Ron Balvers: Working Papers
Productivity-Based Asset
Pricing: Theory and Evidence (with Dayong
Huang)
Abstract
Complete Paper
(PDF format), August 2006. Forthcoming Journal
of Financial Economics
Factor Data (Excel format)
Evaluation of Linear Asset
Pricing Models by Implied Portfolio Performance (with Dayong Huang)
Abstract
Complete
Paper (PDF format), June 2005
Optimal Transaction Filters under Transitory
Trading Opportunities: Theory and Empirical Illustration (with Yangru Wu)
Abstract
Complete
Paper (PDF format), September 2004
Money and the (C-)CAPM.
(with Dayong Huang)
Abstract
Complete
Paper (PDF format), June 2004. Forthcoming Journal
of Financial and Quantitative Analysis
Ron Balvers: Recent Publications
Reducing the Dimensionality of Linear Quadratic
Control Problems (with Doug Mitchell)
[Working Paper 01-043/2, Tinbergen Institute]
Abstract
Forthcoming Journal of Economic Dynamics and Control
Momentum and Mean Reversion Across National
Equity Markets (with Yangru Wu)
Abstract
Journal of
Empirical Finance, 13(1), 2006, pp. 24-48
Optimal Lifetime Utility when Time Preference
Depends on Survival Probabilities (with Arnab Acharya)
Abstract
Economic Inquiry, 42(4),
2004, pp. 667-678
Government Expenditures and Equilibrium Real
Exchange Rates (with Jeff Bergstrand)
Abstract
Journal of International
Money and Finance, 21(5), 2002, pp. 667-692
Mean Reversion Across National Stock Markets and
Parametric Contrarian Investment Strategies
(with Yangru Wu and Erik Gilliland)
Abstract
Journal of Finance, 55(2), 2000, pp. 745-772.
Precaution and Liquidity in the Demand for
Housing (with Laszlo Szerb)
Abstract
Economic Inquiry, 38(2), 2000, pp. 21-38.
Efficient Gradualism in Intertemporal Portfolios
(with Doug Mitchell)
Abstract
Journal of Economic Dynamics and Control, 24(1), 2000, pp.
21-38
Exchange Rate Fluctuations and the Speed of
Trade Price Adjustment (with Jimmy Ran)
Abstract
Southern Economic Journal, 67(1), 2000, pp.
200-211
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