Details about Peter L. Bossaerts

Access statistics for papers by Peter L. Bossaerts.

Last updated 2008-08-28. Update your information in the RePEc Author Service.

Short-id: pbo132

Working Papers

2006

1. Risk Aversion in Laboratory Asset Markets
   Levine's Bibliography, UCLA Department of Economics

2005

2. Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment
   UCLA Economics Working Papers, UCLA Department of Economics
   See also Journal Article in Finance Research Letters (2006)

2003

3. Equilibrium Asset Pricing Under Heterogeneous Information
   Levine's Bibliography, UCLA Department of Economics View citations
   Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2003) View citations

2000

4. Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (2000) View citations
   See also Journal Article in Review of Finance (2004)
5. Inducing Liquidity In Thin Financial Markets Through Combined-Value Trading Mechanisms
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations
   See also Journal Article in European Economic Review (2002)
6. LEARNING-INDUCED SECURITIES PRICE VOLATILITY
   Computing in Economics and Finance 2000, Society for Computational Economics View citations

1998

7. Price Discovery in Financial Markets: The Case of the CAPM
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations

1997

8. Expectations and Learning in Iowa
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations
   See also Journal Article in Journal of Banking & Finance (2000)
9. IPO Post-Issue Markets: Questionable Predilections But Diligent Learners?
   Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
   See also Journal Article in The Review of Economics and Statistics (2001)

1996

10. An optimal IPO mechanism
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
    See also Journal Article in Review of Economic Studies (2002)
11. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations

1995

12. Local Parametric Analysis of Hedging in Discrete Time
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Journal of Econometrics (1997)

1993

13. Asset Prices and Volume in a Beauty Contest
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations
14. Testing The Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
15. Transaction Prices When Insiders Trade Portfolios
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences

1991

16. Tax-Induced Intertemporal Restrictions on Security Returns
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations
    See also Journal Article in Journal of Finance (1994)

Undated

17. A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2006

1. Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment
   Finance Research Letters, 2006, 3, (2), 96-101 View citations
   See also Working Paper (2005)

2004

2. Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets
   Review of Finance, 2004, 8, (2), 135-169 View citations
   See also Working Paper (2000)
3. Filtering Returns for Unspecified Biases in Priors when Testing Asset PricingTheory
   Review of Economic Studies, 2004, 71, (1), 63-86

2003

4. Excess demand and equilibration in multi-security financial markets: the empirical evidence
   Journal of Financial Markets, 2003, 6, (1), 1-21 View citations
5. Local parametric analysis of derivatives pricing and hedging
   Journal of Financial Markets, 2003, 6, (4), 573-605 View citations

2002

6. An Optimal IPO Mechanism
   Review of Economic Studies, 2002, 69, (1), 117-46 View citations
   See also Working Paper (1996)
7. Inducing liquidity in thin financial markets through combined-value trading mechanisms
   European Economic Review, 2002, 46, (9), 1671-1695 View citations
   See also Working Paper (2000)
8. The CAPM in thin experimental financial markets
   Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1093-1112 View citations

2001

9. Ipo Post-Issue Markets: Questionable Predilections But Diligent Learners?
   The Review of Economics and Statistics, 2001, 83, (2), 333-347 View citations
   See also Working Paper (1997)

2000

10. Expectations and learning in Iowa
    Journal of Banking & Finance, 2000, 24, (9), 1535-1555 View citations
    See also Working Paper (1997)

1999

11. Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
    Review of Financial Studies, 1999, 12, (2), 405-28 View citations

1998

12. Asset Prices and Trading Volume in a Beauty Contest
    Review of Economic Studies, 1998, 65, (2), 307-40 View citations

1997

13. Local parametric analysis of hedging in discrete time
    Journal of Econometrics, 1997, 81, (1), 243-272 View citations
    See also Working Paper (1995)

1994

14. Tax-Induced Intertemporal Restrictions on Security Returns
    Journal of Finance, 1994, 49, (4), 1347-71 View citations
    See also Working Paper (1991)

1991

15. Market Microstructure Effects of Government Intervention in the Foreign Exchange Market
    Review of Financial Studies, 1991, 4, (3), 513-41 View citations

1988

16. Common nonstationary components of asset prices
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 347-364 View citations