------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Fri Aug 1 00:01:04 CDT 2003. (To retrieve abstracts without full papers, use e.g. get 0308001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308001 From: Venus.Khim-Sen.Liew@wueconb.wustl.edu Date: Sun, 3 Aug 2003 03:19:11 -0500 ( 0kb + 0kb + 116kb + 106kb ) Title: Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets Author: Kian-Ping Lim (Universiti Malaysia Sabah) and M. Azali (Universiti Putra Malaysia) and M.S. Habibullah (Universiti Putra Malaysia) and Venus Khim-Sen Liew (Universiti Putra Malaysia) Contact: venusliew@yahoo.com Comments: Type of Document - Keywords: Non-linearity; Data generating process; Hinich bispectrum test; Asian stock markets. JEL: G12 EWPA-references: Report-no: K.S.Liew-15 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308002 From: Venus.Khim-Sen.Liew@wueconb.wustl.edu Date: Sun, 3 Aug 2003 03:31:22 -0500 ( 0kb + 0kb + 121kb + 107kb ) Title: Testing for Non-Linearity in ASEAN Financial Markets Author: Kian-Ping Lim (Universiti Malaysia Sabah) and Venus Khim-Sen Liew (Universiti Putra Malaysia) Contact: venusliew@yahoo.com Comments: Type of Document - Keywords: Non-linearity; Data generating process; Hinich bispectrum test; Lukkonen-Saikkonen-Teräsvirta (LST) test; ASEAN foreign exchange markets; ASEAN stock markets. JEL: G12 EWPA-references: Report-no: K.S.Liew-17 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308003 From: Venus.Khim-Sen.Liew@wueconb.wustl.edu Date: Sun, 3 Aug 2003 03:44:06 -0500 ( 0kb + 0kb + 133kb + 118kb ) Title: International Diversification Benefits in ASEAN Stock Markets: a Revisit Author: Kian-Ping Lim (Universiti Malaysia Sabah) and Hock-Ann Lee (Universiti Malaysia Sabah) and Venus Khim-Sen Liew (Universiti Putra Malaysia) Contact: venusliew@yahoo.com Comments: Type of Document - Keywords: Stock market integration; Portfolio diversification; Non- parametric cointegration test; ASEAN stock markets. foreign exchange markets; ASEAN stock markets. JEL: G12 EWPA-references: Report-no: K.S.Liew-18 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308004 From: r-korajczyk@northwestern.edu Date: Thu, 7 Aug 2003 12:25:25 -0500 ( 0kb + 2457kb ) Title: Are Momentum Profits Robust to Trading Costs? Author: Robert A. Korajczyk (Northwestern University) Ronnie Sadka (Northwestern University) Contact: r-korajczyk@northwestern.edu Comments: Type of Document - Acrobat PDF; prepared on Dell PC; to print on Any; pages: 47; figures: included Keywords: Momentum strategies; Transaction costs; Price impact; Optimal trading; Market efficiency JEL: G11, G14 EWPA-references: /data/ftp/econ-wp/incoming/korajczyk_sadka.2003.pdf Report-no: NU-FINANCE_WP289 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308005 From: altay@wiwi.uni-halle.de Date: Fri, 15 Aug 2003 05:39:51 -0500 ( 0kb + 342kb ) Title: Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets Author: Erdinc Altay (University of Istanbul, Faculty of Economics) Contact: altay@wiwi.uni-halle.de Comments: Type of Document - Acrobat PDF; prepared on IBM PC ; to print on PostScript; pages: 28; figures: included Keywords: German stock market ; Turkish stock market ; Cross- autocorrelation ; Market-wide and portfolio-specific information ; Asymmetric reaction JEL: G12; G14; G15 EWPA-references: Report-no: mlu-wiwi-wp49-2003.pdf \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308006 From: dmitry_baryshevsky@yahoo.com Date: Thu, 21 Aug 2003 01:59:53 -0500 ( 0kb + 200kb ) Title: What is hidden in the Fed's model? The second approximation Author: Dmitry Baryshevsky Contact: dmitry_baryshevsky@yahoo.com Comments: Type of Document - PDF; prepared on IBM PC; to print on HP/PostScript; pages: 11 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. Keywords: Fed model, Treasury bond yield, current earnings yield, equity market attractiveness, equity market valuation model, long-term earnings growth, CRB Spot Index yield JEL: EWPA-references: Report-no: DB-03-210803 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308007 From: gatfaoui@univ-paris1.fr Date: Mon, 25 Aug 2003 12:09:42 -0500 ( 0kb + 16kb ) Title: Risk Disaggregation And Credit Risk Valuation In The Merton Like Way Author: Hayette Gatfaoui(The University of Paris 1 - Panthéon-Sorbonne) Contact: gatfaoui@univ-paris1.fr Comments: Type of Document - HTML; prepared on PC; to print on HP/PostScript; pages: 1 ; figures: included. Only the abstract is available since this document is published in the Journal of Risk Finance. Keywords: option pricing credit risk default probability JEL: G13 G33 EWPA-references: ewp-fin/03081 Report-no: HG-03-16 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308008 From: jegwuagu@worldbank.org Date: Tue, 26 Aug 2003 15:00:08 -0500 ( 0kb + 79kb ) Title: Transparency, Liberalization and Financial Crises Author: Gil Mehrez (IMF) and Daniel Kaufmann (The World Bank) Contact: dkaufmann@worldbank.org Comments: Type of Document - Acrobat PDF; pages: 32 Keywords: Financial liberalization, transparency, Financial crisis JEL: D83, E6, F02, F30, F4, G00, G14, G15, G18, G38, H0 EWPA-references: Report-no: TRANS-JME \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0308009 From: jegwuagu@worldbank.org Date: Tue, 26 Aug 2003 15:13:48 -0500 ( 0kb + 134kb ) Title: Towards Transparency in Finance and Governance Author: Tara Vishwanath and Daniel Kaufmann (The World Bank) Contact: dkaufmann@worldbank.org Comments: Type of Document - Acrobat PDF; pages: 30 Keywords: financial liberalization, transparency, corruption, governance, banking crisis, asymmetric information, local investors, shocks, bad loans, emerging markets JEL: E6, F02, F30, F4, G00, G14, G15, G18, G38, H0 EWPA-references: Report-no: TT-JME \\