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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