994, 1110, 1113, 1326, 1357, 1402,
1431–1448, 1468, 1469, 1471, 1473,
1510, 1513, 1808, 1813, 1824,
1829–1854, 1894, 1896, 2034, 2082,
2083, 2377–2333, 2410, 2478, 2488,
2500, 2501
Asset-pricing regression, 28, 659, 661
Asset-pricing returns, 11, 2606
C.-F. Lee, J. Lee (eds.), Handbook of Financial Econometrics and Statistics,DOI 10.1007/978-1-4614-7750-1,# Springer Science+Business Media New York 2015
2749
Association for Investment Manage and
Research, 64
Asymmetric dependence, 15, 39, 235, 236,
305, 1434
Asymmetric information, 150, 151, 153, 154,
157–159, 161, 163, 174, 321, 1757,
2139, 2605
Asymmetric mean-reversion, 11, 428–432
Asymmetric stochastic volatility, 1698
Asymmetric volatility response, 11, 424
Asymptotic distribution, 15, 36, 380, 585,
888, 999, 1251, 1254, 1255, 1261,
1453, 1476, 2585, 2586
Autocovariance, 15, 542, 543, 546, 1314
Autoregression, 15, 16, 25, 48, 490, 502,
516, 1145, 1146, 1149, 1153, 1156,
1157, 1160, 1484, 1556, 1834, 1835,
1837, 2078
Autoregressive conditional heteroskedastic
(ARCH), 3, 7, 9, 10, 14, 31,
34, 36, 887, 905, 908, 910–912,
914–915, 927, 928, 931, 1135–1137,
1144–1147, 1150, 1153–1156,
1160–1166, 1250–1255, 1257, 1260,
1326, 1327, 1401, 1410, 1626, 1897,
2319–2323
Autoregressive conditional heteroskedasticity
(ARCH) model, 419, 914, 915, 1154,
1160, 1162, 1163, 1626, 2320
Autoregressive conditional jump intensity
(ARJI), 15, 51, 1401, 2266
Autoregressive (AR) mean process with
exogenous (X) variables-GARCH
model (ARX-GARCH), 14, 52, 2319,
2323–2325, 2328, 2331, 2332
Autoregressive model, 15, 53, 429, 1138,
1153, 1260, 2320, 2324, 2448,
2457, 2458
Autoregressive moving average with
exogeneous variables, 285
Autoregressive parameters, 15, 36,
917–919, 1263–1264, 1266, 1267,
1269–1272, 2322
BBalanced scorecard, 793, 794, 801
Bank(s)
capital, 11, 350–355, 357, 361, 378
risks, 11, 350–352, 361, 1755,
1760, 1768
Bank for International Settlements Staff,
447, 456, 1107, 2338
Bank holding companies (BHC), 11, 23,
350–352, 355, 357, 358, 363, 373, 376,
377, 1758, 1765
Bankruptcy prediction, 730, 2462
Bank stock return, 20, 188, 189, 191, 192, 195,
196, 200, 201
Barrier option, 11, 44–45, 1771–1799,
2034, 2053
Basel Committee on Banking Supervision
(BCBS), 442, 447, 577, 590
Basket credit derivatives, 11, 27, 639–654
Bayesian updating, 15, 65, 72, 89
Behavioral finance, 11, 1453, 1463, 1804
Bias, 11, 63, 107, 160, 193, 223, 257, 326,
387, 415, 442, 531, 658, 823, 844, 874,
905, 941, 1000, 1085, 1114, 1255, 1306,
1318, 1360, 1386, 1493, 1520, 1565,
1670, 1689, 1706, 1719, 1807, 1893,
1939, 1956, 2007, 2033, 2088, 2096,
2123, 2245, 2313, 2368, 2405, 2521,
2581, 2604, 2621, 2655
Bias reduction, 2523–2525
Bid-ask spread, 11, 37, 143, 701, 908, 1005,
1312, 1313, 1315, 1316, 1318, 1319,
2002, 2003, 2052, 2088, 2373, 2604,
2689–2691, 2694
Binomial distribution, 2, 9, 15, 29, 215, 408
Binomial option pricing model, 11, 33, 1026,
1027, 1038, 1039, 1044, 1047–1059
Black–Scholes model, 11, 20, 209, 214,
215, 222, 520, 1026, 1027, 1043, 1044,
1496, 2341, 2348, 2492, 2655, 2671
Black–Scholes option pricing model, 11, 33,
54, 1026, 1027, 1040–1043, 1047, 2478,
2479, 2482, 2486, 2488
Block bootstrap, 41, 892, 1000, 1512, 1513,
1527, 1529, 1530, 1537, 1547, 1548
Block granger causality, 15, 25, 206, 517
Board structure, 11, 35, 1169–1191
Bond ratings, 11, 54, 160, 163, 168, 171–173,
731, 2470
Bootstrap, 15–17, 21, 27, 28, 41, 244–246,
392, 395, 409, 658–660, 662, 664–667,
892, 979, 999–1000, 1359–1360, 1367,
1371, 1373, 1512, 1513, 1526–1537,
1543, 1545, 1547–1553, 1555, 1556,
1558, 1606, 1657, 1661
Bootstrapped critical values, 15, 659,
660, 664–666
Bootstrap test, 392, 1537
Bottom-up capital budgeting, 11, 2062, 2064
Boundary function, 15, 896, 897
Bounded complexity, 11, 2327–2328
2750 Subject Index
Bounds, 11, 13, 20, 46, 207–230, 445, 446,
466, 569, 712, 714, 962, 1362, 1659,
1757, 1909–1942
Box-Cox, 3, 4, 9, 10, 15, 49, 2126–2128, 2131
Brier score, 11, 47, 1948, 1956, 1957,
1971–1973, 1975, 1979
Brokerage reputation, 11, 44, 72, 77, 80, 84,
88, 91, 93, 98, 1719–1749
Bubble test, 15, 31, 875, 888–893
Business cycle, 11, 234, 246, 540, 542, 549, 681,
1115, 1202, 1830, 1947, 1949, 1951,
1958, 1959, 1961, 1971, 1976, 2418
Business models, 48, 1731, 1734, 1758,
2051–2075
Business performance evaluation, 11, 29,
30, 793, 795
Business value of firm, 11
Buy-and-hold return, 11, 23, 38, 385, 386, 392,
395, 407, 1385, 1392, 2249
CCalendar-time, 11, 23, 38, 385, 388–393,
396, 402–404, 1382, 1383, 1392–1396
Calendar-time portfolio approach, 11, 23,
385, 389–393, 402–404
Call option, 11, 54, 151, 153, 209, 210,
212–214, 216, 220, 222, 850, 931, 940,
1027–1038, 1040, 1043, 1045, 1355,
1356, 1358, 1776, 1777, 2066,
2306–2307, 2314, 2345, 2392, 2393,
2479–2485, 2487–2490, 2656, 2660,
2663, 2664, 2667–2669, 2677–2679,
2683, 2687, 2689, 2691, 2693
Capital asset pricing model (CAPM), 11, 20,
28, 29, 32, 55, 108, 112, 187–205,
392, 415, 672–674, 676, 677,
685, 689–691, 693, 694, 697, 698,
701, 702, 751–788, 844, 848, 859–864,
959, 961–962, 965–968, 972–974,
988–990, 1004–1011, 1013,
1018–1021, 1294, 1300, 1308, 1309,
1395, 1453, 1804, 1805, 1807–1809,
1812, 1815–1818, 1822, 1824, 1904,
2179, 2182, 2230, 2231, 2421,
2535–2559
Capital budgeting, 11, 14, 48, 793,
794, 801, 822–835, 2053–2055,
2058–2064, 2069
Capital markets, 11, 18, 58, 64, 111, 116,
190, 257, 323, 352, 354, 361, 418, 422,
456, 600, 670, 671, 674, 675, 690, 693,
700, 701, 1186, 1345, 1375, 1568, 1757,
1962, 1997, 2000, 2622, 2625, 2648,
2701–2707
Capital structure, 7, 12, 42, 150, 153, 353,
354, 361, 1004, 1312, 1669–1683, 1757,
2055, 2538, 2541, 2594, 2595
CAPM. See Capital asset pricing model
(CAPM)
CAR. See Cumulative abnormal return (CAR)
Carry trade, 11, 46, 1877–1889
Case-Shiller home price indices, 11, 26,
544, 547, 563
CEO compensation, 1505, 2627, 2646
CEO stock options, 11, 57, 2621–2648
Change of measure, 11, 30, 213, 843–845,
847, 848, 867, 2361
Change-point models, 15, 52, 2317–2333
Cheapest-to-deliver bond, 46, 1916, 1917,
1928, 1931, 1939, 1940
Chicago board of Trade (CBOT), 11, 1930,
1933, 2485
Cholesky decomposition, 11, 27, 642, 643,
653–654, 2573
CIR model. See Cox-Ingersoll-Ross (CIR)model
Clayton copula, 15, 237, 239–241, 243, 246,
301, 303, 306, 308, 310, 314, 1152
Closed-end funds, 11, 289, 294, 661,
670, 672, 677, 684, 700, 1319
Clustering effect, 3, 6, 9, 10, 909, 1326,
2161, 2162, 2267
Cluster standard errors, 15
Co-integration, 15, 30, 31, 875, 887, 888,
890, 892–896, 959, 1204, 1210,
1214, 1215, 1222, 1241, 1259,
1649, 1655, 1656, 1666, 1893, 1896,
2082, 2084
Cointegration breakdown test, 875, 893–896
Combination of forecasts, 15, 2402,
2449–2450
Combinatorial optimization, 15
Combined forecasting, 3, 7, 15, 53, 2404, 2441
Combining forecast, 731, 741–744, 2410
Comparative financial systems, 11
Complex logarithm, 15, 2304, 2308,
2310–2315
Composite trapezoid rule, 1406, 1423
Comprehensive earnings, 11, 53, 2416, 2421,
2422, 2425, 2429–2435, 2437, 2440
Compromised solution, 11, 54, 2471
Compustat, 12, 76, 77, 93, 156, 193, 395, 405,
842, 852, 857, 858, 866, 1063,
1065–1070, 1072–1077, 1079–1081,
1084, 1086, 1087, 1569, 1604–1606,
Subject Index 2751
1609, 1610, 1612, 1615, 1674, 1690,
1727–1731, 1746, 1747, 1758, 1759,
1767, 1768, 2157, 2223, 2257,
2412–2414, 2421, 2422, 2424, 2429,
2433, 2434, 2436, 2439, 2546, 2629
Compustat database, 12, 842, 1068–1069,
1072, 1073, 1086, 1087, 2629
Conditional distribution, 15, 35, 36, 41,
652, 910, 911, 913, 930, 1135, 1145,
1147, 1149, 1150, 1152, 1153, 1166,
1251, 1255, 1264, 1403–1405, 1427,
1432, 1437, 1509–1558, 1699, 1883,
2031, 2037, 2038, 2110, 2348, 2390
Conditional market model, 1383, 1394–1395
Conditional skewness, 15, 2180, 2278
Conditional value at risk, 51, 576, 584, 591,
709, 1146, 1906, 2290–2291
Conditional variance, 15, 24, 50, 422–424,
426, 427, 430, 433, 435, 631, 633, 636,
675, 692, 910, 912, 915, 918, 919, 929,
978, 1106, 1115, 1118, 1124, 1131,
1136, 1137, 1150, 1251–1253,
1255–1258, 1260, 1261, 1264–1267,
1270, 1272–1274, 1413, 1438, 1445,
1892, 1894, 1895, 1898, 1900, 2042,
2178, 2182, 2203, 2210, 2264–2267,
2272, 2329, 2333, 2390, 2395
Conditional variance estimates, 15, 1264–1267
Conditioning information, 32, 977–1000,
1199, 1520
Constant/dynamic hedging, 12, 36, 1258, 1259,
1893, 2658, 2677–2678
Contagious effect, 12, 22, 301, 305–310
Contemporaneous jumps, 15, 2319,
2322–2324, 2333
Contingency tables, 15, 761, 769, 772,
774, 776, 779, 781, 783, 786, 788
Contingent claim model, 2053
Continuous wavelet transform, 15, 553–554
Cook’s distance, 15, 44, 1748–1749
Copula, 2, 233, 299, 639, 1146, 1431, 1831,
2039, 2495
Corner portfolio, 36
Corporate earnings, 12, 21, 253–276
Corporate finance, 2, 3, 9, 11, 12, 18, 19, 56,
150, 152, 1312, 1514, 1670, 1996, 2053,
2054, 2069, 2070, 2139, 2578, 2579,
2593–2596
Corporate merger, 12, 599
Corporate ownership structure, 12, 35,
1173, 1181
Corporate policies, 12, 1568
Corporation regulation, 255
Correction method, 15, 2521, 2523–2526
Correlated defaults, 12, 27, 300, 301,
304, 310
Correlation, 4, 66, 129, 174, 190, 213, 234,
265, 300, 320, 354, 388, 424, 452,
487, 551, 640, 658, 671, 823, 880, 914,
941, 959, 988, 1012, 1064, 1116, 1149,
1189, 1198, 1251, 1319, 1356, 1388,
1401, 1433, 1469, 1517, 1565, 1619,
1681, 1689, 1701, 1733, 1760, 1815,
1829, 1860, 1879, 1898, 1950, 1988,
2032, 2083, 2095, 2143, 2201, 2224,
2269, 2305, 2323, 2339, 2421, 2496,
2529, 2567, 2579, 2605, 2635, 2658
Correlation analysis, 15, 470, 472, 568,
1321, 1621
Cost of capital, 5, 7, 12, 486, 608, 830,
1295, 2056, 2058, 2060,
2065–2067, 2069, 2073,
2146–2150, 2152, 2157, 2407, 2541,
2544, 2556
Cost of equity capital, 1186, 2417,
2420, 2421
Country funds, 12, 28, 669–703
CoVar, 15, 40, 1469–1475, 1477–1480,
1482, 1484
Covariance decomposition, 15, 47, 1949,
1956–1957, 1972
Cox-Ingersoll-Ross (CIR) model, 15, 27,
46, 620, 623–625, 635, 1515, 1517,
1522, 1553, 1554, 1911, 1912, 1914,
1923–1928, 1934, 1940
Credit rating, 12, 26, 29, 153, 156, 159,
440–443, 448, 449, 454, 455,
458, 474–476, 597–614, 729–749,
1947, 1952, 1955, 1960, 1961, 1974,
1976, 2496, 2498, 2500, 2501,
2506–2509
Credit risk, 3–5, 8–10, 12, 18, 22, 24, 44–45,
54–55, 299–314, 351, 352, 361–363,
367, 377, 439–480, 577, 730,
733, 1772–1775, 1947, 1951, 1961,
2495–2517
Credit risk index, 12, 733
Credit risk rating, 12, 24, 439–480
Credit VaR, 12, 2507, 2514–2517
CrediteSuisse Financial Products, 300
CreditMetrics, 300, 302, 2496–2500, 2503,
2508, 2512
Creditworthiness, 12, 24, 44, 300–302,
443–444, 447–455, 457, 458, 462, 463,
468, 472–475, 1755, 1763, 1765,
1950, 2496
2752 Subject Index
Cross-sectional and time-series dependence,
15, 22, 35, 320, 341, 671, 1189, 1191,
2347, 2367, 2372, 2376, 2647
Cumulative abnormal return (CAR), 38, 157,
158, 164–168, 171–173, 182, 392, 1382,
1384–1386, 1389, 1391, 1396
Cumulative probability distribution, 12, 36,
1281–1283, 2285
Currency market, 42, 46, 1107–1109,
1125, 1130–1134, 1619–1643,
1888
CUSUM squared test, 15, 31, 885
Cyberinfrastructure, 12, 1344, 1353
DDaily realized volatility, 12, 34, 1114
Daily stock price, 51, 1409
Data-mining, 15, 24, 25, 440, 443, 444,
520, 1349, 1350
Debt maturity, 12, 44
Decision trees, 33, 1025–1059
Default correlation, 15, 27, 55, 300, 641–643,
646–651, 2496, 2497, 2500–2502,
2504, 2516
Delivery options, 12, 46, 1910, 1912, 1913,
1924, 1928, 1938, 1940
Delta, 12, 36, 57, 361, 1278, 2184, 2196, 2200,
2205, 2210–2212, 2339, 2348, 2350,
2479, 2654, 2656, 2657, 2662–2666,
2678–2680, 2689, 2691
Demand, 12, 123, 191, 257, 323, 352,
487, 646, 753, 812, 935, 958, 1012,
1029, 1062, 1106, 1346, 1435, 1452,
1469, 1565, 1687, 1754, 1858, 2015,
2055, 2083, 2120, 2179, 2343, 2458,
2498, 2536, 2702
Demonstration effect, 12, 25, 487, 491,
506, 511, 512, 517
Deterioration of bank asset quality, 12, 44
Determinants of capital structure, 1671–1676
Dickey-Fuller test, 15, 21, 292, 294, 544
Dimension reduction, 49, 2095, 2096,
2112–2113
Discrete wavelet transform, 15, 554–557,
559, 560
Discretionary accruals, 12, 43, 1172, 1175,
1177–1181, 1184–1186, 1689, 1692,
1693, 2627
Discriminant analysis, 15, 17, 54, 731,
2461–2475
Discriminant power, 12, 54, 2471, 2475
Disposition effect, 12, 27, 619, 626–629
Distribution of underlying asset, 15, 20,
209, 210
Dividend, 4, 158, 193, 222, 283, 325,
676, 757, 844, 890, 911, 971,
978, 1061–1089, 1115, 1293, 1382,
1441, 1771–1799, 1812, 1834, 1867,
1986, 2057, 2082, 2094, 2128, 2136,
2178, 2221, 2404, 2448, 2492, 2536,
2623, 2666
Domestic investment companies, 12, 25,
488, 495
Double clustering, 15, 658, 659, 662, 664, 665
Double exponential smoothing, 12, 53, 2448,
2451, 2453
Downside risk model, 28, 711
Duality, 51, 1186, 2283, 2295–2298
Dynamic conditional correlation (DCC),
15, 39, 1439, 1622, 1623, 1625–1643,
1833, 1842, 1898, 2044
Dynamic factor model, 22, 301–306
Dynamic random effects models, 15, 33,
1069, 1075
Dynamics, 12, 108, 128, 205, 299, 318,
414, 485–517, 521, 539, 618, 722,
792, 889, 935, 958, 986, 1062, 1093,
1106, 1145, 1223, 1249–1275, 1343,
1431, 1472, 1510, 1578, 1619–1643,
1655, 1810, 1833, 1859, 1892, 1913,
1945–1980, 1985, 2030, 2077, 2131,
2137, 2264, 2305, 2317, 2338, 2402,
2521, 2535–2559, 2575, 2655
EEarning management, 12, 43, 1685–1694
Earnings change, 12, 21, 280–282, 284,
1688, 1731, 1738
Earnings level, 21, 280, 282, 284,
285, 296, 2632
Earnings quality, 12, 35, 1169–1191, 1722,
1724, 1734, 1739
Ebooks Corporation, 537
Econometric methodology, 15, 33,
319, 340, 1065
Econometric modeling, 15, 414
Economies of scale, 12, 109, 354, 599, 600
EC2SLS. See Error component two-stage least
squares (EC2SLS)
Ederington hedging effectiveness (EHE),
12, 43, 1892–1900, 1902, 1905, 1906
Effort allocation, 12, 2622, 2625, 2648
Effort aversion, 12, 1492, 1493, 1497, 1498,
1503, 1504
Subject Index 2753
EGB2 distribution, 12, 50, 2180–2184, 2189,
2193–2203, 2205, 2207–2212
EHE. See Ederington hedging effectiveness
(EHE)
Electricity, 12, 31, 521, 935–956
Empirical Bayes, 12, 52, 2318, 2319,
2331, 2333
Empirical corporate finance, 2593–2596
Employee stock option, 12, 30, 842, 847–852,
855, 866, 867
Endogeneity, 12, 23, 33, 44, 56, 71,
319, 320, 323, 324, 340, 344,
351, 377, 388, 416, 1065, 1068, 1072,
1089, 1578, 1734, 1756, 1763, 1768,
2577–2597, 2644
Endogeneity of variables, 12
Endogenous supply, 12, 2536–2538, 2541
Equity valuation models, 12, 53, 2401–2442
Equity value, 12, 45, 48, 152, 154–159,
174, 405, 407, 1496, 1498–1502,
1504–1506, 2051–2075
Error component two-stage least squares
(EC2SLS), 15, 22, 319, 321, 328–333,
336, 339, 340, 342–344
Error in variable problem, 15, 162, 1670
Errors in variables, 4, 7, 41, 204, 1564, 1570,
1571, 1578, 1613, 2605
Estimated cross-sectional standard deviations
of betas, 15, 45
European option, 12, 20, 209, 210, 228, 857,
858, 863, 905, 917, 918, 920, 921, 926,
927, 2660–2662, 2666–2668
European put, 12, 19, 150–153, 156, 157,
159–164, 168, 169, 171–174,
212, 1356, 2661
Evaluation, 7, 67, 102, 222, 234, 281,
324, 441, 730, 792, 958, 1279,
1400, 1453, 1480, 1519, 1620, 1721,
1772, 1842, 1858, 1895, 1949, 1996,
2053, 2144, 2181, 2218, 2266,
2308, 2539
Evaluation of funds, 12
Event study methodology, 23–24, 157, 181
Event-time, 38, 1382–1393, 1396
Exactly identified, 12, 55, 688, 690, 691, 696,
1543, 1544, 2543, 2544, 2556, 2557
Ex ante probability, 15, 51, 2272
Exceedance correlation, 12
Excess kurtosis, 15, 36, 360, 420,
659, 1144, 1159, 1160, 1251, 1255,
1274, 1405, 1409, 1884, 2180,
2182–2184, 2188, 2189, 2192, 2193,
2196, 2203, 2210, 2211
Exchange rate, 12, 188, 235, 457,
488, 878, 904, 1105, 1196, 1273,
1278, 1434, 1620, 1648, 1704, 1830,
1878, 2042, 2053, 2077, 2184, 2284,
2317, 2410
ExecuComp, 857, 858, 1068, 1087, 2622,
2624, 2629, 2630
Executive compensation schemes, 12
Exercise boundary, 210, 852, 853, 866
Exogeneity test, 15, 497, 500, 506, 514–516
Expectation maximization (EM) algorithm,
15, 56, 2265, 2277, 2319, 2605,
2609–2612
Expected market risk premium, 12, 417,
420, 428, 429
Expected return distribution, 15, 36, 1290
Expected stock return, 12, 213, 214, 281,
389, 406, 1133
Expected utility, 12, 18, 102, 116, 125,
126, 1462, 1495–1498, 1500, 1504,
1505, 1893, 1903–1905, 2282,
2283, 2286, 2288, 2296, 2298, 2539,
2540
Experimental control, 12, 19
Experimental economics, 12, 131, 141, 143
Explanatory power, 15, 283, 490, 689,
691, 965, 1223, 1309, 1473, 2042,
2043, 2088, 2219, 2339, 2349, 2378,
2403, 2408, 2421, 2425, 2426, 2462,
2469–2471, 2475, 2579, 2596, 2690
Exponential trend model, 2455
Extended kalman filtering, 15
Extreme events, 12, 306, 521, 522, 1469, 1470,
1830, 1831, 1840, 2263–2278
FFactor analysis, 2, 3, 8, 15, 18, 20, 26, 42,
46, 54, 190, 203, 601, 611–612,
1004, 1007, 1014, 1015, 1019, 1095,
1671, 1861, 1863, 2461–2475, 2497,
2507, 2508
Factor copula, 15, 27, 54–55, 639–654, 2497,
2504–2506, 2512
Factor model, 15, 17, 22, 34, 38, 299–314,
677, 1383, 1392–1396
Fallen angel, 12, 47, 1945–1980
Fama-French three-factor model, 390, 392,
393, 403, 406, 961–962, 965–968,
972–974, 1391, 2414
Feltham and Ohlson model, 15
Filtering methods, 15, 26, 525, 540,
541, 546–549
2754 Subject Index
Finance panel data, 12, 17, 30, 658, 843, 844,
846–847, 866
Financial analysts, 254, 255, 257, 261,
263, 281, 283, 1565, 1687, 1689, 1738,
1744, 1745, 2239, 2625, 2639
Financial crisis, 12, 44, 155, 236, 350, 352,
357, 359, 375, 493, 564, 756,
874, 1281, 1400, 1401, 1433, 1441,
1446, 1471, 1480, 1483, 1620, 1625,
1671, 1681, 1753–1769, 1851, 1886,
1888, 2044, 2268
Financial institutions, 3, 9, 12, 18, 24, 72,
153, 158, 159, 168, 173, 301,
321, 350, 441–443, 446–456, 474, 475,
489, 521, 599, 601, 644, 1177, 1279,
1326, 1356, 1406, 1407, 1469, 1484,
1961, 1977, 2122, 2157, 2179, 2414,
2496, 2594, 2595, 2629, 2663
Financial leverage, 12, 48, 351, 359, 2054,
2064, 2068, 2069, 2087, 2646
Financial markets, 12, 48, 128, 131, 191, 321,
324, 440, 455, 486, 489, 567,
744, 889, 893, 941, 945, 1107, 1108,
1278, 1279, 1281, 1322, 1326, 1343,
1346, 1351, 1468, 1476, 1626, 1698,
1708, 1772, 1805, 1830, 1831,
1835–1837, 1851, 1854, 1858, 1869,
2030, 2043, 2044, 2113, 2178, 2184,
2379, 2520, 2562, 2661
Financial modeling, 12, 2052
Financial planning and forecasting, 12
Financial ratios, 12, 26, 449, 601, 605, 607,
734, 1303, 2462, 2463, 2468, 2470
Financial returns, 12, 43, 246, 1703
Financial service, 12, 38, 64, 159, 160, 172,
357, 359, 443, 1342–1346, 1349, 1352,
1367, 1370, 1375, 1377, 2159, 2225
Financial simulation, 12, 1354–1367
Financial statement analysis, 12
Financial strength, 443
Firm and time effects, 12, 659, 661–665, 847
Firm performance, 5, 78, 1186, 2219–2222,
2231, 2245, 2256, 2409, 2623
Firm size, 12, 21, 73, 74, 76, 77, 85–89,
94, 98, 155, 159, 256, 258, 263–264,
274, 282, 283, 326, 395, 405,
406, 851, 866, 1186, 1188, 1673,
1727, 1728, 1730, 1736, 2058, 2224,
2622, 2637, 2639, 2641, 2643,
2644, 2646
Firm’s performance score, 602
Fixed effect, 3, 6, 9, 10, 41, 50, 73, 74, 80, 84,
88, 91, 93, 95, 320, 340, 1067, 1089,
1139, 1566, 1567, 1569, 1583, 1585,
1587–1589, 1593, 1594, 1596, 1598,
1601, 1602, 1604–1606, 1610, 1611,
1613, 1615, 1734, 1736, 1737, 1739,
1740, 1742, 1762, 1766, 1768,
2161–2163, 2165, 2596, 2634
Fixed operating cost, 12, 48, 2052–2055, 2057,
2060, 2061, 2064, 2067, 2069–2071
Flexibility hypothesis, 12, 49–50, 2135–2173
Forecast accuracy, 11, 15, 21, 57, 71, 253–276,
1201, 1721–1725, 1732–1739,
1741–1743, 1956, 1957, 1971–1976,
2403, 2415, 2416, 2435, 2622,
2624–2628, 2630–2636, 2639, 2640,
2644, 2645, 2647, 2648
Forecast bias, 11, 15, 18, 57, 63–98, 1721,
1723, 1725–1726, 1732, 1733,
1738–1739, 1741, 1744, 2622, 2624,
2628–2632, 2634–2636, 2639, 2642,
2644, 2645, 2647
Forecasting complexity, 1722, 2626
Forecasting models, 15, 65, 730, 741,
744, 955, 2040, 2404, 2448, 2449,
2451, 2452, 2457
Foreign exchange market, 926, 1107, 1108,
1118, 1119, 1121–1123, 1133, 1196,
1198, 1201, 1878, 2084
Foreign investment, 12, 486, 487,
489–491, 511
Fourier inversion, 12
Fourier transform, 15, 55, 525, 540–544,
546, 551, 552, 2306, 2363, 2519–2532
Fourier transform method, 15, 55, 2521–2526
Frank copula, 15, 301, 308, 309, 314
Free cash flow hypothesis, 12, 50, 2136,
2139, 2157
Frequentist segmentation, 12, 2319
Fundamental analysis, 12, 1463
Fundamental asset values, 12
Fundamental transform, 12, 52, 2305,
2306, 2315
Fund management, 12
Futures hedging, 12, 43, 1892, 1896, 1898, 2562
GGamma, 12, 51, 303, 907, 1278, 1404, 1463,
1522, 1712, 2071, 2182, 2184,
2267, 2268, 2274, 2277, 2326, 2327,
2350, 2698
GARCH hedging strategy, 15, 1897–1900
GARCH-in-mean, 15, 34, 1114, 1116–1119,
1121, 1123–1125, 1135–1137
Subject Index 2755
GARCH-jump model, 15, 51, 2264, 2265
GARCH models, 14, 15, 35, 37–39, 42, 48,
51, 234, 296, 417–419, 526, 905,
910, 1137, 1144–1147, 1153, 1155,
1156, 1165, 1166, 1251, 1326, 1327,
1330, 1403–1406, 1410, 1418–1420,
1433, 1439, 1448, 1623, 1626, 1627,
1830, 1880, 1897, 1898, 1900, 1901,
2031, 2040, 2042, 2046, 2182, 2193,
2264, 2265, 2318, 2321, 2324, 2329,
2332, 2333
GARJI model, 15, 51, 2265–2267, 2270–2272,
2274–2276
Gaussian copula, 15, 235, 237, 241,
246, 247, 640–642, 651–652, 1835,
2503, 2504, 2508
Generalized
correlations, 15, 2095, 2107–2108
hyperbolic distribution, 55, 2563–2566, 2574
Generalized autoregressive conditional
heteroskedasticity (GARCH), 3, 234,
280, 417, 526, 675, 880, 905, 937, 1106,
1144, 1250, 1326, 1400, 1431, 1517,
1620, 1704, 1830, 1880, 1892, 2030,
2178, 2263, 2317, 2341, 2602
Generalized least square (GLS), 15, 197–200,
204, 1008–1011, 1020, 2326
Generalized method of moments, 6, 15, 23, 56,
182–183, 352, 356–357, 379–380,
671, 701–703, 999, 1525, 2579, 2655
Generalized method of moments (GMM),
2, 160, 320, 350, 670, 999, 1196, 1564,
2420, 2578, 2666
Generalized two-stage least squares (G2SLS),
15, 22, 319, 321, 329
General least square, 533–534
General method of moments, 19, 160, 1543
Gibbs sampler, 15, 44, 1699, 1700, 1883
Global investments, 12
GLS. See Generalized least square (GLS)
Goal programming, 15, 810, 812, 821,
824, 827, 832, 833, 2462, 2470,
2471, 2475
Gold, 12, 42, 1442, 1619–1643
Goodness-of-fit, 15, 22, 26, 29, 50, 143,
301, 305, 306, 308, 310, 575–596,
697, 734, 738, 744, 1435, 2181,
2206, 2207
Goodness-of-fit tests, 15, 26, 143, 575–596,
1435, 2181, 2206, 2207
Granger-causality test, 15, 2079–2080, 2089
Green function, 12, 52, 2304, 2306, 2313
Grid and Cloud computing, 38
Gross return on investment (GRI),
12, 2055–2060, 2065, 2068–2071,
2073, 2074
Group decision making, 12, 29–30, 791–836
Growth option, 12, 48, 110, 2053, 2054,
2066–2069, 2221
G2SLS. See Generalized two-stage least
squares (G2SLS)
Gumbel copula, 15, 21, 235–239, 241, 246,
247, 306–310, 314
HHawkes process, 12, 22, 305, 306
Hazard model, 15, 47, 865, 1947–1949,
1952–1955, 1959, 1960, 1964–1978
Heath-Jarrow-Morton (HJM) model, 16, 2338,
2339, 2343, 2344, 2358, 2363, 2390
Heavy-tailed data, 892
Hedge ratios, 12, 13, 55–56, 1258, 1259, 1261,
1621, 1893–1896, 1898–1903, 1905,
1906, 2044, 2348, 2561–2575, 2654,
2656, 2658, 2662–2664, 2670, 2678
Hedging
effectiveness, 12, 43, 1892–1897, 1899,
1900, 1902–1906, 2352, 2563, 2568,
2655–2657, 2664, 2665, 2678, 2679,
2688
performance, 57, 1896, 1900, 1901, 1904,
1905, 2339, 2348, 2349, 2355,
2653–2698
Hedonic models, 16, 49, 2121, 2124–2126,
2128–2131
Herding
towards book-to-market factor, 12, 1807,
1819–1820
towards momentum factor, 12, 1819–1820
towards size factor, 12, 1819–1820
towards the market, 12, 1808, 1809, 1811,
1815–1820, 1823
Heston, 7, 16, 52, 905, 915, 1517, 2218,
2219, 2221
Heterogeneity, 13, 16, 17, 35, 47, 541,
619, 888, 889, 970, 1063, 1071–1072,
1075–1078, 1080, 1195–1245, 1567,
1575, 1576, 1588, 1593, 1947–1952,
1959, 1976, 2121, 2130
Heteroscedasticity, 41, 160, 168, 171–173,
182, 183, 283, 288, 296, 1117, 1122,
1132, 1200, 1220, 1223, 1230, 1232,
1238, 1566, 1567, 1569, 1576, 1581,
1582, 1587, 1588, 1593–1594,
1604–1605, 1611–1613, 1693
2756 Subject Index
Hidden Markov models (HMM), 16, 2319,
2325
Hierarchical clustering with K-means
approach, 16, 843–846, 851, 866,
870–871
Hierarchical system, 16, 1861, 1863
High-dimensional data, 12, 14, 49, 2094, 2095,
2106, 2109, 2112, 2113, 2462
High end comptuing, 1344–1349
Higher moments, 12, 1150, 1260, 1438, 1476,
2181, 2200, 2205
High-frequency data, 12, 37, 521, 522,
532, 908, 1318, 1346, 1511, 1513, 2032,
2033, 2042–2045, 2085, 2341
High-order moments, 12, 1566, 1593, 2180
Historical simulation, 13, 36, 39, 1279–1281,
1285–1287, 1401–1403, 1406, 1428
Housing, 13, 357, 376, 1013, 1755, 1757, 1802,
1985, 2123, 2387
Huber estimation, 16, 1813, 1825
Hyperparameter estimation, 16, 2326–2327
Hypothesis testing, 40, 388, 409, 659, 1209,
2582–2583, 2585–2586
IIbottson’s RATS, 16, 38
ICAPM. See International capital asset pricing(ICAPM)
Illiquidity, 13, 30, 44, 767, 843, 844,
847, 852, 866, 1754, 1755, 1765,
1888, 2605
Imitation, 13, 1804, 1805, 1822
Implied standard deviation (ISD), 13, 54, 2478,
2480–2488, 2670
Implied volatility, 13, 31, 54, 225, 226, 857,
862, 904, 905, 919–922, 924, 926–929,
931, 1125, 1252, 1473, 2045, 2065,
2339, 2341, 2342, 2350, 2355,
2365–2368, 2372, 2376, 2377, 2386,
2390, 2477–2492, 2657, 2667,
2670–2672, 2694
Impression management, 1692
Impulse response, 13, 497, 499, 500, 502, 506,
507, 511, 514, 515, 517, 525, 1649,
1650, 1657, 1658, 1660, 1661, 1666,
2080–2081
Incentive options, 13, 40, 850, 1492–1497
Income from operations, 43
Independence screening, 13, 49, 2095, 2096,
2105–2112, 2114
Index futures, 11, 13, 37, 54, 909, 1255, 1256,
1259, 1261–1263, 1270, 1325–1339,
1989, 2015, 2045, 2479, 2481, 2482,
2485–2488, 2562, 2606–2609, 2617
Index options, 13, 210, 918, 923, 2371, 2379,
2528, 2655, 2669, 2689
Industry
effect, 1186, 1961
size matching method, 1387
Infinitely divisible models, 16, 1327
Inflation targeting, 13, 42, 1648, 1652, 1657,
1659, 1665
Informational efficiency, 13, 2087–2089
Information asymmetry, 13, 18, 63–98,
158, 281, 352, 1375, 2604, 2625
Information content, 13, 48, 50, 78, 281–283,
568, 569, 618, 629, 2031, 2085,
2086, 2089, 2218, 2219, 2222, 2225,
2231, 2235, 2239, 2257, 2430,
2520, 2528
Information content of trades, 13, 2085–2087
Information technology (IT), 661, 800,
860, 1085, 1342–1343, 1746
Instantaneous volatility, 13, 55, 2364,
2519–2532
Institutional investors, 13, 25, 106, 324,
455, 467, 468, 470, 477, 478,
480, 485–517, 693, 958, 969, 1739,
1747, 1946
Instrumental variable (IV) estimation, 2578
Instrumental variables, 7, 41, 56, 320,
325, 326, 350, 355–356, 360, 361,
364, 366, 379, 677, 681, 682, 702, 1072,
1088, 1089, 1565, 1575, 1577–1579,
1589, 1592, 2129, 2577–2597
Insurance, 13, 26, 104, 105, 265–267,
274, 352–354, 448, 455, 577, 584,
588, 590, 591, 599, 1202,
1208–1210, 1215–1217, 1220, 1221,
1224–1227, 1231–1241, 1342,
1343, 1350, 1357, 1469, 1765,
1961, 1977
Intangible assets, 13, 72, 73, 76–80, 84, 88,
91–93, 98, 1070, 1071, 1073, 1075,
1082–1087, 1672–1674, 1681
Interest rate risk, 188–192, 195, 198–201,
204, 220, 352, 361, 362, 369, 375, 377,
622, 1100, 1278, 2361, 2386, 2654,
2657, 2662, 2668
Interest rate volatility, 13, 161, 188, 221,
222, 2338, 2342, 2347, 2378
Internal control material weakness, 13, 44,
1719–1749
Internal rating, 13, 441, 442, 475, 2498
International asset pricing, 670
Subject Index 2757
International capital asset pricing (ICAPM),
13, 699, 1106–1108, 1115–1119, 1125,
1130–1134, 1136, 1139, 2537
Internet bubble, 13, 40, 1433, 1441,
1451–1463, 1962, 2179, 2219, 2386
Intertemporal risk-return relation, 13,
413–435, 1115
Intraday returns, 13, 908, 1623, 2042, 2046
Investment
decision, 254, 272, 489, 830, 1282, 1455,
1462, 1804, 2058–2060, 2074, 2447,
2623, 2626
equations, 1569, 1603, 1606
risk taking, 13, 2629
strategies, 13, 29, 46, 244, 708, 751–788,
1384, 1396, 1857–1876
style, 46, 104, 108, 1814, 1819, 1859, 1861,
1863, 1864, 1866, 1868, 1870–1873
Issuer default, 13, 27, 641–651
Issuer-heterogeneity, 13, 47, 1947–1949,
1952, 1959
IT leaders, 2065
JJohnson’s skewness-adjusted t-statistic, 16, 23,
387, 395, 398, 400, 402, 408, 409
Joint-normality assumption, 16, 2108, 2574
Jones (1991) model, 43, 1178, 1179, 1185,
1689, 1692
Jump detection, 531–536
Jump diffusion model, 937, 1518
Jump process, 16, 41, 143, 561, 848, 863,
866, 2264, 2359–2361
KKalman filter, 16, 27, 32, 34, 45, 535–536,
619, 623, 624, 629–632, 959, 961,
970–971, 1096, 1102, 1806, 1810, 1811,
1822–1824, 1927, 2085, 2348,
2393–2395
Kernel pricing, 13, 211
Kolmogorov-Smirnov statistic, 16, 26, 580, 581
Kupiec’s proportion of failures test, 16, 1330,
1331, 1333, 1335, 1336
LLaboratory experimental asset markets,
13, 1986, 1997
LAD. See Logical analysis of data (LAD)Large-scale simulations, 16, 387, 388, 390
Latent variable, 16, 53, 731, 747, 1005, 1006,
1512, 1533, 1542, 1543, 1556, 1565,
1566, 1583, 1611, 1670, 1671, 1675,
1676, 1678, 1681, 1682, 1811, 2113,
2526, 2605, 2606
Lead-lag relationship, 13, 25, 489, 2088
Least squares, 3, 5–7, 9, 10, 15–17, 22, 32, 34, 44,
49, 57, 197–200, 319–321, 385, 523,
533–534, 877, 892, 894, 998, 1096, 1103,
1571, 1604, 1699, 1825, 2106, 2327,
2403, 2455, 2531, 2578, 2580
Left-truncated data, 26, 578, 581
Legal traditions, 13, 1173, 1183
Likelihood maximization, 971
Limited dependent variable model, 13, 37, 1321
Linear filters, 16, 523–531, 536
Linear trend model, 16, 53, 2455
Liquidity, 13, 37, 110, 129, 130, 141, 143, 145,
190, 191, 255, 351, 352, 361, 362, 369,
375, 377, 405, 406, 449, 600,
618, 619, 626–629, 701, 736, 754, 756,
757, 824, 827, 865, 969, 1108, 1260,
1311–1322, 1327, 1328, 1454, 1470,
1473, 1754, 1757, 1878, 1933, 1986,
2046, 2052, 2088, 2089, 2390, 2464,
2562, 2604
Liquidity risk, 13, 190, 191, 351, 352, 361,
362, 375, 377, 969, 1328, 1473,
1754, 1878
LISREL approach, 16, 1004
LISREL system, 42, 1671, 1672, 1675–1677,
1682–1683
Locally linear quantile regression, 16, 1471
Local volatility, 13, 2524–2525
Logical analysis of data (LAD), 24, 442,
444–448, 450–454, 458, 459, 461–467,
470, 472–475
Logical rating score, 13, 24, 458, 466–475
Logistic smooth transition regression (LSTR)
model, 46, 1879–1882, 1888
Logit model, 731, 732, 734–736, 738, 739
Logit regression, 3–5, 9, 10, 16, 731, 732, 734,
748, 1768
Log likelihood function, 16, 56, 733, 745,
911, 1076, 1077, 1079, 1081, 1083,
1084, 1087, 1136, 1137, 1322, 1404,
1405, 1427, 1428, 2132, 2183,
2184, 2207, 2319, 2326, 2331, 2572,
2574, 2606
Lognormal, 8, 16, 589–591, 945, 1495, 1515,
1517, 1566, 1567, 1583, 1585–1591,
1593, 1594, 1598, 1600, 1601, 1773,
1796, 2055, 2365, 2377, 2380
2758 Subject Index
Long-horizon event study, 16, 23, 383–409
Long memory, 16, 31, 541, 551, 875, 879–884,
886, 887, 896, 903–932, 1401,
2318, 2333
Long memory process, 16, 879–884, 906, 907,
909, 910, 919, 921, 922, 924, 925
Long run, 13, 38, 42, 388, 393, 405, 559, 567,
568, 880, 885, 886, 893, 936, 959, 1067,
1080, 1082, 1222, 1223, 1242,
1381–1396, 1515–1517, 1528,
1648–1650, 1656, 1657, 1661,
1880, 2038, 2084, 2154, 2305,
2319, 2333, 2345, 2365, 2370,
2436, 2525, 2527–2530, 2538,
2658, 2670
Long-run stock return, 38, 1381–1396
Loss distribution, 16, 26, 584, 709
Loss function, 16, 21, 39, 288, 296, 562,
1201, 1202, 1207, 1243, 1402, 1407,
1408, 1415, 1421, 1422, 1428, 1429,
1484, 2593
Lower bound, 13, 20, 46, 208–223, 225, 226,
228, 445, 446, 714, 1912, 1913, 1916,
1919, 1921–1924, 1926, 1927,
1934–1936, 1938–1940
MMAD model, 16, 28, 708, 710–714,
720, 722–725
Management earnings, 13, 255, 258, 261,
264–267, 269, 296, 1687, 1723
Management entrenchment, 151, 152,
154, 161, 162, 169, 171
Management myopia, 13, 151, 155, 157,
158, 161
Managerial effort, 13, 113, 1494, 1498,
1500, 1504
Market anomalies, 36, 1250, 2220
Market-based accounting research, 13, 21–22,
279–296
Market efficiency, 13, 48, 155, 384,
1200, 1312, 1453, 1804, 1822,
1994, 2410
Market microstructure, 13, 48, 144, 1114,
1198, 1201, 1230, 2030
Market model, 5, 13, 15, 143–146, 157, 162,
181, 182, 189, 194, 357, 392,
642, 1008–1011, 1013, 1316, 1321,
1382, 1383, 1394–1395, 2159,
2358–2378, 2380, 2421
Market perfection, 13, 2141
Market performance measure, 13, 2065, 2066
Market quality, 13, 142, 143, 2085–2087
Market segmentation, 13, 28, 669–703, 1623
Market uncertainties, 13, 1830, 1854
Markov chain Monte Carlo (MCMC), 16,
43–44, 1435, 1697–1717, 1879,
1880, 1882–1884, 2319,
2323, 2324
Markov property, 13, 1775, 1781, 1788, 1947,
1955, 1967, 1977, 2523
Martingale property, 2575
Matched sample comparison, 1730
Matching procedure, 16, 1383, 1386,
1727–1728, 1747–1748
Mathematical optimization, 16
MATLAB, 16, 54, 624, 632–637, 1875, 2479,
2485–2492, 2509
Maximum likelihood, 7, 16, 32–34, 36, 39,
44, 46, 53, 56, 420, 423–425,
428, 430, 432, 435, 732, 745,
748, 881, 971, 973, 981, 1072, 1075,
1117–1119, 1121, 1147, 2131, 2271,
2277, 2320, 2326, 2332, 2469, 2521,
2524, 2605
Maximum likelihood estimates, 32, 33,
423–425, 428, 430, 432, 435, 1004,
1076, 1077, 1079, 1081, 1083, 1084,
1250, 1408, 1639, 1824, 2318
Maximum likelihood estimation (MLE),
16, 33, 46, 53, 56, 434, 732, 733,
745, 747, 748, 973, 999, 1007–1011,
1020, 1135–1137, 1330, 1433, 1435,
1440, 1441, 1448, 1675, 1824,
1879, 1927, 2031, 2132, 2184,
2531, 2563, 2572–2574, 2596,
2606, 2612, 2613
Maximum Sharp measure, 16, 2574
MCDM. See Multiple criteria decision making
(MCDM)
MCMC. See Markov chain Monte Carlo
(MCMC)
Mean squared error (MSE), 16, 21, 44, 288,
296, 471, 528, 531, 878, 1201, 1202,
1243, 1582, 1707, 1708, 1748, 2037,
2079, 2081, 2115, 2525, 2593
Mean-variance (MV) model, 16, 708, 710, 712,
714, 716, 718, 722, 1280
Mean variance ratio, 16, 40, 1451–1463
Measurement error, 2–4, 6–7, 9, 10, 17, 32,
33, 41, 42, 320, 522, 1000, 1004, 1009,
1011, 1020, 1102, 1202, 1251, 1254,
1255, 1261, 1563–1615, 1670, 1671,
1674, 1676, 1681, 1879, 2342, 2409
Method of maximum likelihood, 16, 39, 2277
Subject Index 2759
Method of moments, 5, 6, 15, 16, 18, 32,
182, 2326, 2327
Metropolishastings, 44, 1699–1700, 1704,
1712, 1883
Micro-homogeneity, 13, 35, 1197, 1198, 1201,
1230–1245
Microsoft Excel, 33, 1205–1059
Mini-max (MM) hypothesis, 114, 1280
Minimum generalized seminvariance,
56, 2569–2570, 2574
Minimum recording threshold, 16, 577
Minimum value of squared residuals (MSE loss
function), 21, 288
Minimum variance efficiency, 16, 980,
982, 983
Minimum variance hedge ratio, 13, 56, 2562,
2563, 2567, 2570, 2574
Misspecification, 16, 283, 392, 395, 398, 408,
414, 942, 1222, 1383, 1387, 1519–1521,
1544, 1548, 2110, 2164, 2179, 2181,
2342, 2345, 2348, 2355, 2657, 2665,
2678, 2691
Mis-specified returns, 13
MLE. See Maximum likelihood estimation
(MLE)
Model formulation, 16, 1065–1067
Model selection, 16, 41, 49, 296, 536, 1161,
1511, 1512, 1519–1553, 2093–2116,
2271, 2319, 2331, 2342
Monetary policy shock, 1648, 1659,
1663–1665
Monitoring fluctuation test, 16, 31, 899
Monte Carlo, 31, 142, 219, 222, 409, 905,
916, 930, 1125, 1156, 1361, 1371, 1373,
1374, 1581–1601, 1606, 1702,
2277–2278, 2320–2322
Monte Carlo simulation, 16, 22, 27, 38, 40, 41,
219, 579, 590, 640, 645, 646, 654, 1279,
1280, 1345, 1349, 1350, 1355,
1357–1360, 1371, 1375, 1401, 1565,
1566, 1570, 1578, 1611, 1613, 1704,
1795, 2031, 2116, 2314
Moving average method, 16, 53, 2455–2457
Moving average model, 17, 53, 205, 880, 2448,
2457–2459
Moving estimates processes, 16, 50,
2164–2166, 2171–2173
MRA. See Multi-resolution analysis (MRA)
MSE. See Mean squared error (MSE)
Multi-factor diffusion process, 16, 41,
1533
Multi-factor multi-indicator approach, 16, 32,
1003–1022
Multiple criteria and multiple constraint linear
programming, 16, 30, 810, 822
Multiple criteria decision making (MCDM),
16, 46, 1859, 1864–1866, 1868, 1869,
1874–1876
Multiple indicators and multiple causes
(MIMIC) model, 3, 6, 7, 16, 32, 42,
1004–1021, 1671, 2605
Multiple objective programming, 16, 28,
716, 726–727
Multiple regression, 2, 16, 20, 21, 188–192,
274, 1939, 2464, 2474
Multi-resolution analysis (MRA), 16, 554,
556–559, 562, 564
Multivariate technique, 16, 54, 2470
Multivariate threshold autoregression
(MVTAR) model, 502–504, 506–508,
511, 512, 516, 517
Mutual funds, 3, 8, 10, 11, 13, 18–19, 27–28,
53, 101–116, 657–667, 1087, 1456,
1725, 1805, 1857–1876, 2446–2447,
2702, 2707
NNAV of a mutual fund, 13, 2445–2459
Nelson-Siegel curve, 13, 1093–1103
Net asset value (NAV), 13, 53, 670, 679, 1867,
2445–2459
Net present value (NPV), 13, 48, 752, 823,
825, 828, 2054, 2060–2062, 2064, 2069,
2137, 2166
Nonlinear filters, 16, 25, 32, 520, 523,
527–531, 536
Nonlinear Kalman filter, 16, 27, 619, 624,
629–632
Non-linear optimization, 16, 33, 209, 452, 2060
Non-normality, 16, 708, 936, 1258–1260,
1815, 2189
Non-parametric, 20, 207–230, 548, 1418–1420
Nonparametric density estimation, 16, 53,
1125, 2342
Non-parametric tests, 16, 23, 387, 392,
395, 761, 769, 771, 775, 781, 782, 786,
1511, 1749
Nonrecurring items, 13
Normal copula, 16, 301, 303, 308, 313, 1432,
1433, 1438, 1441, 1444, 1446, 1448,
2497, 2504, 2508
Normal distribution, 2, 3, 8, 9, 14, 16, 36, 237,
397, 400, 408, 544, 761, 911, 947, 951,
1000, 1043, 1112–1114, 1279–1282,
1288, 1289, 1322, 1327, 1328, 1357,
2760 Subject Index
1359, 1367, 1387, 1389, 1403–1404,
1406, 1410, 1413, 1414, 1418–1420,
1423, 1438, 1459, 1462, 1485, 1494,
1521, 1583, 1585–1590, 1592, 1600,
1778, 1782, 1789, 1796–1799, 1835,
1883–1885, 2035, 2131, 2178–2182,
2184, 2188–2193, 2196, 2197, 2200,
2201, 2205–2209, 2360, 2361, 2367,
2372, 2376, 2471, 2479–2482, 2486,
2496, 2501, 2504, 2509, 2513, 2514,
2563, 2565, 2566, 2573
NPV. See Net present value (NPV)Numerical Algorithm Group, 1088
OOECD, 1803
Ohlson model, 15, 16, 2402, 2404–2409, 2413,
2415, 2416, 2419, 2420, 2422, 2423,
2425–2427, 2429–2434, 2437,
2439–2441
Oil, 13, 42, 43, 179, 1619–1643, 1685–1694,
1806, 1851, 2045, 2053, 2626
Oil and gas industry, 13, 43, 2626
OLS hedging strategy, 13, 1901
Online estimation, 13, 1824
On-/off-the-run yield spread, 13, 27,
617–637
Operating earnings, 13, 2406, 2413, 2415,
2416, 2418, 2420, 2421, 2423–2426,
2429–2431, 2433, 2434, 2440, 2624,
2627, 2628
Operating leverage, 13, 48, 2054, 2056, 2064,
2068, 2069
Operational risk, 3, 10, 13, 18, 475,
577, 584
Opportunistic disclosure management, 13
Opportunistic earnings management, 13
Optimal hedge ratio, 55, 56, 1893, 1894, 1896,
1898, 1902, 1903, 2562, 2563,
2566–2569, 2574, 2575
Optimal payout ratio, 13, 49–50, 2135–2173
Optimal portfolios, 13, 239, 994–996, 1284,
1285, 1288–1290, 2083, 2094, 2282,
2540
Optimal trade-offs, 30, 807–808, 810, 812,
816–821, 827
Optional bias, 13
Option bounds, 13, 208–210, 1936
Option prices, 13, 20, 31, 57, 207–230,
869, 904, 905, 914–927, 931,
1028–1032, 1037, 1051, 1773, 1917,
1924, 2088, 2304, 2310, 2314, 2387,
2479–2481, 2485, 2523, 2656, 2660,
2662, 2664, 2666–2670, 2672,
2676–2678, 2694
Option pricing model, 8, 11, 13, 20, 33, 54,
931, 1026–1044, 1047–1059, 1357,
1375, 1772, 2478, 2479, 2481,
2482, 2486–2488, 2654, 2655,
2658–2667, 2678, 2688, 2689,
2694, 2695, 2697
Options on S&P 500 index futures, 54, 2479,
2485, 2487, 2488
Oracle property, 13, 2103–2104
Ordered logit, 16, 29, 730–736, 738, 739,
741, 743, 744, 747–749
Ordered probit, 16, 29, 730–734, 736–738,
740, 741, 743–748
Order flow models, 130, 136
Order imbalance, 13, 124, 2605, 2608,
2609
Ordinary least square (OLS), 16, 32, 34, 44,
57, 160, 197–200, 320, 385,
844, 959, 998, 1096, 1103, 1131,
1305, 1693, 1748, 1813, 1824, 1825,
1881, 1895, 2015, 2079, 2099,
2101, 2102, 2114, 2120, 2326, 2480,
2622, 2625
Ordinary least squares regression, 320, 2015,
2120
Orthogonal factors, 20
Outlier, 16, 35, 44, 50, 75, 320, 522, 527,
534, 870, 938, 947, 956, 1149, 1319,
1385, 1387, 1389, 1518, 1706, 1708,
1737, 1740, 1742, 1748, 1806, 1813,
1824–1826, 2046, 2177–2212, 2418,
2486
Out-of-sample forecasts, 16, 1099, 2042, 2084,
2271, 2272
Out-of-sample return, 13
Out-of-the-money, 13, 20, 210, 214, 216, 223,
225, 226, 228, 924, 926, 927, 1492,
1493, 1496, 2343, 2663, 2668, 2672,
2673, 2680, 2684
Output, 13, 42, 378, 465, 524–531,
549, 550, 560, 690, 808, 809,
823, 846, 919, 973, 974, 1593, 1648,
1649, 1652, 1662, 1663, 1665, 1683,
1687, 1830, 1834, 1958, 1961, 1971,
2130, 2490, 2625
Overconfidence, 13, 40, 89, 843, 851, 860,
1493–1506
Overidentifying restrictions, 13, 697, 699,
2581, 2582, 2586, 2587, 2592,
2595, 2597
Subject Index 2761
PPanel data
estimates, 16
estimation, 34, 320–321, 1138
regressions, 16
Panel regressions, 18, 71, 73, 282,
328, 1132–1134
Parametric approach, 16, 39, 523, 534,
543, 960, 1401–1403, 1413, 1417,
1421–1423, 1427, 1429
Parametric bootstrap, 979, 999–1000
Partial adjustment, 16, 1063, 2548, 2557
Partial linear model, 16, 40, 1472–1475
Payout policy, 13, 49, 2137, 2138, 2140,
2156–2158, 2162
Penalized least squares, 49, 2099–2101,
2111, 2114
Pension funds, 11, 13, 45, 104, 958, 1801–1826
Percent effective spread, 13, 1318–1321
Performance appraisal, 13, 101–116
Performance evaluation, 11, 29, 30, 102–116,
741, 743, 744, 793–802, 804, 807,
821, 822, 834, 1860, 1866
Performance measures, 8, 13, 105, 107,
109, 129, 141, 359, 376, 762, 793–796,
799–807, 966–967, 969, 970, 1289,
1290, 1859, 1860, 1905, 1988, 2065,
2066, 2220, 2248, 2253, 2254, 2626,
2691, 2694
Performance values, 13, 46, 1861, 1863, 1865,
1866, 1868
Persistence, 13, 14, 24, 104, 105, 257,
282, 320, 415, 418, 419, 422, 884–887,
909, 912, 1063, 1096, 1116, 1118,
1251, 1252, 1255, 1256, 1258–1261,
1270, 1272–1274, 1629, 1699, 1702,
1704, 1822, 1823, 1904, 2035, 2084,
2221, 2230, 2231, 2249–2256,
2266, 2318
Persistent change, 13, 875, 884–888
PIN. See Probability of informed trading (PIN)
Poison put, 13, 19, 150–153, 155–157,
159, 161–163, 165, 167–174, 179–181
Political cost, 13
Port folio management, 107, 300, 978–980,
982, 986, 988, 990, 991, 993, 1101,
1294, 1355, 2045, 2052, 2179
Portfolio optimization, 13, 21, 51, 708,
710, 1435, 1453, 1621, 1698, 2083,
2281–2300, 2328
Portfolio selection, 13, 51, 235, 708–711,
722, 827, 1462, 1629, 1858, 2179, 2282,
2702, 2704, 2707
Post-IT policy, 13, 42, 1647–1666
Predicting returns, 13
Prediction of price movements, 13
Prediction test, 16, 31, 878–879
Pre-IT policy, 13, 42, 1647–1666
Preorder, 13, 465–466, 470–471, 475, 477,
478, 480
Price impact, 13, 145, 155, 1312, 1315
Price indexes, 13, 14, 44, 2130
Price level, 13, 42, 132, 547, 734–737, 1013,
1075, 1231, 1256, 1262, 1266, 1269,
1272, 1410, 1665, 1773, 2003, 2019,
2227, 2229, 2663
Price on earnings model, 14, 21
Pricing, 2, 103, 142, 156, 188, 208,
235, 300, 353, 385, 414, 440,
599, 617, 640, 658, 669–703,
752, 792, 843, 903–932, 935, 957–975,
977, 1003–1022, 1025, 1094, 1105,
1250, 1294, 1312, 1326,
1342, 1382, 1453, 1510, 1623, 1686,
1698, 1771, 1804, 1859, 1910, 1985,
2030, 2077, 2113, 2119, 2142, 2178,
2218, 2264, 2304, 2318, 2337–2396,
2403, 2477, 2497, 2536, 2594,
2653–2698
Pricing performance, 14, 2373, 2656, 2657,
2672, 2690
Principal component analysis, 54, 1014,
2096, 2350, 2462, 2468–2471, 2505,
2506, 2509
Principle component factors, 26, 601, 602
Probability density function, 16, 732, 1329,
1338, 1404, 1405, 1438, 2108,
2183, 2188, 2189, 2192, 2196,
2197, 2200, 2205, 2274, 2480,
2497, 2564
Probability of informed trading (PIN),
14, 56–57, 2602–2609, 2612, 2618
Probit model, 29, 730–732, 736–738,
740, 741, 748
Programming, Probabilistic, 2301
Property/casualty, 13, 14, 31, 35, 129, 322,
323, 428, 433, 466, 554, 560, 577, 590,
845, 880–881, 884, 887, 900, 909,
963, 969, 998, 1048–1050, 1148, 1149,
1170, 1185, 1361–1363, 1386,
1433–1435, 1441, 1453, 1469, 1473,
1484, 1492, 1565, 1690, 1693, 1774,
1775, 1781, 1788, 1894, 1947, 1953,
1955, 1969, 1977, 2095, 2096,
2103–2104, 2107–2109, 2111, 2112,
2121–2126, 2128, 2142, 2298, 2347,
2762 Subject Index
2407, 2411, 2422–2426, 2498, 2503,
2523, 2525, 2528, 2563, 2575
Property rights, 14, 322, 323, 1170
Put-call parity, 14, 212, 213, 1032, 1033, 1043,
1059, 2661
Put option, 14, 19, 150, 151, 153–165,
168–171, 174, 208, 209, 212, 213, 353,
917, 924, 1026–1029, 1031–1034,
1036–1039, 1041, 1043, 1046, 1051,
1052, 1059, 1355, 1356, 2087, 2307,
2393, 2489, 2490, 2656, 2667
QQAR. See Quantile autoregression (QAR)
Quadratic cost, 14, 2537, 2538, 2541, 2544
Quadratic trend model, 16, 53, 2455
Quality options, 14, 1910–1916, 1920, 1923,
1925, 1936
Quantile autoregression (QAR), 16, 34, 1146,
1149–1153, 1156, 1157, 1835
Quantile dependence, 16, 1829–1854
Quantile regression, 16, 34–35, 40, 45,
1143–1166, 1467–1488, 1832, 1833,
1835, 1838, 1839, 1846
Quasi maximum likelihood, 16, 27,
1325–1339, 1413, 1517, 1526, 1543,
1545–1547, 1639
Quasi-maximum likelihood estimation
strategy, 17, 37–38
RRandom number generation, 14, 1361
Random shock, 378, 2537, 2538
Random walk models, 17, 48, 146, 1097, 1098,
1878, 2036, 2084, 2257
Range, 14, 75, 134, 156, 209, 237, 256, 308,
351, 396, 523, 549, 712, 753, 793, 905,
939, 962, 1051, 1106, 1152, 1260,
1280, 1318, 1342, 1413, 1441, 1492,
1530, 1599, 1623, 1649, 1689, 1802,
1832, 1866, 1904, 1926, 2017,
2029–2047, 2130, 2147, 2181, 2232,
2266, 2300, 2341, 2410, 2449, 2486,
2593, 2669, 2703
Rank dependent utility, 14, 2283, 2285, 2288
Rank regressions, 17, 44, 1744, 1749
Rating migration, 47, 448, 1946–1949, 1951,
1953, 1958, 1959, 1961, 1976,
1977, 2499
Rational bias, 14, 66, 67, 89, 1202, 1243
Rational expectations, 14, 17, 415, 1196,
1199–1202, 1228, 1243, 1993, 1997
Real estate, 14, 49, 236, 802, 825, 963,
964, 1010, 1319, 1469, 1470, 1473,
1758–1760, 1762, 1768, 1967, 2120,
2122–2124, 2128, 2129
Realized distribution, 17, 42, 1619–1643
Realized volatility, 12, 14, 417, 884, 904, 1113,
1114, 1116, 1125, 2032, 2039,
2042–2044, 2046, 2342
Real sphere, 42, 1648, 1659–1665
Rebalancing model, 17, 28, 709, 712, 722
Recurrent event, 14
Recursive, 14, 17, 52, 891, 896–898,
971, 1000, 1099, 1126, 1127, 1512,
1513, 1525, 1526, 1529–1532, 1537,
1540–1551, 1556, 1824, 1910, 1911,
1915, 1916, 1919, 1921, 1922, 1927,
2080, 2081, 2086, 2319, 2322,
2325–2326, 2329
Recursive programming, 17, 1047
Reduced-form, 17, 27, 55, 303, 640, 1006,
1007
Reduced-form model, 17, 27, 303, 640
Reflection principle, 1774–1776
Regime switching hedging strategy,
14, 1900–1903
Regime-switch model, 17, 46, 1878, 1880,
1881, 1883
Registered trading firms, 25, 488, 495
Regression, 2, 64, 104, 150, 187, 254, 280, 320,
350, 384, 418, 440, 492, 522, 618, 658,
673, 730, 762, 842, 874, 907,
937, 960, 978, 1004, 1063, 1106,
1143–1166, 1170, 1196, 1293, 1316,
1360, 1394, 1453, 1467–1488, 1570,
1621, 1670, 1693, 1720, 1760, 1813,
1829, 1860, 1877, 1939, 1954, 1984,
2038, 2082, 2095, 2119–2132, 2143,
2178, 2219, 2272, 2318, 2339, 2403,
2446, 2463, 2488, 2521, 2536, 2579,
2606, 2630, 2689
Regression models, 16, 17, 20, 21, 25, 46,
49, 182, 189–192, 195–196, 265–267,
274–276, 360, 403, 467, 470, 473, 627,
660, 703, 882, 883, 896, 1146,
1148–1159, 1165–1166, 1185, 1306,
1307, 1316, 1321, 1621, 1694, 1733,
1734, 1738, 1744, 1748, 1768, 1835,
1836, 1880–1882, 2096–2099, 2102,
2106–2108, 2119–2132, 2272, 2318,
2319, 2333, 2380, 2411, 2434, 2437,
2458, 2488, 2579, 2634, 2635
Relative value of equity, 14
Research and development expense, 14, 1690
Subject Index 2763
Restrictions, 13, 14, 33, 42, 113, 156, 189, 209,
210, 324, 357, 433–434, 488, 523,
551, 671, 673, 674, 684, 685, 689, 696,
697, 699, 843, 853, 855, 857, 879, 897,
963, 982, 1007, 1066, 1069, 1089, 1155,
1157, 1197, 1198, 1204, 1214, 1215,
1222, 1223, 1228, 1238, 1241, 1242,
1244, 1274, 1361, 1402, 1438, 1565,
1572, 1573, 1576, 1578, 1611, 1613,
1648–1650, 1656, 1657, 1665, 1806,
1811, 1834, 1903, 2004, 2014, 2078,
2084, 2087, 2258, 2284, 2306, 2307,
2341, 2343, 2346, 2361, 2407, 2551,
2556, 2564, 2581, 2582, 2585–2587,
2589, 2592, 2595–2597, 2630
Retention option, 14, 48, 2053
Return attribution, 14, 48, 2054, 2068–2069
Return models, 14, 21, 281–284, 290, 2179,
2181, 2184
Reverse-engineering, 14, 443, 454–455,
458, 459, 475
Risk
adjusted performance, 14, 105, 109, 963
aversion, 14, 47, 114, 190, 191, 209,
210, 415, 848, 852–855, 858, 859,
866, 915, 1106–1109, 1115–1118,
1120–1122, 1124–1130, 1132, 1133,
1135, 1289, 1495, 1497, 1503, 1505,
1904, 1983–2026
management, 2, 3, 8, 10, 11, 14, 18, 22,
31, 38, 39, 235, 350, 351, 353, 475,
591, 794, 1100, 1149, 1166, 1280, 1326,
1345, 1350, 1351, 1377, 1400, 1403,
1407, 1432, 1448, 1510, 1513, 1520,
1621, 1629, 1643, 1758, 1830, 1840,
1947, 1984, 2040, 2046, 2179, 2181,
2208–2210, 2328, 2496, 2532
premium, 12, 14, 28, 111, 188, 191,
192, 220, 415–417, 420, 422, 428, 429,
670, 673, 674, 676, 677, 684, 694, 696,
697, 701, 756, 767, 823, 855, 857, 858,
865, 914–919, 921, 925, 931–932,
960, 961, 1008, 1013, 1017–1020, 1094,
1106, 1127, 1130, 1135, 1196, 1199,
1212, 1280, 1497, 1867, 1870, 1878,
2008, 2009, 2023, 2085, 2230, 2361,
2365, 2366, 2370, 2371, 2529, 2541,
2659, 2661
Risk-neutral pricing, 14, 209, 1941, 2346
Robust estimation, 14, 35, 45, 551, 1146, 1652,
1806, 1813, 1824
Rotation-corrected angle, 17, 52, 2311–2313
Ruin probability, 17, 26, 584, 591
SSarbanes-Oxley Act, 14, 44, 1688, 1720
SCAD penalty, 14, 49, 2102–2103, 2105, 2111,
2115, 2116
Scale-by-scale decomposition, 549–571
Seasonality, 14, 31, 405, 551, 937, 941,
943, 952, 955, 956, 965, 2222,
2249–2256
Securities Regulation Committee, 255
Seemingly Unrelated Regression (SUR), 3, 5,
9, 10, 17, 34, 35, 55, 1106, 1132–1134,
1139, 1231, 1242, 1244, 2426, 2548
Self-selection bias, 1695
SEM. See Structural equation modeling (SEM)
Semi-log, 14, 49
Semi-parametric approach, 17, 39, 1399, 1402,
1403, 1406, 1413, 1415, 1421, 1422,
1428, 2130
Semiparametric model, 1472, 1481, 2110
Sentiment, 14, 30, 672, 843, 844, 850–866,
1452, 1493, 2113, 2488
Serial correlation, 4, 17, 36, 146, 197–200,
320, 334, 338, 391, 424, 429, 658, 688,
691, 893, 941, 1000, 1116, 1120, 1189,
1190, 1207, 1214, 1223, 1229–1238,
1242, 1255–1258, 1263, 1264, 1266,
1267, 1270, 1272–1274, 1413, 1565,
1628, 1629, 1689, 1879, 1950, 2083,
2269, 2270, 2421
Shape parameter, 51, 1404–1406, 1413, 1423,
1425, 2183, 2184, 2201, 2207, 2265,
2267–2269, 2276–2278
Share prices, 14, 28, 42, 125, 126, 670–677,
684, 685, 689–694, 700–702, 1069,
1070, 1073, 1262, 1649, 1651, 1652,
1655, 1656, 1658–1661, 1665, 1869,
2410, 2507, 2508
Share repurchases, 14, 33, 354, 1061–1089,
1382, 1394, 2404
Sharpe ratio, 14, 32, 40, 110, 111, 115,
244, 245, 979, 981,
983, 985–987, 989, 990, 995, 1280,
1453, 1460, 1462
Short run, 14, 42, 131, 1067, 1080, 1082, 1222,
1386, 1623, 1648, 1649, 1656, 1665,
1809, 2084, 2333
Short selling, 14, 28, 125, 239, 709,
712–714, 716, 718–722, 760, 1316,
2007, 2087
Short-term financing, 14, 44, 1753–1769
Shrinkage, 17, 49, 1484, 2095, 2101, 2102,
2104, 2114, 2326
Sigma, 14, 1047, 1050
2764 Subject Index
Signaling hypothesis, 14, 50, 2139
Simple adjusted formula, 52, 2304, 2311–2315
Simulations, 12, 121, 210, 302, 384, 570,
579, 640, 667, 844, 886, 905,
999, 1014, 1145, 1279, 1349, 1401,
1469, 1494, 1511, 1565, 1661, 1704,
1795, 2031, 2054, 2083, 2104, 2183,
2310, 2320, 2379, 2484, 2504, 2521,
2570, 2593, 2704
Simultaneous equations, 2, 3, 5–6, 17, 22,
53, 55, 319, 321, 325, 327, 351, 355,
1007, 1008, 1068, 1071, 1837, 2402,
2403, 2409, 2415–2417, 2419, 2420,
2426–2434, 2441, 2536, 2538, 2539,
2543–2544, 2548, 2553, 2555–2557,
2578, 2593, 2594
Simultaneous equations estimation,
53, 2431
Simultaneous switching regression, 2129
Single clustering, 28, 658, 662–665
Single exponential smoothing, 17, 53,
2448, 2451
Size effect, 2038, 2235
Skewed generalized student’s t, 17, 39,
1405–1406
Skewness, 3, 4, 9, 10, 15–17, 41, 50, 225, 240,
360, 387, 393, 394, 396–398, 407, 408,
421, 424, 425, 428, 432, 564, 659, 936,
939, 940, 946, 947, 950–952, 1009,
1110–1112, 1144, 1159, 1160, 1166,
1326, 1330, 1383, 1386–1389,
1403–1405, 1409–1413, 1423, 1427,
1434, 1438, 1441, 1444, 1566, 1567,
1569, 1585–1589, 1597, 1598, 1601,
1605, 1613, 1625, 1633, 1635–1637,
1703, 1738, 2177–2212, 2268, 2269,
2278, 2368, 2486–2488, 2546, 2548,
2632, 2647
Smile shapes, 14, 924–926
Smooth transition, 14, 16, 46, 48, 418–419,
1879–1882, 2040, 2041
Special items, 14, 43, 1069, 1073, 1686,
1689–1692, 1694, 1734, 1738, 2629
Specification test, 17, 41, 1162, 1163,
1510–1513, 1519–1554, 1556–1558,
1605, 2342
Spectral analysis, 2, 3, 7, 9, 17, 18,
26, 540–546, 548
Speculative bubbles, 14, 47, 1984, 1988, 1989
S&P 500 index, 13, 40, 54, 109, 210, 222,
223, 696, 970, 1161–1163, 1308, 1452,
1454, 1461, 2031, 2034, 2045, 2185,
2479, 2481, 2485–2488, 2521, 2528,
2529, 2531, 2546, 2668, 2669, 2678,
2689, 2690
Spot price, 14, 31, 936, 938–945, 947, 1259,
1368, 1371, 1409, 1410, 1639, 1895,
2485, 2663, 2668, 2677, 2678
Standard & Poor’s, 440, 456, 459, 476,
480, 563, 598, 1950, 1958, 1961
Standard & Poor’s Corporation, 598
Standard errors in finance panel data, 843, 844,
846–847, 866
Standardized Z, 17, 26, 602
State-space model, 17, 45, 959, 961, 970–971,
973, 1806, 1809–1811, 1813, 1817,
1818, 1820, 1823–1824, 1927, 2324
Static factor model, 17, 301–304
Stationarity, 14, 107, 292–294, 429, 908,
1197, 1212–1217, 1243, 1517, 1520,
1701, 1703, 1895, 2040, 2089, 2146,
2156, 2390
Statistical learning, 14, 2114
Stepwise discriminant analysis, 17, 2470, 2471
Stochastic discount factors, 14, 28, 32, 671,
676, 677, 684, 697–699, 959, 962–963,
971, 1915, 1918
Stochastic dominance, 51, 208, 209, 1452,
1462, 1861, 2281–2300
Stochastic frontier analysis, 17, 23, 351, 355,
377–379
Stochastic interest rates, 14, 57,
211, 2654–2657, 2663, 2671, 2679,
2688, 2694, 2697
Stochastic order, 142, 2282
Stochastic volatility (SVOL), 14, 17, 36, 43,
53, 57, 880–881, 904, 905, 910, 914,
1249–1275, 1517–1519, 1521,
1532–1534, 1536, 1538, 1539, 1542,
1555, 1698, 1700–1704, 1706–1708,
1710, 1712, 1811, 2036, 2043,
2303–2315, 2319, 2321–2323, 2339,
2341–2377, 2386, 2389, 2390, 2521,
2524–2526, 2528, 2532, 2575,
2653–2698
Stock/futures, 14, 1261–1263
Stock market overreaction, 14
Stock markets, 14, 24, 30, 36, 39, 40, 104, 106,
107, 202, 205, 254, 264, 268, 272, 280,
296, 323, 327, 329, 332–334, 336, 339,
388, 415, 417, 418, 487, 488, 490, 491,
500, 506, 511, 515, 604, 672, 716, 760,
848, 989, 993, 1014, 1015, 1018, 1019,
1068, 1106–1108, 1115, 1124, 1125,
1131, 1133, 1277–1290, 1399–1429,
1472, 1477, 1483, 1621, 1623, 1629,
Subject Index 2765
1703, 1726, 1806, 1807, 1823,
1830, 1831, 1833, 1837, 1958, 1984,
1985, 2044, 2082, 2083, 2087, 2088,
2179, 2182, 2185, 2218, 2371, 2447,
2507, 2537, 2538, 2545–2547, 2552,
2554, 2659
Stock option, 11, 12, 14, 30, 57, 841–871,
1177, 1178, 1185, 1492, 1496,
1772–1774, 1776, 1787, 2088, 2390,
2621–2648, 2695
Stock option pricing, 14, 2688
Stock price indexes, 44, 1703
Strike price, 14, 40, 212, 214, 216, 218,
219, 222, 224, 849, 852, 856, 857, 1032,
1356, 1361, 1368, 1371, 1491–1506,
1708, 1788, 2340, 2342, 2349, 2359,
2363, 2378, 2393, 2486, 2487, 2520,
2528, 2660, 2663, 2664, 2666, 2670,
2678, 2689
Structural break, 14, 874–884, 888–900,
1220–1222, 1453
Structural change model, 4, 5, 17, 877,
2164–2166, 2173
Structural equation modeling (SEM), 17, 42,
1670–1672, 1675–1677, 1681–1683
Structural VAR, 17, 25, 328, 490, 500–502,
512, 515, 2083
Student’s t-copula, 21, 235–238, 241, 243,245–247
Student’s t-distribution, 17, 43, 1708, 2511,2513–2515
Subjective value, 14, 30, 843–845, 847–853,
855–866, 870
Substantial price fluctuations, 14, 51, 2264
SUR. See Seemingly Unrelated Regression
(SUR)
Survey forecasts, 17, 35, 1195–1245
Survival analysis, 17, 47, 1947, 1951, 1952,
1976
SVECM models, 17, 42, 1648
SVOL. See Stochastic Volatility (SVOL)
Synergy, 14, 26, 599–601, 603–614
Synthetic utility value, 14, 46, 68
Systematic risk, 56, 103, 111, 115, 192, 600,
685, 689, 753, 755, 759, 766, 848, 959,
960, 1278, 1395, 1758, 1808, 2137,
2142, 2152–2155, 2159, 2166
TTAIEX, 14, 36, 718, 720, 2521, 2526–2528, 2563
Tail dependence, 17, 39, 235, 237–239,
241, 306, 308, 312–314, 1151,
1433, 1434, 1444, 1446–1448, 1470,
1831, 2516
Tail risk, 14, 45, 1906
Taylor series expansion, 17, 54, 2478–2483,
2488
t-copula, 17, 235–238, 241, 243, 245–247,301, 306–308, 313, 314
Tempered stable distribution, 17, 1329, 1332,
1337
Term structure, 3, 10, 17, 34, 46, 53,
193, 197–199, 202, 904, 905, 919–922,
928, 929, 931, 1093–1103, 1510, 1513,
1514, 1516, 1517, 1532, 1913, 1916,
1923–1930, 1934, 1936, 1938, 1958,
1961–1963, 2082, 2095, 2338, 2339,
2341–2358, 2370, 2377–2380, 2383,
2385, 2386, 2389, 2390, 2507, 2660,
2689, 2690
Term structure modelling, 3, 10, 17, 34,
1093–1103, 1510, 1513, 1514, 1516,
2341, 2389
The International Monetary Fund, 325, 457
Timberland investments, 14, 32, 958–960,
963–965, 967, 969
Time-heterogeneity, 47, 1947–1952, 1959, 1976
Time series, 2, 104, 204, 244, 280, 304,
317, 390, 492, 520, 539, 622, 658, 670,
754, 846, 874, 909, 936, 963, 979, 1009,
1067, 1107, 1144, 1189, 1212, 1256,
1313, 1330, 1355, 1393, 1403, 1432,
1468, 1513, 1585, 1626, 1653, 1671,
1823, 1833, 1897, 1927, 1958, 1985,
2030, 2078, 2129, 2161, 2182, 2224,
2318, 2341, 2413, 2445, 2486, 2500,
2521, 2558, 2606, 2647, 2666
Time series analysis, 2, 3, 7, 17, 25, 522,
532, 536, 541, 551, 1166
Time-series and cross-sectional effects,
17, 319–321, 340
Time-varying covariate, 1948, 1952, 1954,
1967, 1968, 1977
Time-varying dependence, 17, 234, 1444–1446
Time-varying parameter, 17, 239, 962, 973,
1439, 1444, 2268, 2412, 2437,
2439–2441
Time-varying rational expectation hypothesis,
17, 415
Time-varying risk, 14, 28, 414, 415, 659, 670,
673, 677, 684, 983, 984, 988, 990–992,
999, 1107, 1109, 1125–1130, 1135,
1199, 1395, 1878, 1888
Time-varying risk aversion, 1107, 1125–1130,
1135
2766 Subject Index
Time-varying volatility, 14, 1250, 1410, 1698,
2347, 2365, 2392
Timing options, 14, 1910–1914, 1916–1923,
1934, 1936, 1940
Tobin’s model, 14, 1321
Top-down capital budgeting, 14, 2060, 2063,
2064
Total risk, 14, 50, 103, 358, 360, 362, 363, 864,
865, 1401, 2137, 2138, 2142,
2152–2161, 2163–2166, 2170–2173,
2704, 2707
Tournament, 47, 107, 1986, 1988–1990,
1993–1995, 2002, 2003, 2005–2008,
2010, 2017–2020, 2023, 2024, 2026
Trade direction, 14, 2086
Trade turnover, 14, 258, 259, 264–266,
268, 272–274
Trading simulations, 17, 128–131
Transaction costs, 3, 10, 14, 37, 125, 209,
239, 322, 608, 762, 767, 1316–1318,
1321, 1322, 1383, 1386, 1387, 1392,
1902, 1938, 2089, 2141, 2221, 2539,
2562, 2657, 2665
Transfer pricing, 14, 30, 793, 807–822, 834
Treasury bond futures, 14, 46, 1909–1942
Trend extraction, 14, 25, 520–523, 536
Trust, 14, 178, 324, 487, 489, 900, 958, 964,
999, 1319
Turkish economy, 14, 421, 648
Two-sector asset allocation model,
17, 36, 1279
2SLS. See Two-stage least square (2SLS)Two-stage estimation, 17, 39, 1436, 1627
Two-stage least square (2SLS), 3, 5, 6, 9,
10, 15, 17, 22, 56, 319, 321, 343, 2426,
2578–2583, 2587, 2589, 2591–2596,
2644, 2645
Two-way clustering method of standard errors,
17, 1178
UUltrahigh-dimensional data, 14, 49, 2095,
2106, 2109
Unbiasedness, 14, 35, 1196–1199, 1201–1212,
1214, 1216–1228, 1231, 1236–1238,
1241–1244, 2102
Unbounded autoregressive moving average
model, 17, 2559
Uncertainty avoidance, 14, 327, 331
Unconditional coverage test, 39, 1402,
1407–1409, 1417–1420, 1422, 1428,
1429
Unconditional variance, 17, 43, 982, 984,
986, 994, 996, 1257–1259, 1628,
1892–1895, 1898–1900, 2272, 2324,
2332, 2333
Uncovered interest parity, 14, 1199, 1878
Unexpected volatility shocks, 14, 24, 413–435
Uniformly most powerful unbiased test, 17
Unit root tests, 17, 292–294, 887, 890–892,
1214–1217, 2553, 2555
Unit root time series, 17
Unsystematic risk, 14, 2142, 2143, 2146, 2159
Unweighted GARCH, 17, 36, 1251, 1252,
1261, 1269
U.S. stocks, 14, l
Utility-based hedging strategy, 1893, 1903–1905
VValue-at-risk (VAR), 10, 17, 18, 36, 2077–2089
VaR-efficient frontier, 14, 36, 1284
Variability percentage adjustment, 26, 612
Variable selection, 17, 49, 2094–2105,
2111–2114
Variance decomposition, 15, 17, 47, 558, 1949,
1956–1957, 1972, 2081
Variance estimation, 17, 392, 1904, 2035,
2113, 2478
Variance-gamma process, 17, 2277
Variance reduction methods, 31, 930
VBA. SeeVisual Basic for Applications (VBA)VG-NGARCH model, 17, 51, 2263–2278
Visual Basic for Applications (VBA), 14, 1026,
1047–1059
Volatility
co-persistence, 14
daily effect, 14, 55, 2526
dependencies, 14, 43
feedback effect, 14, 416
forecasting, 17, 416, 1513, 1698, 2040
Volatility Index (VIX), 14, 55, 1470, 1473,
1878, 1880, 1884–1888, 2041, 2520,
2521, 2528–2532
Volatility regime switching, 2333
Volatility threshold, 17, 42, 1619–1643
WWarren and Shelton model, 17, 2409–2410
Wavelet, 15, 25–26, 532, 539–571
Wavelet filter, 17, 554, 560–563
Weak efficiency, 14, 1197, 1199, 1204–1212,
1214, 1223, 1228–1233, 1235–1238,
1241–1243
Subject Index 2767
Weak instruments, 14, 56, 320, 1599, 1613,
2579, 2582, 2590–2593, 2596, 2597
Wealth transfer, 14, 2062
Weighted GARCH, 17, 1252, 1260–1261,
1267–1273
Weighted least-squares regression, 17, 2403
Wilcoxon rank test, 17
Wilcoxon two-sample test, 17, 21, 276
Wild-cluster bootstrap, 17, 27, 659, 660,
662–667
Winter’s method, 17, 53, 2453–2454
World Bank, 156, 457, 672, 679
Writedowns, 14, 56, 1689–1691, 1694, 2362,
2395, 2562, 2574
YYaari’s dual utility, 14, 2282
Yield curve, 14, 34, 52, 191, 194, 196–198,
202, 203, 304, 1094–1102, 1473,
1928–1930, 2338, 2339,
2341, 2343–2345, 2347, 2348,
2358, 2363, 2378, 2390, 2656, 2662
ZZero-investment portfolio, 14, 38, 389, 1382,
1394, 2221, 2223, 2227, 2230, 2232,
2249
2768 Subject Index
Reference Index
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