Advanced Search
MyIDEAS: Login

Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates
Most recent items first, undated at the end.
  • 2014 Price Limit And Stock Volatility In China During Financial Crises
    by Wing Chan, Derek Wang, Terence Chong
  • 2014 A note on market completeness with American put options
    by Campi, Luciano
  • 2014 The cross-market index for volatility surprise
    by Aboura, Sofiane & Chevallier, Julien
  • 2014 Financial Markets Efficiency (Nobel Memorial Prize in Economics 2013)
    by R. Sverchkov & K. Sonin.
  • 2014 Performance-Sensitive Government Bonds
    by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer
  • 2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
    by Peter Koudijs & Hans-Joachim Voth
  • 2014 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth
  • 2014 A tale of fire-sales and liquidity hoarding
    by Aleksander Berentsen & Benjamin Müller
  • 2014 Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
    by Buss, Adrian & Uppal, Raman & Vilkov, Grigory
  • 2014 Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets
    by Dhaoui, Abderrazak & Khraief, Naceur
  • 2014 SPACs with focus on China
    by Shachmurove, Yochanan & Vulanovic, Milos
  • 2014 Investor fears and risk premia for rare events
    by Schwarz, Claudia
  • 2014 Análisis del comportamiento imitador intradía en el mercado de valores español durante el periodo de crisis 2008-2009
    by Alicia Marín Solano & Sandra Ferreruela Garcés
  • 2014 European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?
    by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas
  • 2014 An Incomplete Markets Explanation to the UIP Puzzle
    by Katrin Rabitsch
  • 2014 Cash Inflows and Bubbles in Asset Markets with Constant Fundamental Values
    by Charles Noussair & Steven Tucker
  • 2014 Disentangling the Accruals Mispricing in Europe: Is It an Industry Effect?
    by Elisabetta Basilico & Tommi Johnsen
  • 2014 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo
  • 2014 Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500
    by Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels
  • 2014 Time Series Momentum and Market Stability
    by Xue-Zhong He & Kai Li
  • 2014 Relationship Between Interest Rate and Corporate Bond Yield
    by Magomet Yandiev
  • 2014 Performance of Utility Based Hedges
    by John Cotter & Jim Hanly
  • 2014 The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
    by John Cotter & Niall O'Sullivan & Francesco Rossi
  • 2014 Sovereign and bank CDS spreads: two sides of the same coin?
    by John Cotter & Davide Avino
  • 2014 Subjective Term Premia, Consumer Sentiment, and the Zero Lower Bound
    by Josh Stillwagon
  • 2014 The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
    by Minxian Yang
  • 2014 The direct and indirect e ects of oil shocks on energy related stocks
    by David C Broadstock & Rui Wang & Dayong Zhang
  • 2014 Rock around the clock: an agent-based model of low- and high-frequency trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo
  • 2014 The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
    by Thomas Nitschka
  • 2014 Italian Government debt liquidity, is it of value?
    by Simona Delle Chiaie & Bernardo Maggi
  • 2014 Exit Strategies and Their Impact on the Euro Area - A Model Based View
    by Ansgar Belke
  • 2014 Testing for Multiple Bubbles in the BRICS Stock Markets
    by Tsangyao Chang & Goodness C. Aye & Rangan Gupta
  • 2014 Sovereign and bank CDS spreads: two sides of the same coin?
    by Avino, Davide & Cotter, John
  • 2014 Sovereign defaults, external debt and real exchange rate dynamics
    by Asonuma, Tamon
  • 2014 Entendiendo los mercados de swaps: Un enfoque de equilibrio general
    by Venegas-Martínez, Francisco
  • 2014 Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General
    by Venegas-Martínez, Francisco
  • 2014 Exploiting of fundamental interest rates inefficiency
    by Ivanov, Sergei
  • 2014 Analytic Approximation of Finite-Maturity Timer Option Prices
    by Li, Minqiang
  • 2014 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
    by Li, Minqiang
  • 2014 Does Human Capital Risk Explain The Value Premium Puzzle?
    by Sylvain, Serginio
  • 2014 A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
    by Xiao, Tim
  • 2014 Firm Complexity and Post-Earnings-Announcement Drift
    by Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim
  • 2014 Dynamic Spillover Effects in Futures Markets
    by Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos
  • 2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2014 Pricing Default Risk: The Good, The Bad, and The Anomaly
    by Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra
  • 2014 Smooth economic analysis for general spaces of commodities
    by Accinelli, Elvio & Covarrubias, Enrique
  • 2014 Forgive, or Award, Your Debtor? - A Barrier Option Approach
    by Sun, David & Chow, Da-Ching
  • 2014 An anatomy of the Level 3 fair-value hierarchy discount
    by Emanuel Bagna & Giuseppe Di Martino & Davide Rossi
  • 2014 Private Information and Sunspots in Sequential Asset Markets
    by Jess Benhabib & Pengfei Wang
  • 2014 Credit Risk in the Euro Area
    by Simon Gilchrist & Benoît Mojon
  • 2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
    by Anne-Laure Delatte & Julien Fouquau & Richard Portes
  • 2014 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Jordi Gali & Luca Gambetti
  • 2014 Risk, Ambiguity, and the Exercise of Employee Stock Options
    by Yehuda Izhakian & David Yermack
  • 2014 Estimating the Risk-Return Trade-off with Overlapping Data Inference
    by Esben Hedegaard & Robert J. Hodrick
  • 2014 Asset Prices in a Lifecycle Economy
    by Roger E.A. Farmer
  • 2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
    by Peter Koudijs & Hans-Joachim Voth
  • 2014 Liquidity Risk and the Dynamics of Arbitrage Capital
    by Péter Kondor & Dimitri Vayanos
  • 2014 Foreign Ownership of U.S. Safe Assets: Good or Bad?
    by Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh
  • 2014 Measuring the ''World'' Real Interest Rate
    by Mervyn King & David Low
  • 2014 High Discounts and High Unemployment
    by Robert E. Hall
  • 2014 How Risky Are Recessions for Top Earners?
    by Fatih Guvenen & Greg Kaplan & Jae Song
  • 2014 How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation
    by Alexander Ljungqvist & Wenlan Qian
  • 2014 Origins of Stock Market Fluctuations
    by Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson
  • 2014 The Price of Political Uncertainty: Theory and Evidence from the Option Market
    by Bryan Kelly & Lubos Pastor & Pietro Veronesi
  • 2014 When Real Estate is the Only Game in Town
    by Hyun-Soo Choi & Harrison Hong & Jeffrey Kubik & Jeffrey P. Thompson
  • 2014 Dynamic Dispersed Information and the Credit Spread Puzzle
    by Elias Albagli & Christian Hellwig & Aleh Tsyvinski
  • 2014 Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis
    by H. Youn Kim & Keith R. McLaren & K.K. Gary Wong
  • 2014 Impact of information cost and switching of trading strategies in an artificial stock market
    by Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu
  • 2014 Communication impacting financial markets
    by Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam
  • 2014 An Event Study Analysis of ECB Unconventional Monetary Policy
    by Giulia RIVOLTA
  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Harenberg, Daniel & Ludwig, Alexander
  • 2014 Nonlinear Kalman Filtering in Affine Term Structure Models
    by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui
  • 2014 Convertible Debt and Shareholder Incentives
    by Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret
  • 2014 Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy
    by Pascal François & Alon Raviv
  • 2014 Stock Market Overreaction to Management Earnings Forecasts
    by Jean-Sébastien Michel
  • 2014 Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas
  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Daniel Harenberg & Alexander Ludwig
  • 2014 A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market
    by Pyo, Dong-Jin
  • 2014 EU Finance Ministers, Capital Markets and Fiscal Outcomes
    by António Afonso & Maria João Guedes
  • 2014 L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée
    by Khaled Guesmi & Duc Khuong Nguyen
  • 2014 Australia’s integration into the ASEAN- 5 Region
    by Khaled Guesmi & Frederic Teulon & Amine Lahiani
  • 2014 Predicting the sensitivity of trading intensity to investor sentiments and beliefs: Evidence from the French stock market
    by Stelios Bekiros & Abderrazak Dhaoui & Naceur Khraief
  • 2014 The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region
    by Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto
  • 2014 Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis
    by Anna Creti & Zied Ftiti & Khaled Guesmi
  • 2014 World gold prices and stock returns in China: insights for hedging and diversification strategies
    by Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen
  • 2014 Stock returns and Inflation in Pakistan
    by Mohamed Arouri & Aviral Kumar Tiwari & Arif Billah Dar & Niyati Bhanja & FrédéricTeulon
  • 2014 Is there a difference between domestic and foreign risk premium? The case of China Stock Market
    by Frédéric Teulon & Khaled Guesmi & Salma Fattoum
  • 2014 Oil Shocks and Economic Growth in OPEC countries
    by Zied Ftiti & Khaled Guesmi & Frédéric Teulon
  • 2014 Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets
    by Irfan Akbar Kazi & Hakimzadi Wagan
  • 2014 The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach
    by Julia Auckenthaler & Alexander Kupfer & Rupert Sendlhofer
  • 2014 Exploration Risk in Oil & Gas Shareholder Returns
    by Misund, Bard & Mohn, Klaus
  • 2014 Recursive utility and jump-diffusions
    by Aase, Knut K.
  • 2014 Heterogeniety and limited stock market Participation
    by Aase, Knut K.
  • 2014 Recursive utility with dependence on past consumption; the continuous-time model
    by Aase, Knut K.
  • 2014 Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data
    by Quoreshi, A.M.M. Shahiduzzaman
  • 2014 LIBOR: origins, economics, crisis, scandal, and reform
    by Hou, David & Skeie, David R.
  • 2014 Arbitrage-free affine models of the forward price of foreign currency
    by Durham, J. Benson
  • 2014 Can spanned term structure factors drive stochastic yield volatility?
    by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.
  • 2014 The boy who cried bubble: public warnings against riding bubbles
    by Asako, Yasushi & Ueda, Kozo
  • 2014 Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database
    by Pavlidis, Efthymios & Yusupova, Alisa & Paya, Ivan & Peel, David & Martinez-Garcia, Enrique & Mack, Adrienne & Grossman, Valerie
  • 2014 Testing for bubbles in housing markets: new results using a new method
    by Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia
  • 2014 Nonlinearities in sovereign risk pricing the role of cds index contracts
    by Anne Laure Delatte
  • 2014 Rock around the clock :An agent-based model of low-and high frequency trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo
  • 2014 Advice in the Marketplace: A Laboratory Study
    by Jonathan E. Alevy & Michael K. Price
  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Daniel Harenberg & Alexander Ludwig
  • 2014 Measuring the stance of monetary policy in conventional and unconventional environments
    by Leo Krippner
  • 2014 The Boy Who Cried Bubble: Public Warnings against Riding Bubbles
    by Yasushi Asako & Kozo Ueda
  • 2014 On the impact of macroeconomic news surprises on Treasury-bond yields
    by Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout
  • 2014 It hurts (stock prices) when your team is about to lose a soccer match
    by Michael Ehrmann & David-Jan Jansen
  • 2014 Fundamental Value Trajectories and Trader Characteristics in an Asset Market Experiment
    by Breaban, A. & Noussair, C.N.
  • 2014 Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
    by Gresse, Carole & Deville, Laurent & De Séverac, Béatrice
  • 2014 ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
    by Christoph Trebesch & Jeromin Zettelmeyer
  • 2014 Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices
    by Max Gillman & Michal Kejak & Michal Pakos
  • 2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
    by Guimarães, Rodrigo
  • 2014 Monetary Policy, Bond Risk Premia, and the Economy
    by Peter N. Ireland
  • 2014 Stock Price Booms and Expected Capital Gains
    by Klaus Adam & Johannes Beutel & Albert Marcet
  • 2014 On bank credit risk: systemic or bank-specific? Evidence from the US and UK
    by Junye Li & Gabriele Zinna
  • 2014 Informational and Allocative Efficiency in Financial Markets with Costly Information
    by Arina Nikandrova
  • 2014 Stock Price Booms and Expected Capital Gains
    by Klaus Adam & Johannes Beutel & Albert Marcet
  • 2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou
  • 2014 Brand Capital and Firm Value
    by Frederico Belo & Xiaoji Lin & Maria Ana Vitorino
  • 2014 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
    by Doriana Ruffino
  • 2014 Preferences for Risk in Dynamic Models with Adjustment Costs
    by Galina Vereshchagina
  • 2014 How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?
    by Conny Olovsson
  • 2014 Which Agency and Which Period is The Best? Analyzing National and International Fiscal Forecasts in Italy
    by Laura Carabotta
  • 2014 Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs
    by Nusret Cakici & Isil Erol & Dogan Tirtiroglu
  • 2014 Über die Natur und das Wesen des Geldes – J. H. von Thünens unveröffentlichtes Manuskript zur Geldtheorie
    by Ludwig Nellinger
  • 2014 Real Term Structure and Inflation Compensation in the Euro Area
    by Marcello Pericoli
  • 2014 Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi
    by Veli YILANCI & Seref BOZOKLU
  • 2014 The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach
    by Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi
  • 2014 Determinants of US financial fragility conditions
    by Bagliano, Fabio C. & Morana, Claudio
  • 2014 Pricing of the currency risk in the Canadian equity market
    by Al-Shboul, Mohammad & Anwar, Sajid
  • 2014 Foreign exchange rate exposure: Evidence from Canada
    by Al-Shboul, Mohammad & Anwar, Sajid
  • 2014 The spirit of capitalism among the income classes
    by Smoluk, H.J. & Voyer, John
  • 2014 Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis
    by Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio
  • 2014 Evidence of contagion in global REITs investment
    by Chang, Guang-Di & Chen, Chia-Shih
  • 2014 Oil shocks, stock market prices, and the U.S. dividend yield decomposition
    by Chortareas, Georgios & Noikokyris, Emmanouil
  • 2014 Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
    by Faff, Robert & Gharghori, Philip & Nguyen, Annette
  • 2014 Stock returns with consumption and illiquidity risks
    by Márquez, Elena & Nieto, Belén & Rubio, Gonzalo
  • 2014 The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
    by Reher, Gerrit & Wilfling, Bernd
  • 2014 A time-varying perspective on the CAPM and downside betas
    by Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan
  • 2014 Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation
    by Fletcher, Jonathan
  • 2014 The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements
    by Tsai, Chun-Li
  • 2014 How does retail sentiment affect IPO returns? Evidence from the internet bubble period
    by Chan, Yue-Cheong
  • 2014 Country credit risk determinants with model uncertainty
    by Maltritz, Dominik & Molchanov, Alexander
  • 2014 Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market
    by Bai, Min & Qin, Yafeng
  • 2014 The profitability of candlestick charting in the Taiwan stock market
    by Lu, Tsung-Hsun
  • 2014 Information attributes, information asymmetry and industry sector returns
    by Gordon, Narelle & Watts, Edward & Wu, Qiongbing
  • 2014 Value investing and technical analysis in Taiwan stock market
    by Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua
  • 2014 Speculators, commodities and cross-market linkages
    by Büyükşahin, Bahattin & Robe, Michel A.
  • 2014 Bubbles in food commodity markets: Four decades of evidence
    by Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip
  • 2014 Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
    by Yin, Weiwei & Li, Junye
  • 2014 Currency risk premia and uncovered interest parity in the International CAPM
    by Balvers, Ronald J. & Klein, Alina F.
  • 2014 Sovereign risk premia: The link between fiscal rules and stability culture
    by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander
  • 2014 The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
    by Loon, Yee Cheng & Zhong, Zhaodong Ken
  • 2014 Lévy jump risk: Evidence from options and returns
    by Ornthanalai, Chayawat
  • 2014 Money and liquidity in financial markets
    by Nyborg, Kjell G. & Östberg, Per
  • 2014 Does option trading convey stock price information?
    by Hu, Jianfeng
  • 2014 Trading in derivatives when the underlying is scarce
    by Banerjee, Snehal & Graveline, Jeremy J.
  • 2014 Countercyclical currency risk premia
    by Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien
  • 2014 Did CDS trading improve the market for corporate bonds?
    by Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar
  • 2014 Composition of wealth, conditioning information, and the cross-section of stock returns
    by Roussanov, Nikolai
  • 2014 The value of diffusing information
    by Manela, Asaf
  • 2014 Betting against beta
    by Frazzini, Andrea & Pedersen, Lasse Heje
  • 2014 A two-parameter model of dispersion aversion
    by Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John
  • 2014 Agency-based asset pricing
    by Gorton, Gary B. & He, Ping & Huang, Lixin
  • 2014 Advance information and asset prices
    by Albuquerque, Rui & Miao, Jianjun
  • 2014 Competitive rational expectations equilibria without apology
    by Kovalenkov, Alexander & Vives, Xavier
  • 2014 Introduction to financial economics
    by Allen, Franklin & Vayanos, Dimitri & Vives, Xavier
  • 2014 The economic consequences of regulatory changes in employee stock options on corporate bond holders: SFAS No.123R and structural credit model perspectives
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Chi, Cheng-Ming
  • 2014 Close form pricing formulas for Coupon Cancellable CoCos
    by Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo
  • 2014 Long-term U.S. infrastructure returns and portfolio selection
    by Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F.
  • 2014 Integration of European bond markets
    by Christiansen, Charlotte
  • 2014 Investor sentiment and return predictability of disagreement
    by Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won
  • 2014 Unveiling the embedded coherence in divergent performance rankings
    by Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia
  • 2014 The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market
    by Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che
  • 2014 Contrarian flows, consumption and expected stock returns
    by Zhang, Yuzhao
  • 2014 The MAX effect: European evidence
    by Walkshäusl, Christian
  • 2014 The determinants of CDS spreads
    by Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri
  • 2014 Competition, premature trading and excess volatility
    by Deb, Pragyan & Koo, Bonsoo & Liu, Zijun
  • 2014 An analysis of price discovery from panel data models of CDS and equity returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan
  • 2014 Testing for a break in the persistence in yield spreads of EMU government bonds
    by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias
  • 2014 The impact of CDS trading on the bond market: Evidence from Asia
    by Shim, Ilhyock & Zhu, Haibin
  • 2014 Corporate bond returns and the financial crisis
    by Aboody, David & Hughes, John S. & Bugra Ozel, N.
  • 2014 Are there common factors in individual commodity futures returns?
    by Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George
  • 2014 Default prediction with dynamic sectoral and macroeconomic frailties
    by Chen, Peimin & Wu, Chunchi
  • 2014 Modeling and predicting the CBOE market volatility index
    by Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel
  • 2014 Style chasing by hedge fund investors
    by Horst, Jenke ter & Salganik, Galla
  • 2014 An intertemporal capital asset pricing model with bank credit growth as a state variable
    by Hammami, Yacine & Lindahl, Anna
  • 2014 Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
    by Zhou, Yinggang
  • 2014 SOX, corporate transparency, and the cost of debt
    by Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M.
  • 2014 New evidence on turn-of-the-month effects
    by Sharma, Susan Sunila & Narayan, Paresh Kumar
  • 2014 Rationalizing the value premium in emerging markets
    by Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan
  • 2014 Macro risk factors of credit default swap indices in a regime-switching framework
    by Chan, Kam Fong & Marsden, Alastair
  • 2014 Dependence structure between CEEC-3 and German government securities markets
    by Yang, Lu & Hamori, Shigeyuki
  • 2014 Bond futures, inflation-indexed bonds, and inflation risk premium
    by Kanas, Angelos
  • 2014 How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
    by Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh
  • 2014 Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI
    by Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark
  • 2014 Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries
    by Chau, Frankie & Deesomsak, Rataporn & Wang, Jun
  • 2014 Ambiguity aversion, funding liquidity, and liquidation dynamics
    by Oh, Ji Yeol Jimmy
  • 2014 Hedging costs, liquidity, and inventory management: The evidence from option market makers
    by Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W.
  • 2014 When do stop-loss rules stop losses?
    by Kaminski, Kathryn M. & Lo, Andrew W.
  • 2014 Investor sentiment and bond risk premia
    by Laborda, Ricardo & Olmo, Jose
  • 2014 The intertemporal risk-return relation: A bivariate model approach
    by Jiang, Xiaoquan & Lee, Bong-Soo
  • 2014 A simple approximation of intraday spreads using daily data
    by Chung, Kee H. & Zhang, Hao
  • 2014 Leveling the trading field
    by Easley, David & Hendershott, Terrence & Ramadorai, Tarun
  • 2014 Informational linkages between dark and lit trading venues
    by Nimalendran, Mahendrarajah & Ray, Sugata
  • 2014 Market transparency, market quality, and sunshine trading
    by de Frutos, M. Ángeles & Manzano, Carolina
  • 2014 Price delay premium and liquidity risk
    by Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen
  • 2014 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
    by Spencer, Peter
  • 2014 Optimal multi-period consumption and investment with short-sale constraints
    by Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç
  • 2014 GDP growth and the yield curvature
    by Møller, Stig V.
  • 2014 Option pricing under stochastic volatility and tempered stable Lévy jumps
    by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.
  • 2014 Trend following, risk parity and momentum in commodity futures
    by Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen
  • 2014 Oil price shocks and stock market returns: Evidence for some European countries
    by Cunado, Juncal & Perez de Gracia, Fernando
  • 2014 Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness
    by Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu
  • 2014 Oil price risk exposure: The case of the U.S. Travel and Leisure Industry
    by Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid
  • 2014 Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
    by Xiang, Ju & Zhu, Xiaoneng
  • 2014 Pricing of liquidity risks: Evidence from multiple liquidity measures
    by Kim, Soon-Ho & Lee, Kuan-Hui
  • 2014 Risk–return trade-off in the pacific basin equity markets
    by Cheng, Ai-Ru & Jahan-Parvar, Mohammad R.
  • 2014 To see is to believe: Common expectations in experimental asset markets
    by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan
  • 2014 Long-run and short-run determinants of sovereign bond yields in advanced economies
    by Poghosyan, Tigran
  • 2014 Hermite polynomial based expansion of European option prices
    by Xiu, Dacheng
  • 2014 A new approach to Bayesian hypothesis testing
    by Li, Yong & Zeng, Tao & Yu, Jun
  • 2014 An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
    by Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y.
  • 2014 Volatility activity: Specification and estimation
    by Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna
  • 2014 Momentum in global equity markets in times of troubles: Does the economic state matter?
    by Grobys, Klaus
  • 2014 Excess volatility and the cross-section of stock returns
    by Wang, Yuming & Ma, Jinpeng
  • 2014 Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation
    by Jouini, Jamel & Harrathi, Nizar
  • 2014 The conditional equity premium, cross-sectional returns and stochastic volatility
    by Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho
  • 2014 Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
    by Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong
  • 2014 The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?
    by Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek
  • 2014 Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market
    by Al-Shboul, Mohammad & Anwar, Sajid
  • 2014 Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
    by Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled
  • 2014 Dynamic sentiment asset pricing model
    by Yang, Chunpeng & Zhang, Rengui
  • 2014 Oil price risk in the Spanish stock market: An industry perspective
    by Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco
  • 2014 Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies
    by Hunter, John & Wu, Feng
  • 2014 Two-period trading sentiment asset pricing model with information
    by Yang, Chunpeng & Li, Jinfang
  • 2014 Model-free CPPI
    by Schied, Alexander
  • 2014 Stock prices and monetary policy shocks: A general equilibrium approach
    by Challe, Edouard & Giannitsarou, Chryssi
  • 2014 Heterogeneous expectations in the gold market: Specification and estimation
    by Baur, Dirk G. & Glover, Kristoffer J.
  • 2014 Credit risk and asymmetric information: A simplified approach
    by Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne
  • 2014 Biased Bayesian learning with an application to the risk-free rate puzzle
    by Ludwig, Alexander & Zimper, Alexander
  • 2014 Recovering default risk from CDS spreads with a nonlinear filter
    by Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon
  • 2014 Excess perks and stock price crash risk: Evidence from China
    by Xu, Nianhang & Li, Xiaorong & Yuan, Qingbo & Chan, Kam C.
  • 2014 Exploitation of the internal capital market and the avoidance of outside monitoring
    by Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S.
  • 2014 Convertible debt and shareholder incentives
    by Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre
  • 2014 Have Exchange Traded Funds Influenced Commodity Market Volatility?
    by Shaen Corbet & Cian Twomey
  • 2014 Equity Returns, Firm-Specific Characteristics and Sector Rotation: Evidence from Turkey
    by Selahattin GURIS & Aynur PALA
  • 2014 Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market
    by Chin-Sheng Huang & Chun-Fan You
  • 2014 Stock Prices and Implied Abnormal Earnings Growth
    by Hafiz Imtiaz AHMAD & Pascal ALPHONSE
  • 2014 Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013
    by Bernales, A. & Dugast, J.
  • 2014 Romania'S Macroeconomic Position In The Union Europe
    by Oana Camelia IACOB & Ana-Maria VOLINTIRU
  • 2014 Stock Prices, News, and Economic Fluctuations: Comment
    by Andr? Kurmann & Elmar Mertens
  • 2014 Monetary Policy and Rational Asset Price Bubbles
    by Jordi Gal?
  • 2014 A Macroeconomic Model with a Financial Sector
    by Markus K. Brunnermeier & Yuliy Sannikov
  • 2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
    by Jonathan H. Wright
  • 2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
    by Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu
  • 2014 Estimating a Structural Model of Herd Behavior in Financial Markets
    by Marco Cipriani & Antonio Guarino
  • 2013 A heterogeneous agents equilibrium model for the term structure of bond market liquidity
    by Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese
  • 2013 Art Market Inefficiency
    by Geraldine David & Kim Oosterlinck & Ariane Szafarz
  • 2013 Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    by Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen
  • 2013 Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
    by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta
  • 2013 The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
    by Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang
  • 2013 The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data
    by Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta
  • 2013 House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
    by Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak
  • 2013 Recursive utility and disappearing puzzles for discrete-time models
    by Aase, Knut K.
  • 2013 Recursive utility and disappearing puzzles for continuous-time models
    by Aase, Knut K.
  • 2013 ECB monetary operations and the interbank repo market
    by Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey
  • 2013 Central Clearing and Asset Prices
    by Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican
  • 2013 Economic Valuation of Liquidity Timing
    by Dennis Karstanje & Elvira Sojli & Wing Wah Tahm & Michel van der Wel
  • 2013 A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
    by Charles S. Bos & Pawel Janus
  • 2013 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
    by Roel Beetsma & Massimo Giuliodori
  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Mean-Variance Hedging on uncertain time horizon in a market with a jump
    by Ngoupeyou, Armand & Lim, Thomas & Kharroubi, Idris
  • 2013 Hedging Inflation Risk in a Developing Economy
    by Signori, Ombretta & Brière, Marie
  • 2013 Price relationships in crude oil futures: new evidence from CFTC disaggregated data
    by Chevallier, Julien
  • 2013 Ombres et lumières des ETF
    by Hamon, Jacques
  • 2013 Risque d'estimation, coût du capital et communication des tests de dépréciation
    by Paugam, Luc & Ramond, Olivier & Husson, Bruno & Philippe, Henri & Casta, Jean-François
  • 2013 The Interval Market Model in Mathematical Finance
    by Bernhard, Pierre & Engwerda, Jacob C. & Roorda, Berend & Schumacher, J.M. & Kolokoltsov, Vassili & Saint-Pierre, Patrick & Aubin, Jean-Pierre
  • 2013 Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales
    by Ramona Dagostino
  • 2013 Estimating the Probability of a Lost Decade for U.S. and Global Equity
    by LeBaron, Blake
  • 2013 Implied Cost of Equity Capital in the U.S. Insurance Industry
    by Nissim, Doron
  • 2013 Valuing Financial Service Firms
    by Damodaran, Aswath
  • 2013 Understanding the Sum of Perpetuities Method for Valuing Stock Prices
    by Dennis W. Jansen
  • 2013 German Open Ended Real Estate Fund Performance – The Impact of Liquidity
    by Michael Stein
  • 2013 What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market
    by Işıl EROL & Adem İLERİ
  • 2013 Bireysel Yatırımcı Davranışı Analizi: Anket Çalışması
    by Belma ÖZTÜRKKAL
  • 2013 Reward-to-Risk Ratios in Turkish Financial Markets
    by K. Ozgur DEMİRTAS & Yigit ATILGAN
  • 2013 EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011
    by Francisco López Herrera & Francisco Venegas Martínez & César Gurrola Ríos
  • 2013 Limelight on dark markets: an experimental study of liquidity and information
    by Aleksander Berentsen & Michael McBride & Guillaume Rocheteau
  • 2013 Systematic consumption risk in currency returns
    by Mathias Hoffmann & Rahel Suter
  • 2013 Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry
    by Raphael Flepp & Stephan Nüesch & Egon Franck
  • 2013 Return and risk of human capital contracts
    by Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa
  • 2013 Asset pricing without garbage
    by Kroencke, Tim A.
  • 2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience
    by Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen
  • 2013 GDP mimicking portfolios and the cross-section of stock returns
    by Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik
  • 2013 Sovereign risk premia: The link between fiscal rules and stability culture
    by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander
  • 2013 Sovereign risk premia: The link between fiscal rules and stability culture
    by Osterloh, Steffen & Heinemann, Friedrich & Kalb, Alexander
  • 2013 Are There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests
    by Chen, Wenjuan & Bettendorf, Timo
  • 2013 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
    by Posch, Olaf & Schrimpf, Andreas
  • 2013 Competition in Austrian Treasury Auctions
    by Zulehner, Christine & Elsinger, Helmut & Schmidt-Dengler, Philipp
  • 2013 Persistence in the price-to-dividend ratio and its macroeconomic fundamentals
    by Rengel, Malte & Herwartz, Helmut & Xu, Fang
  • 2013 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Westermann, Frank & Steinkamp, Sven
  • 2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses The Swiss Experience
    by Moessinger, Marc-Daniel & Feld, Lars P. & Kalb, Alexander & Osterloh, Steffen
  • 2013 Creative destruction and asset prices
    by Grammig, Joachim & Jank, Stephan
  • 2013 Growth options and firm valuation
    by Kraft, Holger & Schwartz, Eduardo & Weiss, Farina
  • 2013 Option-implied information and predictability of extreme returns
    by Vilkovz, Grigory & Xiaox, Yan
  • 2013 Does mood affect trading behavior?
    by Kaustia, Markku & Rantapuska, Elias
  • 2013 Asset pricing under uncertainty about shock propagation
    by Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph
  • 2013 Financing asset growth
    by Brennan, Michael J. & Kraft, Holger
  • 2013 How does contagion affect general equilibrium asset prices?
    by Branger, Nicole & Kraft, Holger & Meinerding, Christoph
  • 2013 Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
    by Odermann, Alexander & Cremers, Heinz
  • 2013 Functions and characteristics of corporate and sovereign CDS
    by Vogel, Heinz-Dieter & Bannier, Christina E. & Heidorn, Thomas
  • 2013 US Corporate Bond Yield Spread. A default risk debate
    by Shah, Syed Noaman & Kebewar, Mazen
  • 2013 Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market
    by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek
  • 2013 High frequency trading and end-of-day price dislocation
    by Aitken, Michael & Cumming, Douglas & Zhan, Feng
  • 2013 Exchange trading rules, surveillance and insider trading
    by Aitken, Michael & Cumming, Douglas & Zhan, Feng
  • 2013 Which beta is best? On the information content of option-implied betas
    by Baule, Rainer & Korn, Olaf & Saßning, Sven
  • 2013 Market transparency and the marking precision of bond mutual fund managers
    by Cici, Gjergji & Gibson, Scott & Gunduz, Yalin & Merrick, John J.
  • 2013 The correlation puzzle: The interaction of bond and risk correlation
    by Bethke, Sebastian & Kempf, Alexander & Trapp, Monika
  • 2013 A heterogeneous agents equilibrium model for the term structure of bond market liquidity
    by Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese
  • 2013 The price impact of CDS trading
    by Gündüz, Yalin & Nasev, Julia & Trapp, Monika
  • 2013 Monetary policy and stock market volatility
    by Bleich, Dirk & Fendel, Ralf & Rülke, Jan-Christoph
  • 2013 Collateral requirements and asset prices
    by Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl
  • 2013 Bayesian estimation of a DSGE model with asset prices
    by Kliem, Martin & Uhlig, Harald
  • 2013 The price impact of CDS trading
    by Gündüz, Yalin & Nasev, Julia & Trapp, Monika
  • 2013 CDS spreads and systemic risk: A spatial econometric approach
    by Keiler, Sebastian & Eder, Armin
  • 2013 Speculative behavior and the dynamics of interacting stock markets
    by Schmitt, Noemi & Westerhoff, Frank
  • 2013 Firm valuation and the uncertainty of future tax avoidance
    by Jacob, Martin & Schütt, Harm
  • 2013 The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
    by Peter Spencer
  • 2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
    by Peter Spencer
  • 2013 Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model
    by Peter Spencer
  • 2013 What Remains of the Theory of Demand Management in a Globalising World?
    by Amit Bhaduri
  • 2013 A Monthly Stock Exchange Index for Ireland, 1864‐1930
    by Richard S.Grossman & Ronan C. Lyons & Kevin Hjortshøj O’Rourke & Madalina A. Ursu
  • 2013 Herding, Trend Chasing and Market Volatility
    by Corrado Di Guilmi & Xue-Zhong He & Kai Li
  • 2013 Liability Driven Investments under a Benchmark Based Approach
    by Jan Baldeaux & Eckhard Platen
  • 2013 The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model
    by Mikhail Anufriev & Jan Tuinstra
  • 2013 Electricity Spot and Derivatives Pricing when Markets are Interconnected
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
  • 2013 Financing Asset Sales and Business Cycles
    by Arnold, Marc & Hackbarth, Dirk & Puhan, Tatjana-Xenia
  • 2013 Electricity Derivatives Pricing with Forward-Looking Information
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
  • 2013 Understanding FX Liquidity
    by Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul
  • 2013 Common Risk Factors of Infrastructure Firms
    by Ben Ammar, Semir & Eling, Martin
  • 2013 Variance Risk Premiums in Foreign Exchange Markets
    by Ammann, Manuel & Buesser, Ralf
  • 2013 The effects of monetary policy on stock market bubbles: Some evidence
    by Jordi Galí & Luca Gambetti
  • 2013 Recreating the South Sea bubble: Lessons from an experiment in financial history
    by Giovanni Giusti & Charles Noussair & Joachim Voth
  • 2013 On the closed-form approximation of short-time random strike options
    by Elisa Alòs & Jorge A. León
  • 2013 Aging and Real Estate Prices:Evidence from Japanese and US Regional Data
    by Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe
  • 2013 Credit in the Structure of the Market Quotation of Financial Assets in Relation to the Islamic Financial Laws
    by Magomet Yandiev & Renat Bekkin
  • 2013 The relationship between stock market parameters and interbank lending market: an empirical evidence
    by Magomet Yandiev & Alexander Pakhalov
  • 2013 Robust block bootstrap panel predictability tests
    by Westerlund J. & Smeekes S.
  • 2013 Negotiation and the clustering of corporate loan spreads
    by Chaudhry S.M. & Kleimeier S.
  • 2013 Valuation Adjustments for Non-Systematic Risk in Business Valuation Practice Under the Fair Market Value Standard
    by Peter Dawson
  • 2013 Calculating Reliable Discounts for Lack of Marketability for Minority Family Limited Partnership Interest using a Managed Asset Portfolio Market Analysis
    by Peter Dawson
  • 2013 The Capital Asset Pricing Model in Economic Perspective
    by Peter Dawson
  • 2013 Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
    by Alberto Fernández Muñoz de Morales
  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market
    by Pilar Abad & M. Dolores Robles & Gare Cuervo
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector
    by Marcelo Bianconi & Joe A. Yoshino
  • 2013 Real and financial crises
    by Mark Setterfield & Bill Gibson
  • 2013 Price signals in illiquid markets:The case of residential property in Ireland, 2006-2012
    by Ronan C. Lyons
  • 2013 Endogenous Life-Cycle Housing Investment and Portfolio Allocation
    by Cengiz Tunc & Denis Pelletier
  • 2013 Yield Curve Estimation for Corporate Bonds in Turkey
    by Ibrahim Burak Kanli & Doruk Kucuksarac & Ozgur Ozel
  • 2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
    by Doruk Kucuksarac & Ozgur Ozel
  • 2013 Market-Based Measurement of Expectations on Short-Term Rates in Turkey
    by Ibrahim Burak Kanli
  • 2013 Measuring the performance of hedge funds using two-stage peer group benchmarks
    by Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick
  • 2013 The equity price channel in a New-Keynesian DSGE model with financial frictions and banking
    by Hylton Hollander & Guangling Liu
  • 2013 Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions
    by Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov
  • 2013 Short Selling and Inside Information
    by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti
  • 2013 Short-Sellers: Informed but Restricted
    by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti
  • 2013 Conditional Betas and Investor Uncertainty
    by Fernando D. Chague
  • 2013 Art Market Inefficiency
    by Geraldine David & Kim Oosterlinck & Ariane Szafarz
  • 2013 Time variation in asset price responses to macro announcements
    by Linda S. Goldberg & Christian Grisse
  • 2013 Providing Financial Education: A General Equilibrium Approach
    by Mario Padula & Yuri Pettinicchi
  • 2013 Bubbles, Crashes and Risk
    by William A. Branch & George W. Evans
  • 2013 The Equity Price Channel in a New-Keynesian DSGE Model with Financial Frictions and Banking
    by Hylton Hollander and Guangling Liu
  • 2013 Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents
    by Michael Stein & Daniel Piazolo & Stoyan V. Stoyanov
  • 2013 German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability
    by Michael Stein
  • 2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
    by Joscha Beckmann & Ansgar Belke & Michael Kühl
  • 2013 High Frequency Trading in the Equity Markets During U.S. Treasury POMO
    by Cheng Gao & Bruce Mizrach
  • 2013 Market Quality Breakdowns in Equities
    by Cheng Gao & Bruce Mizrach
  • 2013 The impact of the French Tobin tax
    by Leonardo Becchetti & Massimo Ferrari & Ugo Trenta
  • 2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run
    by Joscha Beckmann & Ansgar Belke & Michael Kuehl
  • 2013 The Industry-Specific Relationships between Corporate Financial Performance and 11 Corporate Social Performance Dimensions: Taking a More Nuanced Perspective
    by Rathner, Sebastian
  • 2013 The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria
    by Rathner, Sebastian
  • 2013 Two Pillars of Asset Pricing
    by Fama, Eugene F.
  • 2013 Uncertainty Outside and Inside Economic Models
    by Hansen, Lars Peter
  • 2013 Speculative Asset Prices
    by Shiller, Robert J.
  • 2013 Interview with 2013 Laureate in Economic Sciences Eugene F. Fama
    by Fama, Eugene F.
  • 2013 Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
    by Hansen, Lars Peter
  • 2013 nterview with 2013 Laureate in Economic Sciences Robert J. Shiller
    by Shiller, Robert J.
  • 2013 Trendspotting in Asset Markets
    by Committee, Nobel Prize
  • 2013 Understanding Asset Prices
    by Committee, Nobel Prize
  • 2013 The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis
    by Chionis, Dionisios & Pragidis, Ioannis & Schizas, Panagiotis
  • 2013 The impact of the French Tobin tax
    by Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo
  • 2013 The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
    by Azis, Iwan J. & Mitra, Sabyasachi & Baluga, Anthony & Dime, Roselle
  • 2013 Risk Preferences and Estimation Risk in Portfolio Choice
    by Hao Liu & Winfried Pohlmeier
  • 2013 Learning Through the Yield Curve
    by Ortiz, Marco
  • 2013 Liquidity Shocks and the US Housing Credit Crisis of 2007–2008
    by Gianni La Cava
  • 2013 New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study
    by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner
  • 2013 The Money Value of a Man
    by Mark Huggett & Greg Kaplan
  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
  • 2013 Discounting Cashflows from Illiquid Assets on Bank Balance Sheets
    by Nauta, Bert-Jan
  • 2013 Investment Decisions by Analysts: A Case Study of KSE
    by Shaikh, Salman
  • 2013 Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
    by Jarraya, Bilel
  • 2013 Multiobjective optimization for the asset allocation of European nonlife insurance companies
    by Jarraya, Bilel & Bouri, Abdelfettah
  • 2013 Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
    by Bai, Jushan & Ando, Tomohiro
  • 2013 Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
    by Hiremath, Gourishankar S & Kumari, Jyoti
  • 2013 Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
    by So, Leh-chyan
  • 2013 Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
    by Lee, Y. & So, Leh-chyan
  • 2013 Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
    by Jensen, Mark J & Maheu, John M
  • 2013 Model uncertainty and expected return proxies
    by Jäckel, Christoph
  • 2013 Oil Price and Exchange Rate Volatility in Nigeria
    by Ogundipe, Adeyemi & Ogundipe, Oluwatomisin
  • 2013 Liquidity Issues in Indian Sovereign Bond Market
    by Nath, Golaka
  • 2013 Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate
    by Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif
  • 2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
    by Nath, Golaka
  • 2013 Repo Market – A Tool to Manage Liquidity in Financial Institutions
    by Nath, Golaka
  • 2013 The Fama French Model or the capital asset pricing model: international evidence
    by Alves, Paulo
  • 2013 Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
    by Siddiqi, Hammad
  • 2013 Interest rate modeling under multiple discounting curves
    by García Muñoz, Luis Manuel
  • 2013 A new financial metric for the art market
    by Charlin, Ventura & Cifuentes, Arturo
  • 2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2013 Survey of Literature on Portfolio Theory
    by Cantillo, Andres
  • 2013 Analogy Making, Option Prices, and Implied Volatility
    by Siddiqi, Hammad
  • 2013 Akciové trhy zemí eurozóny s nejvyšším veřejným zadlužením
    by Kulhanek, Lumir
  • 2013 The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa
    by Ndako, Umar Bida
  • 2013 Size and liquidity effects in Nigeria: an industrial sector study
    by Hearn, Bruce
  • 2013 On the liquidity of CAC 40 index options Market
    by François-Heude, Alain & Yousfi, Ouidad
  • 2013 A Generalization of Gray and Whaley's Option
    by François-Heude, Alain & Yousfi, Ouidad
  • 2013 Price, Return and Volatility Linkages of Base Metal Futures traded in India
    by Sinha, Pankaj & Mathur, Kritika
  • 2013 Interest rate paradox
    by Ivanov, Sergei
  • 2013 Does Uncovered Interest rate Parity Hold After All?
    by Omer, Muhammad & de Haan, Jakob & Scholtens, Bert
  • 2013 Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
    by Li, Minqiang & Mercurio, Fabio
  • 2013 Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
    by Xiao, Tim
  • 2013 Long-Run Risk and Hidden Growth Persistence
    by Pakos, Michal
  • 2013 The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
    by Xiao, Tim
  • 2013 Funding Cost and a New Capital Model
    by Hannah, Lincoln
  • 2013 An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
    by Xiao, Tim
  • 2013 Testing rational speculative bubbles in Central European stock markets
    by Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel
  • 2013 Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
    by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek
  • 2013 Was there a "Greenspan conundrum" in the Euro area ?
    by Lamé, Gildas
  • 2013 The cross-section of tail risks in stock returns
    by Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen
  • 2013 The drivers of downside equity tail risk
    by Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen
  • 2013 On option pricing in illiquid markets with random jumps
    by El-khatib, Youssef & Hatemi-J, Abdulnasser
  • 2013 US Corporate Bond Yield Spread: A default risk debate
    by SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen
  • 2013 Diversifying Risks in Bond Portfolios: A Cross-border Approach
    by Sun, David & Tsai, Shih-Chuan
  • 2013 Do ambiguity effects survive in experimental asset markets?
    by Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz
  • 2013 A Note on Discounting and Funding Value Adjustments for Derivatives
    by Han, Meng & He, Yeqi & Zhang, Hu
  • 2013 CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
    by García Muñoz, Luis Manuel
  • 2013 The equity premium in a small open economy, and an application to Israel
    by Borenstein, Eliezer & Elkayam, David
  • 2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
    by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy
  • 2013 On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)
    by Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic
  • 2013 Conditional Eurobonds and the Eurozone Sovereign Debt Crisis
    by John Muellbauer
  • 2013 Rare Disasters and the Term Structure of Interest Rates
    by Jerry Tsai
  • 2013 Short-Term Shareholders, Bubbles, And CEO Myopia
    by John Thanassoulis
  • 2013 A monthly stock exchange index for Ireland, 1864-1930
    by Kevin Hjortshøj O'Rourke & Richard S. Grossman & Madalina A. Ursu
  • 2013 Endogenous Leverage and Asset Pricing in Double Auctions
    by Vollbrecht, Hans-Joachim & Summer, Martin & Breuer, Thomas
  • 2013 The Benefits and Costs of Highly Expansionary Monetary Policy
    by Łukasz Rawdanowicz & Romain Bouis & Shingo Watanabe
  • 2013 A tractable framework for zero lower bound Gaussian term structure models
    by Leo Krippner
  • 2013 A Monthly Stock Exchange Index for Ireland, 1864-1930
    by Richard S. Grossman & Ronan C. Lyons & Kevin Hjortshoj O'Rourke & Madalina A. Ursu
  • 2013 Private Information in Markets: A Market Design Perspective
    by Marzena Rostek & Ji Hee Yoon
  • 2013 Parameter Learning in General Equilibrium: The Asset Pricing Implications
    by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer
  • 2013 Maximum likelihood estimation of the equity premium
    by Efstathios Avdis & Jessica A. Wachter
  • 2013 Buffett’s Alpha
    by Andrea Frazzini & David Kabiller & Lasse H. Pedersen
  • 2013 The Cost of Capital for Alternative Investments
    by Jakub W. Jurek & Erik Stafford
  • 2013 The Term Structure of Currency Carry Trade Risk Premia
    by Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan
  • 2013 Moral Hazard, Informed Trading, and Stock Prices
    by Pierre Collin-Dufresne & Vyacheslav Fos
  • 2013 Option Prices in a Model with Stochastic Disaster Risk
    by Sang Byung Seo & Jessica A. Wachter
  • 2013 The Joint Cross Section of Stocks and Options
    by Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici
  • 2013 High Frequency Traders: Taking Advantage of Speed
    by Yacine Aït-Sahalia & Mehmet Saglam
  • 2013 Time Variation in Asset Price Responses to Macro Announcements
    by Linda S. Goldberg & Christian Grisse
  • 2013 Advance Refundings of Municipal Bonds
    by Andrew Ang & Richard C. Green & Yuhang Xing
  • 2013 Portfolio Choice with Illiquid Assets
    by Andrew Ang & Dimitris Papanikolaou & Mark Westerfield
  • 2013 Playing Favorites: How Firms Prevent the Revelation of Bad News
    by Lauren Cohen & Dong Lou & Christopher Malloy
  • 2013 Asset Pricing in the Frequency Domain: Theory and Empirics
    by Ian Dew-Becker & Stefano Giglio
  • 2013 Speculative Investors and Tobin’s Tax in the Housing Market
    by Yuming Fu & Wenlan Qian & Bernard Yeung
  • 2013 Financial Market Shocks and the Macroeconomy
    by Avanidhar Subrahmanyam & Sheridan Titman
  • 2013 Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
    by Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu
  • 2013 Tail Risk and Asset Prices
    by Bryan Kelly & Hao Jiang
  • 2013 Commodity Trade and the Carry Trade: a Tale of Two Countries
    by Robert Ready & Nikolai Roussanov & Colin Ward
  • 2013 Identifying Taylor Rules in Macro-Finance Models
    by David Backus & Mikhail Chernov & Stanley E. Zin
  • 2013 The Twilight Zone: OTC Regulatory Regimes and Market Quality
    by Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner
  • 2013 Risk-Adjusting the Returns to Venture Capital
    by Arthur Korteweg & Stefan Nagel
  • 2013 Asset Pricing in the Dark: The Cross Section of OTC Stocks
    by Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock
  • 2013 Regression Discontinuity and the Price Effects of Stock Market Indexing
    by Yen-cheng Chang & Harrison Hong & Inessa Liskovich
  • 2013 Time Varying Risk Aversion
    by Luigi Guiso & Paola Sapienza & Luigi Zingales
  • 2013 Environmental Protection, Rare Disasters, and Discount Rates
    by Robert J. Barro
  • 2013 Waves in Ship Prices and Investment
    by Robin Greenwood & Samuel Hanson
  • 2013 Unemployment Crises
    by Nicolas Petrosky-Nadeau & Lu Zhang
  • 2013 Search for a Common Factor in Public and Private Real Estate Returns
    by Andrew Ang & Neil Nabar & Sam Wald
  • 2013 X-CAPM: An Extrapolative Capital Asset Pricing Model
    by Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer
  • 2013 Commodity and Asset Pricing Models: An Integration
    by Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz
  • 2013 Financial-market Equilibrium with Friction
    by Adrian Buss & Bernard Dumas
  • 2013 Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy
    by Rajnish Mehra
  • 2013 Flights to Safety
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei
  • 2013 'Lucas' In The Laboratory
    by Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame
  • 2013 Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files
    by Nicole M. Aulerich & Scott H. Irwin & Philip Garcia
  • 2013 Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity
    by Venky Venkateswaran & Randall Wright
  • 2013 The VIX, the Variance Premium and Stock Market Volatility
    by Geert Bekaert & Marie Hoerova
  • 2013 Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
    by Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist
  • 2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    by Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos
  • 2013 Bubbles, Crises, and Heterogeneous Beliefs
    by Wei Xiong
  • 2013 Conditional Risk Premia in Currency Markets and Other Asset Classes
    by Martin Lettau & Matteo Maggiori & Michael Weber
  • 2013 Growth Options and Firm Valuation
    by Holger Kraft & Eduardo S. Schwartz & Farina Weiss
  • 2013 A Production-Based Model for the Term Structure
    by Urban Jermann
  • 2013 A Mean-Variance Benchmark for Intertemporal Portfolio Theory
    by John H. Cochrane
  • 2013 Gold Returns
    by Robert J. Barro & Sanjay P. Misra
  • 2013 Measuring Sovereign Contagion in Europe
    by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon
  • 2013 The Supply and Demand for Safe Assets
    by Gary B. Gorton & Guillermo Ordoñez
  • 2013 Salience and Asset Prices
    by Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer
  • 2013 Expectations of Returns and Expected Returns
    by Robin Greenwood & Andrei Shleifer
  • 2013 Informed Trading and Expected Returns
    by James J. Choi & Li Jin & Hongjun Yan
  • 2013 Technological Innovation: Winners and Losers
    by Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman
  • 2013 A model for dependent defaults and pricing contingent claims with counterparty risk
    by Dariusz Gatarek & Juliusz Jabłecki
  • 2013 Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange
    by Rafał Sieradzki
  • 2013 Price Discontinuities in Energy Spot and Futures Prices
    by Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc
  • 2013 La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)
    by Lisa Mattioli & Riccardo Ferretti
  • 2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli
  • 2013 Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns
    by Claudio Morana
  • 2013 Dynamic behavior of real and stock markets with a varying degree of interaction
    by Ahmad Naimzada & Marina Pireddu
  • 2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
    by Claudio Morana
  • 2013 Determinants of US Financial fragility conditions
    by Fabio C. Bagliano & Claudio Morana
  • 2013 Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    by David Ardia & Kris Boudt
  • 2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
    by Georges Dionne & Olfa Maalaoui Chun
  • 2013 Why Do Analysts Disagree ?
    by Jean-Sébastien Michel & J. Ari Pandes
  • 2013 Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
    by Thorsten Lehnert & Yuehao Lin & Nicolas Martelin
  • 2013 Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
    by Thorsten Lehnert & Yuehao Lin & Nicolas Martelin
  • 2013 Do Fund Investors Know that Risk is Sometimes not Priced?
    by Fabian Irek & Thorsten Lehnert
  • 2013 Do Fund Investors Know that Risk is Sometimes not Priced?
    by Fabian Irek & Thorsten Lehnert
  • 2013 Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas
  • 2013 Market Ecologies: The Interaction and Profitability of Technical Trading Strategies
    by Antony Jackson & Daniel Ladley
  • 2013 Born in the USA? Contagious investor sentiment and UK equity returns
    by Yawen Hudson & Christopher J. Green
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs
    by Chiaki Hara
  • 2013 Pricing of Discount Bonds with a Markov Switching Regime
    by Robert J. Elliott & Katsumasa Nishide
  • 2013 Recent Developments in Financial Economics and Econometrics:An Overview
    by Chia-Lin Chang & David E Allen & Michael McAleer
  • 2013 Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
    by Banu Simmons-Süer
  • 2013 Liquidity Shocks and Stock Market Reactions
    by Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang
  • 2013 Reits' Growth Options and Asset Pricing Dynamics across Time
    by Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu
  • 2013 Exact Solutions for the Transient Densities of Continuous-Time Markov Switching Models - With an Application to the Poisson Multifractal Model
    by Thomas Lux
  • 2013 Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
    by Matteo Falagiarda & Stefan Reitz
  • 2013 Phase Transition in the S&P Stock Market
    by Matthias Raddant & Friedrich Wagner
  • 2013 Discount rates, market frictions and the mystery of the size premium
    by Thiago de Oliveira Souza
  • 2013 External Habit in a Production Economy
    by Andrew Y. Chen
  • 2013 Flight Patterns and Yields of European Government Bonds
    by Gregor von Schweinitz
  • 2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
    by Serguey Khovansky & Zhylyevskyy, Oleksandr
  • 2013 On the time-varying relationship between EMU sovereign spreads and their determinants
    by António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas
  • 2013 Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    by Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen
  • 2013 Can Information Demand Help to Predict Stock Market Liquidity ? Google it !
    by Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon
  • 2013 Regional integration of stock markets in Southeast Europe
    by Khaled Guesmi & Duc Khuong Nguyen
  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
  • 2013 Regional Equity Risk Premium Convergence: The case of Japan
    by Khaled Guesmi & Frédéric Teulon
  • 2013 The Economic Impact of Oil on Industry Portfolios
    by Jaime Casassus & Freddy Higuera
  • 2013 Semiparametricestimationofrisk-Returnrelationships
    by Juan Carlos Escanciano Author-X-Name-First: Juan Carlos Author-X-Name-Last: Escanciano & JuanCarlosPardo-FernándezAuthor-X-Name-First: JuanCarlos Author-X-Name-Last: Pardo-Fernández & IngridVanKeilegomAuthor-X-Name-First: IngridAuthor-X-Name-Last:VanKeilegom
  • 2013 Price efficiency and trading behavior in limit order markets with competing insiders
    by Thomas Stoeckl
  • 2013 A Systematic approach to identify systemically important firms
    by Natasha Agarwal et al
  • 2013 The Importance of Trade and Capital Imbalances in the European Debt Crisis
    by Andrew Hughes Hallett & Juan Carlos Martinez Oliva
  • 2013 The impact of supply constraints on house prices in England
    by Christian A. L. Hilber & Wouter Vermeulen
  • 2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses – The Swiss experience
    by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh
  • 2013 State Price Densities implied from weather derivatives
    by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &
  • 2013 Decomposing Risk in Dynamic Stochastic General Equilibrium
    by Hong Lan & Alexander Meyer-Gohde & &
  • 2013 Fair re-valuation of wine as an investment
    by Fabian Y.R.P. Bocart & Christian M. Hafner & &
  • 2013 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data
    by Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu
  • 2013 Colog asset pricing, evidence from emerging markets
    by Dranev Yury & Fomkina Sofya
  • 2013 A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data
    by Victor Lapshin & Marat Kurbangaleev
  • 2013 An asymmetric approach to the cost of equity estimation: empirical evidence from Russia
    by Yury Dranev & Sofya Fomkina
  • 2013 Predicting the Spread of Financial Innovations: An Epidemiological Approach
    by Hull, Isaiah
  • 2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
    by Baum, Christopher & Karpava, Margarita & Schäfer, Dorothea & Stephan, Andreas
  • 2013 Growth Forecasts, Belief Manipulation and Capital Markets
    by Lundtofte, Frederik & Leoni, Patrick
  • 2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
    by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy
  • 2013 Is Default Risk Priced in Equity Returns?
    by Yinxia G. Nielsen , Caren
  • 2013 Does Commonality in Illiquidity Matter to Investors?
    by Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger
  • 2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
    by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy
  • 2013 Welfare and bond pricing implications of fiscal stabilization policies
    by Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha
  • 2013 In search of concepts: The effects of speculative demand on returns and volume
    by ap Gwilym, Owain & Wang, Qingwei & Hasan, Iftekhar & Xie, Ru
  • 2013 Macro determinants of U.S. stock market risk premia in bull and bear markets
    by Baetje, Fabian & Menkhoff, Lukas
  • 2013 Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds
    by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias
  • 2013 Information Environment and The Cost of Capital
    by Orie Barron & Xuguang Sheng & Maya Thevenot
  • 2013 The GST and mortgage costs: Australian evidence
    by Allen Huang & Benjamin Liu
  • 2013 The impact of the Goods and Services Tax on mortgage costs of Australian credit unions
    by Benjamin Liu & Allen Huang
  • 2013 Insolvency Traps and Multiple Equilibria Complex Dynamics in a Simple Bond Market
    by Alfredo Medio
  • 2013 On the time-varying relationship between EMU sovereign spreads and their determinants
    by António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas
  • 2013 No Good Deals - No Bad Models
    by Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges
  • 2013 Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism
    by Ahmad K Naimzada & Giorgio Ricchiuti
  • 2013 Momentum and the term structure of interest rates
    by Durham, J. Benson
  • 2013 Arbitrage-free models of stocks and bonds
    by Durham, J. Benson
  • 2013 The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors
    by D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy
  • 2013 Bubbles and Leverage: A Simple and Unified Approach
    by Bogusz, Theodore & Bogusz, Theodore
  • 2013 A Portfolio-Balance Approach to the Nominal Term Structure
    by King, Thomas B.
  • 2013 Human Capital and Long-Run Labor Income Risk
    by Benzoni, Luca & Chyruk, Olena
  • 2013 Learning, Rare Disasters, and Asset Prices
    by Lu, Yang & Siemer, Michael
  • 2013 Modeling yields at the zero lower bound: are shadow rates the solution?
    by Christensen, Jens H.E. & Rudebusch, Glenn D.
  • 2013 A probability-based stress test of Federal Reserve assets and income
    by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.
  • 2013 Not so fast: high-frequency financial data for macroeconomic event studies
    by Ozdagli, Ali K.
  • 2013 Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare
  • 2013 A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics
    by Assa, Hirbod & Dabbous, Amal & Gospodinov, Nikolay
  • 2013 Do Sound Public Finances Require Fiscal Rules Or Is Market Pressure Enough?
    by Michael Bergman & Michael M. Hutchison & Svend E. Hougaard Jensen
  • 2013 Index-Based Risk Financing and Development of Natural Disaster Insurance Programs in Developing Asian Countries
    by Sommarat CHANTARAT & Kirk PANNANGPETCH & Nattapong PUTTANAPONG & Thanasin TANOMPONGHANDH
  • 2013 The impact of the French Tobin tax
    by Leonardo Becchetti & Massimo Ferrari
  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Lean, H.H. & McAleer, M.J. & Wong, W-K.
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by McAleer, M.J. & Radalj, K.
  • 2013 Consumption and portfolio rules whit stochastic hyperbolic discounting
    by Pérez Kakabadse, Alonso & Palacios Huerta, Ignacio
  • 2013 Debt maturity and the liquidity of secondary debt markets
    by Max Bruche & Anatoli Segura
  • 2013 Attracting investor attention through advertising
    by Dong Lou
  • 2013 Efficient Jacobian evaluations for estimating zero lower bound term structure models
    by Leo Krippner
  • 2013 Faster solutions for Black zero lower bound term structure models
    by Leo Krippner
  • 2013 A tractable framework for zero-lower-bound Gaussian term structure models
    by Leo Krippner
  • 2013 A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
    by Vipin Arora & Shuping Shi
  • 2013 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
    by Alfonso Mendoza Velázquez & Peter N. Smith
  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura
  • 2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
    by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats
  • 2013 External Habit in a Production Economy
    by Chen, Andrew Y.
  • 2013 Tick Size Regulation and Sub-Penny Trading
    by Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M.
  • 2013 Comovement of Corporate Bonds and Equities
    by Bao, Jack & Hou, Kewei
  • 2013 Brand Capital and Firm Value
    by Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana
  • 2013 Discount Rates, Market Frictions and the Mystery of the Size Premium
    by Thiago De Oliveira Souza
  • 2013 Unspanned Macroeconomic Factors in the Yields Curve
    by Laura Coroneo & Domenico Giannone & Michèle Modugno
  • 2013 The Price of Wine
    by Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe
  • 2013 Financing Investment: The Choice between Bonds and Bank Loans
    by Morellec , Erwan & Valta , Philip & Zhdanov , Alexei
  • 2013 What's Beneath the Surface? Option Pricing with Multifrequency Latent States
    by Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold
  • 2013 The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    by Busse, Marc & Dacorogna, Michel & Kratz, Marie
  • 2013 There is a VaR Beyond Usual Approximations
    by Kratz , Marie
  • 2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
    by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie
  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura
  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura
  • 2013 The Impact of Hedge Funds on Asset Markets
    by Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai
  • 2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
    by Henri Audigé
  • 2013 Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
    by Anna Creti & Zied Ftiti & Khaled Guesmi
  • 2013 Systematic tail risk
    by Maarten van Oordt & Chen Zhou
  • 2013 Heterogeneity in house price dynamics
    by Gabriele Galati & Federica Teppa & Rob Alessie
  • 2013 What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
    by Dirk Broeders & Paul Hilbers & David Rijsbergen
  • 2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
    by Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan
  • 2013 Long Memory in the Ukrainian Stock Market
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2013 Central Clearing and Asset Prices
    by Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican
  • 2013 The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
    by Victoria Atanasov & Thomas Nitschka
  • 2013 Economic Valuation of Liquidity Timing
    by Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel
  • 2013 A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
    by Charles S. Bos & Pawel Janus
  • 2013 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
    by Roel Beetsma & Massimo Giuliodori & Frank de Jong & Daniel Widijanto
  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giusti, G. & Noussair, C.N. & Voth, H-J.
  • 2013 The Returns on Investment Grade Diamonds
    by Renneboog, L.D.R.
  • 2013 Evolutionary beliefs and financial markets
    by Napp, Clotilde & Viossat, Yannick & Jouini, Elyès
  • 2013 The links between some European financial factors and the BRICS credit default swap spreads
    by Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan
  • 2013 Real Asset Valuation under Imperfect Competition: Can We Forget About Market Fundamentals?
    by Chaton, Corinne & Durand-Viel, Laure
  • 2013 Do corporate bond and credit default swap markets value environmental, social or corporate governance events?
    by Berg, Florian & Le Pen, Yannick
  • 2013 Reviewing the Leverage Cycle
    by Ana Fostel & John Geanakoplos
  • 2013 Financial Innovation, Collateral and Investment
    by Ana Fostel & John Geanakoplos
  • 2013 Is there asymmetry in the distribution of government bond returns in developed countries?
    by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura
  • 2013 Was there a « Greenspan Conundrum » in the Euro area?
    by G. LAMÉ
  • 2013 Regime Switching and Bond Pricing
    by Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne
  • 2013 Was there a "Greenspan conundrum" in the Euro Area ?
    by Gildas Lamé
  • 2013 Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
    by Thorsten Lehnert & Yuehao Lin & Nicolas Martelin
  • 2013 Do Fund Investors Know that Risk is Sometimes not Priced?
    by Fabian Irek & Thorsten Lehnert
  • 2013 Identifying Taylor rules in macro-finance models
    by Backus, David & Chernov, Mikhail & Zin, Stanley E.
  • 2013 Risk-Adjusting the Returns to Venture Capital
    by Korteweg, Arthur & Nagel, Stefan
  • 2013 Time Varying Risk Aversion
    by Guiso, Luigi & Sapienza, Paola & Zingales, Luigi
  • 2013 Providing financial education: a general equilibrium approach
    by Padula, Mario & Pettinicchi, Yuri
  • 2013 Volatility Risk Premia and Exchange Rate Predictability
    by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio
  • 2013 Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio
  • 2013 Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence
    by Albuquerque, Rui & Durnev, Artyom & Koskinen, Yrjö
  • 2013 Economic Cycles and Expected Stock Returns
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio
  • 2013 Financial-market Equilibrium with Friction
    by Buss, Adrian & Dumas, Bernard J
  • 2013 Asset Prices with Heterogeneity in Preferences and Beliefs
    by Bhamra, Harjoat Singh & Uppal, Raman
  • 2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    by Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri
  • 2013 Identification and Inference Using Event Studies
    by Gürkaynak, Refet S. & Wright, Jonathan
  • 2013 Forecasting Stock Returns under Economic Constraints
    by Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen
  • 2013 Distilling the Macroeconomic News Flow
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio
  • 2013 Skewness Risk Premium: Theory and Empirical Evidence
    by Lehnert, Thorsten & Lin, Yuehao & Wolff, Christian C
  • 2013 A Theory of Asset Prices based on Heterogeneous Information
    by Albagli, Elias & Hellwig, Christian & Tsyvinski, Aleh
  • 2013 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
    by Farmer, Roger E A & Nourry, Carine & Venditti, Alain
  • 2013 Optimal Discount Rates for Investments in Mitigation and Adaptation
    by Rob Aalbers
  • 2013 Can geography lock a society in stagnation?
    by DAO, Nguyen-Thang & DAVILA, Julio
  • 2013 Can federal reserve policy deviation explain response patterns of financial markets over time?
    by WANG, Kent & WANG, Shin-Huei & PAN, Zheyao
  • 2013 Fair re-valuation of wine as an investment
    by BOCART, Fabian & HAFNER, Christian
  • 2013 Debt Maturity And The Liquidity Of Secondary Debt Markets
    by Max Bruche & Anatoli Segura
  • 2013 Disaster Risk in a New Keynesian Model
    by Marlène Isoré & Urszula Szczerbowicz
  • 2013 Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    by Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou
  • 2013 Cyclical Asset Returns in the Consumption and Investment Goods Sector
    by Burkhard Heer & Alfred Maussner & Bernd Süssmuth
  • 2013 Systematic Consumption Risk in Currency Returns
    by Mathias Hoffmann & Rahel Suter
  • 2013 What do the Fama-French Factors Add to C-CAPM?
    by Pongrapeeporn Abhakorn & Peter N. Smith & Michael Wickens
  • 2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience
    by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh
  • 2013 Asset Pricing with Uncertain Betas: A Long-Term Perspective
    by Christian Gollier
  • 2013 A Search-Theoretic Model of the Term Premium
    by Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer
  • 2013 Factor-Based Time Changes: Properties and Fit
    by Elisa Luciano & Marina Marena & Patrizia Semeraro
  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
    by Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard
  • 2013 A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance
    by João Pinto & Manuel Marques & William Megginson
  • 2013 To Predict the Equity Market, Consult Economic Theory
    by Davide Pettenuzzo
  • 2013 Forecasting Stock Returns under Economic Constraints
    by Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov
  • 2013 Casual Link Between Islamic and Conventional Banking: Evidence From Turkish Banking Sector
    by Serkan Yuksel & Mutahhar Erturk
  • 2013 Trading Puzzle, Puzzling Trade
    by Orhan Erdem & Evren Arik & Serkan Yüksel
  • 2013 Determining Systemic Risk Factors in Borsa Istanbul
    by Serkan Yuksel
  • 2013 Sovereign Contagion in Europe: Evidence from the CDS Market
    by P. Manasse & L. Zavalloni
  • 2013 Likelihood inference in non-linear term structure models: the importance of the lower bound
    by Andreasen, Martin & Meldrum, Andrew
  • 2013 Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
    by Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan
  • 2013 The market microstructure approach to foreign exchange - Looking back and looking forward
    by Michael R. King & Carol Osler & Dagfinn Rime
  • 2013 House prices, expectations, and time-varying fundamentals
    by Paolo Gelain & Kevin J. Lansing
  • 2013 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
    by Frank Riedel & Frederik Herzberg
  • 2013 The Determinants Of Cds Spreads
    by Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion
  • 2013 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Jordi Galí & Luca Gambetti
  • 2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth
  • 2013 Speculation, Risk Premia and Expectations in the Yield Curve
    by Francisco Barillas & Kristoffer Nimark
  • 2013 Stock Market Volatility and Learning
    by Klaus Adam & Albert Marcet & Juan Pablo Nicolini
  • 2013 Regime Switching and Bond Pricing
    by Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P.
  • 2013 Pricing Default Events: Surprise, Exogeneity and Contagion
    by Gouriéroux, C. & Monfort, A. & Renne, J-P.
  • 2013 Credit and Liquidity in Interbank Rates: a Quadratic Approach
    by Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G.
  • 2013 Macroeconomic and monetary policy surprises and the term structure of interest rates
    by Marcello Pericoli
  • 2013 Regime Switches in the Risk-Return Trade-Off
    by Eric Ghysels & Pierre Guérin & Massimiliano Marcellino
  • 2013 The Financialization of Food?
    by Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe
  • 2013 Which Parametric Model for Conditional Skewness?
    by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap
  • 2013 Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
    by Sermin Gungor & Richard Luger
  • 2013 Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
    by Jianjian Jin
  • 2013 A New Linear Estimator for Gaussian Dynamic Term Structure Models
    by Antonio Diez de los Rios
  • 2013 The Impact of Monetary Policy Surprises on Australian Financial Futures Markets
    by Xinsheng Lu & Ying Zhou & Mingting Kou
  • 2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
    by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats
  • 2013 The Fine Structure of Equity-Index Option Dynamics
    by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen
  • 2013 Correlation Dynamics and International Diversification Benefits
    by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin
  • 2013 Illiquidity Premia in the Equity Options Market
    by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui
  • 2013 The Factor Structure in Equity Options
    by Peter Christoffersen & Mathieu Fournier & Kris Jacobs
  • 2013 Dynamic Diversification in Corporate Credit
    by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois
  • 2013 Rare Disasters and Credit Market Puzzles
    by Peter Christoffersen & Du Du & Redouane Elkamhi
  • 2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    by Torben G. Andersen & Oleg Bondarenko
  • 2013 Does Realized Skewness Predict the Cross-Section of Equity Returns?
    by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez
  • 2013 Sticky continuous processes have consistent price systems
    by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit
  • 2013 Classifying Returns as Extreme: European Stock and Bond Markets
    by Charlotte Christiansen
  • 2013 Risk-Return Trade-Off for European Stock Markets
    by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva
  • 2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
    by Daniela Osterrieder
  • 2013 Bond return predictability in expansions and recessions
    by Tom Engsted & Stig V. Møller & Magnus Sander
  • 2013 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
    by Tom Engsted & Thomas Q. Pedersen
  • 2013 States, Banks, and the Financing of the Economy: Fiscal Policy and Sovereign Risk Perspectives
    by Morten Balling & Peter Egger & Ernest Gnan & Axel A. Weber & Harald W. Stieber & Stavros Vourloumis & António Afonso & João Tovar Jalles & Franco Bruni & André van Poeck & Maartje Wijffelaars & Séverine Menguy & Wim Boonstra & Allard Bruinshoofd & Aneta Hryckiewicz
  • 2013 Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone
    by Silvo Dajcman
  • 2013 Commodity Prices, Convenience Yields, and Inflation
    by Nikolay Gospodinov & Serena Ng
  • 2013 What Does the Yield Curve Tell Us about Exchange Rate Predictability?
    by Yu-chin Chen & Kwok Ping Tsang
  • 2013 Endogenous indeterminacy and volatility of asset prices under ambiguity
    by Mandler, Michael
  • 2013 Liquidity hoarding
    by Gale, Douglas & Yorulmazer, Tanju
  • 2013 Models Of Capital Costs Quantification
    by Tomáš KLIEŠTIK & Katarína VALÁŠKOVÁ
  • 2013 Exponential Smoothing Technique In Correlation Structure Forecasting Of Visegrad Country Indices
    by Jozef GLOVA
  • 2013 Country Risk Modelling Using Time-Varying Fundamental Beta Approach: A Visegrad Group Countries And Romania Perspective
    by Jozef GLOVA & Damián PASTOR
  • 2013 The Effect Of 2008 Stock Market Crash On Underpricing Of Book-Built Ipos: A Study Of Indian Capital Market
    by DIVYA JINDAL & RAVI SINGLA
  • 2013 Impact Of Hartal On Stock Return And Turnover: Evidence From Bangladesh
    by BOKHTIAR HASAN & A. F. M. MAINUL AHSAN & AFZALUR RAHAMAN
  • 2013 The Impact Of Investor Psychology On Stock Markets: Evidence From France
    by ABDERRAZAK DHAOUI & SAAD BOUROUIS & MELEK ACAR BOYACIOGLU
  • 2013 Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles
    by Xi Chen & Michael Funke
  • 2013 Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives
    by Jan Babecký & Luboš Komárek & Zlatuše Komárková
  • 2013 Liquidity in asset pricing: New Australian evidence using low-frequency data
    by Daniel Chai & Robert Faff & Philip Gharghori
  • 2013 Movements and co-movements across the European asset classes: portfolio allocations and policy implications
    by Michael Donadelli & Lorenzo Prosperi & Federica Romei & Federico Silvestri
  • 2013 Technical Analysis versus Fundamental Analysis of Securities
    by Madalina - Gabriela ANGHEL
  • 2013 Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach
    by Li-Hung Wu
  • 2013 Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS
    by Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang
  • 2013 The Chinese News Sentiment around Earnings Announcements
    by Yang-Cheng Lu & Yu-Chen Wei
  • 2013 A View on the Risk-Neutral Density Forecasting of the Dax30 Returns
    by Duca, Ioana Andreea & Ruxanda, Gheorghe
  • 2013 Parametric Yield Curve Modeling In An Illiquid And Undeveloped Financial Market
    by Zoricic, Davor & Orsag, Silvije
  • 2013 Nelson-Siegel Yield Curve Model Estimation And The Yield Curve Trading In The Croatian Financial Market
    by Zoricic, Davor & Badurina, Marko
  • 2013 Test Of The Fama-French Three-Factor Model In Croatia
    by Dolinar, Denis
  • 2013 Valuation And Investment Profession
    by Dedi, Lidija & Giraudon, Philippe
  • 2013 Greece’s Stock Market Integration with Southeast Europe
    by Guesmi, Khaled & Ftiti, Zied & Abid, Ilyes
  • 2013 Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange
    by Eraslan, Veysel
  • 2013 Comparative study of the evolution of stock returns for listed Romanian companies which received non-repayable structural and cohesion European funds
    by Iulian Panait & George-Daniel Stoian
  • 2013 Asset-Pricing Implications of Biologically Based Non-Expected Utility
    by Emil Iantchev
  • 2013 Volatility Asset Pricing Model as an Alternative Approach?
    by Robert G. Kuklik & Vladislav VACEK
  • 2013 Keynesian Realism and the Present State of Economic Science
    by Asãvoaei Alexandru
  • 2013 The Liquidity of the Financial System and the Sovereign Debt Crisis in Europe – Is There a Solution?
    by Nedelcu Monica Letitia
  • 2013 Economic Value Added And Stakeholders Interests
    by Burja Vasile
  • 2013 The Comparative Risk And Performance Analysis Of Hungarian And Romanian Exchange Indices
    by Tarnaczi Tibor & Kulcsar Edina
  • 2013 Paradoxes Of Modern Stock Exchange Markets
    by CIOBANU Gheorghe & SECHEL Ioana Cristina & &
  • 2013 Investment Funds In Romania
    by COPIL CRINA ANGELA & & &
  • 2013 Technical And Fundamental Anomalies. Paradoxes Of Modern Stock Exchange Markets
    by BAKO Elena Dana & SECHEL Ioana Cristina & &
  • 2013 Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?
    by Schneider, Martin
  • 2013 Nonperforming Loans in CESEE – An Even Deeper Definitional Comparison
    by Barisitz, Stephan
  • 2013 Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions
    by Barisitz, Stephan
  • 2013 The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market
    by Satoshi Sakamaki
  • 2013 Risk and Return in Japanese Equity Market
    by Toshiki Honda
  • 2013 The Risk Parity Portfolio and the Low-Risk Asset Anomaly
    by Kozo Omori
  • 2013 Financial Crises and Risk Premiums in International Interbank Markets
    by Shin-ichi Fukuda & Mariko Tanaka
  • 2013 Reasons for the LIBOR review and its effects on international interbank reference rate quotations
    by Szilárd Erhart & Imre Ligeti & Zoltán Molnár
  • 2013 Sovereign Risk and Asset and Liability Management—Conceptual Issues
    by Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova
  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj
  • 2013 Fiscal determinants of government borrowing costs: do we have only ourselves to blame?
    by Alen Bobetko & Mirna Dumicic & Josip Funda
  • 2013 The Real Options Approach to Valuation: Challenges and Opportunities
    by Eduardo Schwartz
  • 2013 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
    by Paolo Gelain & Kevin J. Lansing & Caterina Mendicino
  • 2013 The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis
    by Alan M. Rai
  • 2013 Analysis of the Serbian Capital Market
    by Jelena Minovic & Vlastimir Vukovic
  • 2013 Financial Integration at Times of Financial Instability
    by Jan Babecky & Lubos Komarek & Zlatuse Komarkova
  • 2013 110 Common Errors in Company Valuations
    by Pablo Fernández & Andrada Bilan
  • 2013 Effects of differences of opinions and short-sale constraints on the dual listed Chinese shares
    by Zhenmin Fang & Xin Jiang
  • 2013 Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
    by Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado
  • 2013 Seasonal affective disorder: onset and recovery
    by Khaled, Mohammed S. & Keef, Stephen P.
  • 2013 Mutual fund performance in Tunisia: A multivariate GARCH approach
    by Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem
  • 2013 The persistence of European mutual fund performance
    by Vidal-García, Javier
  • 2013 Asset prices and exchange risk: Empirical evidence from Canada
    by Samson, Lucie
  • 2013 Hedging inflation risk in a developing economy: The case of Brazil
    by Brière, Marie & Signori, Ombretta
  • 2013 Does stock market development always improve firm-level financing? Evidence from Tunisia
    by Lagoarde-Segot, Thomas
  • 2013 The high returns to low volatility stocks are actually a premium on high quality firms
    by Walkshäusl, Christian
  • 2013 Asset pricing under quantile utility maximization
    by Giovannetti, Bruno C.
  • 2013 The conditional relation between dispersion and return
    by Demirer, Rıza & Jategaonkar, Shrikant P.
  • 2013 Causality between trading volume and returns: Evidence from quantile regressions
    by Gebka, Bartosz & Wohar, Mark E.
  • 2013 Country-specific idiosyncratic risk and global equity index returns
    by Hueng, C. James & Yau, Ruey
  • 2013 Nonlinear earnings persistence
    by Cheng, Che-Hui & Wu, Po-Chin
  • 2013 Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies
    by Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian
  • 2013 Orthogonalized factors and systematic risk decomposition
    by Klein, Rudolf F. & Chow, Victor K.
  • 2013 New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
    by Zeng, Zheng
  • 2013 Religion and returns in Europe
    by Salaber, Julie
  • 2013 Sovereign default risk and decentralization: Evidence for emerging markets
    by Eichler, Stefan & Hofmann, Michael
  • 2013 Capital gains, illiquidity, and stock returns
    by Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng
  • 2013 Tax reform and the identity of marginal traders around ex-dividend days
    by Tseng, Yun-lan & Hu, Shing-yang
  • 2013 Interbank market, stock market, and bank performance in East Asia
    by Inoguchi, Masahiro
  • 2013 Is there a volatility effect in the Hong Kong stock market?
    by Nartea, Gilbert V. & Wu, Ji
  • 2013 Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence
    by Shams, Syed M.M. & Gunasekarage, Abeyratna & Colombage, Sisira R.N.
  • 2013 Insider trading, accrual abuse, and corporate governance in emerging markets — Evidence from Taiwan
    by Tang, Hui-wen & Chen, Anlin & Chang, Chong-Chuo
  • 2013 Can US economic variables predict the Chinese stock market?
    by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen
  • 2013 Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
    by Docherty, Paul & Chan, Howard & Easton, Steve
  • 2013 An empirical study of credit spreads in an emerging market: The case of Korea
    by Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon
  • 2013 Investors' information advantage and order choices in an order-driven market
    by Tsai, Shih-Chuan
  • 2013 The price of sin in the Pacific-Basin
    by Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian
  • 2013 Liquidity commonality among Asian equity markets
    by Wang, Jianxin
  • 2013 Weekly momentum by return interval ranking
    by Pan, Li & Tang, Ya & Xu, Jianguo
  • 2013 Asset returns and liquidity effects: Evidence from a developed but small market
    by Nguyen, Nhut H. & Lo, Ka Hei
  • 2013 Information asymmetry, price discovery, and the Chinese B-share discount puzzle
    by Doukas, John A. & Wang, Liu
  • 2013 Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach
    by Tswei, Keshin
  • 2013 Commonality in individuals' trading: A systematic path between behavioral bias and expected returns
    by Chae, Joon & Yang, Cheol-Won
  • 2013 Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange
    by Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang
  • 2013 Return and volatility interaction between oil prices and stock markets in Saudi Arabia
    by Jouini, Jamel
  • 2013 Towards an efficient stock market: Empirical evidence from the Indian market
    by Majumder, Debasish
  • 2013 Consumption benefits and gambling: Evidence from the NCAA basketball betting market
    by Humphreys, Brad R. & Paul, Rodney J. & Weinbach, Andrew P.
  • 2013 Testing for rational bubbles in the US housing market
    by Kivedal, Bjørnar Karlsen
  • 2013 Soft information and economic activity: Evidence from the Beige Book
    by Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul
  • 2013 Consumption and stock prices: Evidence from a small international panel
    by McMillan, David G.
  • 2013 Stock returns and monetary policy: Are there any ties?
    by Bouakez, Hafedh & Essid, Badye & Normandin, Michel
  • 2013 How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s
    by Chen, Sichong
  • 2013 The investment technology of foreign and domestic institutional investors in an emerging market
    by Patnaik, Ila & Shah, Ajay
  • 2013 The market microstructure approach to foreign exchange: Looking back and looking forward
    by King, Michael R. & Osler, Carol L. & Rime, Dagfinn
  • 2013 Dynamic expectation formation in the foreign exchange market
    by ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J.
  • 2013 What drives corporate default risk premia? Evidence from the CDS market
    by Díaz, Antonio & Groba, Jonatan & Serrano, Pedro
  • 2013 Spread the news: The impact of news on the European sovereign bond markets during the crisis
    by Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel
  • 2013 Inflation illusion and the US dividend yield: Some further evidence
    by Acker, Daniella & Duck, Nigel W.
  • 2013 Rare event risk and emerging market debt with heterogeneous beliefs
    by Dieckmann, Stephan & Gallmeyer, Michael
  • 2013 The smallest firm effect: An international study
    by De Moor, Lieven & Sercu, Piet
  • 2013 Can cross-country portfolio rebalancing give rise to forward bias in FX markets?
    by Chang, Sanders S.
  • 2013 The economics of options-implied inflation probability density functions
    by Kitsul, Yuriy & Wright, Jonathan H.
  • 2013 Quiet bubbles
    by Hong, Harrison & Sraer, David
  • 2013 Political uncertainty and risk premia
    by Pástor, Ľuboš & Veronesi, Pietro
  • 2013 Do jumps contribute to the dynamics of the equity premium?
    by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei
  • 2013 Predicting market returns using aggregate implied cost of capital
    by Li, Yan & Ng, David T. & Swaminathan, Bhaskaran
  • 2013 Liquidity risk of corporate bond returns: conditional approach
    by Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.
  • 2013 Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis
    by Aharoni, Gil & Grundy, Bruce & Zeng, Qi
  • 2013 The economics of hedge funds
    by Lan, Yingcong & Wang, Neng & Yang, Jinqiang
  • 2013 Investment shocks and the commodity basis spread
    by Yang, Fan
  • 2013 Predictability of currency carry trades and asset pricing implications
    by Bakshi, Gurdip & Panayotov, George
  • 2013 Pricing the term structure with linear regressions
    by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel
  • 2013 Company name fluency, investor recognition, and firm value
    by Green, T. Clifton & Jame, Russell
  • 2013 Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms
    by Edelman, Daniel & Fung, William & Hsieh, David A.
  • 2013 The term structure of interbank risk
    by Filipović, Damir & Trolle, Anders B.
  • 2013 The dividend month premium
    by Hartzmark, Samuel M. & Solomon, David H.
  • 2013 Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
    by Joslin, Scott & Le, Anh & Singleton, Kenneth J.
  • 2013 A production-based model for the term structure
    by Jermann, Urban J.
  • 2013 The leverage effect puzzle: Disentangling sources of bias at high frequency
    by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying
  • 2013 The mystery of zero-leverage firms
    by Strebulaev, Ilya A. & Yang, Baozhong
  • 2013 The asset growth effect: Insights from international equity markets
    by Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong
  • 2013 Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
    by D’Amico, Stefania & King, Thomas B.
  • 2013 Risk and return: Long-run relations, fractional cointegration, and return predictability
    by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George
  • 2013 Learning and the disappearing association between governance and returns
    by Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y.
  • 2013 Connecting two markets: An equilibrium framework for shorts, longs, and stock loans
    by Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D.
  • 2013 The role of shorting, firm size, and time on market anomalies
    by Israel, Ronen & Moskowitz, Tobias J.
  • 2013 Cross section of option returns and idiosyncratic stock volatility
    by Cao, Jie & Han, Bing
  • 2013 Anomalies and financial distress
    by Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander
  • 2013 The other side of value: The gross profitability premium
    by Novy-Marx, Robert
  • 2013 Political activism, information costs, and stock market participation
    by Bonaparte, Yosef & Kumar, Alok
  • 2013 Inequality, stock market participation, and the equity premium
    by Favilukis, Jack
  • 2013 Prospect theory, the disposition effect, and asset prices
    by Li, Yan & Yang, Liyan
  • 2013 Innovative efficiency and stock returns
    by Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei
  • 2013 Probability weighting functions implied in options prices
    by Polkovnichenko, Valery & Zhao, Feng
  • 2013 The “out-of-sample” performance of long run risk models
    by Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin
  • 2013 Capacity constraints, investor information, and hedge fund returns
    by Ramadorai, Tarun
  • 2013 Growth options, macroeconomic conditions, and the cross section of credit risk
    by Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona
  • 2013 Growth to value: Option exercise and the cross section of equity returns
    by Ai, Hengjie & Kiku, Dana
  • 2013 Government spending, political cycles, and the cross section of stock returns
    by Belo, Frederico & Gala, Vito D. & Li, Jun
  • 2013 Realizing smiles: Options pricing with realized volatility
    by Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide
  • 2013 Market skewness risk and the cross section of stock returns
    by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris
  • 2013 Are mutual funds sitting ducks?
    by Shive, Sophie & Yun, Hayong
  • 2013 The market for borrowing corporate bonds
    by Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A.
  • 2013 Style investing, comovement and return predictability
    by Wahal, Sunil & Yavuz, M. Deniz
  • 2013 Incomplete markets, liquidation risk, and the term structure of interest rates
    by Challe, Edouard & Le Grand, François & Ragot, Xavier
  • 2013 Consumption and bubbles
    by Loewenstein, Mark & Willard, Gregory A.
  • 2013 Estimating and testing beta pricing models on industries
    by Hammami, Yacine & Lindahl, Anna
  • 2013 Liquidity provision in a limit order book without adverse selection
    by Bayar, Onur
  • 2013 Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price
    by Hüsler, A. & Sornette, D. & Hommes, C.H.
  • 2013 The house doesn’t always win: Evidence of anchoring among Australian bookies
    by McAlvanah, Patrick & Moul, Charles C.
  • 2013 On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's
    by Ebrahim, M. Shahid & Mathur, Ike
  • 2013 Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis
    by Calice, Giovanni & Chen, Jing & Williams, Julian
  • 2013 Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
    by Wang, Yudong & Wu, Chongfeng & Yang, Li
  • 2013 Saving-based asset-pricing
    by Dreyer, Johannes K. & Schneider, Johannes & Smith, William T.
  • 2013 Insiders’ incentives for asymmetric disclosure and firm-specific information flows
    by Jiang, Li & Kim, Jeong-Bon & Pang, Lei
  • 2013 Overconfident individual day traders: Evidence from the Taiwan futures market
    by Kuo, Wei-Yu & Lin, Tse-Chun
  • 2013 Are extreme returns priced in the stock market? European evidence
    by Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt
  • 2013 The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
    by Ederington, Louis H. & Guan, Wei
  • 2013 Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
    by Weiß, Gregor N.F. & Supper, Hendrik
  • 2013 Asymmetry in government bond returns
    by Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke
  • 2013 A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
    by Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei
  • 2013 Suppliers’ and customers’ information asymmetry and corporate bond yield spreads
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling
  • 2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
    by Khovansky, Serguey & Zhylyevskyy, Oleksandr
  • 2013 Sarbanes-Oxley Act and corporate credit spreads
    by Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.
  • 2013 Prospect theory and trading patterns
    by Yao, Jing & Li, Duan
  • 2013 Greasing the wheels of bank lending: Evidence from private firms in China
    by Chen, Yunling & Liu, Ming & Su, Jun
  • 2013 Rewards for downside risk in Asian markets
    by Alles, Lakshman & Murray, Louis
  • 2013 Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju
  • 2013 Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
    by Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina
  • 2013 A behavioral explanation of the value anomaly based on time-varying return reversals
    by Hwang, Soosung & Rubesam, Alexandre
  • 2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
    by Chevapatrakul, Thanaset
  • 2013 The impact of credit rating announcements on credit default swap spreads
    by Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw
  • 2013 Is bank default risk systematic?
    by Fiordelisi, Franco & Marqués-Ibañez, David
  • 2013 Does it help to have friends in high places? Bank stock performance and congressional committee chairmanships
    by Gropper, Daniel M. & Jahera, John S. & Park, Jung Chul
  • 2013 Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
    by Wang, Kent & Liu, Junwei & Liu, Zhi
  • 2013 Revisiting mutual fund performance evaluation
    by Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos
  • 2013 Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
    by Levy, Ariel & Lieberman, Offer
  • 2013 Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly
    by Dutt, Tanuj & Humphery-Jenner, Mark
  • 2013 Can position limits restrain ‘rogue’ trading?
    by ap Gwilym, Rhys & Ebrahim, M. Shahid
  • 2013 Hedge fund liquidity and performance: Evidence from the financial crisis
    by Schaub, Nic & Schmid, Markus
  • 2013 The expectations hypothesis: New hope or illusory support?
    by Jitmaneeroj, Boonlert & Wood, Andrew
  • 2013 Forecasting the size premium over different time horizons
    by Zakamulin, Valeriy
  • 2013 Inference in asset pricing models with a low-variance factor
    by Shang, Hua
  • 2013 Pricing securities with multiple risks: A case of exchangeable debt
    by Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan
  • 2013 Does foreign institutional ownership increase return volatility? Evidence from China
    by Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui
  • 2013 The world price of jump and volatility risk
    by Driessen, Joost & Maenhout, Pascal
  • 2013 Incomplete information, idiosyncratic volatility and stock returns
    by Berrada, Tony & Hugonnier, Julien
  • 2013 No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
    by Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio
  • 2013 Market incompleteness and the equity premium puzzle: Evidence from state-level data
    by Jacobs, Kris & Pallage, Stéphane & Robe, Michel A.
  • 2013 Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
    by Liu, Zhuoshi & Spencer, Peter
  • 2013 Asset financing with credit risk
    by Golbeck, Steven & Linetsky, Vadim
  • 2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
    by Morana, Claudio
  • 2013 Dynamic hedge fund portfolio construction: A semi-parametric approach
    by Harris, Richard D.F. & Mazibas, Murat
  • 2013 Revisiting asset pricing under habit formation in an overlapping-generations economy
    by Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok
  • 2013 Liquidity commonality in commodities
    by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat
  • 2013 Non-marketability and the value of employee stock options
    by Abudy, Menachem & Benninga, Simon
  • 2013 Pricing deviation, misvaluation comovement, and macroeconomic conditions
    by Chang, Eric C. & Luo, Yan & Ren, Jinjuan
  • 2013 Analyzing determinants of bond yield spreads with Bayesian Model Averaging
    by Maltritz, Dominik & Molchanov, Alexander
  • 2013 Liquidation equilibrium with seniority and hidden CDO
    by Gourieroux, C. & Heam, J.C. & Monfort, A.
  • 2013 Economic valuation of liquidity timing
    by Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel
  • 2013 Did capital infusions enhance bank recovery from the great recession?
    by Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R.
  • 2013 Liquidity and initial public offering underpricing
    by Hahn, TeWhan & Ligon, James A. & Rhodes, Heather
  • 2013 Return decomposition and the Intertemporal CAPM
    by Maio, Paulo
  • 2013 Front-running of mutual fund fire-sales
    by Dyakov, Teodor & Verbeek, Marno
  • 2013 A comprehensive long-term analysis of S&P 500 index additions and deletions
    by Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N.
  • 2013 The intraday impact of company responses to exchange queries
    by Drienko, Jozef & Sault, Stephen J.
  • 2013 Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning
    by Qin, Zhenjiang
  • 2013 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
    by Georgoutsos, Dimitris A. & Migiakis, Petros M.
  • 2013 The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010
    by Hagströmer, Björn & Hansson, Björn & Nilsson, Birger
  • 2013 Pricing innovations in consumption growth: A re-evaluation of the recursive utility model
    by Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu
  • 2013 Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price
    by Chang, Eric C. & Luo, Yan & Ren, Jinjuan
  • 2013 VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
    by Lin, Yueh-Neng
  • 2013 Short-term hedge fund performance
    by Slavutskaya, Anna
  • 2013 Financial contagion in the laboratory: The cross-market rebalancing channel
    by Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio
  • 2013 Risk premia: Exact solutions vs. log-linear approximations
    by Lundtofte, Frederik & Wilhelmsson, Anders
  • 2013 Returns and option activity over the option-expiration week for S&P 100 stocks
    by Stivers, Chris & Sun, Licheng
  • 2013 Sovereign credit spreads
    by Uhrig-Homburg, Marliese
  • 2013 Predicting stock returns: A regime-switching combination approach and economic links
    by Zhu, Xiaoneng & Zhu, Jie
  • 2013 Asset pricing with heterogeneous beliefs and relative performance
    by Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke
  • 2013 The second moment matters! Cross-sectional dispersion of firm valuations and expected returns
    by Jiang, Danling
  • 2013 A case study of short-sale constraints and limits to arbitrage
    by Easton, Steve & Pinder, Sean & Uylangco, Katherine
  • 2013 Credit default swap spreads and variance risk premia
    by Wang, Hao & Zhou, Hao & Zhou, Yi
  • 2013 The consumption–wealth ratio, real estate wealth, and the Japanese stock market
    by Aono, Kohei & Iwaisako, Tokuo
  • 2013 Market reaction to earnings news: A unified test of information risk and transaction costs
    by Zhang, Qi & Cai, Charlie X. & Keasey, Kevin
  • 2013 Accounting restatements, governance and municipal debt financing
    by Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X.
  • 2013 Cost of capital and earnings transparency
    by Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R.
  • 2013 Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
    by Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho
  • 2013 Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements
    by Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei
  • 2013 Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
    by Philippas, Dionisis & Siriopoulos, Costas
  • 2013 Does idiosyncratic volatility matter in emerging markets? Evidence from China
    by Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao
  • 2013 The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
    by Goda, Thomas & Lysandrou, Photis & Stewart, Chris
  • 2013 Liquidity measurement in frontier markets
    by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat
  • 2013 Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange
    by Levy, Tamir & Yagil, Joseph
  • 2013 Time-variations in herding behavior: Evidence from a Markov switching SUR model
    by Klein, Arne C.
  • 2013 Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis
    by Antonakakis, Nikolaos & Vergos, Konstantinos
  • 2013 Bond futures and order imbalance
    by Smales, Lee A.
  • 2013 Integration versus segmentation in China's stock market: An analysis of time-varying beta risks
    by Li, Hong
  • 2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
    by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy
  • 2013 When do characteristics-sorted factors mechanically explain returns?
    by Murtazashvili, Irina & Vozlyublennaia, Nadia
  • 2013 A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
    by Papavassiliou, Vassilios G.
  • 2013 Saints versus Sinners. Does morality matter?
    by Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon
  • 2013 A substitution effect between price clustering and size clustering in credit default swaps
    by Meng, Lei & Verousis, Thanos & ap Gwilym, Owain
  • 2013 Business strategy and financial consequences: The case of antidumping filings
    by Gurun, Ayfer
  • 2013 International herding: Does it differ across sectors?
    by Gębka, Bartosz & Wohar, Mark E.
  • 2013 Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?
    by Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu
  • 2013 Price impact of block trades in the Saudi stock market
    by Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert
  • 2013 Modelling the sovereign linkages of key Latin American economies
    by Thuraisamy, Kannan & Gannon, Gerard
  • 2013 Consistent dynamic affine mortality models for longevity risk applications
    by Blackburn, Craig & Sherris, Michael
  • 2013 Pricing European options on deferred annuities
    by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael
  • 2013 Pricing inflation products with stochastic volatility and stochastic interest rates
    by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.
  • 2013 Best portfolio insurance for long-term investment strategies in realistic conditions
    by Pézier, Jacques & Scheller, Johanna
  • 2013 International Bond Risk Premia
    by Dahlquist, Magnus & Hasseltoft, Henrik
  • 2013 International risk cycles
    by Gourio, François & Siemer, Michael & Verdelhan, Adrien
  • 2013 On the market risk of securitized timberlands
    by Sun, Changyou
  • 2013 Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond
    by Kim, Jinyong & Kim, Yong-Cheol
  • 2013 Do investors care about credit ratings? An analysis through the cycle
    by Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea
  • 2013 Are short sellers positive feedback traders? Evidence from the global financial crisis
    by Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L.
  • 2013 Executive compensation, risk taking and the state of the economy
    by Raviv, Alon & Sisli-Ciamarra, Elif
  • 2013 Short-term residual reversal
    by Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno
  • 2013 Rational expectations equilibrium with uncertain proportion of informed traders
    by Gao, Feng & Song, Fengming & Wang, Jun
  • 2013 Investing in Chapter 11 stocks: Trading, value, and performance
    by Li, Yuanzhi & Zhong, Zhaodong (Ken)
  • 2013 Price discovery in government bond markets
    by Valseth, Siri
  • 2013 Optimal trading strategy and supply/demand dynamics
    by Obizhaeva, Anna A. & Wang, Jiang
  • 2013 Dividend sensitivity to economic factors, stock valuation, and long-run risk
    by Bergeron, Claude
  • 2013 The zero-lower bound on interest rates: Myth or reality?
    by Jarrow, Robert A.
  • 2013 Mean–variance dominant trading strategies
    by Galvani, Valentina & Gubellini, Stefano
  • 2013 Simulated testing of nonparametric measure changes for hedging European options
    by Smith, Godfrey
  • 2013 Transfer of information by an informed trader
    by Dev, Pritha
  • 2013 Asset pricing with skewed-normal return
    by Carmichael, Benoıˆt & Coën, Alain
  • 2013 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
    by Chen, Rui & Du, Ke
  • 2013 Time varying stock return predictability: Evidence from US sectors
    by Guidolin, Massimo & McMillan, David G. & Wohar, Mark E.
  • 2013 Superconvergence of the finite element solutions of the Black–Scholes equation
    by Golbabai, A. & Ballestra, L.V. & Ahmadian, D.
  • 2013 A value premium without operating leverage
    by Guthrie, Graeme
  • 2013 Idiosyncratic volatility and the pricing of poorly-diversified portfolios
    by Miffre, Joëlle & Brooks, Chris & Li, Xiafei
  • 2013 The January effect for individual corporate bonds
    by Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence
  • 2013 European Sovereign Debt Crisis and the performance of Dutch IPOs
    by Dorsman, André & Gounopoulos, Dimitrios
  • 2013 Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis
    by Battaglia, Francesca & Gallo, Angela
  • 2013 Price discovery of credit spreads in tranquil and crisis periods
    by Avino, Davide & Lazar, Emese & Varotto, Simone
  • 2013 Accruals quality, stock returns and asset pricing: Evidence from the UK
    by Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John
  • 2013 Predicting the limit-hit frequency in futures contracts
    by Levy, Tamir & Qadan, Mahmod & Yagil, Joseph
  • 2013 Investigating the role of illiquidity in explaining the UK closed-end country fund discount
    by Davies, Richard & Fletcher, Mary & Marshall, Andrew
  • 2013 New return anomalies and new-Keynesian ICAPM
    by Cho, Sungjun
  • 2013 The determinants of quantile autocorrelations: Evidence from the UK
    by Gębka, Bartosz & Wohar, Mark E.
  • 2013 Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
    by Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M.
  • 2013 Liquidity and expected returns—Evidence from 1926–2008
    by Baradarannia, M. Reza & Peat, Maurice
  • 2013 A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market
    by Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy
  • 2013 Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
    by Floros, Christos & Kizys, Renatas & Pierdzioch, Christian
  • 2013 Trade size clustering and the cost of trading at the London Stock Exchange
    by Verousis, Thanos & ap Gwilym, Owain
  • 2013 Credit risk, valuation and fundamental analysis
    by Realdon, Marco
  • 2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
    by Vivian, Andrew & Wohar, Mark E.
  • 2013 A model for hedging load and price risk in the Texas electricity market
    by Coulon, Michael & Powell, Warren B. & Sircar, Ronnie
  • 2013 Does crude oil price play an important role in explaining stock return behavior?
    by Chang, Kuang-Liang & Yu, Shih-Ti
  • 2013 Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries
    by Asteriou, Dimitrios & Bashmakova, Yuliya
  • 2013 The liquidity of energy stocks
    by Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert
  • 2013 Smooth transition regime shifts and oil price dynamics
    by Cifarelli, Giulio
  • 2013 Hurricane forecast revisions and petroleum refiner equity returns
    by Fink, Jason D. & Fink, Kristin E.
  • 2013 From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks
    by Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M.
  • 2013 What drives the commodity price beta of oil industry stocks?
    by Talbot, Edward & Artiach, Tracy & Faff, Robert
  • 2013 Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
    by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen
  • 2013 Risk spillovers in oil-related CDS, stock and credit markets
    by Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael
  • 2013 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    by Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd
  • 2013 Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments
    by Koch, Nicolas & Bassen, Alexander
  • 2013 Downside risk and the energy hedger's horizon
    by Conlon, Thomas & Cotter, John
  • 2013 Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
    by Awartani, Basel & Maghyereh, Aktham Issa
  • 2013 Autocorrelation and partial price adjustment
    by Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho
  • 2013 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap
  • 2013 Linear-price term structure models
    by Gourieroux, C. & Monfort, A.
  • 2013 Modeling the relationship between European carbon permits and certified emission reductions
    by Koop, Gary & Tole, Lise
  • 2013 Long memory and tail dependence in trading volume and volatility
    by Rossi, Eduardo & Santucci de Magistris, Paolo
  • 2013 Term structure dynamics with macro-factors using high frequency data
    by Kim, Hwagyun & Park, Hail
  • 2013 Does mortality improvement increase equity risk premiums? A risk perception perspective
    by Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y.
  • 2013 Understanding industry betas
    by Baele, Lieven & Londono, Juan M.
  • 2013 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
    by Li, Minqiang
  • 2013 What do the Fama–French factors add to C-CAPM?
    by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.
  • 2013 A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
    by Wagner, Niklas & Winter, Elisabeth
  • 2013 Does monetary policy determine stock market liquidity? New evidence from the euro zone
    by Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg
  • 2013 An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions
    by Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien
  • 2013 Stressing correlations and volatilities — A consistent modeling approach
    by Becker, Christoph & Schmidt, Wolfgang M.
  • 2013 Sovereign default risk premia: Evidence from the default swap market
    by Zinna, Gabriele
  • 2013 Are short sellers incrementally informed prior to earnings announcements?
    by Blau, Benjamin M. & Pinegar, J. Michael
  • 2013 Credit risk in covered bonds
    by Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker
  • 2013 A global approach to mutual funds market timing ability
    by Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle
  • 2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    by Perron, Pierre & Chun, Sungju & Vodounou, Cosme
  • 2013 Liquidity and firm investment: Evidence for Latin America
    by Muñoz, Francisco
  • 2013 Another look at the cross-section and time-series of stock returns: 1951 to 2011
    by Du, Ding
  • 2013 Aggregational Gaussianity and barely infinite variance in financial returns
    by Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos
  • 2013 Credit cycle dependent spread determinants in emerging sovereign debt markets
    by Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas
  • 2013 The volatility effect in emerging markets
    by Blitz, David & Pang, Juan & van Vliet, Pim
  • 2013 Do the production-based factors capture the time-varying patterns in stock returns?
    by Kang, Hankil & Kang, Jangkoo & Lee, Changjun
  • 2013 Dynamic return predictability in the Russian stock market
    by Kinnunen, Jyri
  • 2013 Financial market segmentation, stock market volatility and the role of monetary policy
    by Zervou, Anastasia S.
  • 2013 Macro-expectations, aggregate uncertainty, and expected term premia
    by Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas
  • 2013 Density approximations for multivariate affine jump-diffusion processes
    by Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul
  • 2013 Monetary policy regimes and the term structure of interest rates
    by Bikbov, Ruslan & Chernov, Mikhail
  • 2013 Chi-squared tests for evaluation and comparison of asset pricing models
    by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare
  • 2013 Jump tails, extreme dependencies, and the distribution of stock returns
    by Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi
  • 2013 Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
    by Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas
  • 2013 Flow effects of large-scale asset purchases
    by Kandrac, John & Schlusche, Bernd
  • 2013 Have Federal Reserve MBS purchases affected market functioning?
    by Kandrac, John
  • 2013 VaR constrained asset pricing with relative performance
    by Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan
  • 2013 Art market inefficiency
    by David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane
  • 2013 Bubbles, crashes and risk
    by Branch, William A. & Evans, George W.
  • 2013 A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
    by Massacci, Daniele
  • 2013 Risk aversion in the large and in the small
    by Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter
  • 2013 Measuring the stance of monetary policy in zero lower bound environments
    by Krippner, Leo
  • 2013 The cross market effects of short sale restrictions
    by Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah
  • 2013 What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research
    by Larsson, Carl F.
  • 2013 Was the 2007 crisis really a global banking crisis?
    by Shehzad, Choudhry Tanveer & De Haan, Jakob
  • 2013 Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking
    by Xie, Jun & Yang, Chunpeng
  • 2013 Investor attention and stock market activity: Evidence from France
    by Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric
  • 2013 Investor sentiment, information and asset pricing model
    by Yang, Chunpeng & Li, Jinfang
  • 2013 Sentiment approach to negative expected return in the stock market
    by Yang, Chunpeng & Yan, Wei & Zhang, Rengui
  • 2013 Equity risk premium and time horizon: What do the U.S. secular data say?
    by Prat, Georges
  • 2013 Can signal extraction help predict risk premia in foreign exchange rates
    by Kiani, Khurshid M.
  • 2013 Open source information, investor attention, and asset pricing
    by Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong
  • 2013 Dynamic asset pricing model with heterogeneous sentiments
    by Yang, Chunpeng & Zhang, Rengui
  • 2013 Estimating inflation compensation for Turkey using yield curves
    by Duran, Murat & Gülşen, Eda
  • 2013 Modeling the effect of off-farm income on farmland values: A quantile regression approach
    by Mishra, Ashok K. & Moss, Charles B.
  • 2013 House price dynamics and their reaction to macroeconomic changes
    by Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R.
  • 2013 Stock markets in GCC countries and global factors: A further investigation
    by Jouini, Jamel
  • 2013 Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
    by Ahamada, Ibrahim & Jolivaldt, Philippe
  • 2013 Macroeconomic Variables and South African Stock Return Predictability
    by Gupta, Rangan & Modise, Mampho P.
  • 2013 Sentiment asset pricing model with consumption
    by Yang, Chunpeng & Zhang, Rengui
  • 2013 Conditional market beta for REITs: A comparison of modeling techniques
    by Zhou, Jian
  • 2013 The expected real return to equity
    by Warusawitharana, Missaka
  • 2013 Long-run risk and hidden growth persistence
    by Pakoš, Michal
  • 2013 Returns-to-scale and the equity premium puzzle
    by Dunbar, Geoffrey
  • 2013 The impact of short-selling constraints on financial market stability in a heterogeneous agents model
    by Anufriev, Mikhail & Tuinstra, Jan
  • 2013 Modeling diverse expectations in an aggregated New Keynesian Model
    by Kurz, Mordecai & Piccillo, Giulia & Wu, Howei
  • 2013 Zipf's law and maximum sustainable growth
    by Malevergne, Y. & Saichev, A. & Sornette, D.
  • 2013 Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
    by Chauveau, Th. & Subbotin, A.
  • 2013 Asian and Australian options: A common perspective
    by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai
  • 2013 Asset price dynamics with heterogeneous beliefs and local network interactions
    by Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V.
  • 2013 Option pricing with discrete time jump processes
    by Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo
  • 2013 The bull and bear market model of Huang and Day: Some extensions and new results
    by Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura
  • 2013 Correlated risks vs contagion in stochastic transition models
    by Gagliardini, Patrick & Gouriéroux, Christian
  • 2013 Strategy switching in the Japanese stock market
    by Yamamoto, Ryuichi & Hirata, Hideaki
  • 2013 Business group affiliation, ownership structure, and the cost of debt
    by Byun, Hae-Young & Choi, Sunhwa & Hwang, Lee-Seok & Kim, Robert G.
  • 2013 An international look at the lawsuit avoidance hypothesis of IPO underpricing
    by Lin, Hui Ling & Pukthuanthong, Kuntara & Walker, Thomas John
  • 2013 Detecting bubbles in Hong Kong residential property market
    by Yiu, Matthew S. & Yu, Jun & Jin, Lu
  • 2013 Speed of Convergence to Market Efficiency: Example of Top loser Stocks
    by Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih
  • 2013 Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
    by Lucas Lucio Godeiro
  • 2013 The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic
    by Sylvie Dvořáková & Jakub Seidler
  • 2013 Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy
    by Jizheng Huang & Heng-fu Zou
  • 2013 Stock Market Manipulation in the Presence of Fund Flows
    by Xiangbo Liu & Zijun Liu & Zhigang Qiu
  • 2013 Provocări Implicate De Evaluarea Companiilor
    by Ludmila D. SOBOL
  • 2013 Default and liquidity regimes in the bond market during the 2002-2012 period
    by Georges Dionne & Olfa Maalaoui Chun
  • 2013 Financial versus demand shocks in stock price returns of U.S. non-financial firms in the crisis of 2007
    by Varvara Isyuk
  • 2013 Was bewegt den DAX?
    by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe
  • 2013 Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE
    by Bekir Elmas
  • 2013 Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas
    by Sirajum Munira Sarwar & Gulnur Muradoglu
  • 2013 Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
    by Brian M. Lucey & Fergal A. O’Connor
  • 2013 The anatomy of the global FX market through the lens of the 2013 Triennial Survey
    by Dagfinn Rime & Andreas Schrimpf
  • 2013 CoCos: a primer
    by Stefan Avdjiev & Anastasia Kartasheva & Bilyana Bogdanova
  • 2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
    by Doruk KUCUKSARAC & Ozgur OZEL
  • 2013 Stock Market Indices and Sentiment Indicators: Correlations and Causality
    by Jordan Jordanov & Marco Valentini
  • 2013 The Spurious Relation between Inflation Uncertainty and Stock Returns: Evidence from the U.S
    by Samih Antoine Azar
  • 2013 Valuation methods for banks: should we take into account more risk?
    by Daniele Previtali
  • 2013 The impact of social networks and mass medias on financial news and investors’ perceptions
    by Alessandro Carretta & Vincenzo Farina & Albana Nako
  • 2013 Real estate funds’ performance in the Italian market
    by Gianluca Mattarocci
  • 2013 The Day-Of-The-Week Effect On Bucharest Stock Exchange
    by Iulian PANAIT & Carmen Marilena UZLAU & Corina Maria ENE
  • 2013 Short Selling
    by Adam V. Reed
  • 2013 Empirical Cross-Sectional Asset Pricing
    by Stefan Nagel
  • 2013 Liquidity, Sentiment and Segmentation: A Survey of Closed-End Fund Literature
    by Mary FLETCHER
  • 2013 Influencing Factors Of Valuation Multiples Of Companies
    by Ciprian Codau
  • 2013 Crisis on the Hungarian government bond markets in the winter of 2011–2012: Was there a liquidity problem?
    by Zoltán Monostori
  • 2013 Efficiency Of The Insurance Activity: Insurer Vs Insured
    by Ana Preda
  • 2013 Home Bias in Open Economy Financial Macroeconomics
    by Nicolas Coeurdacier & Hélène Rey
  • 2013 Profiting from Regulation: Evidence from the European Carbon Market
    by James B. Bushnell & Howard Chong & Erin T. Mansur
  • 2013 Crises and Recoveries in an Empirical Model of Consumption Disasters
    by Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa
  • 2013 News Shocks and the Slope of the Term Structure of Interest Rates
    by Andr? Kurmann & Christopher Otrok
  • 2013 Asset Prices and Institutional Investors
    by Suleyman Basak & Anna Pavlova
  • 2013 Salience and Asset Prices
    by Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer
  • 2013 Financial Innovation and Portfolio Risks
    by Alp Simsek
  • 2013 Intermediary Asset Pricing
    by Zhiguo He & Arvind Krishnamurthy
  • 2013,4th quarter update LIBOR: origins, economics, crisis, scandal and reform
    by David Hou Author-Name: David Skeie
  • 2012 The price impact of CDS trading
    by Gündüz, Yalin & Nasev, Julia & Trapp, Monika
  • 2012 Structural Breaks and Predictive Regressions Models of South African Equity Premium
    by Goodness C. Aye & Rangan Gupta & Mampho P. Modise
  • 2012 Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"
    by Rangan Gupta & Roula Inglesi-Lotz
  • 2012 Real Interest Rate Persistence in South Africa: Evidence and Implications
    by Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun
  • 2012 What Puzzles? New insights in asset pricing
    by Aase, Knut K.
  • 2012 Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)
    by Pelsser, A. & Stadje, M.A.
  • 2012 Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement
    by Riva, Fabrice
  • 2012 The fundamental theorem of asset pricing under transaction costs
    by Guasoni, Paolo & Lépinette-Denis, Emmanuel & Rásonyi, Miklós
  • 2012 Liquidity generated by heterogeneous beliefs and costly estimations
    by Shen, Min & Turinici, Gabriel
  • 2012 Financial Markets Equilibrium with Heterogeneous Agents
    by Napp, Clotilde & Malamud, Semyon & Jouini, Elyès & Cvitanic, Jaksa
  • 2012 Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
    by Warin, Xavier & Bouchard, Bruno
  • 2012 Dynamic hedging by a large player: From theory to practical implementation
    by Kalife, Aymeric & Tan, Xiaolu & Wang, Lihang
  • 2012 Les marchés d'actifs sûrs
    by Folus, Didier
  • 2012 Legitimizing an Ambiguous Financial Innovation : the case of Exchange Traded Funds in France
    by Oubenal, Mohamed & Deville, Laurent
  • 2012 Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market
    by M. Eskandar Shah & Sourafel Girm & R. Hudson
  • 2012 The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff
    by Emilio Bisetti
  • 2012 Gender Diversity in the Corporate Boardroom: Do Women Affect Risk?
    by Nadia Cosentino & Fabiola Montalto & Carmela Donato & Alessia Via
  • 2012 Assessing the Pre-Crisis Advantages of the EMU for Sovereign Debt Issuers: A Panel VAR Analysis
    by Luigi Marattin & Paolo Paesani & Simone Salotti
  • 2012 Are investor sentiments priced by the CAPM?
    by Verma, Rahul & Soydemir, Gökçe
  • 2012 Do investors care about noise trader risk?
    by Beer, Francisca & Watfa, Mohamad & Zouaoui, Mohamed
  • 2012 A Risk Measure for S-Shaped Assets and Prediction of Investment Performance
    by Tang, Qi & Haidar, Haidar & Minsky, Bernard & Thapar, Rishi
  • 2012 Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX
    by Hubert Dichtl & Wolfgang Drobetz
  • 2012 Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi
    by Ulaş ÜNLÜ
  • 2012 Vadeli Finansal Piyasaların para politikası sürprizlerine tepkisi: Türkiye için bir T-GARCH uygulaması
    by Macide ÇİÇEK
  • 2012 A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
    by David R. Bell & Olivier Ledoit & Michael Wolf
  • 2012 A new measure of equity duration: The duration-based explanation of the value premium revisited
    by Schröder, David & Esterer, Florian
  • 2012 The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
    by Schuster, Philipp & Uhrig-Homburg, Marliese
  • 2012 New instruments for banking regulation and monetary policy after the crisis
    by Detzer, Daniel
  • 2012 On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
    by Gracia, Eduard
  • 2012 Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
    by Krones, Julia & Cremers, Heinz
  • 2012 Fixed income strategies for trading and for asset management
    by Tinschert, Jonas & Cremers, Heinz
  • 2012 An evidence of speculation in Indian commodity markets
    by Vijay Kumar Varadi
  • 2012 Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability
    by Jank, Stephan
  • 2012 The role of uncertainty in the euro crisis: A reconsideration of liquidity preference theory
    by Pusch, Toralf
  • 2012 Estimating endogenous liquidity using transaction and order book information
    by Durand, Philippe & Gündüz, Yalin & Thomazeau, Isabelle
  • 2012 An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
    by Halberstadt, Arne & Stapf, Jelena
  • 2012 Agent-based models for economic policy design: Two illustrative examples
    by Westerhoff, Frank & Franke, Reiner
  • 2012 Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt
    by Niemann, Rainer & Rünger, Silke
  • 2012 Durable Consumption, Long-Run Risk and The Equity Premium
    by Na Guo & Peter N. Smith
  • 2012 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
    by Alfonso Mendoza-Velazquez & Peter N. Smith
  • 2012 Trend Following, Risk Parity and Momentum in Commodity Futures
    by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas
  • 2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
    by Adam Golinski & Peter Spencer
  • 2012 Testing CAPM with a Large Number of Assets
    by M Hashem Pesaran & Takashi Yamagata
  • 2012 Modeling of short term interest rate based on tempered fractional Langevin equation
    by Janusz Gajda
  • 2012 The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View
    by Vilimir Yordanov
  • 2012 Can Concentration Control Policies Eliminate Bubbles?
    by Volodymyr Lugovskyy & Daniela Puzzello, & Steven Tucker & Arlington Williams
  • 2012 The Cake-eating problem: Non-linear sharing rules
    by Eugenio Peluso & Alain Trannoy
  • 2012 CDS Industrial Sector Indices, credit and liquidity risk
    by Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore
  • 2012 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
    by Xue-Zhong He
  • 2012 An Evolutionary CAPM Under Heterogeneous Beliefs
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li
  • 2012 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
    by Susanne Griebsch & Kay Pilz
  • 2012 Heterogeneous Beliefs and the Cross-Section of Asset Returns
    by Xue-Zhong He & Lei Shi
  • 2012 Heterogeneous Beliefs and the Performances of Optimal Portfolios
    by Xue-Zhong He & Lei Shi
  • 2012 Extreme Downside Liquidity Risk
    by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian
  • 2012 In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
    by Weigert, Florian
  • 2012 Central Bank Reserves and the Yield Curve at the ZLB
    by Mirkov, Nikola & Sutter, Barbara
  • 2012 An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union
    by Ammann, Manuel & Odoni, Sandro & Oesch, David
  • 2012 International Financial Transmission of the US Monetary Policy: An Empirical Assessment
    by Mirkov, Nikola
  • 2012 Realized Copula
    by Fengler, Matthias & Okhrin, Ostap
  • 2012 Speculation, risk premia and expectations in the yield curve
    by Francisco Barillas & Kristoffer Nimark
  • 2012 Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
    by Óscar Arce & Sergio Mayordomo
  • 2012 Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
    by Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno
  • 2012 Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers
    by Mary E. Barth & Javier Gomez-Biscarri & Ron Kasznik & Germán López-Espinosa
  • 2012 Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S
    by Hasan Cömert
  • 2012 The Risk Premium and Long-Run Global Imbalances
    by YiLi Chien & Kanda Naknoi
  • 2012 Credit rating agencies and unsystematic risk: Is there a linkage?
    by Pilar Abad Romero & María Dolores Robles Fernández
  • 2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
    by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong
  • 2012 Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust
    by John Cotter & Stuart Gabriel & Richard Roll
  • 2012 Determinants of US financial fragility conditions
    by Fabio C. Bagliano & Claudio Morana
  • 2012 Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies
    by Marcelo Bianconi & Joe A. Yoshino
  • 2012 Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
    by Gollier, Christian
  • 2012 Asset pricing with uncertain betas: A long-term perspective
    by Gollier, Christian
  • 2012 Liquid Bundles
    by Farhi, Emmanuel & Tirole, Jean
  • 2012 The freeze-out bond exchange offer. An experimental approach
    by Flavio Bazzana & Luigi Mittone & Luciano Andreozzi
  • 2012 Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi
    by Doruk Kucuksarac & Ozgur Ozel
  • 2012 Are Swap and Bond Markets Alternatives to Each Other in Turkey?
    by Murat Duran & Doruk Kucuksarac
  • 2012 Real Interest Rate Persistence in South Africa: Evidence and Implications
    by Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun
  • 2012 Historical Housing-related Statistics for Australia 1881-2011 – A Short Note
    by Nigel Stapledon
  • 2012 Oil Shocks and their Impact on Energy Related Stocks in China
    by David C Broadstock & Hong Cao & Dayong Zhang
  • 2012 Comonotonic measures of multivariate risks
    by Ivar Ekeland & Alfred Galichon
  • 2012 Testing the Effects of Short-Selling Restrictions on Asset Prices
    by Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti
  • 2012 Do Margin Requirements Affect Asset Prices?
    by Bruno Cara Giovannetti & Guilherme B. Martins
  • 2012 Asset Pricing under Quantile Utility Maximization
    by Bruno Cara Giovannetti
  • 2012 Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky
    by Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz
  • 2012 Housing Bubbles and Interest Rates
    by Christian Hott & Terhi Jokipii
  • 2012 Detecting Bubbles in Hong Kong Residential Property Market
    by Matthew S. Yiu & Jun Yu & Lu Jin
  • 2012 Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
    by Shouwei Liu & Yiu-Kuen Tse
  • 2012 Detecting Bubbles in Hong Kong Residential Property Market
    by Matthew S. Yiu & Jun Yu & Lu Jin
  • 2012 Robust Deviance Information Criterion for Latent Variable Models
    by Yong Li & Tao Zeng & Jun Yu
  • 2012 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    by Tore Selland Kleppe & Jun Yu & Hans J. Skaug
  • 2012 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    by Qiankun Zhou & Jun Yu
  • 2012 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    by Andras Fulop & Junye Li & Jun Yu
  • 2012 Sovereign Default Risk in the Euro-Periphery and the Euro-Candidate Countries
    by Gabrisch, Hurbert & Orlowski, Lucjan & Pusch, Toralf
  • 2012 Heterogenous Beliefs and Tests of Present Value Models
    by Ken Kasa & Todd Walker & Charles Whiteman
  • 2012 A Simple Characterization of Dynamic Completeness in Continuous Time
    by Theodoros M. Diasakos
  • 2012 A decision-theoretic model of asset-price underreaction and overreaction to dividend news
    by Alexander Ludwig & Alexander Zimper
  • 2012 The Performance of Socially Responsible Investment Funds: A Meta-Analysis
    by Rathner, Sebastian
  • 2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
    by Ceylan, Ozcan
  • 2012 Strengthening the Financial System and Mobilizing Savings to Support More Balanced Growth in ASEAN+3
    by Siackhachanh, A. Noy
  • 2012 The Impact of Stock Market Illiquidity on Real UK GDP Growth
    by Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas
  • 2012 Bayesian Semiparametric Dynamic Nelson-Siegel Model
    by Cem Çakmakli
  • 2012 Effective Trade Execution
    by Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia
  • 2012 Currency Momentum Strategies
    by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf
  • 2012 Measuring Market Liquidity: An Introductory Survey
    by Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia
  • 2012 Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés
    by Choy, Marylin & Cerna, Jorge
  • 2012 Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement
    by Jean Cordier & Alexandre Gohin
  • 2012 A Variance Decomposition of Index-Linked Bond Returns
    by Francis Breedon
  • 2012 Energy cost modelling of new technology adoption for Russian regional power and heat generation
    by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner
  • 2012 Systemic Risk Analysis using Forward-Looking Distance-to-Default Series
    by Martín Saldías
  • 2012 Market perception of fiscal sustainability: An application to the largest euro area economies
    by Maximiano Pinheiro
  • 2012 Asset pricing with a bank risk factor
    by João Pedro Pereira & António Rua
  • 2012 Serial default and debt renegotiation
    by Asonuma, Tamon
  • 2012 Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
    by Huang, Huichou & MacDonald, Ronald & Zhao, Yang
  • 2012 Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S
    by Cebula, Richard & Foley, Maggie
  • 2012 Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis
    by Guler, Halil & Talasli, Anil
  • 2012 Mutual influence of the exchange assets: practical aspects
    by Kozmenko, Serhiy & Plastun, Oleksiy
  • 2012 Deciphering financial contagion in the euro area during the crisis
    by Tola, Albi & Wälti, Sébastien
  • 2012 Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
    by Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete
  • 2012 Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
    by Huang, Huichou & MacDonald, Ronald
  • 2012 Expectations-Based Reference-Dependent Preferences and Asset Pricing
    by Pagel, Michaela
  • 2012 An Economic Examination of Collateralization in Different Financial Markets
    by Xiao, Tim
  • 2012 Why are U.S. Stocks More Volatile?
    by Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M.
  • 2012 An Economic Examination of Collateralization in Different Financial Markets
    by Xiao, Tim
  • 2012 Incentive-Compatible Sukuk Musharakah for Private Sector Funding
    by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene
  • 2012 Why African Stock Markets Should Formally Harmonise and Integrate their Operations
    by Ntim, Collins G
  • 2012 Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies
    by Malik, Saif Ullah
  • 2012 The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models
    by Yun, Tack & Kim, Jinsook & Ko, Eunmi
  • 2012 Markets Evolution After the Credit Crunch
    by Bianchetti, Marco & Carlicchi, Mattia
  • 2012 Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching
    by Kitov, Ivan & Kitov, Oleg
  • 2012 U.K. cross-sectional equity data: The case for robust investability filters
    by Rossi, Francesco
  • 2012 Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
    by Antonakakis, Nikolaos & Vergos, Konstantinos
  • 2012 Why Do Financial Intermediaries Buy Put Options from Companies?
    by Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George
  • 2012 Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
    by Antonakakis, Nikolaos
  • 2012 The dynamic relation between short sellers, option traders, and aggregate returns
    by Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan
  • 2012 Fiancial Innovation, Structuring and Risk Transfer
    by Vanini, Paolo
  • 2012 Collateral choice and the fundamental theorem of asset pricing
    by Luis Manuel, García Muñoz
  • 2012 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
    by Marco, Bianchetti & Mattia, Carlicchi
  • 2012 The Capital Asset Pricing Model: Empirical Evidence from Pakistan
    by Yasmeen, & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas
  • 2012 Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India
    by Malhotra, Madhuri Malhotra & M., Thenmozhi & Gopalaswamy, Arun Kumar
  • 2012 Individual versus Collective Enforcement Rights in Sovereign Bonds
    by Häseler, Sönke
  • 2012 Liquidity and asset prices: a VECM approach
    by Ács, Attila
  • 2012 Evolution of security transaction tax in India
    by Sinha, Pankaj & Mathur, Kritika
  • 2012 The savings paradox or managing financial, economic or financial risks
    by De Koning, Kees
  • 2012 Algorithm for construction of portfolio of stocks using Treynor’s ratio
    by Sinha, Pankaj & Goyal, Lavleen
  • 2012 Effective Trade Execution
    by Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo
  • 2012 Estimating term structure changes using principal component analysis in Indian sovereign bond market
    by Nath, Golaka
  • 2012 Macroeconomic variables and stock market: US review
    by Sirucek, Martin
  • 2012 Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011
    by Panait, Iulian & Slavescu, Ecaterina Oana
  • 2012 An evidence of speculation in Indian commodity markets
    by Varadi, Vijay Kumar
  • 2012 A note on the empirical test of herding: a threshold regression approach
    by Saumitra, Bhaduri
  • 2012 A note on the pricing of the perpetual American capped power put option
    by Sakagami, Yoshitaka
  • 2012 Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques
    by Sinha, Pankaj & Jayaraman, Prabha
  • 2012 The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
    by Bicchetti, David & Maystre, Nicolas
  • 2012 EMU sovereign spreads and macroeconomic news
    by Arru, Daniela & Iacovoni, Davide & Monteforte, Libero & Pericoli, Filippo Maria
  • 2012 Testing for predictability in a noninvertible ARMA model
    by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti
  • 2012 ECB Policy Response to the Euro/US Dollar Exchange Rate
    by Demir, Ishak
  • 2012 Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
    by Cayton, Peter Julian A. & Mapa, Dennis S.
  • 2012 Timing asset market peaks: the role of the liquidity risk cycle of the banking system
    by Weber, Patrick
  • 2012 Monetary Policy and Share Pricing Business in Nigeria
    by Adesoye, A. Bolaji & Atanda, Akinwande AbdulMaliq
  • 2012 Non-standardized form of CAPM and stock returns
    by Muhammad, Irfan
  • 2012 Triffin’s Dilemma Again and the Efficient Level of U.S. Government Debt
    by Abel L. Costa Fernandes & Paulo R. Mota
  • 2012 Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries
    by António Miguel Martins & Ana Paula Serra
  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan
  • 2012 I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    by M. Caporin & A. Lanzavecchia & V. Lippoli
  • 2012 Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models
    by John Muellbauer & John Duca
  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner
  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner
  • 2012 Public Disclosure by ‘Small’ Traders
    by Luca Gelsomini
  • 2012 Decentralized Exchange
    by Semyon Malamud & Marzena Rostek
  • 2012 Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble
    by Otavio Ribeiro de Medeiros and Vitor Leone
  • 2012 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
    by Roger E.A. Farmer & Carine Nourry & Alain Venditti
  • 2012 Disagreement and Asset Prices
    by Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba
  • 2012 Valuation Risk and Asset Pricing
    by Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo
  • 2012 Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan
  • 2012 Embedded Leverage
    by Andrea Frazzini & Lasse H. Pedersen
  • 2012 Building Castles in the Air: Evidence from Industry IPO Waves
    by Zhi Da & Ravi Jagannathan & Jianfeng Shen
  • 2012 Empirical Cross-Sectional Asset Pricing
    by Stefan Nagel
  • 2012 Speculative Betas
    by Harrison Hong & David Sraer
  • 2012 Quiet Bubbles
    by Harrison Hong & David Sraer
  • 2012 Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
    by Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu
  • 2012 Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates
    by Martin L. Weitzman
  • 2012 Do prices reveal the presence of informed trading?
    by Pierre Collin-Dufresne & Vyacheslav Fos
  • 2012 Insider Trading, Stochastic Liquidity and Equilibrium Prices
    by Pierre Collin-Dufresne & Vyacheslav Fos
  • 2012 Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
    by Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein
  • 2012 Digesting Anomalies: An Investment Approach
    by Kewei Hou & Chen Xue & Lu Zhang
  • 2012 An Intertemporal CAPM with Stochastic Volatility
    by John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley
  • 2012 Endogenous Liquidity and Defaultable Bonds
    by Zhiguo He & Konstantin Milbradt
  • 2012 Foreclosure externalities: Some new evidence
    by Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent Yao
  • 2012 Risks For the Long Run: Estimation with Time Aggregation
    by Ravi Bansal & Dana Kiku & Amir Yaron
  • 2012 Risk and Returns to Education
    by Jeffrey Brown & Chichun Fang & Francisco Gomes
  • 2012 Legislating Stock Prices
    by Lauren Cohen & Karl B. Diether & Christopher Malloy
  • 2012 Market Liquidity — Theory and Empirical Evidence
    by Dimitri Vayanos & Jiang Wang
  • 2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
    by Kenneth D. West
  • 2012 The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
    by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan
  • 2012 The Economics of Options-Implied Inflation Probability Density Functions
    by Yuriy Kitsul & Jonathan H. Wright
  • 2012 Tail Risk in Momentum Strategy Returns
    by Kent Daniel & Ravi Jagannathan & Soohun Kim
  • 2012 Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
    by Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson
  • 2012 Volatility, the Macroeconomy and Asset Prices
    by Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron
  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan
  • 2012 Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars
    by Robert Novy-Marx
  • 2012 House Price Moments in Boom-Bust Cycles
    by Todd M. Sinai
  • 2012 Country Size, Currency Unions, and International Asset Returns
    by Tarek Alexander Hassan
  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov
  • 2012 Status Competition and Housing Prices
    by Shang-Jin Wei & Xiaobo Zhang & Yin Liu
  • 2012 A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
    by Leonid Kogan & Dimitris Papanikolaou
  • 2012 Convective Risk Flows in Commodity Futures Markets
    by Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong
  • 2012 The "Out of Sample" Performance of Long-run Risk Models
    by Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie
  • 2012 Inflation and Individual Equities
    by Andrew Ang & Marie Brière & Ombretta Signori
  • 2012 Growth Opportunities, Technology Shocks, and Asset Prices
    by Leonid Kogan & Dimitris Papanikolaou
  • 2012 Identification and Estimation of Gaussian Affine Term Structure Models
    by James D. Hamilton & Jing Cynthia Wu
  • 2012 How Firms Use Domestic and International Corporate Bond Markets
    by Juan Carlos Gozzi & Ross Levine & Maria Soledad Martinez Peria & Sergio L. Schmukler
  • 2012 International Capital Flows and House Prices: Theory and Evidence
    by Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh
  • 2012 An Equilibrium Asset Pricing Model with Labor Market Search
    by Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang
  • 2012 Liquidity needs, private information, feedback trading: verifying motives to trade
    by Bartosz Gębka & Dobromił Serwa
  • 2012 A macroeconomic framework for quantifying systemic risk
    by Zhiguo He & Arvind Krishnamurthy
  • 2012 Flights to Safety
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei
  • 2012 Risk, uncertainty and monetary policy
    by Geert Bekaert & Marie Hoerova & Marco Lo Duca
  • 2012 Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach
    by Weihong HUANG & Zhenxi CHEN
  • 2012 Price-Volume Relations in Financial Market
    by Weihong HUANG & Wanying Wang
  • 2012 Skewness Risk and Bond Prices
    by Francisco Ruge-Murcia
  • 2012 Skewness Risk and Bond Prices
    by RUGE-MURCIA, Francisco J.
  • 2012 Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007
    by Varvara Isyuk
  • 2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
    by Sonja Brangewitz & Gaël Giraud
  • 2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
    by Sonja Brangewitz & Gaël Giraud
  • 2012 Trading and rational security pricing bubbles
    by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa
  • 2012 The dollar squeeze of the financial crisis
    by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan
  • 2012 Stock Market Volatility and Learning
    by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo
  • 2012 Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets
    by Janick Christian Mollet & Andreas Ziegler
  • 2012 Central Bank Communication and Correlation between Financial Markets: Canada and the United States
    by Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch
  • 2012 An Extension of the Consumption-based CAPM Model
    by Georges Dionne & Jingyuan Li & Cedric Okou
  • 2012 The Equity Risk Premium: Empirical Evidence from Emerging Markets
    by Michael Donadelli & Lorenzo Prosperi
  • 2012 Are private banks the better banks? An insight into the principal-agent structure and risk-taking behavior of German banks
    by Frank Schmielewski & Thomas Wein
  • 2012 Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008
    by Frank Schmielewski
  • 2012 Sentiment Trades and Option Prices
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2012 Sentiment Trades and Option Prices
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen
  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Noise Trading and the Cross-Section of Index Option Prices
    by Fabian Irek & Thorsten Lehnert & Nicolas Martelin
  • 2012 Noise Trading and the Cross-Section of Index Option Prices
    by Fabian Irek & Thorsten Lehnert & Nicolas Martelin
  • 2012 Stability Price Index, Core Inflation and Output Volatility
    by Wojciech Charemza & Imran Hussain Shah
  • 2012 In search of positive skewness: the case of individual investors
    by Patrick Roger & Marie-Hélène Broihanne & Maxime Merli
  • 2012 Central bank interventions and limit order behavior in the foreign exchange market
    by Masayuki Susai & Yushi Yoshida
  • 2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
    by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong
  • 2012 Testing for Predictability in a Noninvertible ARMA Model
    by Markku Lanne & Mika Meitz & Pentti Saikkonen
  • 2012 A Concave Security Market Line
    by Enrico G. De Giorgi & Thierry Post & Atakan Yalcin
  • 2012 Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach
    by Thomas Lux
  • 2012 Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?
    by Jens Boysen-Hogrefe
  • 2012 Margin Trading Bans in Experimental Asset Markets
    by Sascha Füllbrunn & Tibor Neugebauer
  • 2012 Judgmental Overconfidence and Trading Activity
    by Gelinde Fellner & Sebastian Krügel
  • 2012 To See Is To Believe: Common Expectations in Experimental Asset Markets
    by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan
  • 2012 Testing CAPM with a Large Number of Assets
    by Pesaran, M. Hashem & Yamagata, Takashi
  • 2012 Testing CAPM with a Large Number of Assets
    by Pesaran, M. Hashem & Yamagata, Takashi
  • 2012 Efficiency in the UK Commercial Property Market: A Long-run Perspective
    by S. Devaney & Oliver Holtemöller & R. Schulz
  • 2012 Financial contagion and attention allocation
    by Jordi Mondria & Climent Quintana Domeque
  • 2012 Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns
    by Serguey Khovansky & Zhylyevskyy, Oleksandr
  • 2012 Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
    by Kentaro Kikuchi
  • 2012 Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
    by Kentaro Kikuchi & Kohei Shintani
  • 2012 An estimation of economic models with recursive preferences
    by Xiaohong Chen & Jack Favilukis & Sydney Ludvigson
  • 2012 Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
    by Chang-Jin Kim & Cheolbeom Park
  • 2012 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Sven Steinkamp & Frank Westermann
  • 2012 Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
    by Gollier, Christian
  • 2012 Asset pricing with uncertain betas: A long-term perspective
    by Gollier, Christian
  • 2012 Liquid Bundles
    by Farhi, Emmanuel & Tirole, Jean
  • 2012 Dynamic Functional Data Analysis with Nonparametric State Space Models
    by Márcio Laurini
  • 2012 Implied Basket Correlation Dynamics
    by Wolfgang Karl Härdle & Elena Silyakova & &
  • 2012 Rethinking stock market integration: Globalization, valuation and convergence
    by Pui Sun Tam & Pui I Tam & &
  • 2012 Do Japanese Stock Prices Reflect Macro Fundamentals?
    by Wenjuan Chen & Anton Velinov &
  • 2012 Realized Copula
    by Matthias R. Fengler & Ostap Okhrin &
  • 2012 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci
  • 2012 Hidden Liquidity: Determinants and Impact
    by Gökhan Cebiroglu & Ulrich Horst
  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov
  • 2012 Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
    by Andras Fulop & Junye Li & Jun Yu
  • 2012 What Makes the VIX Tick?
    by Warren Bailey & Lin Zheng & Yinggang Zhou
  • 2012 Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach
    by Matthew S. Yiu & Lu Jin
  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan
  • 2012 Heterogeneous impatience and dynamic inconsistency
    by Hara, Chiaki
  • 2012 Asset prices, trading volumes, and investor welfare in markets with transaction costs
    by Hara, Chiaki
  • 2012 Property Rights and the Cost of Capital
    by Bjuggren, Per-Olof & Eklund, Johan
  • 2012 What determines bank stock price synchronicity? Global evidence
    by Francis , Bill & Hasan, Iftekhar & Song, Liang & Yeung , Bernard
  • 2012 Signaling asset price bubbles with time-series methods
    by Taipalus , Katja
  • 2012 Why is price discovery in credit default swap markets news-specific?
    by Marsh, Ian W. & Wagner , Wolf
  • 2012 Real-time warning signs of emerging and collapsing Chinese house price bubbles
    by Funke, Michael & Chen, Xi
  • 2012 Integration of Chinese and Russian stock markets with world markets: National and sectoral perspectives
    by Babeckii, Ian & Komárek, Luboš & Komárková, Zlatuše
  • 2012 Detecting asset price bubbles with time-series methods
    by Taipalus, Katja
  • 2012 Stochastic modeling of financing longevity risk in pension insurance
    by Ronkainen , Vesa
  • 2012 Leverage and Asset Prices: An Experiment
    by Ana Fostel
  • 2012 Leverage and Asset Prices: An Experiment
    by Marco Cipriani & Ana Fostel & Daniel Houser
  • 2012 Bezahlte Freiwilligenarbeit - ein Widerspruch ?
    by Gmür, Markus & Gmür, Markus
  • 2012 A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
    by Wallmeier, Martin & Tauscher, Kathrin
  • 2012 Regime Identification in Limit Order Books
    by Rossen Trendafilov & Erick W Rengifo
  • 2012 Optimal Capital Structure with Endogenous Default and Volatility Risk
    by Flavia Barsotti
  • 2012 A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences
    by Matteo Del Vigna
  • 2012 The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective
    by Claudio Morana
  • 2012 Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation
    by Claudio Morana
  • 2012 Time-varying Betas of the Banking Sector
    by Tomáš Adam & Sona Benecká & Ivo Jánský
  • 2012 The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
    by Sylvie Dvoráková & Jakub Seidler
  • 2012 Debt Contracts and Stochastic Default Barrier
    by Martin Dózsa & Jakub Seidler
  • 2012 Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
    by Lucas Bretschger & Filippo Lechthaler
  • 2012 The Late 1970's Bubble in Dutch Collectible Postage Stamps
    by Franses, Ph.H.B.F. & Knecht, W.
  • 2012 Policy design in a model with swings in risk appetite
    by Bianca De Paoli & Pawel Zabczyk
  • 2012 Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
    by Andrea Vedolin
  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner
  • 2012 Testing external habits in an asset pricing model
    by M Boschi & S d'Addona & A Goenka
  • 2012 A theoretical foundation for the Nelson and Siegel class of yield curve models
    by Leo Krippner
  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
    by Leo Krippner
  • 2012 Portfolio Selection – A Technical Note
    by Ana Paula Martins
  • 2012 Have We Solved the Idiosyncratic Volatility Puzzle?
    by Hou, Kewei & Loh, Roger
  • 2012 Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor
    by Belo, Frederico & Lin, Xiaoji
  • 2012 Probability Weighting of Rare Events and Currency Returns
    by Chabi-Yo, Fousseni & Song, Zhaogang
  • 2012 The Inventory Growth Spread
    by Belo, Frederico & Lin, Xiaoji
  • 2012 Endogenous Technological Progress and the Cross Section of Stock Returns
    by Lin, Xiaoji
  • 2012 Digesting Anomalies: An Investment Approach
    by Hou, Kewei & Xue, Chen & Zhang, Lu
  • 2012 Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability
    by Favilukis, Jack & Lin, Xiaoji
  • 2012 Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
    by Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago
  • 2012 Wage Rigidity: A Solution to Several Asset Pricing Puzzles
    by Favilukis, Jack & Lin, Xiaoji
  • 2012 Does Aggregate Riskiness Predict Future Economic Downturns?
    by Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni
  • 2012 Ten badly explained topics in most corporate finance books
    by Fernandez, Pablo
  • 2012 Bonos estructurados vendidos en España en los últimos años
    by Fernandez, Pablo & Aguirreamalloa, Javier
  • 2012 La insolvencia de Lehman Brothers en septiembre de 2008: Sobre su previsibilidad y sobre algunos "profetas a posteriori"
    by Fernandez, Pablo & Aguirreamalloa, Javier
  • 2012 Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session
    by Lescourret, Laurence
  • 2012 Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
    by A. Ronald Gallant & Han Hong & Ahmed Khwaja
  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen
  • 2012 The pitch rather than the pit: investor inattention during FIFA World Cup matches
    by Michael Ehrmann & David-Jan Jansen
  • 2012 The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920
    by James L. Butkiewicz & Mihaela Solcan
  • 2012 Modelling the Sovereign Linkages of Key Latin American Economies
    by Kannan Thuraisamy & Gerard Gannon
  • 2012 Does the choice of estimator matter when forecasting returns?
    by Joakim Westerlund & Paresh K Narayan
  • 2012 Why is Price Discovery in Credit Default Swap Markets News-Specific?
    by Ian W. Marsh & Wolf Wagner
  • 2012 Why is Price Discovery in Credit Default Swap Markets News-Specific?
    by Marsch, I. & Wagner, W.B.
  • 2012 Complex Stock Price Dynamics and Recurrent Bubbles under the Spirit of Capitalism
    by Marco Airaudo
  • 2012 Inflation-Hedging Portfolios : Economic Regimes Matter
    by Signori, Ombretta & Brière, Marie
  • 2012 Labor Intensity and Expected Stock Returns
    by Pontuch, Peter & Chemla, Gilles
  • 2012 Liquidity Benefits from IPO Underpricing : Ownership Dispersion or Information Effect
    by Gresse, Carole & Bouzouita, Nesrine & Gajewski, Jean-François
  • 2012 Trends in the literature on socially responsible investment: looking for the keys under the lamppost
    by Capelle-Blancard, Gunther & Monjon, Stéphanie
  • 2012 Comonotonic Measures of Multivariate Risks
    by Henry, Marc & Galichon, Alfred & Ekeland, Ivar
  • 2012 Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
    by Féron, Olivier & Monfort, Alain
  • 2012 An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management
    by Vialas, Christine & Touzi, Nizar & Aïd, René
  • 2012 An Estimation of Economic Models with Recursive Preferences
    by Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson
  • 2012 Leverage and Default in Binomial Economies: A Complete Characterization
    by Ana Fostel & John Geanakoplos
  • 2012 Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default
    by Ana Fostel & John Geanakoplos
  • 2012 The reaction of stock market returns to anticipated unemployment
    by Jesús Gonzalo & AbderrahimTaamouti
  • 2012 Nonparametric estimation and inference for Granger causality measures
    by Abderrahim Taamouti & Taoufik Bouezmarni & Anouar El Ghouch
  • 2012 Survival of Hedge Funds : Frailty vs Contagion
    by Serge Darolles & Patrick Gagliardini & Christian Gouriéroux
  • 2012 Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    by Serge Darolles & Christian Gouriéroux & Emmanuelle Jay
  • 2012 Correlated Risks vs Contagion in Stochastic Transition Models
    by Patrick Gagliardini & Christian Gouriéroux
  • 2012 Determinants of US financial fragility conditions
    by Fabio Bagliano & Claudio Morana
  • 2012 Sentiment Trades and Option Prices
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Noise Trading and the Cross-Section of Index Option Prices
    by Fabian Irek & Thorsten Lehnert & Nicolas Martelin
  • 2012 Bubbles and Experience: An Experiment with a Steady Inflow of New Traders
    by Huan Xie & Jipeng Zhang
  • 2012 From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
    by Martin Bohl & Philipp Kaufmann & Patrick Stephan
  • 2012 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    by Marc Lammerding & Patrick Stephan & Mark Trede & Bernd Wilfling
  • 2012 Valuation Risk and Asset Pricing
    by Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio
  • 2012 Empirical Cross-Sectional Asset Pricing
    by Nagel, Stefan
  • 2012 The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects
    by D'Amico, Stefania & English, William & López-Salido, J David & Nelson, Edward
  • 2012 Asset Prices and Institutional Investors
    by Basak, Suleyman & Pavlova, Anna
  • 2012 Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition
    by Chen, Zhihua & Lookman, Aziz & Schürhoff, Norman & Seppi, Duane J
  • 2012 Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
    by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel
  • 2012 The Cross-Section and Time-Series of Stock and Bond Returns
    by Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn
  • 2012 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    by Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn
  • 2012 The Wealth-Consumption Ratio
    by Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien
  • 2012 Can Rare Events Explain the Equity Premium Puzzle?
    by Ghosh, Anisha & Julliard, Christian
  • 2012 Robust Capital Regulation
    by Acharya, Viral V & Mehran, Hamid & Schuermann, Til & Thakor, Anjan
  • 2012 Competing on Speed
    by Pagnotta, Emiliano & Philippon, Thomas
  • 2012 Evaporating Liquidity
    by Nagel, Stefan
  • 2012 Currency Momentum Strategies
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas
  • 2012 Sources of Risk in Currency Returns
    by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina
  • 2012 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
    by Gelain, Paolo & Lansing, Kevin J. & Mendicino, Caterina
  • 2012 Two-dimensional Fourier cosine series expansion method for pricing financial options
    by Marjon Ruijter & Kees Oosterlee (CWI)
  • 2012 The Impact of Supply Constraints on House Prices in England
    by Wouter Vermeulen & Christian A.L. Hilber
  • 2012 Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
    by Peter Claeys & Borek Vasicek
  • 2012 Macroprudential Policy and Its Instruments in a Small EU Economy
    by Jan Frait & Zlatuse Komarkova
  • 2012 Performance-Based Compensation and Firm Value: Experimental evidence
    by Glenn Pfeiffer & Timothy Shields
  • 2012 To buy or not to buy? The value of contradictory analyst signals
    by Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne
  • 2012 Risk Premia: Short and Long-term
    by Stanislav Khrapov
  • 2012 The investor in warrants
    by Victor Mendes Santos
  • 2012 Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes
    by Christian Gollier
  • 2012 Asset Pricing Implications of a New Keynesian Model: A Note
    by Burkhard Heer & Torben Klarl & Alfred Maussner
  • 2012 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Sven Steinkamp & Frank Westermann
  • 2012 Testing Uncovered Interest Rate Parity Using LIBOR
    by Muhammad Omer & Jakob de Haan & Bert Scholtens
  • 2012 The Impact of Supply Constraints on House Prices in England
    by Christian A. L. Hilber & Wouter Vermeulen
  • 2012 Policy Design in a Model with Swings in Risk Appetite
    by Bianca De Paoli & Pawel Zabczyk
  • 2012 Cyclical Risk Aversion, Precautionary Saving and Monetary Policy
    by Bianca De Paoli & Pawel Zabczyk
  • 2012 The Real Effects of Hedge Fund Activism: Productivity, Risk, and Product Market Competition
    by Alon Brav & Wei Jiang & Hyunseob Kim
  • 2012 Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets
    by Athanasios Geromichalos & Lucas Herrenbrueck
  • 2012 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
    by Doriana Ruffino
  • 2012 Risk Management and Financial Derivatives: An Overview
    by Shawkat Hammoudeh & Michael McAleer
  • 2012 Sovereign default and macroeconomic tipping points
    by Joy, Mark
  • 2012 Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
    by Pesaran, M. H. & Yamagata, T.
  • 2012 The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
    by Michael King & Carol Osler & Dagfinn Rime
  • 2012 Inflation Derivatives Under Inflation Target Regimes
    by Mordecai Avriel & Jens Hilscher & Alon Raviv
  • 2012 Ambiguity Aversion and Variance Premium
    by Jianjun Miao & Bin Wei & Hao Zhou
  • 2012 Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis
    by Evren Arik & Elif Mutlu
  • 2012 Effective Trade Execution
    by R. Cesari & M. Marzo & P. Zagaglia
  • 2012 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
    by Dimitris A. Georgoutsos & Petros Migiakis
  • 2012 QE and the gilt market: a disaggregated analysis
    by Daines, Martin & Joyce, Michael & Tong, Matthew
  • 2012 Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
    by de Vincent-Humphreys, Rupert & Noss, Joseph
  • 2012 Measuring Sovereign Contagion in Europe
    by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon
  • 2012 House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy
    by Paolo Gelain & Kevin J. Lansing & Caterina Mendicino
  • 2012 Measuring sovereign contagion in Europe
    by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon
  • 2012 Equity Capital, Bankruptcy Risk and the Liquidity Trap
    by Oren Levintal
  • 2012 Asset Pricing with Second-Order Esscher Transforms
    by Monfort, A. & Pegoraro, F.
  • 2012 A model of the euro-area yield curve with discrete policy rates
    by Renne, J-P.
  • 2012 Commonality in hedge fund returns: driving factors and implications
    by Bussiere, M. & Hoerova, M. & Klaus, B.
  • 2012 A term structure model with level factor cannot be realistic and arbitrage free
    by Dubecq , S. & Gourieroux , C.
  • 2012 The role of financial investments in agricultural commodity derivatives markets
    by Alessandro Borin & Virginia Di Nino
  • 2012 Expected inflation and inflation risk premium in the euro area and in the United States
    by Marcello Pericoli
  • 2012 Real term structure and inflation compensation in the euro area
    by Marcello Pericoli
  • 2012 Recent estimates of sovereign risk premia for euro-area countries
    by Antonio Di Cesare & Giuseppe Grande & Michele Manna & Marco Taboga
  • 2012 An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
    by Gregory H. Bauer & Antonio Diez de los Rios
  • 2012 Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    by Jean-Sébastien Fontaine
  • 2012 Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    by Bruno Feunou & Jean-Sébastien Fontaine
  • 2012 Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap
  • 2012 The U.S.-Dollar Supranational Zero-Coupon Curve
    by Francisco Rivadeneyra
  • 2012 Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable
    by Nandini Srivastava & Stephen Satchell
  • 2012 Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?
    by Lutz G. Arnold & Stephan Brunner
  • 2012 The mean-variance model from the inverse of the variance-covariance matrix
    by Jordi Esteve Comas & Manuel Fernandez Lopez
  • 2012 Estimating C-CAPM and the Equity Premium over the Frequency Domain
    by Ekaterini Panopoulou & Sarantis Kalyvitis
  • 2012 Pricing European Options on Deferred Insurance
    by Jonathan Ziveyi & Craig Blackburn & Michael Sherris
  • 2012 Are extreme returns priced in the stock market? European evidence
    by ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt
  • 2012 External imbalances and financial fragility in the euro area
    by Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero
  • 2012 Information Environment and the Cost of Capital: A New Approach
    by Xuguang Sheng & Orie Barron & Maya Thevenot
  • 2012 Advice and Fictive Learning: The Pricing of Assets in the Laboratory
    by Jonathan E. Alevy & Michael K. Price
  • 2012 Fear and Closed-End Fund Discounts
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
  • 2012 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
  • 2012 Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
    by Tom Engsted & Thomas Q. Pedersen
  • 2012 Stock Return and Cash Flow Predictability: The Role of Volatility Risk
    by Tim Bollerslev & Lai Xu & Hao Zhou
  • 2012 Nonlinear Kalman Filtering in Affine Term Structure Models
    by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui
  • 2012 Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
    by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois
  • 2012 End-of-the-year economic growth and time-varying expected returns
    by Stig V. Møller & Jesper Rangvid
  • 2012 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
    by Daniela Osterrieder & Peter C. Schotman
  • 2012 Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
    by Nektarios Aslanidis & Charlotte Christiansen
  • 2012 Integration of European Bond Markets
    by Charlotte Christiansen
  • 2012 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
    by Olaf Posch & Andreas Schrimpf
  • 2012 Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
    by Heejoon Han & Dennis Kristensen
  • 2012 Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs
    by Zhenjiang Qin
  • 2012 Heterogeneous Beliefs, Public Information, and Option Markets
    by Zhenjiang Qin
  • 2012 Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
    by Peter O. Christensen & Zhenjiang Qin
  • 2012 Commodity derivatives pricing with inventory effects
    by Christian Bach & Matt P. Dziubinski
  • 2012 Investments And Portfolio Performance
    by
  • 2012 Le taux d'escompte à long terme en tenant compte de la production
    by Rüther, Pierre-Olivier
  • 2012 Evaluating public policies : Normative models beyond cost benefit analysis
    by Lucertini, Giulia
  • 2012 Predicting the unpredictable: Forecastable bubbles and business cycles under rational expectations
    by Gracia, Eduard
  • 2012 The Public Debt Of Countries From Euro Zone. The Snowball Effect
    by Radulescu, Andrei
  • 2012 Is the Romanian financial market prepared to support pension system reform?
    by Laura Raisa MILOS
  • 2012 Characteristics Of The Chinese Bourses (Stock Markets)
    by Jeffrey E. Jarrett, Ph.D. & Eric Kyper, Ph.D.
  • 2012 Under-Reaction Of S&P 500 Implied Volatility To Relevant Information
    by Andrey KUDRYAVTSEV
  • 2012 Impact Of Mergers On Corporate Performance: A Sample Study Of Indian Textile Industry
    by AMARJIT SAINI & RAVI SINGLA
  • 2012 Asset Pricing In The Indian Capital Market: A Study Of Positive And Negative Return Periods
    by RAVI SINGLA & J. S. PASRICHA
  • 2012 The Cross-Section of German Stock Returns: New Data and New Evidence
    by Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen
  • 2012 The APT Model and its Applicability in Romania’s Case
    by Florin Dan PIELEANU
  • 2012 Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test
    by Guochen Pan & Seng-Sung Chen & Tsangyao Chang
  • 2012 UK cross-sectional equity data: The case for robust investability filters
    by Rossi, Francesco
  • 2012 Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk
    by Caliskan, Tuncer
  • 2012 Volatility Regimes For The Vix Index
    by JACINTO MARABEL ROMO
  • 2012 Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market
    by Nawazish Mirza & Ayesha Afzal
  • 2012 Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models
    by Jianfeng Yu
  • 2012 Bond Risk Premiums and Optimal Monetary Policy
    by Francisco Palomino
  • 2012 Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India
    by Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari & Olaolu Richard Olayeni
  • 2012 Callable and Puttable Bond Valuation and Embedded Call and Put Option on Bond Cash Flow
    by Jaroslav Brada
  • 2012 Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT
    by Jaroslav Brada
  • 2012 The impact of the crisis on the monetary autonomy of Central and Eastern European countries
    by Gábor Dávid Kiss & Andreász Kosztopulosz
  • 2012 How Appraisers Develop Fair Value
    by Miroslav Škoda
  • 2012 Incomplete Markets and Financial Instability. The Role of Information
    by Cristian Ionescu
  • 2012 The Herd Behavior and the Financial Instability
    by Cristian Ionescu
  • 2012 Studying the effect of assets return rate on stock price of the companies accepted in Tehran stock exchange
    by Parviz Saeidi & Abolghasem Okhli
  • 2012 Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima
    by Gabriel Rodríguez & Alfredo Vargas
  • 2012 Romanian Investment Funds Risk-Adjusted Performance Evaluation
    by Filip Angela-Maria & Pochea Maria Miruna
  • 2012 Foreign Direct Investments and Their Impact Upon Exterior Commerce. The Case of Romania
    by Dumiter Florin Cornel & Halmi Mirela & David Delia
  • 2012 Speculative Bubbles - A Behavioral Approach
    by Dedu Vasile & Turcan Ciprian Sebastian & Turcan Radu
  • 2012 A Study On Financial Derivative Worldwide Transactions -Futures Contracts
    by CIOBANU Gheorghe & SECHEL Ioana-Cristina
  • 2012 Underground Economy, Gdp And Stock Market
    by Caus Vasile Aurel
  • 2012 The design and implementation of the MNB’s euro sale programme introduced in relation to early repayments
    by György Pulai & Zoltán Reppa
  • 2012 Volume and Skewness Analysis in the Major Latin American Stock Markets
    by Werner Kristjanpoller & Víctor Caballero
  • 2012 Impact of Financial Reforms on Stock Price Index of Karachi Stock Exchange: An ARDL Cointegration Approach
    by Shah Khalid & Wali Ullah & Fazli Rabbi
  • 2012 Hayek, Keynes, and modern macroeconomics
    by Roger Koppl & William Luther
  • 2012 Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
    by Benjamin R. Auer
  • 2012 Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?
    by Kuan-Min Wang & Yuan-Ming Lee & Chien-Chiang Lee
  • 2012 Extracting Deflation Probability Forecasts from Treasury Yields
    by Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  • 2012 The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale?
    by Michael Ehrmann & David Sondermann
  • 2012 Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds
    by Richard Finlay & Sebastian Wende
  • 2012 Improving the Forecasting Power of Volatility Models
    by Ahmed Bensaida
  • 2012 How Do the Asian and the Asia-Pacific Equity Markets Covariate? The Linkage with Japan
    by Chikashi Tsuji
  • 2012 Bank Capital Structure, Liquidity and Profitability Evidence from the Nigerian Banking System
    by Sebastian Ofumbia Uremadu
  • 2012 Does It Matter Who Trades Energy Derivatives?
    by Bahattin Büyüksahin & Michel A. Robe
  • 2012 Real Oil Prices since the 1990s
    by Claudio Morana
  • 2012 The Role of Fees in Pension Fund Performance. Evidence from Spain
    by Mercedes Alda & Luis Ferruz
  • 2012 Time-Varying Betas of Banking Sectors
    by Tomas Adam & Sona Benecka & Ivo Jansky
  • 2012 Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?
    by Vit Posta
  • 2012 Internet valuations: The case of Terra-Lycos
    by Pablo Fernandez
  • 2012 House Price Comovements in the Eurozone Economies
    by Andreas Merikas & Anna Merika & Nikiforos Laopodis & Anna Triantafyllou
  • 2012 Stamp characteristics and long-term return after issuance: evidence from new China stamps
    by Xin Chen & Xian Chen
  • 2012 Does attention affect individual investors' investment return?
    by Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang
  • 2012 New instruments for banking regulation and monetary policy after the crisis
    by Daniel Detzer
  • 2012 Rating Government Bonds: Can We Raise Our Grade?
    by Marc D. Joffe
  • 2012 Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti
    by Umut UYAR & Sinem Guler KANGALLI
  • 2012 Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama
    by Omer ISKENDEROGLU
  • 2012 Portfolio Selection – A Technical Note
    by Ana Paula Martins
  • 2012 Volume, volatility and information linkages in the stock and option markets
    by Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong
  • 2012 A logit model of retail investors' individual trading decisions and their relations to insider trades
    by Stotz, Olaf & Georgi, Dominik
  • 2012 Islamic investing
    by Walkshäusl, Christian & Lobe, Sebastian
  • 2012 The predictability of aggregate Japanese stock returns: Implications of dividend yield
    by Chen, Sichong
  • 2012 R&D, risks and overreaction in a market with the absence of the book-to-market effect
    by Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang
  • 2012 Asset pricing with idiosyncratic risk: The Spanish case
    by Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis
  • 2012 Intraday trading activities and volatility in round-the-clock futures markets
    by Kao, Erin H. & Fung, Hung-Gay
  • 2012 Parametric Value-at-Risk analysis: Evidence from stock indices
    by Mabrouk, Samir & Saadi, Samir
  • 2012 Do short selling restrictions destabilize stock markets? Lessons from Taiwan
    by Bohl, Martin T. & Essid, Badye & Siklos, Pierre L.
  • 2012 The investment value of the value premium
    by Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A.
  • 2012 Evaluating asset pricing models in the Korean stock market
    by Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo
  • 2012 The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market
    by Luo, Yongli & Fang, Fang & Esqueda, Omar A.
  • 2012 The foreclosure discount: Myth or reality?
    by Harding, John P. & Rosenblatt, Eric & Yao, Vincent W.
  • 2012 Investor demand and spot commodity prices: Reply 2
    by Tilton, John E. & Humphreys, David & Radetzki, Marian
  • 2012 The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study
    by Siddiqi, Hammad
  • 2012 Common trends and common cycles among interest rates of the G7-countries
    by Lindenberg, Nannette & Westermann, Frank
  • 2012 Information contagion within small worlds and changes in kurtosis and volatility in financial prices
    by Bowden, Mark P.
  • 2012 Central bank announcements of asset purchases and the impact on global financial and commodity markets
    by Glick, Reuven & Leduc, Sylvain
  • 2012 International diversification with securitized real estate and the veiling glare from currency risk
    by Kroencke, Tim A. & Schindler, Felix
  • 2012 Sovereign risk premiums in the European government bond market
    by Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger
  • 2012 When does uncovered interest parity hold?
    by Moore, Michael J. & Roche, Maurice J.
  • 2012 Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets
    by Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad
  • 2012 The Greek financial crisis: Growing imbalances and sovereign spreads
    by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.
  • 2012 Investor yield and gross underwriting spread comparisons among U.S. dollar domestic, Yankee, Eurodollar, and global bonds
    by Resnick, Bruce G.
  • 2012 Global liquidity risk in the foreign exchange market
    by Banti, Chiara & Phylaktis, Kate & Sarno, Lucio
  • 2012 Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms
    by Jongen, R. & Muller, A. & Verschoor, W.F.C.
  • 2012 Securitization, risk-transferring and financial instability: The case of Spain
    by Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco
  • 2012 Aging and house prices
    by Takáts, Előd
  • 2012 Currency momentum strategies
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas
  • 2012 Stock returns after major price shocks: The impact of information
    by Savor, Pavel G.
  • 2012 Multifactor models and their consistency with the ICAPM
    by Maio, Paulo & Santa-Clara, Pedro
  • 2012 Pinning in the S&P 500 futures
    by Golez, Benjamin & Jackwerth, Jens Carsten
  • 2012 Geographic dispersion and stock returns
    by García, Diego & Norli, Øyvind
  • 2012 ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
    by Paye, Bradley S.
  • 2012 Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing
    by Dezső, Cristian L. & Ross, David Gaddis
  • 2012 The term structure of inflation expectations
    by Chernov, Mikhail & Mueller, Philippe
  • 2012 Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban
    by Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick
  • 2012 The option to stock volume ratio and future returns
    by Johnson, Travis L. & So, Eric C.
  • 2012 Predictive regressions with time-varying coefficients
    by Dangl, Thomas & Halling, Michael
  • 2012 Testing conditional factor models
    by Ang, Andrew & Kristensen, Dennis
  • 2012 Limited arbitrage between equity and credit markets
    by Kapadia, Nikunj & Pu, Xiaoling
  • 2012 Sell-order liquidity and the cross-section of expected stock returns
    by Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing
  • 2012 Displacement risk and asset returns
    by Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros
  • 2012 What does futures market interest tell us about the macroeconomy and asset prices?
    by Hong, Harrison & Yogo, Motohiro
  • 2012 Size, value, and momentum in international stock returns
    by Fama, Eugene F. & French, Kenneth R.
  • 2012 A unique view of hedge fund derivatives usage: Safeguard or speculation?
    by Aragon, George O. & Spencer Martin, J.
  • 2012 How are shorts informed?
    by Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C.
  • 2012 Understanding commonality in liquidity around the world
    by Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A.
  • 2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis
    by Driessen, Joost & Van Hemert, Otto
  • 2012 Variance bounds on the permanent and transitory components of stochastic discount factors
    by Bakshi, Gurdip & Chabi-Yo, Fousseni
  • 2012 Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
    by Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G.
  • 2012 Payout yield, risk, and mispricing: A Bayesian analysis
    by Shanken, Jay & Tamayo, Ane
  • 2012 Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    by Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana
  • 2012 The role of institutional investors in propagating the crisis of 2007–2008
    by Manconi, Alberto & Massa, Massimo & Yasuda, Ayako
  • 2012 Arbitrage crashes and the speed of capital
    by Mitchell, Mark & Pulvino, Todd
  • 2012 Investor attention, psychological anchors, and stock return predictability
    by Li, Jun & Yu, Jianfeng
  • 2012 Measuring investor sentiment with mutual fund flows
    by Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi
  • 2012 Chasing noise
    by Mendel, Brock & Shleifer, Andrei
  • 2012 The short of it: Investor sentiment and anomalies
    by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu
  • 2012 Global, local, and contagious investor sentiment
    by Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu
  • 2012 Realization utility
    by Barberis, Nicholas & Xiong, Wei
  • 2012 Time series momentum
    by Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje
  • 2012 Cash holdings, risk, and expected returns
    by Palazzo, Berardino
  • 2012 Endogenous liquidity in credit derivatives
    by Qiu, Jiaping & Yu, Fan
  • 2012 Corporate bond liquidity before and after the onset of the subprime crisis
    by Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David
  • 2012 Do arbitrageurs amplify economic shocks?
    by Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal
  • 2012 Is momentum really momentum?
    by Novy-Marx, Robert
  • 2012 Endogenous technological progress and the cross-section of stock returns
    by Lin, Xiaoji
  • 2012 Counterparty credit risk and the credit default swap market
    by Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.
  • 2012 CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
    by Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi
  • 2012 Rational asset pricing bubbles and portfolio constraints
    by Hugonnier, Julien
  • 2012 Forecasting the forecasts of others: Implications for asset pricing
    by Makarov, Igor & Rytchkov, Oleg
  • 2012 Equilibrium in securities markets with heterogeneous investors and unspanned income risk
    by Christensen, Peter Ove & Larsen, Kasper & Munk, Claus
  • 2012 Why does bad news increase volatility and decrease leverage?
    by Fostel, Ana & Geanakoplos, John
  • 2012 Securities market theory: Possession, repo and rehypothecation
    by Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R.
  • 2012 Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction
    by Barbedo, Claudio H.S. & de Melo, Eduardo F.L.
  • 2012 Real aggregate activity and stock returns
    by Du, Ding & Denning, Karen & Zhao, Xiaobing
  • 2012 Volatility persistence in metal returns: A FIGARCH approach
    by Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde
  • 2012 Private investment and public equity returns
    by Couch, Robert & Wu, Wei
  • 2012 The dynamic adjustments of stock prices to inflation disturbances
    by Valcarcel, Victor J.
  • 2012 Delegated portfolio management with career concerns
    by Scotti, Massimo
  • 2012 Speculative growth, overreaction, and the welfare cost of technology-driven bubbles
    by Lansing, Kevin J.
  • 2012 Estimating behavioural heterogeneity under regime switching
    by Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan
  • 2012 Heterogeneous gain learning and the dynamics of asset prices
    by LeBaron, Blake
  • 2012 Financial crises and regime-dependent dynamics
    by Huang, Weihong & Zheng, Huanhuan
  • 2012 A behavioral model of house prices
    by Madsen, Jakob B.
  • 2012 Herding effects in order driven markets: The rise and fall of gurus
    by Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro
  • 2012 Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
    by Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K.
  • 2012 Does the choice of estimator matter when forecasting returns?
    by Westerlund, Joakim & Narayan, Paresh Kumar
  • 2012 State uncertainty in stock markets: How big is the impact on the cost of equity?
    by Han, Yufeng
  • 2012 What explains the investment growth anomaly?
    by Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying
  • 2012 Downside risk of international stock returns
    by Galsband, Victoria
  • 2012 Option trading: Information or differences of opinion?
    by Choy, Siu Kai & Wei, Jason
  • 2012 Are corporate bond market returns predictable?
    by Hong, Yongmiao & Lin, Hai & Wu, Chunchi
  • 2012 Institutional ownership, analyst following, and share prices
    by Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A.
  • 2012 Asset pricing with partial-moments
    by Anthonisz, Sean A.
  • 2012 Multimarket trading and corporate bond liquidity
    by Petrasek, Lubomir
  • 2012 Informed trading, information uncertainty, and price momentum
    by Chen, Yifan & Zhao, Huainan
  • 2012 The week-of-the-year effect: Evidence from around the globe
    by Levy, Tamir & Yagil, Joseph
  • 2012 Bounds on the autocorrelation of admissible stochastic discount factors
    by Chrétien, Stéphane
  • 2012 An alternative three-factor model for international markets: Evidence from the European Monetary Union
    by Ammann, Manuel & Odoni, Sandro & Oesch, David
  • 2012 Information demand and stock market volatility
    by Vlastakis, Nikolaos & Markellos, Raphael N.
  • 2012 Asset pricing with Second-Order Esscher Transforms
    by Monfort, Alain & Pegoraro, Fulvio
  • 2012 Assessing the risk-return trade-off in loan portfolios
    by Mencía, Javier
  • 2012 Endogenizing exogenous default barrier models: The MM algorithm
    by Forte, Santiago & Lovreta, Lidija
  • 2012 Are good-news firms riskier than bad-news firms?
    by Min, Byoung-Kyu & Kim, Tong Suk
  • 2012 Extreme downside risk and expected stock returns
    by Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng
  • 2012 Using industry momentum to improve portfolio performance
    by Behr, Patrick & Guettler, Andre & Truebenbach, Fabian
  • 2012 The term structure of illiquidity premia
    by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese
  • 2012 On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum
    by Bhootra, Ajay & Hur, Jungshik
  • 2012 Pitfalls in VAR based return decompositions: A clarification
    by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten
  • 2012 Earnings conference calls and stock returns: The incremental informativeness of textual tone
    by Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A.
  • 2012 A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns
    by Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D.
  • 2012 Modeling and measuring intraday overreaction of stock prices
    by Klößner, Stefan & Becker, Martin & Friedmann, Ralph
  • 2012 An empirical analysis of marginal conditional stochastic dominance
    by Clark, Ephraim & Kassimatis, Konstantinos
  • 2012 Cross-sectional performance and investor sentiment in a multiple risk factor model
    by Berger, Dave & Turtle, H.J.
  • 2012 The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors
    by Murtazashvili, Irina & Vozlyublennaia, Nadia
  • 2012 Higher co-moments and asset pricing on London Stock Exchange
    by Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios
  • 2012 Short selling of ADRs and foreign market short-sale constraints
    by Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S.
  • 2012 Fast profits: Investor sentiment and stock returns during Ramadan
    by Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr
  • 2012 The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
    by Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R.
  • 2012 Order flow, bid–ask spread and trading density in foreign exchange markets
    by Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen
  • 2012 A unique “T+1 trading rule” in China: Theory and evidence
    by Guo, Ming & Li, Zhan & Tu, Zhiyong
  • 2012 An improved estimation method and empirical properties of the probability of informed trading
    by Yan, Yuxing & Zhang, Shaojun
  • 2012 Another look at trading costs and short-term reversal profits
    by de Groot, Wilma & Huij, Joop & Zhou, Weili
  • 2012 Credit rating dynamics in the presence of unknown structural breaks
    by Xing, Haipeng & Sun, Ning & Chen, Ying
  • 2012 Option-implied volatility factors and the cross-section of market risk premia
    by Li, Junye
  • 2012 Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system
    by Fan, Longzhen & Tian, Shu & Zhang, Chu
  • 2012 Distress risk premia in expected stock and bond returns
    by Zhang, Andrew Jianzhong
  • 2012 Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
    by Beliaeva, Natalia & Nawalkha, Sanjay
  • 2012 Informed or speculative: Short selling analyst recommendations
    by Blau, Benjamin M. & Wade, Chip
  • 2012 Models of the yield curve and the curvature of the implied forward rate function
    by Yallup, Peter J.
  • 2012 Financial crises in efficient markets: How fundamentalists fuel volatility
    by Szafarz, Ariane
  • 2012 Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings
    by Floros, Ioannis V. & Sapp, Travis R.A.
  • 2012 Downside risk aversion, fixed-income exposure, and the value premium puzzle
    by Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim
  • 2012 Liquidity risk and stock returns around the world
    by Liang, Samuel Xin & Wei, John K.C.
  • 2012 Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London
    by Fukuda, Shin-ichi
  • 2012 Estimating the cost of capital with basis assets
    by Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng
  • 2012 Mutual fund flows, expected returns, and the real economy
    by Jank, Stephan
  • 2012 Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
    by Yamamoto, Ryuichi
  • 2012 Corporate taxes, strategic default, and the cost of debt
    by Nejadmalayeri, Ali & Singh, Manohar
  • 2012 Day and night returns of Chinese ADRs
    by He, Hui & Yang, Jiawen
  • 2012 Momentum, contrarian, and the January seasonality
    by Yao, Yaqiong
  • 2012 Pricing the US residential asset through the rent flow: A cross-sectional study
    by Goswami, Gautam & Tan, Sinan
  • 2012 The implied cost of capital: A new approach
    by Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei
  • 2012 Earnings dispersion and aggregate stock returns
    by Jorgensen, Bjorn & Li, Jing & Sadka, Gil
  • 2012 An intertemporal capital asset pricing model with heterogeneous expectations
    by Koutmos, Dimitrios
  • 2012 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Arghyrou, Michael G. & Kontonikas, Alexandros
  • 2012 The role of data limitations, seasonality and frequency in asset pricing models
    by Murtazashvili, Irina & Vozlyublennaia, Nadia
  • 2012 Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC
    by Bley, Jorg & Saad, Mohsen
  • 2012 The efficiency of the buy-write strategy: Evidence from Australia
    by Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad
  • 2012 Exchange rate risk in the US stock market
    by Du, Ding & Hu, Ou
  • 2012 Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009
    by Antell, Jan & Vaihekoski, Mika
  • 2012 Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
    by Ahčan, Aleš
  • 2012 Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?
    by Borio, Claudio & Zhu, Haibin
  • 2012 Primary market characteristics and secondary market frictions of stocks
    by Boehme, Rodney & Çolak, Gönül
  • 2012 An improved test for statistical arbitrage
    by Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch
  • 2012 What does PIN identify? Evidence from the T-bill market
    by Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B.
  • 2012 Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds
    by Flynn, Sean Masaki
  • 2012 Hard assets: The returns on rare diamonds and gems
    by Renneboog, Luc & Spaenjers, Christophe
  • 2012 Measuring economic uncertainty and its impact on the stock market
    by Dzielinski, Michal
  • 2012 Can dual-currency sovereign CDS predict exchange rate returns?
    by Pu, Xiaoling & Zhang, Jianing
  • 2012 Some curious power properties of long-horizon tests
    by Hjalmarsson, Erik
  • 2012 Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
    by Jarrow, Robert & Protter, Philip
  • 2012 Investor sentiment and stock returns: Wenchuan Earthquake
    by Shan, Liwei & Gong, Stephen X.
  • 2012 Wealth dynamics and a bias toward momentum trading
    by LeBaron, Blake
  • 2012 Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011
    by Choudhry, Taufiq & Jayasekera, Ranadeva
  • 2012 When the market becomes inefficient: Comparing BRIC markets with markets in the USA
    by Majumder, Debasish
  • 2012 Common factors, principal components analysis, and the term structure of interest rates
    by Juneja, Januj
  • 2012 Empirical analysis of credit spread changes of US corporate bonds
    by Loncarski, Igor & Szilagyi, Peter G.
  • 2012 Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence
    by Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou
  • 2012 An analysis of intraday market behaviour before takeover announcements
    by Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J.
  • 2012 The role of the media in a bubble
    by Campbell, Gareth & Turner, John D. & Walker, Clive B.
  • 2012 Oil shocks and their impact on energy related stocks in China
    by Broadstock, David C. & Cao, Hong & Zhang, Dayong
  • 2012 Pricing emission permits in the absence of abatement
    by Hintermann, Beat
  • 2012 Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries
    by Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung
  • 2012 Oil price shocks and European industries
    by Scholtens, Bert & Yurtsever, Cenk
  • 2012 A utility based approach to energy hedging
    by Cotter, John & Hanly, Jim
  • 2012 On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
    by Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong
  • 2012 Testing the Masters Hypothesis in commodity futures markets
    by Irwin, Scott H. & Sanders, Dwight R.
  • 2012 A meta-analysis of the equity premium
    by van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos)
  • 2012 Fractal market time
    by McCulloch, James
  • 2012 Time-varying performance of international mutual funds
    by Turtle, H.J. & Zhang, Chengping
  • 2012 Global style momentum
    by Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha
  • 2012 Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis
    by Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang
  • 2012 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    by Engsted, Tom & Pedersen, Thomas Q.
  • 2012 When does investor sentiment predict stock returns?
    by Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying
  • 2012 Emerging market sovereign bond spreads: Estimation and back-testing
    by Comelli, Fabio
  • 2012 The time-varying integration of euro area government bond markets
    by Pozzi, Lorenzo & Wolswijk, Guido
  • 2012 Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM
    by Urbański, Stanisław
  • 2012 Econometric analysis of present value models when the discount factor is near one
    by West, Kenneth D.
  • 2012 Local GMM estimation of time series models with conditional moment restrictions
    by Gospodinov, Nikolay & Otsu, Taisuke
  • 2012 Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
    by Peñaranda, Francisco & Sentana, Enrique
  • 2012 Term structure models and the zero bound: An empirical investigation of Japanese yields
    by Kim, Don H. & Singleton, Kenneth J.
  • 2012 Identification and estimation of Gaussian affine term structure models
    by Hamilton, James D. & Wu, Jing Cynthia
  • 2012 A semiparametric stochastic volatility model
    by Yu, Jun
  • 2012 Semiparametric inference in a GARCH-in-mean model
    by Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M.
  • 2012 ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
    by Han, Heejoon & Park, Joon Y.
  • 2012 Bayesian hypothesis testing in latent variable models
    by Li, Yong & Yu, Jun
  • 2012 MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
    by Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak
  • 2012 Forecasting the yield curve for the Euro region
    by Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O.
  • 2012 Asymmetric extreme tails and prospective utility of momentum returns
    by Gregory-Allen, Russell & Lu, Helen & Stork, Philip
  • 2012 Disagreement, correlation and asset prices
    by He, Xue-Zhong & Shi, Lei
  • 2012 Stock index return forecasting: The information of the constituents
    by Cai, Charlie X. & Kyaw, Khine & Zhang, Qi
  • 2012 A variance decomposition of index-linked bond returns
    by Breedon, Francis
  • 2012 Can industry regulators learn collusion structures from information-efficient asset markets?
    by Zimper, Alexander & Hassan, Shakill
  • 2012 A refined consumption–wealth ratio and its role on time-varying consumption risk
    by Quijano, Margot
  • 2012 Transition probabilities in a problem of stochastic process switching
    by Veestraeten, Dirk
  • 2012 Structural breaks and GARCH models of stock return volatility: The case of South Africa
    by Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel
  • 2012 Information disclosure with leakages
    by Grégoire, Philippe & Huang, Hui
  • 2012 Pricing of collectibles: Baedeker guidebooks
    by Erdős, Péter & Ormos, Mihály
  • 2012 Modeling hedge fund exposure to risk factors
    by Jawadi, Fredj & Khanniche, Sabrina
  • 2012 South African stock return predictability in the context data mining: The role of financial variables and international stock returns
    by Gupta, Rangan & Modise, Mampho P.
  • 2012 Modelling the risk–return relation for the S&P 100: The role of VIX
    by Kanas, Angelos
  • 2012 Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
    by Bao, Qunfang & Chen, Si & Li, Shenghong
  • 2012 Dynamic modelling of real estate investment trusts and stock markets
    by Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin
  • 2012 Liquidity-adjusted conditional capital asset pricing model
    by Wang, Jinan & Chen, Langnan
  • 2012 Estimation of an agent-based model of investor sentiment formation in financial markets
    by Lux, Thomas
  • 2012 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
    by Franke, Reiner & Westerhoff, Frank
  • 2012 Excess covariance and dynamic instability in a multi-asset model
    by Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo
  • 2012 Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
    by He, Xue-Zhong & Li, Kai
  • 2012 Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
    by De Giorgi, Enrico G. & Legg, Shane
  • 2012 Inflation, human capital and Tobin's q
    by Basu, Parantap & Gillman, Max & Pearlman, Joseph
  • 2012 Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    by Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J.
  • 2012 Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
    by Lin, Yueh-Neng & Chang, Chien-Hung
  • 2012 Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
    by Zimper, Alexander
  • 2012 Small noise methods for risk-sensitive/robust economies
    by Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J.
  • 2012 Good timing: The economics of optimal stopping
    by Davis, Graham A. & Cairns, Robert D.
  • 2012 Evolving macroeconomic perceptions and the term structure of interest rates
    by Orphanides, Athanasios & Wei, Min
  • 2012 Relative risk aversion and the transmission of financial crises
    by Boschi, Melisso & Goenka, Aditya
  • 2012 Heterogeneity in stock prices: A STAR model with multivariate transition function
    by Lof, Matthijs
  • 2012 Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle
    by Barinov, Alexander
  • 2012 Diversification in the hedge fund industry
    by Shawky, Hany A. & Dai, Na & Cumming, Douglas
  • 2012 Access to private equity and real firm activity: Evidence from PIPEs
    by Brown, James R. & Floros, Ioannis V.
  • 2012 Chinese block transactions and the market reaction
    by Bian, Jiangze & Wang, Jun & Zhang, Ge
  • 2012 Is the Chinese stock market really inefficient?
    by Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming
  • 2012 The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange
    by Muhammed Monjurul Quadir
  • 2012 Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)
    by Sahbi FARHANI
  • 2012 Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies
    by Bettina Lis & Christian Neßler & Jan Retzmann
  • 2012 Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical
    by Seyyed Ali Paytakhti Oskooe
  • 2012 Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
    by Saban Celik
  • 2012 A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
    by Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys
  • 2012 Impacts of Macroeconomic Forces and External Shocks on Real Output for Indonesia
    by Yu Hsing
  • 2012 Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
    by Rangan GUPTA & Roula INGLESI-LOTZ
  • 2012 Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania
    by Ramona Mariana CALINICA & Daniel CALINICA
  • 2012 The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
    by Tianyi Wang & Zhuo Huang
  • 2012 Tests of Mean-Variance Spanning
    by Raymond Kan & Guofu Zhou
  • 2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
    by Philippe Bergevin & William B.P. Robson
  • 2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
    by Philippe Bergevin & William B.P. Robson
  • 2012 La volatilité des actions françaises sur le long terme
    by David Le Bris
  • 2012 The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM
    by Salem Boubakri
  • 2012 Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE
    by Serkan Yilmaz Kandir & Ahmet Erismis
  • 2012 Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective
    by Petros M. Migiakis
  • 2012 Market Correlation, Market Returns And Portfolio Implication
    by ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan
  • 2012 Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia
    by Jelena Minović & Boško Živković
  • 2012 Determinants of Cyclical Aggregate Dividend Behavior
    by Samih Antoine Azar
  • 2012 Bubbles and Crashes Revisited
    by Dean Johnson & Patrick Joyce
  • 2012 Equity prices, corporate information or random walk?
    by Roberto Ruozi
  • 2012 Rare Macroeconomic Disasters
    by Robert J. Barro & José F. Ursúa
  • 2012 Closed-End Funds: A Survey
    by Martin Cherkes
  • 2012 Valuation of Government Policies and Projects
    by Deborah Lucas
  • 2012 Consumption-Based Asset Pricing Models
    by Rajnish Mehra
  • 2012 Economic Activity of Firms and Asset Prices
    by Leonid Kogan & Dimitris Papanikolaou
  • 2012 Regime Changes and Financial Markets
    by Andrew Ang & Allan Timmermann
  • 2012 A Survey of Systemic Risk Analytics
    by Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis
  • 2012 Efficient Markets and the Law: A Predictable Past and an Uncertain Future
    by Henry T.C. Hu
  • 2012 Trading Carbon Dioxide On The European Cabon Market Using The Eu Ets Platform
    by Florin Sebastian Duma & Ioan Alin Nistor
  • 2012 Does intrinsic value still have a role in capital market pricing?
    by Iván Bélyácz
  • 2012 The Implications Of Liquidity Crises In The Context Of Emerging Capital Market
    by Felicia Ramona Birău
  • 2012 Identifying arbitrage opportunities on SIBEX market
    by Maria-Miruna POCHEA & Angela-Maria FILIP
  • 2012 Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach
    by Kusdhianto SETIAWAN
  • 2012 Model-based Measures of Output Gap: Application to the Thai Economy
    by Pithak Srisuksai
  • 2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine A�t-Sahalia & Jean Jacod
  • 2012 Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments
    by Mikhail Anufriev & Cars Hommes
  • 2012 Speculative Bubbles and Financial Crises
    by Pengfei Wang & Yi Wen
  • 2012 Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
    by Ana Fostel & John Geanakoplos
  • 2012 Contagious Adverse Selection
    by Stephen Morris & Hyun Song Shin
  • 2012 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop
  • 2011 Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
    by Rangan Gupta & Mampho P. Modise & Josine Uwilingiye
  • 2011 Macroeconomic Variables and South African Stock Return Predictability
    by Rangan Gupta & Mampho P. Modise
  • 2011 Hard Assets: The Returns on Rare Diamonds and Gems
    by Renneboog, L.D.R. & Spaenjers, C.
  • 2011 Time-Consistent and Market-Consistent Evaluations (replaced by CentER DP 2012-086)
    by Pelsser, A. & Stadje, M.A.
  • 2011 Managing commodity price volatility
    by Brière, Marie
  • 2011 Dynamic Feedback Hedging by a Large Player: from Theory to Practical Implementation
    by Tan, Xiaolu & Wang, Lihang & Kalife, Aymeric
  • 2011 The internally generated goodwill as an aggregation of interacting asset
    by Casta, Jean-François & Paugam, Luc & Stolowy, Hervé
  • 2011 The Performance of Islamic Investment: The case of Dow Jones Islamic Indexes
    by Jouaber, Kaouther & Ben Salah, Meriem & Rigobert, Marie-Josèphe
  • 2011 Liquidity contagion: A look at emerging markets
    by Dudek, Jérémy
  • 2011 Financial Intermediation in the Theory of the Risk-Free Rate
    by Marini, François
  • 2011 Les déterminants de la dépréciation du goodwill : proposition d'un cadre d'analyse
    by Bouden, Inès & Ramond, Olivier & Paugam, Luc
  • 2011 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène
  • 2011 Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
    by Chevallier, Julien
  • 2011 Nonparametric modeling of carbon prices
    by Chevallier, Julien
  • 2011 Non-additivity in accounting valuation: Internally generated goodwill as an aggregation of interacting assets
    by Casta, Jean-François & Stolowy, Hervé & Paugam, Luc
  • 2011 Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff
    by Napp, Clotilde & Jouini, Elyès
  • 2011 A Finite-Dimensional Approximation for Pricing Moving Average Options
    by Bernhart, Marie & Tankov, Peter & Warin, Xavier
  • 2011 An Explanation of the Nature of Internally Generated Goodwill Based on Aggregation of Interacting Assets
    by Stolowy, Hervé & Luc, Paugam & Casta, Jean-François
  • 2011 An Explanation of the Nature of Internally Generated Goodwill Based on Aggregation of Interacting Assets
    by Stolowy, Hervé & Paugam, Luc & Casta, Jean-François
  • 2011 Symposium: Experience and Confidence in an Internet-Based Asset Market Experiment
    by Marina Fiedler
  • 2011 Asset Pricing Puzzle: The Long-Run Risks Model's Approach
    by Francesca Brusa
  • 2011 The Failure of Neoclassical Financial Economics: The Capital Asset Pricing Model and its Pillars as an Illustration
    by Moosa, Imad
  • 2011 Interest Rates After the Credit Crunch: Markets and Models Evolution
    by Bianchetti, Marco & Carlicchi, Mattia
  • 2011 House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia
    by Caliman, Tiziana & Di Bella, Enrico
  • 2011 Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
    by Wamg, Jianxin
  • 2011 Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel
    by Sebastian Lobe & Klaus Röder
  • 2011 Der Erfolg von Insidertransaktionen – Timing oder Fundamentalbewertung?
    by Cetin-Behzet Cengiz & Marc Emanuel Schüssler & Rüdiger von Nitzsch
  • 2011 Noise Trading in Stamm- und Vorzugsaktien
    by Martin Jaron
  • 2011 Return risk map in a fuzzy environment
    by Brotons, José M. & Terceño, Antonio
  • 2011 Testing for monotonicity in expected asset returns
    by Joseph P. Romano & Michael Wolf
  • 2011 International diversification benefits with foreign exchange investment styles
    by Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas
  • 2011 International diversification with securitized real estate and the veiling glare from currency risk
    by Kroencke, Tim Alexander & Schindler, Felix
  • 2011 International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
    by Schindler, Felix & Kröncke, Tim-Alexander
  • 2011 Modellierung von Zinsstrukturkurven
    by Hewicker, Harald & Cremers, Heinz
  • 2011 Market response to investor sentiment
    by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian
  • 2011 Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
    by Hess, Dieter & Orbe, Sebastian
  • 2011 Optimal leverage, its benefits, and the business cycle
    by Hess, Dieter & Immenkötter, Philipp
  • 2011 Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions
    by Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke
  • 2011 Mutual fund flows, expected returns, and the real economy
    by Jank, Stephan
  • 2011 Market response to investor sentiment
    by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian
  • 2011 The impact of investor sentiment on the German stock market
    by Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan
  • 2011 Determinants of expected stock returns: Large sample evidence from the German market
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander
  • 2011 Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
    by Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen
  • 2011 A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
    by Puzanova, Natalia
  • 2011 Interactions between the real economy and the stock market
    by Westerhoff, Frank
  • 2011 Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation
    by Franke, Reiner & Westerhoff, Frank
  • 2011 On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets
    by Dieci, Roberto & Westerhoff, Frank
  • 2011 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
    by Franke, Reiner & Westerhoff, Frank
  • 2011 Balance sheet effect in the Polish economy
    by Szymon Grabowski
  • 2011 Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?
    by Kenneth Kuttner
  • 2011 Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon
  • 2011 The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany
    by Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells
  • 2011 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
    by Xue-Zhong He & Kai Li
  • 2011 Estimating Behavioural Heterogeneity Under Regime Switching
    by Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng
  • 2011 Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift
    by Ron Bird & Daniel Choi & Danny Yeung
  • 2011 The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?
    by Ron Bird & Krishna Reddy & Danny Yeung
  • 2011 Private Equity: Strategies for Improving Performance
    by Ron Bird & Harry Liem & Susan Thorp
  • 2011 Infrastructure: Real Assets and Real Returns
    by Ron Bird & Harry Liem & Susan Thorp
  • 2011 Emotions and Chat in a Financial Markets Experiment
    by Shaun P. Hargreaves Heap & Daniel John Zizzo
  • 2011 Affine Term Structure Constraints on Euribor data
    by Giulio Tarditi
  • 2011 Crash Sensitivity and the Cross-Section of Expected Stock Returns
    by Ruenzi, Stefan & Weigert, Florian
  • 2011 Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600
    by Mauricio Drelichman & Joachim Voth
  • 2011 The Damped Fluctuations as a Base of Market Quotations
    by Magomet Yandiev
  • 2011 Banks’ Net Interest Margin in the 2000s: A Macro-Accounting International Perspective
    by Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia
  • 2011 Speculation on Commodities Futures Markets and Destabilization Of Global Food Prices: Exploring the Connections
    by Jayati Ghosh & James Heintz & Robert Pollin
  • 2011 The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy
    by James Crotty
  • 2011 Emotions and chat in a financial markets experiment
    by Shaun Hargreaves Heap & Daniel John Zizzo
  • 2011 El traspaso de las tasas de interés en el sistema bancario uruguayo
    by Diego Gianelli
  • 2011 Determinants of trading activity after rating actions in the Corporate Debt Market
    by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez
  • 2011 Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
    by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez
  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer
  • 2011 Variance Swaps and Intertemporal Asset Pricing
    by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio
  • 2011 Why do variance swaps exist?
    by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio
  • 2011 Integration and Contagion in US Housing Markets
    by John Cotter & Stuart Gabriel & Richard Roll
  • 2011 A Utility Based Approach to Energy Hedging
    by John Cotter & Jim Hanly
  • 2011 Hedging Effectiveness under Conditions of Asymmetry
    by John Cotter & Jim Hanly
  • 2011 Implied Correlation from VaR
    by John Cotter & Francois Longin
  • 2011 Re-evaluating Hedging Performance
    by John Cotter & Jim Hanly
  • 2011 Volatility and Irish Exports
    by Don Bredin & John Cotter
  • 2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
    by Sergio Andenmatten & Felix Brill
  • 2011 Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009
    by Jan Antell & Mika Vaihekoski
  • 2011 Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi
    by Murat Duran & Eda Gulsen & Refet Gurkaynak
  • 2011 Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)
    by Kurmas Akdogan & Meltem Gulenay Chadwick
  • 2011 Selection in asset markets: the good, the bad, and the unknown
    by Giulio Bottazzi & Pietro Dindo
  • 2011 Approximate Equilibrium Asset Prices
    by Fernando Restoy & Philippe Weil
  • 2011 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    by Andras Fulop & Junye Li & Jun Yu
  • 2011 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    by Tore Selland Kleppe & Jun Yu & Hans J. Skaug
  • 2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
    by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou
  • 2011 Bayesian Hypothesis Testing in Latent Variable Models
    by Yong Li & Jun Yu
  • 2011 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    by Tore Selland Kleppe & Jun Yu & Hans J. skaug
  • 2011 Does Inter-Market Competition Lead to Less Regulation?
    by Sarah Draus
  • 2011 The Dynamics of Tobin’s Q
    by Giovanni W. Puopolo
  • 2011 Learning from Prices, Liquidity Spillovers, and Market Segmentation
    by Giovanni Cespa & Thierry Focault
  • 2011 Higher Order Expectations, Illiquidity, and Short-term Trading
    by Giovanni Cespa & Xavier Vives
  • 2011 No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates
    by Peter Aling & Shakill Hassan
  • 2011 Testing for a rational bubble under long memory
    by M. FRÖMMEL & R. KRUSE
  • 2011 Riding the Yield Curve: A Spanning Analysis
    by Galvani, Valentina & Landon, Stuart
  • 2011 The Belief in the "Hot Hand" in the NFL: Evidence from Betting Volume Data
    by Paul, Rodney & Weinbach, Andrew & Humphreys, Brad
  • 2011 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
    by Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia
  • 2011 The Greek Sovereign Debt Crisis: Testing for Regime Changes
    by N. Apergis & E. Mamatzakis & C. Staikuras
  • 2011 Long-Run Evidence Using Multifactor Asset Pricing Models
    by Stefano D'Addona & Paola Brighi & Antonio Carlo Francesca Della Bina
  • 2011 Asset Pricing And The Role Of Macroeconomic Volatility
    by Stefano D'Addona & Christos Giannikos
  • 2011 Does Equity Mispricing Influence Household and Firm Decisions?
    by James Hansen
  • 2011 Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
    by Richard Finlay & Sebastian Wende
  • 2011 Is There an Optimal Entry Time for Carbon Capture and Storage? A Case Study for Australia's National Electricity Market
    by Liam Wagner & John Foster
  • 2011 The Risk Premium and Long-Run Global Imbalances
    by YiLi Chien & Kanda Naknoi
  • 2011 Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
    by Konchitchki, Yaniv
  • 2011 Mutual influence of exchange assets: analysis and estimation
    by Kozmenko, Serhiy & Plastun, Oleksiy
  • 2011 Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2011 Asymmetric Loss Functions and the Rationality of Expected Stock Returns
    by Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F.
  • 2011 Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
    by Zaytsev, Alexander
  • 2011 Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US
    by Lee, King Fuei
  • 2011 Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
    by Piasecki, Krzysztof
  • 2011 Effectiveness of securities with fuzzy probabilistic return
    by Piasecki, Krzysztof
  • 2011 Market Risk Measurement: Key Rate Duration as an asset allocation instrument
    by Zeballos, David
  • 2011 Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk
    by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene
  • 2011 On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence
    by Jiranyakul, Komain
  • 2011 Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos
    by Costa Junior, Celso Jose
  • 2011 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
    by Marco, Bianchetti
  • 2011 Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case
    by Lazarevski, Dimche
  • 2011 Hedging dynamics with gold futures
    by Singh, Saurabh & Saharawat, Swati
  • 2011 Variance Risk Premium Differentials and Foreign Exchange Returns
    by Arash, Aloosh
  • 2011 Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
    by Rossi, Francesco
  • 2011 An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
    by FARUQUE, MUHAMMAD U
  • 2011 U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters
    by Rossi, Francesco
  • 2011 Behavioral investment strategy matters: a statistical arbitrage approach
    by Sun, David & Tsai, Shih-Chuan & Wang, Wei
  • 2011 Theory and empirics of an affine term structure model applied to European data
    by Jakas, Vicente
  • 2011 Measuring market liquidity: an introductory survey
    by Gabrielsen, Alexandros & Marzo, Massimiliano & Zagaglia, Paolo
  • 2011 Product differentiation and systematic risk: theory and empirical evidence
    by Bazdresch, Santiago
  • 2011 Optimal trading execution with nonlinear market impact: an alternative solution method
    by Massmiliano, Marzo & Daniele, Ritelli & Paolo, Zagaglia
  • 2011 Is the Chinese Stock Market Really Efficient
    by Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing
  • 2011 Financial Management of Weather Risk with Energy Derivatives
    by Janda, Karel & Vylezik, Tomas
  • 2011 Are the Major South Asian Equity Markets Co-Integrated?
    by Subhani, Muhammad Imtiaz & Hasan, Dr. Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber
  • 2011 Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)
    by Hasan, Dr. Syed Akif & Subhani, Muhammad Imtiaz
  • 2011 Integration and contagion in US housing markets
    by Cotter, John & Gabriel, Stuart & Roll, Richard
  • 2011 When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
    by Prono, Todd
  • 2011 Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
    by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
  • 2011 Clustering on the same news sources in an asset market
    by Larson, Nathan
  • 2011 Validity of capital asset pricing model: evidence from Karachi stock exchange
    by Syed ali, Raza & Syed tehseen, jawaid & Imtiaz, arif & Fahim, qazi
  • 2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
    by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
  • 2011 A time-scale analysis of systematic risk: wavelet-based approach
    by Khalfaoui Rabeh, K & Boutahar Mohamed, B
  • 2011 White-collar crime and stock return: Empirical study from announcement effect
    by Puah, Chin-Hong & Liew, Samuel Wei-Siew
  • 2011 Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?
    by Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward
  • 2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
    by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
  • 2011 The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
    by Santos, Carlos
  • 2011 Thinking by analogy, systematic risk, and option prices
    by Siddiqi, Hammad
  • 2011 Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
    by Qayyum, Abdul & Anwar, Saba
  • 2011 Analytical approximation of the transition density in a local volatility model
    by Pagliarani, Stefano & Pascucci, Andrea
  • 2011 Identi�cation of jumps in �financial price series
    by Hellström, Jörgen & Lönnbark, Carl
  • 2011 One numerical procedure for two risk factors modeling
    by Cocozza, Rosa & De Simone, Antonio
  • 2011 On the calculation of price sensitivities with jump-diffusion structure
    by El-Khatib, Youssef & Abdulnasser, Hatemi-J
  • 2011 Noncausality and Asset Pricing
    by Lof, Matthijs
  • 2011 Informational price cascades and non-aggregation of asymmetric information in experimental asset markets
    by Shachat, Jason & Srivinasan, Anand
  • 2011 The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks
    by Efthymiou, Vassilis A. & Leledakis, George N.
  • 2011 Risk Procyclicality and Dynamic Hedge Fund Strategies
    by Francois-Éric Racicot & Raymond Théoret
  • 2011 Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio
    by Francois-Éric Racicot & Raymond Théoret
  • 2011 First-Round Entrepreneurial Investments: Where, When and Why?
    by Yochanan Shachmurove
  • 2011 Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima
    by Gabriel Rodríguez & Alfredo Vargas
  • 2011 Ambiguity and the historical equity premium
    by Sujoy Mukerji & Kevin Sheppard & Fabrice Collard and Jean-Marc Tallon
  • 2011 Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
    by Kerbl, Stefan
  • 2011 The Role of Guarantees in Defined Contribution Pensions
    by Pablo Antolín & Stéphanie Payet & Edward R. Whitehouse & Juan Yermo
  • 2011 The Real Effects of Financial Markets
    by Philip Bond & Alex Edmans & Itay Goldstein
  • 2011 International Contagion Through Leveraged Financial Institutions
    by Eric van Wincoop
  • 2011 Evaporating Liquidity
    by Stefan Nagel
  • 2011 Competing on Speed
    by Emiliano Pagnotta & Thomas Philippon
  • 2011 The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
    by Yacine Ait-Sahalia & Jianqing Fan & Yingying Li
  • 2011 Sovereign CDS and Bond Pricing Dynamics in the Euro-area
    by Giorgia Palladini & Richard Portes
  • 2011 Temperature, Aggregate Risk, and Expected Returns
    by Ravi Bansal & Marcelo Ochoa
  • 2011 The Effect of Liquidity on Governance
    by Alex Edmans & Vivian W. Fang & Emanuel Zur
  • 2011 The Forward Premium Puzzle in a Two-Country World
    by Ian Martin
  • 2011 The Lucas Orchard
    by Ian Martin
  • 2011 Testing Conditional Factor Models
    by Andrew Ang & Dennis Kristensen
  • 2011 A Theory of Asset Pricing Based on Heterogeneous Information
    by Elias Albagli & Christian Hellwig & Aleh Tsyvinski
  • 2011 Liquidity and the Threat of Fraudulent Assets
    by Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill
  • 2011 Price Dividend Ratio Factors : Proxies for Long Run Risk
    by Ravi Jagannathan & Srikant Marakani
  • 2011 Political Uncertainty and Risk Premia
    by Lubos Pastor & Pietro Veronesi
  • 2011 Crashes and Collateralized Lending
    by Jakub W. Jurek & Erik Stafford
  • 2011 Equity Yields
    by Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt
  • 2011 Information Aggregation, Investment, and Managerial Incentives
    by Elias Albagli & Christian Hellwig & Aleh Tsyvinski
  • 2011 Rare Macroeconomic Disasters
    by Robert J. Barro & José F. Ursua
  • 2011 The Recovery Theorem
    by Stephen A. Ross
  • 2011 Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
    by Andreas Fuster & Benjamin Hebert & David Laibson
  • 2011 The "CAPS" Prediction System and Stock Market Returns
    by Christopher Avery & Judith A. Chevalier & Richard J. Zeckhauser
  • 2011 Covariances versus Characteristics in General Equilibrium
    by Xiaoji Lin & Lu Zhang
  • 2011 International Risk Cycles
    by François Gourio & Michael Siemer & Adrien Verdelhan
  • 2011 The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment
    by Farley Grubb
  • 2011 Global Asset Pricing
    by Karen K. Lewis
  • 2011 Sources of Entropy in Representative Agent Models
    by David Backus & Mikhail Chernov & Stanley E. Zin
  • 2011 The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
    by Ngoc-Khanh Tran & Richard J. Zeckhauser
  • 2011 Issuer Quality and the Credit Cycle
    by Robin Greenwood & Samuel G. Hanson
  • 2011 Regime Changes and Financial Markets
    by Andrew Ang & Allan Timmermann
  • 2011 Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?
    by Chongyang Chen & Zhonglan Dai & Douglas Shackelford & Harold Zhang
  • 2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg
  • 2011 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    by Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh
  • 2011 An Estimation of Economic Models with Recursive Preferences
    by Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson
  • 2011 The Real Exchange Rate, Real Interest Rates, and the Risk Premium
    by Charles Engel
  • 2011 Credit Risk and Disaster Risk
    by Francois Gourio
  • 2011 Credit Spreads and Business Cycle Fluctuations
    by Simon Gilchrist & Egon Zakrajšek
  • 2011 The Value of Secure Property Rights: Evidence from Global Fisheries
    by Corbett A. Grainger & Christopher Costello
  • 2011 Shocks and Crashes
    by Martin Lettau & Sydney C. Ludvigson
  • 2011 Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    by Andrew Ang & Francis A. Longstaff
  • 2011 Stock Volatility During the Recent Financial Crisis
    by G. William Schwert
  • 2011 The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    by James D. Hamilton & Jing Cynthia Wu
  • 2011 Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
    by Anthony W. Lynch & Oliver Randall
  • 2011 Testable Implications of Affine Term Structure Models
    by James D. Hamilton & Jing Cynthia Wu
  • 2011 Generalized Transform Analysis of Affine Processes and Applications in Finance
    by Hui Chen & Scott Joslin
  • 2011 Inflation-Indexed Bonds and the Expectations Hypothesis
    by Carolin E. Pflueger & Luis M. Viceira
  • 2011 The Short of It: Investor Sentiment and Anomalies
    by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan
  • 2011 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
    by Carolin E. Pflueger & Luis M. Viceira
  • 2011 Simple Variance Swaps
    by Ian Martin
  • 2011 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
    by Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai
  • 2011 Advances in Consumption-Based Asset Pricing: Empirical Tests
    by Sydney C. Ludvigson
  • 2011 Market Timing, Investment, and Risk Management
    by Patrick Bolton & Hui Chen & Neng Wang
  • 2011 Hedge Fund Leverage
    by Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen
  • 2011 Speculators and Middlemen: The Role of Intermediaries in the Housing Market
    by Patrick Bayer & Christopher Geissler & James W. Roberts
  • 2011 Margin-Based Asset Pricing and Deviations from the Law of One Price
    by Nicolae Gârleanu & Lasse Heje Pedersen
  • 2011 The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
    by Ravi Jagannathan & Iwan Meier & Vefa Tarhan
  • 2011 Investors’ and Central Bank’s Uncertainty Embedded in Index Options
    by Alexander David & Pietro Veronesi
  • 2011 A Model of Momentum
    by Laura Xiaolei Liu & Lu Zhang
  • 2011 Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement
    by Hans B. Christensen & Luzi Hail & Christian Leuz
  • 2011 Differences of Opinion and International Equity Markets
    by Bernard Dumas & Karen K. Lewis & Emilio Osambela
  • 2011 What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
    by Harrison Hong & Motohiro Yogo
  • 2011 Central bank communication on financial stability
    by Benjamin Born & Michael Ehrmann & Marcel Fratzscher
  • 2011 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
    by Yin Liao & Heather M. Anderson
  • 2011 Ambiguity and the historical equity premium
    by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon
  • 2011 Ambiguity and the historical equity premium
    by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon
  • 2011 Une analyse temps-fréquences des cycles financiers
    by Christophe Boucher & Bertrand Maillet
  • 2011 A New Correlation Coefficient for Bivariate Time-Series Data
    by Orhan Erdem & Elvan Ceyhan & Yusuf Varlı
  • 2011 Liquidity measures, liquidity drivers and expected returns on an early call auction market
    by Carsten Burhop & Sergey Gelman
  • 2011 A Repayment Model of House Prices
    by Jakob B Madsen
  • 2011 A q Model of House Prices
    by Jakob B Madsen
  • 2011 Aggregate Implications of Micro Asset Market Segmentation
    by Chris Edmond & Pierre-Olivier Weill
  • 2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM
    by Thomas Flavin & Gerald P. Dwyer & Mardi Dungey
  • 2011 Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms
    by Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler
  • 2011 Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data
    by Jörg Rieger & Kirsten Rüchardt & Bodo Vogt
  • 2011 Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra
    by Jos van Bommel & Peter Hoffmann
  • 2011 Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra
    by Jos van Bommel & Peter Hoffmann
  • 2011 Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings
    by Jos van Bommel
  • 2011 Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings
    by Jos van Bommel
  • 2011 The Takeover Game
    by Sascha Fllbrunn & Ernan Haruvy
  • 2011 The Takeover Game
    by Sascha Fllbrunn & Ernan Haruvy
  • 2011 Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
    by Thorsten Lehnert & Xisong Jin
  • 2011 Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
    by Thorsten Lehnert & Xisong Jin
  • 2011 Trade and Payments Theory in a Financialized Economy
    by Michael Hudson
  • 2011 The Greek financial crisis: growing imbalances and sovereign spreads
    by Heather D. Gibson & Stephan G. Hall & George S. Tavlas
  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer
  • 2011 Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2011 Tranching and Pricing in CDO-Transactions
    by Günter Franke & Thomas Weber
  • 2011 Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
    by Ferdinand Graf
  • 2011 Parameter Estimation and Forecasting for Multiplicative Lognormal Cascades
    by Andrés E. Leövey,Thomas Lux
  • 2011 A Markov-switching Multifractal Approach to Forecasting Realized Volatility
    by Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff
  • 2011 Overconfidence and Bubbles in Experimental Asset Markets
    by Julija Michailova & Ulrich Schmidt
  • 2011 Testing the Modigliani-Miller theorem directly in the lab
    by M. Vittoria Levati & Jianying Qiu & Prashanth Mahagaonkar
  • 2011 Extreme Value Theory as a Theoretical Background for Power Law Behavior
    by Simone Alfarano & Thomas Lux
  • 2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
    by Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong
  • 2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
    by Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong
  • 2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
    by Lin, Carl
  • 2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
    by Lin, Carl
  • 2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
    by Cheung, Stephen L. & Coleman, Andrew
  • 2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
    by Cheung, Stephen L. & Coleman, Andrew
  • 2011 Is Momentum Really Momentum? International Evidence
    by Qiang Gong & Ming Liu & Qianqiu Liu
  • 2011 Adverse Selection and Emissions Offsets
    by Bushnell, James
  • 2011 Stock Return Predictability and Oil Prices
    by Jaime Casassus & Freddy Higuera
  • 2011 Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
    by Jaime Casassus & Peng Liu & Ke Tang
  • 2011 Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
    by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer
  • 2011 Monetary policy and its impact on stock market liquidity: Evidence from the euro zone
    by Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter
  • 2011 When do stock futures dominate price discovery
    by Nidhi Aggarwal & Susan Thomas
  • 2011 Liquidity considerations in estimating implied volatility
    by Rohini Grover & Susan Thomas
  • 2011 On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection
    by Sevinc Cukurova & Jose M. Marin
  • 2011 Endogenous Rational Bubbles
    by George A. Waters
  • 2011 On the Evolutionary Stability of Rational Expectations
    by William R. Parke & George A. Waters
  • 2011 The Real Exchange Rate, Real Interest Rates, and the Risk Premium
    by Engel, Charles
  • 2011 Bayesian Factor Selection in Dynamic Term Structure Models
    by Márcio Laurini
  • 2011 Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
    by Márcio Laurini & Luiz Koodi Hotta
  • 2011 The smallest stocks are not just smaller: US and international evidence
    by De Moor, Lieven & Sercu, Piet
  • 2011 Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan
    by Martin T. Bohl & Badye Essid & Pierre L. Siklos
  • 2011 The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market
    by Song Han & Dan Li
  • 2011 Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
    by Song Han & Hao Zhou
  • 2011 A Macro-Finance Approach to Exchange Rate Determination
    by Yu-chin Chen & Kwok Ping Tsang
  • 2011 Identification of jumps in financial price series
    by Hellström, Jörgen & Lönnbark, Carl
  • 2011 The Cost of Insecure Property Rights: R2 Revisited
    by Bjuggren, Per-Olof & Eklund, Johan E
  • 2011 Risk Aversion in the Large and in the Small
    by Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter
  • 2011 On the Pricing of Performance Sensitive Debt
    by Mjøs, Aksel & Myklebust, Tor Åge & Persson, Svein-Arne
  • 2011 The Defeasance of Control Rights
    by Bienz, Carsten & Faure-Grimaud, Antoine & Fluck, Zsuzsanna
  • 2011 Is Default Risk Priced in Equity Returns?
    by Nielsen, Caren Yinxia Guo
  • 2011 Idiosyncratic Risk and Higher-Order Cumulants
    by Lundtofte, Frederik & Wilhelmsson, Anders
  • 2011 The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
    by Hagströmer, Björn & Nilsson, Birger & Hansson, Björn
  • 2011 Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective
    by Fedorova, Elena
  • 2011 Pooling, Pricing and Trading of Risks
    by Flåm, Sjur Didrik
  • 2011 About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
    by Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard
  • 2011 Modellrisiko = Spezifikation + Validierung
    by Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip
  • 2011 Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests
    by Francesco Guidi & Rakesh Gupta
  • 2011 Policies Convertible Bonds and Stock Liquidity
    by Jason West
  • 2011 Adaptive continuous time Markov chain approximation model to general jump-diffusions
    by Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias
  • 2011 Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method
    by Paul Beaumont & Yaniv Jerassy-Etzion
  • 2011 Nonlinear Regime Shifts in Oil Price Hedging Dynamics
    by Giulio Cifarelli
  • 2011 Financial market equilibria with heterogeneous agents: CAPM and market segmentation
    by Matteo Del Vigna
  • 2011 VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence
    by Sheng Guo & Umut Unal
  • 2011 Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
    by Mattesini, Fabrizio & Nosal, Ed
  • 2011 Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
    by Jason Shachat & Anand Srinivasan
  • 2011 Pricing of Gas Swing Options using Monte Carlo Methods
    by Andrea Klimešová & Tomáš Václavík
  • 2011 The Term Structure of Interest Rates in Small Open Economy DSGE Model
    by Aleš Maršál
  • 2011 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Michael G. Arghyrou & Alexandros Kontonikas
  • 2011 On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
    by Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler
  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J.
  • 2011 Anticipated and repeated shocks in liquid markets
    by Dong Lou
  • 2011 Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year
    by Johnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro
  • 2011 Strategic investment, industry concentration and the cross section of returns
    by Maria Cecilia Bustamante
  • 2011 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner
  • 2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
    by Mardi Dungey & Gerald P. Dwyer & Thomas Flavin
  • 2011 Do Mean Reverting based trading strategies outperform Buy and Hold?
    by Dooruj Rambaccussing
  • 2011 An Equilibrium Asset Pricing Model with Labor Market Search
    by Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu
  • 2011 Why Are U.S. Stocks More Volatile?
    by Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M.
  • 2011 Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?
    by Ben-David, Itzhak & Hirshleifer, David
  • 2011 Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
    by Bakshi, Gurdip & Chabi-Yo, Fousseni
  • 2011 Prima de riesgo del mercado utilizada para España: Encuesta 2011
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Market risk premium used in 56 countries in 2011: A survey with 6,014 answers
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 US market risk premium used in 2011 by professors, analysts and companies: A survey with 5.731 answers
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Higher order expectations, illiquidity, and short-term trading
    by Cespa, Giovanni & Vives, Xavier
  • 2011 WACC: Definition, misconceptions and errors
    by Fernandez, Pablo
  • 2011 201 preguntas sobre finanzas
    by Fernandez, Pablo
  • 2011 Market risk premium used in 2010 by analysts and companies: A survey with 2.400 answers
    by Fernandez, Pablo & del Campo, Javier
  • 2011 Market risk premium used in 2010 by professors: A survey with 1,500 answers
    by Fernandez, Pablo & del Campo, Javier
  • 2011 21 problemas sencillos de finanzas resueltos y 525 respuestas erróneas
    by Fernandez, Pablo
  • 2011 Shareholder value creators in the S&P 500: 1991-2010
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Ranking de gestoras de fondos de pensiones en España. 1990-2010
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Ranking de gestoras de fondos de inversión en España. 1991-2010
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Telefónica: 1991-2010. Creación de valor y rentabilidad
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Rentabilidad y creación de valor de 125 empresas españolas en 2010
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 IBEX 35: 1991-2010. Rentabilidad y creación de valor
    by Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis
  • 2011 Volatility Activity: Specification and Estimation
    by Viktor Todorov & George Tauchen & Iaryna Grynkiv
  • 2011 Levy Process Models for High Frequency Financial Data
    by George Tauchen
  • 2011 Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
    by Viktor Todorov & George Tauchen
  • 2011 Evidence for Dynamic Contracts in Sovereign Bank Lending
    by Peter Benczur & Cosmin Ilut
  • 2011 Fuel mix characteristics and expected stock returns of European power companies
    by Malte Sunderkötter
  • 2011 Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy
    by Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz
  • 2011 Valuation of Liabilities in Hybrid Pension Plans
    by Dirk Broeders & An Chen & David Rijsbergen
  • 2011 Statistical evidence on the mean reversion of interest rates
    by Jan Willem van den End
  • 2011 The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment
    by Farley Grubb
  • 2011 Do investors care about noise trader risk?
    by Francisca Beer & Mohamad Watfa & Mohamed Zouaoui
  • 2011 Measuring investor sentiment in the stock market
    by Francisca Beer & Mohamed Zouaoui
  • 2011 Is Sentiment Risk Priced by Stock Market?
    by Francisca Beer & Mohamed Wafta & Mohamed Zouaoui
  • 2011 How does investor sentiment affect stock market crises?Evidence from panel data
    by Mohamed Zouaoui & Geneviève Nouyrigat & Francisca Beer
  • 2011 Market Liquidity and Exposure of Hedge Funds
    by Arjen Siegmann & Denitsa Stefanova
  • 2011 Risk Measures for Autocorrelated Hedge Fund Returns
    by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
  • 2011 Hard Assets: The Returns on Rare Diamonds and Gems
    by Renneboog, L.D.R. & Spaenjers, C.
  • 2011 High Frequency Trading, Information, and Takeovers
    by Humphery-Jenner, M.
  • 2011 Ambiguity and Volatility: Asset Pricing Implications
    by Pataracchia, B.
  • 2011 Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy
    by Szafarz, Ariane & Oosterlinck, Kim & Mignon, Valérie & Drut, Bastien & Brière, Marie
  • 2011 Should Additional Disclosure be Mandated for Intangibles Assets? Insights from Purchase Price Allocations
    by Paugam, Luc
  • 2011 Conventions in the foreign exchange market : Can they really explain exchange rate dynamics ?
    by Di Filippo, Gabriele
  • 2011 Inflation-hedging Portfolios in Different Regimes
    by Brière, Marie & Signori, Ombretta
  • 2011 The freight market and its interactions with the energy system
    by Raynaud, Franck & Lautier, Delphine
  • 2011 Privately Optimal Securitization and Publicly Suboptimal Risk Sharing
    by Chemla, Gilles & Hennessy, Christopher A.
  • 2011 From performativity to "socially embedded market devices" : The case of the Exchange Traded Funds market
    by Deville, Laurent & Oubenal, Mohamed
  • 2011 Monitoring Leverage
    by John Geanakoplos & Lasse H. Pedersen
  • 2011 Greek Debt and American Debt: Graduation Speech at the University of Athens Economics and Business School
    by John Geanakoplos
  • 2011 A Theory of Asset Prices Based on Heterogeneous Information
    by Elias Albagli & Christian Hellwig & Aleh Tsyvinski
  • 2011 Risky Curves: From Unobservable Utility to Observable Opportunity Sets
    by Daniel Friedman & Shyam Sunder
  • 2011 Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
    by Ana Fostel & John Geanakoplos
  • 2011 Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
    by Ana Fostel & John Geanakoplos
  • 2011 Endogenous Leverage: VaR and Beyond
    by Ana Fostel & John Geanakoplos
  • 2011 Bias in Estimating Multivariate and Univariate Diffusions
    by Xiaohu Wang & Peter C.B. Phillips & Jun Yu
  • 2011 The Spirit of Capitalism, Savings, Asset Pricing and Growth
    by Heng-fu Zou
  • 2011 Asset pricing and the Modigliani-Miller theorem with the spirit of capitalism
    by Jizheng Huang & Heng-fu Zou
  • 2011 Oil Prices and Stock Markets in Europe: A Sector Perspective
    by Mohamed EL HEDI AROURI & Philippe FOULQUIER & Julien FOUQUAU
  • 2011 The reaction of stock market returns to anticipated unemployment
    by Jesús Gonzalo & Abderrahim Taamouti
  • 2011 Risk premium, variance premium and the maturity structure of uncertainty
    by Bruno Feunou & Jean-Sébastien & Abderrahim Taamouti & Roméo Tédongap
  • 2011 The dollar squeeze of the financial crisis
    by Jean-Marc Bottazzi & Jaime Luque & Mario R. Pascoa & Suresh Sundaresan
  • 2011 Trading and rational security pricing bubbles
    by Jean-Marc Bottazzi & Jaime Luque & Mario R. Pascoa
  • 2011 Endogenous bourse structures
    by Marta Faias & Jaime Luque
  • 2011 Good deals in markets with frictions
    by Alejandro Balbás & Beatriz Balbás & Raquel Balbás
  • 2011 Pairing market risk with credit risk
    by Isabel Figuerola-Ferretti & Ioannis Paraskevopoulos
  • 2011 CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure
    by Alejandro Balbás & Beatriz Balbás & Raquel Balbás
  • 2011 Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
    by Alain Monfort & Jean-Paul Renne
  • 2011 Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra
    by Jos van Bommel & Peter Hoffmann
  • 2011 The Takeover Game
    by Sascha Fllbrunn & Ernan Haruvy
  • 2011 Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
    by Thorsten Lehnert & Xisong Jin
  • 2011 Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?
    by Füss, Roland & Gehrig, Thomas & Rindler, Philipp B
  • 2011 Hope, Change, and Financial Markets: Can Obama's Words Drive the Market?
    by Sazedj, Sharmin & Tavares, José
  • 2011 Pricing Liquidity Risk with Heterogeneous Investment Horizons
    by Beber, Alessandro & Driessen, Joost & Tuijp, Patrick
  • 2011 Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?
    by Broer, Tobias & Kero, Afroditi
  • 2011 Sovereign CDS and Bond Pricing Dynamics in the Euro-area
    by Palladini, Giorgia & Portes, Richard
  • 2011 Political Uncertainty and Risk Premia
    by Pástor, Luboš & Veronesi, Pietro
  • 2011 The delegated Lucas tree
    by Kaniel, Ron & Kondor, Péter
  • 2011 A DSGE model of banks and financial intermediation with default risk
    by Wickens, Michael R.
  • 2011 Sources of entropy in representative agent models
    by Backus, David & Chernov, Mikhail & Zin, Stanley E.
  • 2011 Regime Changes and Financial Markets
    by Ang, Andrew & Timmermann, Allan G
  • 2011 The more we know on the fundamental, the less we agree on the price
    by Kondor, Péter
  • 2011 Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
    by Challe, Edouard & Giannitsarou, Chryssi
  • 2011 Financial Cycles: What? How? When?
    by Claessens, Stijn & Kose, Ayhan & Terrones, Marco E
  • 2011 Learning from Prices, Liquidity Spillovers, and Market Segmentation
    by Cespa, Giovanni & Foucault, Thierry
  • 2011 Idiosyncratic Return Volatility in the Cross-Section of Stocks
    by Kang, Namho & Kondor, Péter & Sadka, Ronnie
  • 2011 Expectations, Liquidity, and Short-term Trading
    by Cespa, Giovanni & Vives, Xavier
  • 2011 Carry Trades and Global Foreign Exchange Volatility
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas
  • 2011 Variance risk, financial intermediation, and the cross-section of expected option returns
    by Schürhoff, Norman & Ziegler, Alexandre
  • 2011 Trade Credit and International Return Comovement
    by Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu
  • 2011 International Macro-Finance
    by Pavlova, Anna & Rigobon, Roberto
  • 2011 Credit Risk and Disaster Risk
    by Gourio, François
  • 2011 The risk neutral valuation paradox
    by A. Fiori Maccioni
  • 2011 Models for Stress Testing Czech Banks' Liquidity Risk
    by Zlatuse Komarkova & Adam Gersl & Lubos Komarek
  • 2011 Financial Frictions, Bubbles, and Macroprudential Policies
    by Alexis Derviz
  • 2011 Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    by Jean-Marie Dufour & René Garcia & Abderrahim Taamouti
  • 2011 Double Bubbles in Assets Markets with Multiple Generations
    by Cary Deck & David Porter & Vernon L. Smith
  • 2011 The Effect of Reliability, Content and Timing of Public Announcements on Asset Trading Behavior
    by Brice Corgnet & Praveen Kujal & David Porter
  • 2011 Reaction to Public Information in Markets: How Much Does Ambiguity Matter?
    by Brice Corgnet & Praveen Kujal & David Porter
  • 2011 Valuing high technology growth firms
    by Soenke Sievers & Jan Klobucnik
  • 2011 Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy
    by Burkhard Heer & Alfred Maussner
  • 2011 Expectations, Liquidity, and Short-term Trading
    by Giovanni Cespa & Xavier Vives
  • 2011 Stock Market Volatility and Learning
    by Klaus Adam & Albert Marcet & Juan Pablo Nicolini
  • 2011 Internal Rationality, Imperfect Market Knowledge and Asset Prices
    by Klaus Adam & Albert Marcet
  • 2011 Booms and Busts in Asset Prices
    by Klaus Adam & Albert Marcet
  • 2011 Multiplicative models of financial returns an what we fail to get when they are disregarded
    by Rodolfo Apreda
  • 2011 Better Barking for ABS: Reform Proposals for the Asset-Backed Securities Market
    by David C. Allan & Philippe Bergevin
  • 2011 Better Barking for ABS: Reform Proposals for the Asset-Backed Securities Market
    by David C. Allan & Philippe Bergevin
  • 2011 Equilibrium price of immediacy and infrequent trade
    by Riccardo Giacomelli & Elisa Luciano
  • 2011 A Simple Characterization of Dynamic Completeness in Continuous Time
    by Theodoros M. Diasakos
  • 2011 Other Assets' Risk: Asset-Prices and Perceptions of Asset-Risk
    by Theodoros M. Diasakos
  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer
  • 2011 The Value Relevance of Sentiment
    by Dunne, Peter & Forker, John & Zholos, Andrey
  • 2011 The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market
    by Kelly, Robert
  • 2011 The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears
    by Kennedy, Gerard & McIndoe Calder, Tara
  • 2011 The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDS Market: An Econometric Analysis
    by Carlos Santos
  • 2011 Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics
    by Pavel Bandarchuk & Jens Hilscher
  • 2011 Are credit default swaps a sideshow?
    by Jens Hilscher & Joshua M. Pollet & Mungo Wilson
  • 2011 Credit ratings and credit risk
    by Jens Hilscher & Mungo Wilson
  • 2011 Measuring market liquidity: An introductory survey
    by A. Gabrielsen & M. Marzo & P. Zagaglia
  • 2011 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
    by M. Marzo & D. Ritelli & P. Zagaglia
  • 2011 The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil
    by M. Marzo & L. Zhoushi & P. Zagaglia
  • 2011 A conditional CAPM; implications for the estimation of systematic risk
    by Alexandros E. Milionis & Dimitra K. Patsouri
  • 2011 The Greek financial crisis: growing imbalances and sovereign spreads
    by Heather D. Gibson & Stephan G. Hall & George S. Tavlas
  • 2011 Time-varying volatility, precautionary saving and monetary policy
    by Hatcher, Michael
  • 2011 Cyclical risk aversion, precautionary saving and monetary policy
    by De Paoli, Bianca & Zabczyk, Pawel
  • 2011 How non-Gaussian shocks affect risk premia in non-linear DSGE models
    by Andreasen, Martin
  • 2011 An efficient method of computing higher-order bond price perturbation approximations
    by Andreasen , Martin & Zabczyk, Pawel
  • 2011 Asset pricing with concentrated ownership of capital
    by Kevin J. Lansing
  • 2011 Foreign exchange market structure, players and evolution
    by Michael R. King & Carol Osler & Dagfinn Rime
  • 2011 Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information
    by Sonja Brangewitz & Gael Giraud
  • 2011 Finance without Probabilistic Prior Assumptions
    by Frank Riedel
  • 2011 Credit and liquidity risks in euro area sovereign yield curves
    by Monfort, A. & Renne, J-P.
  • 2011 Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
    by Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P.
  • 2011 Default, liquidity and crises: an econometric framework
    by Monfort, A. & Renne, J-P.
  • 2011 Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
    by Challe, E. & Giannitsarou, C.
  • 2011 On the Term Structure of Interest Rates of the Mexican Government
    by Santiago García-Verdú
  • 2011 Risk measures for autocorrelated hedge fund returns
    by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
  • 2011 Macroeconomic determinants of carry trade activity
    by Alessio Anzuini & Fabio Fornari
  • 2011 Learning from experience in the stock market
    by Anton Nakov & Galo Nuño
  • 2011 Where is the value in high frequency trading?
    by Álvaro Cartea & José Penalva
  • 2011 The Private Equity Premium Puzzle Revisited
    by Katya Kartashova
  • 2011 Private Information Flow and Price Discovery in the U.S. Treasury Market
    by George J. Jiang & Ingrid Lo
  • 2011 Security Transaction Taxes and Market Quality
    by Anna Pomeranets & Daniel G. Weaver
  • 2011 A Stochastic Volatility Model with Conditional Skewness
    by Bruno Feunou & Roméo Tedongap
  • 2011 The Role of Financial Speculation in Driving the Price of Crude Oil
    by Ron Alquist & Olivier Gervais
  • 2011 A Model of the EFA Liabilities
    by Francisco Rivadeneyra & Oumar Dissou
  • 2011 Updating the Option Implied Probability of Default Methodology
    by Johannes Vilsmeier
  • 2011 Consistent Dynamic Affine Mortality Model for Longevity Risk Applications
    by Craig Blackburn & Michael Sherris
  • 2011 Ambiguity in Individual Choice and Market Environments: On the Importance of Comparative Ignorance
    by Jonathan E. Alevy
  • 2011 Volatility in EMU sovereign bond yields: Permanent and transitory components
    by Simón Sosvilla-Rivero & Amalia Morales-Zumaquero
  • 2011 Fear and Closed-End Fund Discounts: Investor Sentiment Revisited
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
  • 2011 On the Time-Varying Relationship between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
  • 2011 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov
  • 2011 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
    by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen
  • 2011 VPIN and the Flash Crash
    by Torben G. Andersen & Oleg Bondarenko
  • 2011 Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
    by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez
  • 2011 Illiquidity Premia in the Equity Options Market
    by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui
  • 2011 Conservatism in Corporate Valuation
    by Christian Bach
  • 2011 Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
    by Antonis Papapantoleon & John Schoenmakers & David Skovmand
  • 2011 International Diversification Benefits with Foreign Exchange Investment Styles
    by Tim A. Kroencke & Felix Schindler & Andreas Schrimpf
  • 2011 Option valuation with the simplified component GARCH model
    by Matt P. Dziubinski
  • 2011 Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises
    by Tom Engsted & Stig V. Møller
  • 2011 Advanced Asset Pricing Theory
    by Chenghu Ma
  • 2011 Financial Valuation And Econometrics
    by Kian Guan Lim
  • 2011 Contrôle stochastique appliqué à la finance
    by Dang, Ngoc Minh
  • 2011 Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro
    by Sodjahin, Amos Aristide
  • 2011 Macro-Financial Risks and Central Banks: What Changes Has the Crisis Triggered?
    by Claudiu Tiberiu ALBULESCU
  • 2011 Financial Market Simulation Based On Intelligent Agents €“ Case Study
    by Marek SPIÅ ÃK & Roman Å PERKA
  • 2011 Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns
    by Emmanuel Anoruo
  • 2011 The Determinants of Cash Flows in Greek Bond Mutual Funds
    by Christos Grose
  • 2011 An Empirical Analysis Of Funds' Alternative Measures In The Drawdown Risk Measure (Drm) Framework
    by Mohammad Reza Tavakoli Baghdadabad & Fauzias Mat Nor & Izani Ibrahim
  • 2011 The Euro Sovereign Debt Crisis, Determinants Of Default Probabilities And Implied Ratings In The Cds Market: An Econometric Analysis
    by Carlos Santos
  • 2011 The Macroeconomic Variables And Stock Returns In Pakistan: The Case Of Kse100 Index
    by Nadeem SOHAIL & Hussain ZAKIR
  • 2011 Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy
    by Prasad V. BIDARKOTA & Brice V. DUPOYET
  • 2011 Investigation of: "Shopping in the Market-beta Mall"
    by Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV
  • 2011 Theoretical Analysis Of Firm And Market-Specific Proxies Of Information Asymmetry On Equity Prices In The Stock Markets
    by ABOSEDE, A. J. & OSENI, Jimoh Ezekiel
  • 2011 Did the CDS Market Push up Risk Premia for Sovereign Credit?
    by Sergio Andenmatten & Felix Brill
  • 2011 Casino Capitalism with Derivatives: Fragility and Instability in Contemporary Finance
    by Rex A. McKenzie
  • 2011 Company Valuation. How to Deal with a Range of Values?
    by Wiktor Patena
  • 2011 WPlYW GIElD sWIATOWYCH NA GloWNE INDEKSY GIElDOWE W POLSCE
    by Iwo Augustynski
  • 2011 The Real Options Attached to an Investment Project
    by Mihai-Cristian DINICA
  • 2011 Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis
    by Radu CIOBANU & Sebastian Madalin MUNTEANU & Irina-Eugenia IAMANDI
  • 2011 Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information
    by Beum-Jo Park
  • 2011 Banks In Transition Countries As One Of Most Attractive Investments
    by Orsag, Silvije & Dedi, Lidija & Mihalina , Emil
  • 2011 Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model
    by Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih
  • 2011 Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets
    by Meric, Ilhan & Gishlick, Herbert E. & Taga, Leonore S. & Meric, Gulser
  • 2011 Variance reduction methods at the pricing of weather options
    by Raimova, Gulnora
  • 2011 Cuando La Economía No Importa: Auge Y Esplendor De La Alta Velocidad En España
    by DANIEL ALBALATE & GERMÀ BEL
  • 2011 Have Real Interest Rates Really Fallen That Much In Spain?
    by ROBERTO BLANCO & FERNANDO RESTOY
  • 2011 Clustering and Classification in Option Pricing
    by Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay
  • 2011 The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets
    by Chaido Dritsaki
  • 2011 Methods of Identification Asset Price Bubbles In the Czech Economy
    by Luboš Komárek & Ivana Kubicová
  • 2011 Modelling Stock Exchange Index Returns in Different GDP Growth Regimes
    by Alenka Kavkler & Mejra Festić
  • 2011 The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?
    by David Havlíček
  • 2011 Asset Pricing Behaviour with Dual-Beta in Case of Pakistani Stock Market
    by Attiya Y. Javid & Eatzaz Ahmad
  • 2011 Firm Decisions: Determinants of Investments
    by Ionescu Alexandra
  • 2011 The Role of Information Technology on the Banking Industry
    by Piciu Gabriela Cornelia & Chiþiga Georgiana
  • 2011 Financial Innovations
    by Piciu Gabriela Cornelia & Chiþiga Georgiana
  • 2011 Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange
    by Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet
  • 2011 Nonperforming Loans in CESEE – What Do They Comprise?
    by Barisitz, Stephan
  • 2011 Interest Margins and Banks’ Asset-Liability Composition
    by Idrees Khawaja
  • 2011 Oil Price Shocks and Stock Markets in BRICs
    by Shigeki Ono
  • 2011 Asset Pricing Models: A Comparative Exercise Using Neural Networks to the Colombian Stock Market
    by Charle Londoño & Yaneth Cuan
  • 2011 Financial Contagion: A Methodology for its Evaluation using Asymptotic Dependence Coefficients
    by Jorge Uribe
  • 2011 Arbitrage Pricing Theory Applied to the Chilean Stock Market
    by Werner Kristjanpoller & Mauricio Morales
  • 2011 Determinants of House Prices in Nine Asia-Pacific Economies
    by Eloisa T. Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu
  • 2011 The Relationship between Volatility and Expected Returns: Some Evidence for Australia
    by Ali F. Darrat & Bin Li & Omar Benkato
  • 2011 Can Governments signal commitment in privatization sales?
    by Bruno Viani
  • 2011 A Model of Equity Prices with Heterogeneous Beliefs
    by Suzuki, Masakazu
  • 2011 Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds
    by Kenneth Högholm1, Johan Knif, Seppo Pynnönen
  • 2011 Size and Value Premium in International Portfolios: Evidence from 15 European Countries
    by Ayesha Afzal & Nawazish Mirza
  • 2011 Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
    by Borys, Magdalena Morgese Borys
  • 2011 Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit
    by Alexis Derviz
  • 2011 Monetary Policy in a Small Economy after Tsunami: A New Consensus on the Horizon?
    by Jan Frait & Luboš Komárek & Zlatuše Komárková
  • 2011 Is There a Real Estate Bubble in the Czech Republic?
    by Petr Zemcik
  • 2011 The Classification and Identification of Asset Price Bubbles
    by Lubos Komarek & Ivana Kubicová
  • 2011 Leverage and Returns in Three Countries of Southern European Region
    by Panayotis Artikis & Georgia Nifora
  • 2011 How to Value a Seasonal Company’s Discounting Cash Flows
    by Pablo Fernandez
  • 2011 Do emerging market firms follow different dividend policies?: Empirical investigation on the pre- and post-reform dividend policy and behaviour of Dhaka Stock Exchange listed firms
    by Sabur Mollah
  • 2011 Development strategy in offshore markets: evidence from the Channel Islands
    by Bruce Hearn
  • 2011 Retesting the CCAPM Euler equations
    by Samih Azar
  • 2011 A review of the seasonal affective disorder hypothesis
    by Keef, Stephen P. & Khaled, Mohammed S.
  • 2011 Incorporating technical risk in compound real option models to value a pharmaceutical R&D licensing opportunity
    by Cassimon, D. & De Backer, M. & Engelen, P.J. & Van Wouwe, M. & Yordanov, V.
  • 2011 Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange
    by Sabbaghi, Omid & Sabbaghi, Navid
  • 2011 Private debt, unused credit lines, and seasoned equity offerings
    by Liu, Yang & Yang, J. Jimmy
  • 2011 What drives returns to euro area housing? Evidence from a dynamic dividend–discount model
    by Hiebert, Paul & Sydow, Matthias
  • 2011 Market reactions to Australian boutique resource investor presentations
    by Ferguson, Andrew & Scott, Tom
  • 2011 Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management
    by El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong
  • 2011 Religious beliefs, gambling attitudes, and financial market outcomes
    by Kumar, Alok & Page, Jeremy K. & Spalt, Oliver G.
  • 2011 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
    by Kristensen, Dennis & Mele, Antonio
  • 2011 Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
    by Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail
  • 2011 The price of liquidity: The effects of market conditions and bank characteristics
    by Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg
  • 2011 Corporate bond default risk: A 150-year perspective
    by Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya
  • 2011 Asset pricing in large information networks
    by Ozsoylev, Han N. & Walden, Johan
  • 2011 Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing
    by Michelfelder, Richard A. & Pilotte, Eugene A.
  • 2011 Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?
    by Balli, Faruk & Balli, Hatice O.
  • 2011 The price effects of index additions: A new explanation
    by Liu, Shinhua
  • 2011 Conditional beta pricing models: A nonparametric approach
    by Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan
  • 2011 Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
    by Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros
  • 2011 Volatility and covariation of financial assets: A high-frequency analysis
    by Cartea, Álvaro & Karyampas, Dimitrios
  • 2011 Is size dead? A review of the size effect in equity returns
    by van Dijk, Mathijs A.
  • 2011 New evidence on oil price and firm returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila
  • 2011 Term structure modelling with observable state variables
    by Huse, Cristian
  • 2011 Macroeconomic risk and the cross-section of stock returns
    by Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu
  • 2011 Liquidity risk and accounting information
    by Sadka, Ronnie
  • 2011 The effect of information quality on liquidity risk
    by Ng, Jeffrey
  • 2011 Distributional asymmetry of loadings on market co-moments
    by Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo
  • 2011 The effect of financial liberalization on stock-return volatility in GCC markets
    by Bley, Jorg & Saad, Mohsen
  • 2011 Asymmetric volatility and trading volume: The G5 evidence
    by Sabbaghi, Omid
  • 2011 Conditional beta: Evidence from Asian emerging markets
    by Durand, Robert B. & Lan, Yihui & Ng, Andrew
  • 2011 Fast approximations of bond option prices under CKLS models
    by Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M.
  • 2011 Nonparametric estimation and testing of stochastic discount factor
    by Fang, Ying & Ren, Yu & Yuan, Yufei
  • 2011 Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?
    by Fletcher, Jonathan
  • 2011 Dividend signaling under economic adversity: Evidence from the London Stock Exchange
    by Bozos, Konstantinos & Nikolopoulos, Konstantinos & Ramgandhi, Ghanamaruthy
  • 2011 Covered interest rate parity in emerging markets
    by Skinner, Frank S. & Mason, Andrew
  • 2011 Disclosed corporate responses to climate change and stock performance: An international empirical analysis
    by Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H.
  • 2011 Nonparametric modeling of carbon prices
    by Chevallier, Julien
  • 2011 Oil prices and the impact of the financial crisis of 2007–2009
    by Bhar, Ramaprasad & Malliaris, A.G.
  • 2011 Testing conditional factor models: A nonparametric approach
    by Li, Yan & Yang, Liyan
  • 2011 Functional data analysis for volatility
    by Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich
  • 2011 Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
    by Chevallier, Julien
  • 2011 The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom
    by Reschreiter, Andreas
  • 2011 The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis
    by Lee, Yuan-Ming & Wang, Kuan-Min
  • 2011 The crisis, Fed, Quants and stochastic optimal control
    by Stein, Jerome L.
  • 2011 Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
    by Yamamoto, Ryuichi
  • 2011 Large traders and illiquid options: Hedging vs. manipulation
    by Kraft, Holger & Kühn, Christoph
  • 2011 On the ingredients for bubble formation: Informed traders and communication
    by Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin
  • 2011 Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?
    by De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif
  • 2011 Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)
    by Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa
  • 2011 A Higher Moment Downside Framework for Conditional and Unconditional CAPM in the Russian Stock Market
    by Tamara Teplova & Evgeniya Shutova
  • 2011 Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated versus Empirical Data
    by Jörg Rieger & Kirsten Rüchardt & Bodo Vogt
  • 2011 Les annonces de notations extrafinancières véhiculent-elles une information au marché?
    by Alexis Cellier & Pierre Chollet & Jean-François Gajewski
  • 2011 Bank money, aggregate liquidity, and asset prices
    by Junfeng Qiu
  • 2011 Possibilities of Improving the Efficiency of Mining Companies by Controlling Cost of Coal
    by Izabela Jonek-Kowalska, Marian Turek
  • 2011 Possibilities of Improving the Efficiency of Mining Companies by Controlling Cost of Coal
    by Izabela Jonek-Kowalska, Marian Turek
  • 2011 Vers une agence européenne de la dette ?
    by Laurent Daniel & Pavel Diev
  • 2011 Aftermarket Performances of Book Building and Fixed Price Offerings on the Istanbul stock Exchange
    by Erkin Uzun
  • 2011 Foreign exchange trading in emerging currencies: more financial, more offshore
    by Robert McCauley & Michela Scatigna
  • 2011 Italian banks’ profitability: improvement strategies, business models, constraints
    by Roberto Nicastro & Franco Tutino
  • 2011 Euro and the nearly-sovereign debt
    by Matteo Mattei Gentili
  • 2011 Commodity Booms and Busts
    by Colin A. Carter & Gordon C. Rausser & Aaron Smith
  • 2011 Predictability of Returns and Cash Flows
    by Ralph S.J. Koijen & Stijn Van Nieuwerburgh
  • 2011 Global Asset Pricing
    by Karen K. Lewis
  • 2011 Valuation and Risk Management of Collateralized Debt Obligations and Related Securities
    by Christian Bluhm & Christoph Wagner
  • 2011 Inflation-Indexed Bonds and the Expectations Hypothesis
    by Carolin E. Pflueger & Luis M. Viceira
  • 2011 Combinação de Previsões de Volatilidade: Um Estudo
    by Rosangela Cavaleri & Eduardo Pontual Ribeiro
  • 2011 Predicting Stock Returns With Financial Ratios: A Discriminant Analysis Application On The Ise 30 Index Stocks
    by Bulent Oz & Yucel Ayricay & Gokturk Kalkan
  • 2011 Re-examining covariance risk dynamics in international stock markets using quantile regression analysis
    by M. Y. L. Li & S. M. F. Yen
  • 2011 The Early Exercise Premium for American Options. Empirical Study on Sibex Market
    by Maria-Miruna POCHEA & Angela-Maria FILIP
  • 2011 Global Tendencies in Investment Funds Market Development
    by Ioan E. NISTOR & Ioana RADU
  • 2011 An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange
    by Felicia Ramona Birau
  • 2011 Possible Means And Solutions For Avoiding Currency Wars
    by Mihai Dragu
  • 2011 Financial Volatility And Derivatives Products: A Bidirectional Relationship
    by Claudiu Tiberiu Albulescu & Daniel Goyeau
  • 2011 Announcement Of The Exchange Ratio Of The Merging Companies - Impact On The Acquiring Firms "
    by Leszek Czerwonka
  • 2011 Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models
    by Maria PASCU-NEDELCU
  • 2011 Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics
    by George J. Hall & Thomas J. Sargent
  • 2011 Learning about Risk and Return: A Simple Model of Bubbles and Crashes
    by William A. Branch & George W. Evans
  • 2011 Housing Bubbles
    by Óscar Arce & David López-Salido
  • 2010 The cross-Section of German stock returns: New data and new evidence
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander & Koch, Stefan & Theissen, Erik
  • 2010 The impact of investor sentiment on the German stock market
    by Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan
  • 2010 Determinants of expected stock returns: Large sample evidence from the German market
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander
  • 2010 Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
    by Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere
  • 2010 The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
    by Riona Arjoon & Mariette Botes & Laban K. Chesang & Rangan Gupta
  • 2010 South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns
    by Rangan Gupta & Mampho P. Modise
  • 2010 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène
  • 2010 Les fonds souverains ou sovereign wealth funds
    by Rocchi, Jean-Michel
  • 2010 Gestion obligataire
    by Gresse, Carole
  • 2010 Marchés d'actions
    by Folus, Didier
  • 2010 The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach
    by Souissi, Jomâa & Chaton, Corinne & Aloui, Chaker & Abdelhamid, Mohamed
  • 2010 Three Solutions to the Pricing Kernel Puzzle
    by Thorsten HENS & Christian REICHLIN
  • 2010 A critique of Alan Greenspan’s retrospective on the crisis
    by Stein, Jerome
  • 2010 Risk Management after the Great Crash
    by Blommestein, Hans
  • 2010 An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: studio di un caso
    by Masih, A. Mansur M. & Ryan, Vicky
  • 2010 Erklärt das Zyklusbeta Aktienrenditen?
    by Beatrice Bieri & Klaus Spremann
  • 2010 Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi
    by Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK
  • 2010 İstanbul Menkul Kıymetler Borsası’nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
    by Aslı YÜKSEL & Aydın YÜKSEL & Mete DOĞANAY
  • 2010 Sesgos en los modelos de sincronización tradicionales
    by Ferruz, Luis & Muñoz, Fernando & Vargas, María
  • 2010 ¿Influyen los tigres asiáticos en el comportamiento gregario español?
    by Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra
  • 2010 Size, value and liquidity: Do they really matter on an emerging stock market?
    by Lischewski, Judith & Voronkova, Svitlana
  • 2010 Macro expectations, aggregate uncertainty, and expected term premia
    by Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas
  • 2010 Market efficiency in the emerging securitized real estate markets
    by Schindler, Felix
  • 2010 How efficient is the U.K. housing market?
    by Schindler, Felix
  • 2010 Further evidence on the (in-) efficiency of the U.S. housing market
    by Schindler, Felix
  • 2010 Explaining time-varying risk of electricity forwards: trading activity and news announcements
    by Schulz, Frowin C.
  • 2010 Implied rates of return, the discount rate effect, and market risk premia
    by Breuer, Wolfgang & Gürtler, Marc
  • 2010 Alan Greenspan, the quants and stochastic optimal control
    by Stein, Jerome L.
  • 2010 New sight of herding behavioural through trading volume
    by Hachicha, Nizar
  • 2010 The value-added of investable hedge fund indices
    by Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre
  • 2010 Is there a bubble in the Chinese housing market?
    by Dreger, Christian & Zhang, Yanqun
  • 2010 Sovereign bond yield spreads: a time-varying coefficient approach
    by Bernoth, Kerstin & Erdogan, Burcu
  • 2010 Cash flow and discount rate risk in up and down markets: What is actually priced?
    by Botshekan, Mahmoud & Kräussl, Roman & Lucas, André
  • 2010 Price pressures
    by Hendershott, Terrence & Menkveld, Albert J.
  • 2010 Does inter-market competition lead to less regulation?
    by Draus, Sarah
  • 2010 Blockholder dispersion and firm value
    by Konijn, Sander J. J. & Kräussl, Roman & Lucas, André
  • 2010 Risk and expected returns of private equity investments: Evidence based on market prices
    by Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua
  • 2010 Sturm und Drang in money market funds: When money market funds cease to be narrow
    by Jank, Stephan & Wedow, Michael
  • 2010 Creative destruction and asset prices
    by Grammig, Joachim G. & Jank, Stephan
  • 2010 Overconfidence among professional investors: Evidence from mutual fund managers
    by Pütz, Alexander & Ruenzi, Stefan
  • 2010 Agent-based financial markets and New Keynesian macroeconomics: A synthesis
    by Lengnick, Matthias & Wohltmann, Hans-Werner
  • 2010 Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
    by Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik
  • 2010 Banking and sovereign risk in the euro area
    by Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B.
  • 2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
    by Dubravka Benaković & Petra Posedel
  • 2010 Orthogonalized Equity Risk Premia and Systematic Risk Decomposition
    by Rudolf F. Klein & K. Victor Chow
  • 2010 Conventions in the Foreign Exchange Market:Do they really explain Exchange Rate Dynamics?
    by Gabriele Di Filippo
  • 2010 A Contribution to the Theory of Financial Fragility and Crisis
    by Amit Bhaduri
  • 2010 The Implications of Financial Asset and Housing Markets on Profit- and Wage-led Growth: Some Results in Comparative Statics
    by Amit Bhaduri
  • 2010 Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
    by Silvia Centanni & Marco Minozzo
  • 2010 The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis
    by Alessandro Fontana
  • 2010 Consumption Smoothing and the Equity Premium
    by Benjamin Eden
  • 2010 Adaptive Forecasting of Exchange Rates with Panel Data
    by Leonardo Morales-Arias & Alexander Dross
  • 2010 Time-Varying Beta: A Boundedly Rational Equilibrium Approach
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He
  • 2010 Option Valuation in Multivariate SABR Models
    by Jörg Kienitz & Manuel Wittke
  • 2010 Differences in Opinion and Risk Premium
    by Xue-Zhong He & Lei Shi
  • 2010 Hedge Fund Excess Returns Under Time-Varying Beta
    by Ron Bird & Harry Liem & Susan Thorp
  • 2010 On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders
    by Fabio Tramontana & Frank Westerhoff & Laura Gardini
  • 2010 A unifying approach to the empirical evaluation of asset pricing models
    by Francisco Peñaranda & Enrique Sentana
  • 2010 Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads
    by Thomas Schroeder & Kwamie Dunbar
  • 2010 Time Varying Risk Aversion: An Application to Energy Hedging
    by John Cotter & Jim Hanly
  • 2010 Housing Risk and Return: Evidence From a Housing Asset-Pricing Model
    by Karl Case & John Cotter & Stuart Gabriel
  • 2010 An Analysis of the EU Emission Trading Scheme
    by Don Bredin & Cal Muckley
  • 2010 Hedging: Scaling and the Investor Horizon
    by John Cotter & Jim Hanly
  • 2010 Trading and Liquidity with Limited Cognition
    by Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier
  • 2010 Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo
  • 2010 Turkiye’de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi
    by Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak
  • 2010 Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
    by Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo
  • 2010 A History of Housing Prices in Australia 1880-2010
    by Nigel Stapledon
  • 2010 Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
    by Vasco Gabriel & Luis Martins
  • 2010 Markets where buyers also are sellers. How realized home equity may work as an accelerator of house prices
    by Erling Røed Larsen
  • 2010 Evolution and market behavior with endogenous investment rules
    by Giulio Bottazzi & Pietro Dindo
  • 2010 Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility
    by Ariane Szafarz
  • 2010 Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    by Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer
  • 2010 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    by Qiankun Zhou & Jun Yu
  • 2010 Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
    by Tore Selland Kleppe & Jun Yu & Hans J. Skaug
  • 2010 Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads
    by Schröder, Thomas & Dunbar, Kwamie
  • 2010 Monetary Policy and Heterogeneous Expectations
    by William A. Branch & George W. Evans
  • 2010 Risk-return tradeoff and the behaviour of volatility on the South African stock market: Evidence from both aggregate and disaggregate data
    by N.Z Mandimika & Z. Chinzara
  • 2010 For Rich or for Poor: When does Uncovered Interest Parity Hold?
    by Maurice J. Roche & Michael J. Moore
  • 2010 Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs
    by Bellmann, Enno & Lang, Joachim & Madlener, Reinhard
  • 2010 Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation
    by Lang, Joachim & Madlener, Reinhard
  • 2010 Uncovering the Common Risk Free Rate in the European Monetary Union
    by Wagenvoort, Rien & Zwart, Sanne
  • 2010 Consumption Benefits and Gambling: Evidence From the NCAA Basketball Betting Market
    by Humphreys, Brad & Paul, Rodney & Weinbach, Andrew
  • 2010 Prices, Point Spreads and Profits: Evidence from the National Football League
    by Humphreys, Brad
  • 2010 Too Small or too Low? New Evidence on the 4-Factor Model
    by Paola Brighi & Stefano d’Addona & Antonio Carlo Francesco Della Bina
  • 2010 Volatility and the role of order book structure
    by Ralf Becker & Adam Clements
  • 2010 Determinants of sovereign bond yield spreads in the euro area in
    by Luciana Barbosa & Sónia Costa
  • 2010 Long Memory in Stock Market Volatility:Evidence from India
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2010 Macroeconomic Risks and Characteristic-Based Factor Models
    by Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F.
  • 2010 Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2010 Does trading remove or bring frictions?
    by Lin, William & Sun, David & Tsai, Shih-Chuan
  • 2010 Search costs and investor trading activity: evidences from limit order book
    by Lin, William & Tsai, Shih-Chuan & Sun, David
  • 2010 Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
    by Pasaribu, Rowland Bismark Fernando
  • 2010 Pemilihan Model Asset Pricing
    by Pasaribu, Rowland Bismark Fernando
  • 2010 Limited enforcement, bubbles and trading in incomplete markets
    by Bejan, Camelia & Bidian, Florin
  • 2010 Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania
    by Stefanescu, Razvan & Dumitriu, Ramona
  • 2010 Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market
    by cole, Chip & Edwards, Jeffrey A.
  • 2010 Unconditional mean, Volatility and the Fourier-Garch representation
    by Pascalau, Razvan & Thomann, Christian & Gregoriou, Greg N.
  • 2010 Theoretical analysis of the bid-ask bounce and Related Phenomena
    by Lerner, Peter
  • 2010 Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio
    by Théoret, Raymond & Racicot, François-Éric
  • 2010 fama and macbeth revisited: A Critique
    by Salazar, Juan & Lambert, Annick
  • 2010 Determinants of stock market performance in Nigeria: long-run analysis
    by MAKU, Olukayode E. & ATANDA, Akinwande Abdulmaliq
  • 2010 A behavioral model of bubbles and crashes
    by Kaizoji, Taisei (kaizoji@icu.ac.jp)
  • 2010 Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions
    by Lof, Matthijs
  • 2010 Foreign ownership in Vietnam stock markets - an empirical analysis
    by Vo, Xuan Vinh
  • 2010 An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis
    by Vo, Xuan Vinh & Batten, Jonathan
  • 2010 EQUITY Premium Puzzle in a Data-Rich Environment
    by Douch, Mohamed & Bouaddi, Mohammed
  • 2010 Searching out of Trading Noise: A Study of Intraday Transactions Cost
    by Lin, William & Sun, David & Tsai, Shih-Chuan
  • 2010 Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK
    by Nawar, Hashem
  • 2010 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong
  • 2010 Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing
    by Bao, Qunfang & Li, Shenghong & Liu, Guimei
  • 2010 Flight to Liquidity and Global Equity Returns
    by Goyenko, Ruslan & Sarkissian, Sergei
  • 2010 Linking Decision and Time Utilities
    by Kontek, Krzysztof
  • 2010 House Prices and Consumption
    by Song, In Ho
  • 2010 Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
    by Kucuk, Ugur N.
  • 2010 Financial Markets Interactions between Economic Theory and Practice
    by Nicolau, Mihaela
  • 2010 A real-time trading rule
    by Rambaccussing, Dooruj
  • 2010 Overconfidence and bubbles in experimental asset markets
    by Michailova, Julija
  • 2010 Behavioral approach to Arbitrage Pricing Theory
    by Hasan, M.Emrul
  • 2010 Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong
  • 2010 Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
    by Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres
  • 2010 Stock Index Volatility: the case of IPSA
    by Alfaro, Rodrigo & Silva, Carmen Gloria
  • 2010 The role of trading frictions in real asset markets
    by Gavazza, Alessandro
  • 2010 Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)
    by Maryatmo, Rogatianus
  • 2010 The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
    by Delis, Manthos D & Mylonidis, Nikolaos
  • 2010 Corporate strategies – the institutional approach
    by Waśniewski, Krzysztof
  • 2010 Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
    by Alfarano, Simone & Lux, Thomas & Wagner, Friedrich
  • 2010 The relevance of coarse thinking for investors' willingness to pay: An experimental study
    by Siddiqi, Hammad
  • 2010 QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
    by Nyberg, Henri
  • 2010 Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
    by Cadogan, Godfrey
  • 2010 Autoregressive multifactor APT model for U.S. Equity Markets
    by Malhotra, Karan
  • 2010 The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
    by Onour, Ibrahim
  • 2010 Coarse thinking, implied volatility, and the valuation of call and put options
    by Siddiqi, Hammad
  • 2010 Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
    by Fries, Christian P.
  • 2010 From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets
    by Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice
  • 2010 Asset Pricing - A Brief Review
    by Li, Minqiang
  • 2010 Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets
    by Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel
  • 2010 Leveraging the British Railway Mania: Derivatives for the Individual Investor
    by Campbell, Gareth
  • 2010 Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania
    by Campbell, Gareth
  • 2010 ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania
    by Campbell, Gareth & Turner, John
  • 2010 Levy Subordinator Model of Default Dependency
    by Balakrishna, B S
  • 2010 New methods of estimating stochastic volatility and the stock return
    by Alghalith, Moawia
  • 2010 Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
    by Todd, Prono
  • 2010 Value of intangibles arising from R&D activities
    by Ana Maria Bandeira & Óscar Afonso
  • 2010 Valorização de activos intangíveis resultantes de actividades de I&D
    by Ana Maria Bandeira
  • 2010 An Experimental Test of the Lucas Asset Pricing Model
    by John Duffy & Sean Crockett
  • 2010 A Dynamic General Equilibrium Approach to Asset Pricing Experiments
    by John Duffy
  • 2010 Énvironmental Economics and Venture Capital
    by Emanuel Shachmurove & Yochanan Shachmurove
  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez
  • 2010 Trading volume and serial correlation in stock returns: a threshold regression approach
    by Shoko Morimoto & Mototsugu Shintani
  • 2010 Monetary Policy and Heterogeneous Expectations
    by George W. Evans & William A.Branch
  • 2010 Can Emerging Asset Price Bubbles be Detected?
    by Jesús Crespo Crespo Cuaresma
  • 2010 A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
    by Leo Krippner
  • 2010 Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
    by Vasco J. Gabriel & Luis F. Martins
  • 2010 Predictability of Returns and Cash Flows
    by Ralph S.J. Koijen & Stijn Van Nieuwerburgh
  • 2010 Identification and Inference in Linear Stochastic Discount Factor Models
    by Craig Burnside
  • 2010 International Macro-Finance
    by Anna Pavlova & Roberto Rigobon
  • 2010 Trading and Liquidity with Limited Cognition
    by Bruno Biais & Johan Hombert & Pierre-Olivier Weill
  • 2010 Betting Against Beta
    by Andrea Frazzini & Lasse H. Pedersen
  • 2010 What Does Stock Ownership Breadth Measure?
    by James J. Choi & Li Jin & Hongjun Yan
  • 2010 Crisis “Shock Factors” and the Cross-Section of Global Equity Returns
    by Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria
  • 2010 Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
    by Priyank Gandhi & Hanno Lustig
  • 2010 What Does Equity Sector Orderflow Tell Us about the Economy?
    by Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz
  • 2010 Does Home Owning Smooth the Variability of Future Housing Consumption?
    by Andrew Paciorek & Todd M. Sinai
  • 2010 How Does the U.S. Government Finance Fiscal Shocks?
    by Antje Berndt & Hanno Lustig & Sevin Yeltekin
  • 2010 Estimation and Evaluation of Conditional Asset Pricing Models
    by Stefan Nagel & Kenneth J. Singleton
  • 2010 On the Timing and Pricing of Dividends
    by Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen
  • 2010 Decoding Inside Information
    by Lauren Cohen & Christopher Malloy & Lukasz Pomorski
  • 2010 Countercyclical Currency Risk Premia
    by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan
  • 2010 Risk, Uncertainty and Monetary Policy
    by Geert Bekaert & Marie Hoerova & Marco Lo Duca
  • 2010 Liquidity Risk of Corporate Bond Returns: A Conditional Approach
    by Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath
  • 2010 On the Economic Consequences of Index-Linked Investing
    by Jeffrey Wurgler
  • 2010 Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle
    by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
  • 2010 Two Monetary Tools: Interest Rates and Haircuts
    by Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen
  • 2010 Cross-sectional Tobin's Q
    by Frederico Belo & Chen Xue & Lu Zhang
  • 2010 The Effects of Stock Lending on Security Prices: An Experiment
    by Steven N. Kaplan & Tobias J. Moskowitz & Berk A. Sensoy
  • 2010 The Market for Borrowing Corporate Bonds
    by Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak
  • 2010 Predictive Regressions: A Present-value Approach
    by Jules H. van Binsbergen & Ralph S.J. Koijen
  • 2010 Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon
  • 2010 Hard Times
    by John Y. Campbell & Stefano Giglio & Christopher Polk
  • 2010 Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms
    by Ravi Jagannathan & Andrei Jirnyi & Ann Sherman
  • 2010 CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009
    by Richard Stanton & Nancy Wallace
  • 2010 Trading Complex Assets
    by Bruce I. Carlin & Shimon Kogan
  • 2010 The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
    by Anisha Ghosh & George M. Constantinides
  • 2010 Ambiguity and Asset Markets
    by Larry G. Epstein & Martin Schneider
  • 2010 The Role of Mortgage Brokers in the Subprime Crisis
    by Antje Berndt & Burton Hollifield & Patrik Sandås
  • 2010 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop
  • 2010 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
    by Hui Chen
  • 2010 Uncertainty about Government Policy and Stock Prices
    by Lubos Pastor & Pietro Veronesi
  • 2010 Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns
    by Nikolai Roussanov
  • 2010 Indian Equity Markets: Measures of Fundamental Value
    by Rajnish Mehra
  • 2010 Aggregate Idiosyncratic Volatility
    by Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang
  • 2010 Rare Disasters and Risk Sharing with Heterogeneous Beliefs
    by Hui Chen & Scott Joslin & Ngoc-Khanh Tran
  • 2010 Build America Bonds
    by Andrew Ang & Vineer Bhansali & Yuhang Xing
  • 2010 Value versus Growth: Time-Varying Expected Stock Returns
    by Huseyin Gulen & Yuhang Xing & Lu Zhang
  • 2010 Asset Liquidity and the Cost of Capital
    by Hernán Ortiz-Molina & Gordon M. Phillips
  • 2010 The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    by Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh
  • 2010 Does Risk Explain Anomalies? Evidence from Expected Return Estimates
    by Jin Ginger Wu & Lu Zhang
  • 2010 The Other Side of Value: Good Growth and the Gross Profitability Premium
    by Robert Novy-Marx
  • 2010 Crises and Recoveries in an Empirical Model of Consumption Disasters
    by Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa
  • 2010 Learning and the Disappearing Association Between Governance and Returns
    by Lucian A. Bebchuk & Alma Cohen & Charles C.Y. Wang
  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez
  • 2010 Corporate Bond Default Risk: A 150-Year Perspective
    by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev
  • 2010 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine Aït-Sahalia & Jean Jacod
  • 2010 Cash Flow Multipliers and Optimal Investment Decisions
    by Holger Kraft & Eduardo S. Schwartz
  • 2010 On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
    by Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang
  • 2010 Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
    by Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege
  • 2010 Limited Capital Market Participation and Human Capital Risk
    by Jonathan Berk & Johan Walden
  • 2010 Bankruptcy and the Collateral Channel
    by Efraim Benmelech & Nittai K. Bergman
  • 2010 The Cross-Section and Time-Series of Stock and Bond Returns
    by Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh
  • 2010 Rollover Risk and Market Freezes
    by Viral V. Acharya & Douglas Gale & Tanju Yorulmazer
  • 2010 Private Information, Human Capital, and Optimal “Home Bias” in Financial Markets
    by Isaac Ehrlich & Jong Kook Shin & Yong Yin
  • 2010 What determines euro area bank CDS spreads ?
    by Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro
  • 2010 Anti-comonotone random variables and anti-monotone risk aversion
    by Moez Abouda & Elyess Farhoud
  • 2010 Risk aversion and relationships in model-free
    by Moez Abouda & Elyess Farhoud
  • 2010 Re-hypothecation of securities
    by Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa
  • 2010 On the Existence and Prevention of Asset Price Bubbles
    by Hendrik Hakenes & Zeno Enders
  • 2010 Multiple Regime Shifts: The Influence of ASEAN Politics on Financial Integration within South-East Asia
    by David Treisman
  • 2010 Average Internal Rate of Return and investment decisions: A new perspective
    by Carlo Alberto Magni
  • 2010 Konstruktion und Anwendung von Copulas in der Finanzwirtschaft
    by Stefan Hlawatsch & Peter Reichling
  • 2010 A Theoretical Extension of the Consumption-based CAPM Model
    by Jingyuan Li & Georges Dionne
  • 2010 A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2010 Size, Book-to-Market Ratio and Macroeconomic News
    by Tolga Cenesizoglu
  • 2010 The Reaction of Stock Returns to News about Fundamentals
    by Tolga Cenesizoglu
  • 2010 Stock Returns and Monetary Policy: Are There Any Ties ?
    by Hafedh Bouakez & Badye Omar Essid & Michel Normandin
  • 2010 Equity Premia and State-Dependent Risks
    by Mohammed Bouaddi & Denis Larocque & Michel Normandin
  • 2010 Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
    by Gann, Philipp
  • 2010 US 'Quantitative Easing' Is Fracturing the Global Economy
    by Michael Hudson
  • 2010 A Contribution to the Theory of Financial Fragility and Crisis
    by Amit Bhaduri
  • 2010 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop
  • 2010 An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?
    by Yves Jégourel & Samuel Maveyraud
  • 2010 Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2010 Heterogeneous Beliefs in a Continuous-Time Model
    by Chiaki Hara
  • 2010 Improved Portfolio Choice using Second-Order Stochastic Dominance
    by James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova
  • 2010 Pinning in the S&P 500 Futures
    by Benjamin Golez & Jens Carsten Jackwerth
  • 2010 Zur Finanzmarktkrise: Die Rolle der Immobilienbewertung
    by Oliver Arentz & Johann Eekhoff & Christine Arentz
  • 2010 Adaptive Forecasting of Exchange Rates with Panel Data
    by Leonardo Morales-Arias & Alexander Dross
  • 2010 Credit Bubbles and Land Bubbles
    by Christopher Reicher
  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by Pesaran, M. Hashem
  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by Pesaran, Hashem
  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin
  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin
  • 2010 Consumption, liquidity and the cross-sectional variation of expected returns
    by Elena Márquez & Belén Nieto Doménech & Gonzalo Rubio Irigoyen
  • 2010 Trading strategies and trading profits in experimental asset markets with cumulative information
    by Thomas St?ckl & Michael Kirchler
  • 2010 Optimal Execution of Multiasset Block Orders under Stochastic Liquidity
    by Naoki Makimoto & Yoshihiko Sugihara
  • 2010 Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?
    by Makoto Saito & Shiba Suzuki & Tomoaki Yamada
  • 2010 Financial Regulation Going Forward
    by Franklin Allen & Elena Carletti
  • 2010 Booms and Busts in Asset Prices
    by Klaus Adam & Albert Marcet
  • 2010 Performance evaluation in competitive REE models
    by Paolo Colla & José M. Marín
  • 2010 Trading and Liquidity with Limited Cognition
    by Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier
  • 2010 Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo
  • 2010 Parametric estimation of risk neutral density functions
    by Maria Grith & Volker Krätschmer
  • 2010 Prognose mit nichtparametrischen Verfahren
    by Wolfgang Karl Härdle & Rainer Schulz & Weining Wang
  • 2010 High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
    by Song Song & Wolfgang K. Härdle & Ya'acov Ritov
  • 2010 Adaptive Interest Rate Modelling
    by Mengmeng Guo & Wolfgang Karl Härdle
  • 2010 Nonparametric Estimation of Risk-Neutral Densities
    by Maria Grith & Wolfgang Karl Härdle & Melanie Schienle
  • 2010 The dynamics of hourly electricity prices
    by Wolfgang Karl Härdle & Stefan Trück
  • 2010 Illiquidity and Derivative Valuation
    by Ulrich Horst & Felix Naujokat
  • 2010 On Securitization, Market Completion and Equilibrium Risk Transfer
    by Ulrich Horst & Traian A. Pirvu & Gonçalo Dos Reis
  • 2010 Burying the Stability Pact: The Reanimation of Default Risk in the Euro Area
    by Christian Fahrholz & Roman Goldbach
  • 2010 What Does the Yield Curve Tell Us about Exchange Rate Predictability?
    by Yu-chin Chen & Kwok Ping Tsang
  • 2010 Home Bias in Currency Forecasts
    by Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay
  • 2010 Human Capital, Endogenous Information Acquisition,and Home Bias in Financial Markets
    by Isaac Ehrlich & Jong Kook Shin & Yong Yin
  • 2010 Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
    by Eric Girardin & Dijun Tan & Woon K. Wong
  • 2010 Are House Prices Rising Too Fast in China?
    by Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang
  • 2010 Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil
    by Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin
  • 2010 Bankruptcy and the size effect
    by Lu, Ching-Chih & Chollete, Loran
  • 2010 Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990
    by Rydqvist, Kristian
  • 2010 Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
    by De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf
  • 2010 Strategic Insider Trading Equilibrium: A Filter Theory Approach
    by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  • 2010 Growth Forecasts, Belief Manipulation and Capital Markets
    by Lundtofte, Frederik & Leoni, Patrick
  • 2010 Stock and Bond Relationships in Asia
    by Johansson, Anders C.
  • 2010 Inflation, Human Capital and Tobin's q
    by Parantap Basu & Max Gillman & Joseph Pearlman
  • 2010 Why does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos
  • 2010 A Large Trader in Bubbles and Crashes: an Application to Currency Attacks
    by Mei Li & Frank Milne
  • 2010 Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?
    by Zoltam Murgulov & Eduardo Roca
  • 2010 An Empirical Investigation of Consumption CAPMs in the Australian Market
    by Bin Li & Benjamin Liu & Eduardo Roca
  • 2010 On monetary policy and stock market anomalies
    by Alexandros Kontonikas & Alexandros Kostakis
  • 2010 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Michael G. Arghyrou & Alexandros Kontonikas
  • 2010 The Euro-dividend: public debt and interest rates in the Monetary Union
    by Simone Salotti & Luigi Marattin
  • 2010 Cost of Equity Estimation Techniques Used by Valuation Experts
    by Petra Kolouchová & Jirí Novák
  • 2010 The Price and Risk Effects of Option Introductions on the Nordic Markets
    by Staffan Linden
  • 2010 Rules and risk in the euro area: does rules-based national fiscal governance contain sovereign bond spreads?
    by Anna Iara & Guntram B. Wolff
  • 2010 Fiscal activism and the cost of debt financing
    by Hans DEWACHTER & Priscilla TOFFANO
  • 2010 Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
    by Lean, H.H. & McAleer, M.J. & Wong, W.K.
  • 2010 Conditional beta pricing models: A nonparametric approach
    by Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier
  • 2010 Asset pricing with heterogeneous investors and portfolio constraints
    by Georgy Chabakauri
  • 2010 Connected stocks
    by Miguel Anton & Christopher Polk
  • 2010 Institutional Ownership, Analyst Following and Share Prices
    by Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A.
  • 2010 Strategic Asset Allocation with Heterogeneous Beliefs
    by Thiago de Oliveira Souza
  • 2010 Rentabilidad de los fondos de inversión en España. 1991-2009
    by Fernandez, Pablo & del Campo, Javier
  • 2010 Ranking de gestoras de fondos de inversión en España. 1994-2009
    by Fernandez, Pablo & del Campo, Javier
  • 2010 Tres sentencias con tremendos errores sobre valoración
    by Fernandez, Pablo
  • 2010 Rentabilidad y creación de valor de 125 empresas españolas en 2009
    by Fernandez, Pablo & del Campo, Javier
  • 2010 What Determine China’s Inflation?
    by Huang Yiping & Wang Xun & Hua Xiuping
  • 2010 How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?
    by Ariane Szafarz
  • 2010 Computational Methods for Production-Based Asset Pricing Models with Recursive Utility
    by Eric M. Aldrich & Howard Kung
  • 2010 Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
    by Viktor Todorov & Iaryna Grynkiv & George Tauchen
  • 2010 The Realized Laplace Transform of Volatility
    by Viktor Todorov & George Tauchen
  • 2010 Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry
    by Han Hong & Ahmed Khwaja & A. Ronald Gallant
  • 2010 Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors
    by A. Craig Burnside
  • 2010 The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment
    by A. Craig Burnside
  • 2010 Estimation of Jump Tails
    by Tim Bollerslev & Viktor Todorov
  • 2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2010 Tails, Fears and Risk Premia
    by Tim Bollerslev & Viktor Todorov
  • 2010 Pricing of the Time-Change Risks
    by Ivan Shaliastovich & George Tauchen
  • 2010 Volatility Jumps
    by Viktor Todorov & George Tauchen
  • 2010 Floating European football clubs in the stock market
    by Michel Aglietta & Wladimir Andreff & Bastien Drut
  • 2010 Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?
    by Georges Prat
  • 2010 Momentum or Contrarian Investment Strategies:Evidence from Dutch institutional investors
    by Leo de Haan & Jan Kakes
  • 2010 Is There a Bubble in the Chinese Housing Market?
    by Christian Dreger & Yanqun Zhang
  • 2010 Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach
    by Kerstin Bernoth & Burcu Erdogan
  • 2010 The Weekly Structure of US Stock Prices
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2010 Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
    by Mahmoud Botshekan & Roman Kraeussl & Andre Lucas
  • 2010 Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
    by Cem Cakmakli & Dick van Dijk
  • 2010 Pensions, Debt and Inflation Risk in a Monetary Union
    by Yvonne Adema
  • 2010 Competing Risks in a Time on the Market Analysis
    by Erik R. de Wit
  • 2010 Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
    by Alessandro Beber & Marco Pagano
  • 2010 A Meta-Analysis of the Equity Premium
    by Casper van Ewijk & Henri L.F. de Groot & Coos Santing
  • 2010 Price and Transaction Volume in the Dutch Housing Market
    by Erik R. de Wit & Peter Englund & Marc Francke
  • 2010 World Equity Premium based Risk Aversion Estimates
    by L.C.G. Pozzi & C.G. de Vries & J. Zenhorst
  • 2010 Volatility Exposure for Strategic Asset Allocation
    by Brière, Marie & Burgues, Alexandre & Signori, Ombretta
  • 2010 Does Inter-Market Competition Lead to Less Regulation?
    by Draus, Sarah
  • 2010 Unexpected Media Coverage and Stock Market Outcomes : Evidence from Chemical Disasters
    by Laguna, Marie-Aude
  • 2010 Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
    by Jardet, Caroline & Le Fol, Gaëlle
  • 2010 Bubbles and Crashes with Partially Sophisticated Investors
    by Bianchi, Milo & Jehiel, Philippe
  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos
  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos
  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos
  • 2010 Solving the Present Crisis and Managing the Leverage Cycle
    by John Geanakoplos
  • 2010 Leverage Causes Fat Tails and Clustered Volatility
    by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
  • 2010 Leverage Causes Fat Tails and Clustered Volatility
    by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
  • 2010 Ambiguity, Learning, and Asset Returns
    by Nengjiu Ju & Jianjun Miao
  • 2010 Reaction to public information in asset markets: does ambiguity matter?
    by Brice Corgnet & Praveen Kujal & David Porter
  • 2010 The effect of reliability, content and timing of public announcements on asset trading behavior
    by Brice Corgnet & Praveen Kujal & David Porter
  • 2010 Are all Credit Default Swap databases equal?
    by Sergio Mayordomo & Juan Ignacio Peña Sánchez de Rivera & Eduardo S. Schwartz
  • 2010 Derivatives pricing with marked point processes using Tick-by-tick dataR
    by Álvaro Cartea
  • 2010 Comoment Risk and Stock Returns
    by Marie Lambert & George Hübner
  • 2010 Comoment Risk and Stock Returns
    by Marie Lambert & George Hübner
  • 2010 Comoment Risk and Stock Returns
    by Marie Lambert & George Hübner
  • 2010 How to Construct Fundamental Risk Factors?
    by Marie Lambert & George Hübner
  • 2010 How to Construct Fundamental Risk Factors?
    by Marie Lambert & George Hübner
  • 2010 How to Construct Fundamental Risk Factors?
    by Marie Lambert & George Hübner
  • 2010 A Direct Test of Rational Bubbles
    by Friedrich Geiecke & Mark Trede
  • 2010 An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
    by Gerrit Reher & Bernd Wilfling
  • 2010 Risk, Uncertainty and Monetary Policy
    by Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco
  • 2010 Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
    by Bekaert, Geert & Engstrom, Eric
  • 2010 Aggregate Idiosyncratic Volatility
    by Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan
  • 2010 Credit Supply and the Price of Housing
    by Favara, Giovanni & Imbs, Jean
  • 2010 Macroprudential policy and central bank communication
    by Born, Benjamin & Ehrmann, Michael & Fratzscher, Marcel
  • 2010 Investor Interest and Hedge Fund Returns
    by Ramadorai, Tarun
  • 2010 Investors' horizons and the Amplification of Market Shocks
    by Cella, Cristina & Ellul, Andrew & Giannetti, Mariassunta
  • 2010 Macroeconomics and the Term Structure
    by Gürkaynak, Refet S. & Wright, Jonathan
  • 2010 Two Monetary Tools: Interest Rates and Haircuts
    by Ashcraft, Adam & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje
  • 2010 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    by Peñaranda, Francisco & Sentana, Enrique
  • 2010 Quantifying the Distortionary Fiscal Cost of ‘The Bailout’
    by Gomes, Francisco J & Michaelides, Alexander & Polkovnichenko, Valery
  • 2010 Money and Liquidity in Financial Markets
    by Nyborg, Kjell G & Östberg, Per
  • 2010 Uncertainty about Government Policy and Stock Prices
    by Pástor, Luboš & Veronesi, Pietro
  • 2010 Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns
    by Albuquerque, Rui
  • 2010 Banking and Sovereign Risk in the Euro Area
    by Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B.
  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin
  • 2010 The Price of Liquidity: Bank Characteristics and Market Conditions
    by Fecht, Falko & Nyborg, Kjell G & Rocholl, Jörg
  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H.
  • 2010 Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990
    by Rydqvist, Kristian
  • 2010 Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
    by Boyle, Phelim & Garlappi, Lorenzo & Uppal, Raman & Wang, Tan
  • 2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory
  • 2010 Performance Maximization of Actively Managed Funds
    by Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu
  • 2010 On the Size of the Active Management Industry
    by Pástor, Luboš & Stambaugh, Robert F.
  • 2010 A meta-analysis of the equity premium
    by Casper van Ewijk & C. Santing
  • 2010 Financial Integration at Times of Financial Instability
    by Jan Babecky & Lubos Komarek & Zlatuse Komarkova
  • 2010 A Unifying Approach To The Empirical Evaluation Of Asset Pricing Models
    by Francisco Peñaranda & Enrique Sentana
  • 2010 Socially Responsible Investing: it Takes More than Words
    by Gunther Capelle-Blancard & Stéphanie Monjon
  • 2010 Self-Fulfilling Risk Panics
    by Philippe BACCHETTA & Cédric TILLE & Eric VAN WINCOOP
  • 2010 Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change
    by Zhihua CHEN & Aziz A. LOOKMAN & Norman SCHURHOFF & Duane J. SEPPI
  • 2010 Price Impact and Portfolio Impact
    by Jaksa CVITANIC & Semyon MALAMUD
  • 2010 Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
    by Felix KUBLER & Karl SCHMEDDERS
  • 2010 The Price of Liquidity: Bank Characteristics and Market Conditions
    by Falko FECHT & Kjell G. NYBORG & Jörg ROCHOLL
  • 2010 Bubbles Everywhere in Human Affairs
    by Monika GISLER & Didier SORNETTE
  • 2010 Is the Price Kernel Monotone?
    by Giovanni BARONE-ADESI & Hakim DALL'O
  • 2010 Gauging the Path of Private Canadian Pensions: 2010 Update on the State of Defined Benefit and Defined Contribution Pension Plans
    by Kamalesh Gosalia & Elena Simonova & Rock Lefebvre
  • 2010 Log-Normal Approximation of the Equity Premium in the Production Model
    by Burkhard Heer & Alfred Maussner
  • 2010 The Weekly Structure of US Stock Prices
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2010 World Equity Premium Based Risk Aversion Estimates
    by Lorenzo C. G. Pozzi & Casper De Vries & Jorn Zenhorst
  • 2010 Risk Premia in General Equilibrium
    by Olaf Posch
  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by M. Hashem Pesaran
  • 2010 A Note on the Computation of the Equity Premium and the Market Value of Firm Equity
    by Burkhard Heer & Alfred Maussner
  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Erik Snowberg & Justin Wolfers
  • 2010 An Extended Macro-Finance Model with Financial Factors
    by Hans Dewachter & Leonardo Iania
  • 2010 Oil Prices and Stock Markets: What Drives what in the Gulf Corporation Council Countries?
    by Mohamed El Hedi Arouri & Christophe Rault
  • 2010 A Critique of the Literature on the US Financial Debt Crisis
    by Jerome L. Stein
  • 2010 The pricing of financial assets in the physical world of finance
    by Rodolfo Apreda
  • 2010 Devising a non-standard convertible zero-coupon bond to enhance corporate governance
    by Rodolfo Apreda
  • 2010 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Arghyrou, Michael G & Kontonikas, Alexandros
  • 2010 Piety and Profits: Stock Market Anomaly during the Muslim Holy Month
    by Jedrzej Bialkowski & Ahmad Etebari & Tomasz Piotr Wisniewski
  • 2010 Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2010 Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by Pesaran, M.H.
  • 2010 Credit Risk and Business Cycles
    by Jianjun Miao & PENGFEI WANG
  • 2010 The valuation of N-phased investment projects under jump-diffusion processes
    by R. Andergassen & L. Sereno
  • 2010 The Euro-dividend: public debt and interest rates in the Monetary Union
    by L. Marattin & S. Salotti
  • 2010 European sovereign bond spreads: monetary unification, market conditions and financial integration
    by Dimitris A. Georgoutsos & Petros Migiakis
  • 2010 Extracting information from structured credit markets
    by Noss, Joseph
  • 2010 Sentiment, Convergence of Opinion, and Market Crash
    by Qingwei Wang
  • 2010 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    by Francisco Peñaranda & Enrique Sentana
  • 2010 Incomplete markets, liquidation risk, and the term structure of interest rates
    by Challe, E. & Le Grand, F. & Ragot, X.
  • 2010 Wealth effects: the French case
    by Chauvin, V. & Damette, O.
  • 2010 Risk Price Dynamics
    by Lars Peter Hansen & Jaroslav Borovicka & Mark Hendricks & Jose A. Scheinkman
  • 2010 On the Size of the Active Management Industry
    by Lubos Pastor & Robert F. Stambaugh
  • 2010 Equilibrium yield curves under regime switching
    by Santiago García Verdú
  • 2010 Credit ratings in structured finance and the role of systemic risk
    by Roberto Violi
  • 2010 The pricing of government-guaranteed bank bonds
    by Aviram Levy & Andrea Zaghini
  • 2010 An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
    by Antonio Di Cesare & Giovanni Guazzarotti
  • 2010 Booms and busts in China's stock market: Estimates based on fundamentals
    by Gabe J. de Bondt & Tuomas A. Peltonen & Daniel Santabárbara
  • 2010 The euro as a reserve currency for global investors
    by Luis M. Viceira & Ricardo Gimeno
  • 2010 Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
    by Sermin Gungor & Richard Luger
  • 2010 An Assessment of the Bank of Canada's Term PRA Facility
    by Emanuella Enenajor & Alex Sebastian & Jonathan Witmer
  • 2010 International Capital Flows and Bond Risk Premia
    by Jesus Sierra
  • 2010 Idiosyncratic Coskewness and Equity Return Anomalies
    by Fousseni Chabi-Yo & Jun Yang
  • 2010 Search Frictions and Asset Price Volatility
    by B. Ravikumar & Enchuan Shao
  • 2010 CO2 spot and futures price analysis for EEX and ECX
    by Carlos Pinho & Mara Madaleno
  • 2010 Aggregational Gaussianity And Barely Infinite Variance In Crop Prices
    by Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis
  • 2010 Multivariate Contemporaneous-Threshold Autoregressive Models
    by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
  • 2010 Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
    by Tim Bollerslev & Viktor Todorov
  • 2010 A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    by Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf
  • 2010 Sign and Quantiles of the Realized Stock-Bond Correlation
    by Nektarios Aslanidis & Charlotte Christiansen
  • 2010 Macro Expectations, Aggregate Uncertainty, and Expected Term Premia
    by Christian D. Dick & Maik Schmeling & Andreas Schrimpf
  • 2010 Habit-based Asset Pricing with Limited Participation Consumption
    by Christian Bach & Stig Vinther Møller
  • 2010 Picard Approximation of Stochastic Differential Equations and Application to Libor Models
    by Antonis Papapantoleon & David Skovmand
  • 2010 Predictable return distributions
    by Thomas Q. Pedersen
  • 2010 The log-linear return approximation, bubbles, and predictability
    by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard
  • 2010 Testing for rational bubbles in a co-explosive vector autoregression
    by Tom Engsted & Bent Nielsen
  • 2010 Estimation of Jump Tails
    by Tim Bollerslev & Viktor Todorov
  • 2010 Stochastic Volatility
    by Torben G. Andersen & Luca Benzoni
  • 2010 Pitfalls in VAR based return decompositions: A clarification
    by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard
  • 2010 Dividend predictability around the world
    by Jesper Rangvid & Maik Schmeling & Andreas Schrimpf
  • 2010 Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity
    by Verrier, Tatjana
  • 2010 Alternative Investments And Strategies:
    by
  • 2010 The Quest for Stability: the view of financial institutions
    by Hans J. Blommestein & Lex H. Hoogduin & Jolanda J.W. Peeters & Wim W. Boonstra & Verónica Vallés & Christian Weistroffer & Stephan Schulmeister
  • 2010 Yes, we should discount the far-distant future at its lowest possible rate: A resolution of the Weitzman-Gollier puzzle
    by Freeman, Mark C.
  • 2010 Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US
    by Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos
  • 2010 Us Treasury Securities Market: Recent Evolutions, Short And Medium Term Prospects
    by Oehler Sincai, Iulia Monica
  • 2010 Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns
    by Mansor H. Ibrahim
  • 2010 A Model of Financial Market Liquidity Based on Intermediary Capital
    by Denis Gromb & Dimitri Vayanos
  • 2010 Macroeconomic Fundamentals and Stock Return Dynamics: International Evidence from the Global Finance Area
    by Ezzeddine ABAOUB & Mongi ARFAOUI & Hammadi SLITI
  • 2010 Estimating Value-At-Risk (Var) Using TIVEX-POT Models
    by Peter Julian A. Cayton & Dennis S. Mapa, Ph. D. & Mary Therese A. Lising
  • 2010 Macroeconomic Determinants of Stock Returns in Pakistan: the Case of Karachi Stock Exchange
    by Nadeem SOHAIL & Hussain ZAKIR
  • 2010 The Determinants of Systematic Risk: International Evidence from the Macro-Finance Interface
    by Mongi ARFAOUI & Ezzeddine ABAOUB
  • 2010 The Effect Of Annual Earnings Announcement Delay On Stock Returns
    by Xiaolou YANG
  • 2010 Modelling Of Stock Return Volatility
    by Taisei KAIZOJI
  • 2010 Autocorrelation, return horizons, and momentum in stock returns
    by Ming-Shiun Pan
  • 2010 Discussion: The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors
    by Kevin Ross & Tommaso Mancini Griffoli
  • 2010 The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors
    by Mathias Hoffmann & Rahel Suter
  • 2010 ZASTOSOWANIE TECHNIK ITERACYJNYCH W WYCENIE PRZEDSIeBIORSTWA – WYCENA EMCINSMED S.A
    by Wiktor Patena
  • 2010 INDEKS QUASI-BETA: WYKORZYSTANIE WIELOWYMIAROWEJ ANALIZY PORoWNAWCZEJ DO WYZNACZANIA INDEKSU RYZYKA INWESTYCJI W AKCJE NA GPW W WARSZAWIE
    by Wiktor Cwynar
  • 2010 The Analysis of an Investment Risk Within Emerging Capital Markets. The Case of the Warsaw Stock Exchange
    by Mieczyslaw Kowerski
  • 2010 An Investigation of the Effect of Audit Quality on Accrual Reliability of Listed Companies on Tehran Stock Exchange
    by Mahdi SALEHI & Saeid Jabarzadeh KANGARLOUEI
  • 2010 Managerial Approach of International Initial Public Offerings Valuation
    by Cristian PAUN & Stefan UNGUREANU
  • 2010 Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
    by Su, Chi Wei & Chang, Hsu Ling
  • 2010 Portfolio Analysis Based On The Example Of Zagreb Stock Exchange
    by Bogdan, Sinisa & Baresa, Suzana & Ivanovic, Sasa
  • 2010 Una Explicación Del Efecto Herding Desde El Mercado De Derivados
    by NATIVIDAD BLASCO DE LAS HERAS & SANDRA FERRERUELA GARCÉS & PILAR CORREDOR CASADO
  • 2010 Dinámica Del Volumen, Información Y Estructura De Propiedad
    by CRISTINA DEL RÍO & RAFAEL SANTAMARÍA
  • 2010 Owning Capital or Being Shareholders: An Equivalence Result with Incomplete Markets
    by Eva Carceles-Poveda & Daniele Coen Pirani
  • 2010 Asset Pricing in a Production Economy with Chew-Dekel Preferences
    by Claudio Campanale & Rui Castro & Gian Luca Clementi
  • 2010 Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta
    by Werner Kristjanpoller Rodriguez & Carolina Liberona Maturana
  • 2010 Productos derivados sobre bienes de consumo
    by Francisco Venegas Martinez & Salvador Cruz Ake
  • 2010 The Sustainability of House Price Trends in the Czech Republic
    by Martin Lux & Petr Sunega
  • 2010 Monetary Policy Implementation and Liquidity Management of the Czech Banking System
    by Karel BRŮNA
  • 2010 Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario
    by Javier Pereda C.
  • 2010 Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model
    by Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina
  • 2010 The Effects of Financial Crisis on the Behaviour of Investors on the Romanian Capital Market
    by Barna Flavia & Danuletiu Dan
  • 2010 An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index
    by CONSTANTIN Laura-Gabriela & CERNAT-GRUICI Bogdan & IAMANDI Irina-Eugenia
  • 2010 „Black-Scholes Model Used To Evaluate Stocks Options”
    by Turcan Radu Olimpiu Calin
  • 2010 Behavioral Biases In Trading Securities
    by Dedu Vasile & Turcan Radu Olimpiu Calin & Turcan Ciprian Sebastian
  • 2010 Impact Of Financial Crisis On Construction Firm`S Cost Of Capital
    by Nistor Ioan & Ulici (Ciupac-Ulici) Maria & Schiau (Macavei) Laura Liana
  • 2010 Intellectual Capital Valuation Using Monte Carlo Simulation
    by Fenyves Veronika & Tóth Réka & Tarnóczi Tibor
  • 2010 Modeling the Term Structure of Interest Rates: A Review of the Literature
    by Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis
  • 2010 Empirically Based Asset Management Decision Support for Reliable and Cost Effective Asset Operation
    by Michael Schenk & Frank Ryll
  • 2010 Financial Crisis Propagation
    by Ruxandra Vilag & George Horia Ionescu & Mihai Dragos Ungureanu & Stela Aurelia Toader
  • 2010 Ýmalat Sanayinde Firma Risklerinin Belirlenmesi: Kumeleme Analizi Yontemiyle Ampirik Bir Calýsma
    by Mehmet Sabri TOPAK
  • 2010 Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates
    by Jozef Glova
  • 2010 Relevância informativa das Despesas de Investigação e Desenvolvimento: um estudo para o caso português
    by Ana Cunha & José Moreira
  • 2010 Would You Follow MM or a Profitable Trading Strategy?
    by Brian Baturevich, Gulnur Muradoglu
  • 2010 Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market
    by Cristiana Cerqueira Leal, Manuel J. Rocha Armada, João L. C. Duque
  • 2010 The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration
    by Hsu-Ling Chang & Chi-Wei Su
  • 2010 CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns
    by Jiri Novak & Dalibor Petr
  • 2010 Fundamentals and the Origin of Fama-French Factors: The Case of the Spanish Market
    by Francisco J. De Pena & Carlos Forner & Germán López-Espinosa
  • 2010 Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy
    by Hiroaki Ohno
  • 2010 Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index
    by Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS
  • 2010 Asymmetric information, firm investment and stock prices
    by Dongmin Kong & Tusheng Xiao & Shasha Liu
  • 2010 Illiquidity and asset pricing in the Chinese stock market
    by Maobin Wang & Dongmin Kong
  • 2010 Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin
    by Kerstin Bernoth & Burcu Erdogan
  • 2010 Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise
    by Kerstin Bernoth
  • 2010 Financial Markets Interactions between Economic Theory and Practice
    by Mihaela NICOLAU
  • 2010 Fluctuations of Real Interest Rates and Business Cycles
    by Yongli Zhang
  • 2010 L’autorité ne fait pas le contrat de travail : Une critique du modèle de Simon (1951)
    by Camille Chaserant
  • 2010 Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries
    by Mohamed Arouri & Christophe Rault
  • 2010 The Canadian ABS Market: Where Do We Go From Here?
    by David C. Allan & Philippe Bergevin
  • 2010 The Canadian ABS Market: Where Do We Go From Here?
    by David C. Allan & Philippe Bergevin
  • 2010 Addicted to Ratings: The Case for Reducing Governments’ Reliance on Credit Ratings
    by Philippe Bergevin
  • 2010 Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe
    by Mohamed El Hedi Arouri & Christophe Rault
  • 2010 Les krachs boursiers en France depuis 1854
    by David Le Bris
  • 2010 The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies
    by Serpil Canbas & Serkan Yilmaz Kandir & Ahmet Erismis
  • 2010 Determinants of the Greek stock-bond correlation
    by Petros M Migiakis
  • 2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
    by Dubravka Benakovic & Petra Posedel
  • 2010 A user's guide to the Triennial Central Bank Survey of foreign exchange market activity
    by Michael R King & Carlos Mallo
  • 2010 The $4 trillion question: what explains FX growth since the 2007 survey?
    by Michael R King & Dagfinn Rime
  • 2010 Policy responses to dislocations in the FX swap market: the experience of Korea
    by Naohiko Baba & Ilhyock Shim
  • 2010 Valuation of unquoted foreign direct investment stocks at market value: methods and results for France
    by Nivat, D. & Topiol, A.
  • 2010 Les investissements directs français à l’étranger et étrangers en France en 2009
    by NIVAT, D. & TERRIEN, B.
  • 2010 Évaluation des stocks d’investissements directs dans des sociétés non cotées en valeur de marché : méthodes et résultats pour la France
    by NIVAT, D. & TOPIOL, A.
  • 2010 Pricing the Currency Premium Under Flexible Exchange Rates: Evidence from South Africa
    by Martin Grandes & Marcel Peter & Nicolas Pinaud
  • 2010 Premiums and arbitrage of Asian Exchange Traded Funds
    by Marco Elia
  • 2010 Heterogeneity, Selection, and Wealth Dynamics
    by Lawrence Blume & David Easley
  • 2010 Cross-Sectional Asset Pricing Tests
    by Ravi Jagannathan & Ernst Schaumburg & Guofu Zhou
  • 2010 Risk Management
    by Philippe Jorion
  • 2010 Ambiguity and Asset Markets
    by Larry G. Epstein & Martin Schneider
  • 2010 Stochastic Processes in Finance
    by Dilip B. Madan
  • 2010 Limits of Arbitrage
    by Denis Gromb & Dimitri Vayanos
  • 2010 Martingale Pricing
    by Kerry Back
  • 2010 Patrimonial Resources’ Management And Effects On The Economic Value Added
    by Vasile Burja“1 Decembrie 1918†University of Alba Iulia & Camelia Burja“1 Decembrie 1918†University of Alba Iulia
  • 2010 The impact of Lehman Brothers on Romanian banks listed on BVB
    by Ioan NISTOR & Maria ULICI
  • 2010 The correlation between the macroeconomic variables and the Bucharest stock exchange share prices
    by Cristina CURUTIU BALINT
  • 2010 Options evaluation - Black-Scholes model vs. binomial options pricing model
    by Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP
  • 2010 Aspects Regarding The Influence Of Volatility On The Option’S Price
    by Assoc. Prof. Dalia Simion Ph. D & Lect. Roxana Ispas Ph. D
  • 2010 An Analysis of Mutual Fund Performance on the Stock Exchange of Mauritius
    by Sunil Bundoo & Boopen Seetanah & Zaineh Pooloo
  • 2010 Common stock returns in the pre-WWI Berlin Stock Exchange
    by Caroline Fohlin & Steffen Reinhold
  • 2010 The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities
    by Yuan-Ming Lee & Kuan-Min Wang
  • 2010 How Debt Markets Have Malfunctioned in the Crisis
    by Arvind Krishnamurthy
  • 2010 When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009
    by Marcin Kacperczyk & Philipp Schnabl
  • 2010 Security Price Informativeness with Delegated Traders
    by Gary Gorton & Ping He & Lixin Huang
  • 2010 Sovereign Risk and Secondary Markets
    by Fernando Broner & Alberto Martin & Jaume Ventura
  • 2010 Technology Adoption with Exit in Imperfectly Informed Equity Markets
    by Katrin Tinn
  • 2010 Repo Market Effects of the Term Securities Lending Facility
    by Michael J. Fleming & Warren B. Hrung & Frank M. Keane
  • 2010 Interest Rate Risk in Credit Markets
    by Monika Piazzesi & Martin Schneider
  • 2010 Loan Syndication and Credit Cycles
    by Victoria Ivashina & David Scharfstein
  • 2010 An Equilibrium Term Structure Model with Recursive Preferences
    by Anh Le & Kenneth J. Singleton
  • 2010 Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    by Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan
  • 2010 Long Run Risks, Credit Markets, and Financial Structure
    by Harjoat S. Bhamra & Lars-Alexander Kuehn & Ilya A. Strebulaev
  • 2010 Long Run Risks, the Macroeconomy, and Asset Prices
    by Ravi Bansal & Dana Kiku & Amir Yaron
  • 2010 Confidence Risk and Asset Prices
    by Ravi Bansal & Ivan Shaliastovich
  • 2010 Growth Opportunities and Technology Shocks
    by Leonid Kogan & Dimitris Papanikolaou
  • 2010 Affine Disagreement and Asset Pricing
    by Hui Chen & Scott Joslin & Ngoc-Khanh Tran
  • 2010 The Great Recession: Lessons from Microeconomic Data
    by Atif Mian & Amir Sufi
  • 2010 Dynamic Asset Pricing in a System of Local Housing Markets
    by Patrick Bayer & Bryan Ellickson & Paul B. Ellickson
  • 2010-2011 French outward and inward foreign direct investment in 2009 - New presentation
    by Nivat, D. & Terrien, B.
  • 2010, 2nd quarter update housing wealth
    by Pedro Silos
  • 2010, 1st quarter update general equilibrium with incomplete markets
    by Michael Magill & Martine Quinzii
  • 2010(XX) The Romanian Municipal Bond Market and the International Financial Crisis
    by VALENTINA VASILE & MIRELA MATEI
  • 2009 Overconfidence among professional investors: Evidence from mutual fund managers
    by Pütz, Alexander & Ruenzi, Stefan
  • 2009 What Ties Return Volatilities to Price Valuations and Fundamentals?
    by Alexander David & Pietro Veronesi
  • 2009 Long Term Asset Price Volatility and Macroeconomic Fluctuations
    by Miguel A. Iraola & Manuel S. Santos
  • 2009 Neue Erkenntnisse zur Stimmrechtsprämie in Deutschland
    by Jaron, Martin
  • 2009 Noise Trading in Stamm- und Vorzugsaktien
    by Jaron, Martin
  • 2009 An Analysis Of Dynamic Risk In The Greater China Equity Markets
    by Johansson, Anders C.
  • 2009 Rentabilidad y creación de valor de 136 empresas españolas en 2008
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 Arbitrage Pricing Under Transaction Costs: Continuous Time
    by Lépinette-Denis, Emmanuel
  • 2009 Comment faire évoluer les méthodes d’évaluation financière des innovations ?
    by Breese, Pierre & Nussenbaum, Maurice
  • 2009 A reality check of hedging practices in the mining industry
    by Armstrong, Margareth & Galli, Alain & Lautier, Delphine
  • 2009 News Pressure, Public Image, and Firm Stock Market Value
    by Laguna, Marie-Aude
  • 2009 Les fonds souverains pétroliers
    by Chevalier, Jean-Marie
  • 2009 L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain
    by Iankova, Evguenia & Pochon, Florent & Teiletche, Jérôme
  • 2009 Le marché des trackers : aspects techniques, dimensions sociales
    by Deville, Laurent & Oubenal, Mohamed
  • 2009 Information Use and Transference among Legally Separated Share Markets— An Experimental Approach
    by Li Qi & Jack Ochs
  • 2009 Who benefits from market integration? A comparative study of Yankee IPOs from high and low integrated markets
    by Pukthuanthong, Kuntara
  • 2009 Effective parameters for stochastic volatility models
    by Wang, Zaizhi
  • 2009 Modeling and pricing of credit derivatives using macroeconomic information
    by Schmid, Bernd & Zagst, Rudi & Antes, Stefan & El Moufatich, Fayssal
  • 2009 The equity premium in 150 textbooks
    by Fernandez, Pablo
  • 2009 Global Crisis and the Integration of India’s Stock Market
    by Dhal, Sarat
  • 2009 Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework
    by Di Iorio, Amalia
  • 2009 Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq
    by Zhao, Min (Kevin)
  • 2009 The Equity Risk Premium, Market Factors and the Maturing Economy Hypothesis
    by Michael Devaney
  • 2009 Market Maker unter Wolken – Wettereffekte am deutschen Aktienmarkt
    by Marcus Flemisch & Andreas Hackethal & Dirk Schiereck
  • 2009 „Home, Sweet Home“ – Die Entwicklung des Handelsvolumens deutscher Aktien im Ausland
    by Michael H. Grote & Florian Kube & Michael Küchen
  • 2009 Mandelbrot and the Smile
    by Thorsten Lehnert
  • 2009 Financial Predictors of Real Activity and the Propagation of Aggregate Shocks
    by Johann Burgstaller
  • 2009 Hisse senedi fiyat-hacim ilişkisi: İMKB’de işlem gören bankalar için doğrusal ve doğrusal olmayan Granger nedensellik analizi
    by Ali BAYRAKDAROĞLU & Şaban NAZLIOĞLU
  • 2009 Government Bond Yield Spreads: A Survey
    by Riccardo Lo Conte
  • 2009 El efecto momentum en la Bolsa Mexicana de Valores
    by Muga, Luis & Santamaría, Rafael
  • 2009 Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
    by Steiner, Christian & Groß, Anne & Entorf, Horst
  • 2009 Testing the predictability and efficiency of securitized real estate markets
    by Schindler, Felix & Rottke, Nico & Füss, Roland
  • 2009 Volatilitätseffekte am US-amerikanischen Häusermarkt
    by Schindler, Felix
  • 2009 Über die Natur und das Wesen des Geldes: Johann Heinrich von Thünens unveröffentlichter Beitrag zur Geldtheorie
    by Nellinger, Ludwig
  • 2009 Should We Discount the Far-Distant Future at Its Lowest Possible Rate?
    by Gollier, Christian
  • 2009 Yes, we should discount the far-distant future at its lowest possible rate: a resolution of the Weitzman-Gollier puzzle
    by Freeman, Mark C.
  • 2009 Modellierung des Kreditrisikos im Portfoliofall
    by Cremers, Heinz & Walzner, Jens
  • 2009 Modellierung des Kreditrisikos im Einwertpapierfall
    by Cremers, Heinz & Walzner, Jens
  • 2009 Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant
    by Möbert, Jochen
  • 2009 Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises
    by Möbert, Jochen
  • 2009 Credit gap risk in a first passage time model with jumps
    by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.
  • 2009 Credit dynamics in a first passage time model with jumps
    by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.
  • 2009 Trading the bond-CDS basis: The role of credit risk and liquidity
    by Trapp, Monika
  • 2009 The term structure of illiquidity premia
    by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese
  • 2009 Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE
    by Yadav, Pradeep K. & Bardong, Florian & Bartram, Söhnke M.
  • 2009 Long-horizon consumption risk and the cross-section of returns: New tests and international evidence
    by Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael
  • 2009 Fundamental information in technical trading strategies
    by Boonenkamp, Ute & Kempf, Alexander & Homburg, Carsten
  • 2009 Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns
    by Grammig, Joachim & Schrimpf, Andreas
  • 2009 How does European Integration affect the European Stock Markets?
    by Erdogan, Burcu
  • 2009 Net asset value discounts in listed private equity funds
    by Lahr, Henry & Kaserer, Christoph
  • 2009 Market liquidity risk: an overview
    by Stange, Sebastian & Kaserer, Christoph
  • 2009 Measuring market liquidity risk - which model works best?
    by Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph
  • 2009 Systematic risk of CDOs and CDO arbitrage
    by Hamerle, Alfred & Liebig, Thilo & Schropp, Hans-Jochen
  • 2009 The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
    by Fecht, Falko & Wedow, Michael
  • 2009 Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
    by Uhlenbrock, Birgit
  • 2009 Temporal information gaps and market efficiency: A dynamic behavioral analysis
    by Witte, Björn-Christopher
  • 2009 A simple model of a speculative housing market
    by Dieci, Roberto & Westerhoff, Frank
  • 2009 A simple agent-based financial market model: Direct interactions and comparisons of trading profits
    by Westerhoff, Frank
  • 2009 Detecting intentional herding: what lies beneath intraday data in the spanish stock market
    by Natividad Blasco & Pilar Corredor & Sandra Ferreruela
  • 2009 What Do Financial Markets Reveal about Global Warming?
    by Ron Balvers & Ding Du & Xiaobing Zhao
  • 2009 On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries
    by Christophe Rault & Mohamed El Hedi AROURI
  • 2009 Oil prices and stock markets: what drives what in the Gulf Corporation Council countries?
    by Christophe Rault & ohamed El Hedi AROURI
  • 2009 Liquidity Premium and International Seigniorage Payments
    by Benjamin Eden
  • 2009 A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
    by Carl Chiarella & Xue-Zhong He & Paolo Pellizzari
  • 2009 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
    by Xue-Zhong He & Lei Shi
  • 2009 Pricing caps with HJM models: the benefits of humped volatility
    by Jury Falini
  • 2009 Portfolio Selection with Narrow Framing: Probability Weighting Matters
    by Enrico G. De Giorgi & Shane Legg
  • 2009 Understanding portfolio efficiency with conditioning information
    by Francisco Peñaranda
  • 2009 The Performance Of Asset Pricing Models Before, During, And After Financial Crisis In Emerging Market: Evidence From Indonesia
    by Erie Febrian & Aldrin Herwany
  • 2009 Real Options with Priced Regime-Switching Risk
    by John Driffill & Martin Sola & Turalay Kenc
  • 2009 Contemporaneous-Threshold Smooth Transition GARCH Models
    by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
  • 2009 Multivariate Contemporaneous Threshold Autoregressive Models
    by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
  • 2009 State-Uncertainty preferences and the Risk Premium in the Exchange rate market
    by Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca
  • 2009 Ecological Discounting
    by Gollier, Christian
  • 2009 Short-Horizon Return Predictability in International Equity Markets
    by Abul Shamsuddin & Jae H Kim
  • 2009 Intraday Trading Patterns: The Role of Timing
    by Katya Malinova & Andreas Park
  • 2009 Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading
    by Katya Malinova & Andreas Park
  • 2009 Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive
    by Thomas Hemmelgarn & Gaetan Nicodeme
  • 2009 How does market architecture affect price dynamics ? A time series analysis of the Italian day-ahead electricity prices
    by Andrea Petrella & Sandro Sapio
  • 2009 Does Volatility matter? Expectations of price return and variability in an asset pricing experiment
    by Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto
  • 2009 Franchise Values in North American Professional Sports Leagues: Evidence from a Repeat Sales Method
    by Brad R. Humphreys & Yang Seung Lee
  • 2009 How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?
    by Ariane Szafarz
  • 2009 Inflation-hedging portfolios in Different Regimes
    by Marie Briere & Ombretta Signori
  • 2009 Tax Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive
    by Thomas Hemmelgarn & Gaëtan Nicodème
  • 2009 Banks and Real Estate Prices
    by Christian Hott
  • 2009 Explaining House Price Fluctuations
    by Christian Hott
  • 2009 Stock Market Returns and Partisan Political Business Cycles
    by James Cooley
  • 2009 Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    by Tore Selland Kleppe & Hans J. Skaug & Jun Yu
  • 2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
    by Peter C.B.Phillips & Jun Yu
  • 2009 Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
    by Tore Selland KLEPPE & Jun YU & Hans J. SKAUG
  • 2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
    by Peter C. B. Phillips & Jun Yu
  • 2009 Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
    by Alessandro Beber & Marco Pagano
  • 2009 Time-Varying Currency Betas: Evidence from Developed and Emerging Markets
    by Prabhath Jayasinghe & Albert K. Tsui
  • 2009 Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
    by Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens
  • 2009 The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa
    by Shakill Hassan & Andrew van Biljon
  • 2009 Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks
    by Ryans Bartens & Shakill Hassan
  • 2009 Segmentation across International Equity, Bond, and Foreign Exchange Markets
    by Cathy Ning & Stephen Sapp
  • 2009 Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs
    by Maurice J. Roche & Michael J. Moore
  • 2009 How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
    by Joscha Beckmann & Ansgar Belke & Michael Kühl
  • 2009 Back to the Basics in Banking? A Micro-Analysis of Banking System Stability
    by O. DE JONGHE
  • 2009 EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration
    by Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena
  • 2009 Options and Efficiency in Spaces of Bounded Claims
    by Galvani, Valentina & Troitsky, Vladimir
  • 2009 Housing Prices and the Role of Speculation: The Case of Seoul
    by Park, Donghyun & Xiao, Qin
  • 2009 Option Pricing with Modular Neural Networks
    by Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj
  • 2009 Means, Motive and Opportunity? Disentangling Client Influence on Performance Measurement Appraisals
    by Neil Crosby & Colin Lizieri & Patrick McAllister
  • 2009 Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy
    by Franz Fuerst & Gianluca Marcato
  • 2009 Testing for periodically collapsing rational speculative bubbles in US REITs
    by Keith Anderson & Chris Brooks & Sotiris Tsolacos
  • 2009 Transaction Costs, Trading Volume and Momentum Strategies
    by Xiafei Li & Chris Brooks & Joelle Miffre
  • 2009 Time Varying Volatility and the Cross-Section of Equity Returns
    by Chris Brooks & Xiafei Li & Joelle Miffre
  • 2009 HACking at Non-linearity: Evidence from Stocks and Bonds
    by Robert J Bianchi & Adam E Clements & Michael E Drew
  • 2009 The Value Effect and the Market For Chinese Stocks
    by Burton G. Malkiel & Derek Jun
  • 2009 Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999
    by David S. Lee & Alexandre Mas
  • 2009 Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
    by Anginer, Deniz & Yildizhan, Celim
  • 2009 New insights into India’s single stock futures markets
    by HUNG, MAO-WEI & SO, LEH-CHYAN
  • 2009 Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review
    by Hiremath, Gourishankar S
  • 2009 On the random walk characteristics of stock returns in India
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2009 Koreksi Bias Koefisien Beta
    by Pasaribu, Rowland Bismark Fernando
  • 2009 Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market
    by Javid, Attiya Yasmin
  • 2009 Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
    by Pasaribu, Rowland Bismark Fernando
  • 2009 Koreksi Bias Koefisien Beta
    by Pasaribu, Rowland Bismark Fernando
  • 2009 Performance metrics for algorithmic traders
    by Rosenthal, Dale W.R.
  • 2009 Nexus between Oil Price and Stock Performance of Power Industry in Malaysia
    by Puah, Chin-Hong & Tan, Lay-Phin & Md Isa, Abu Hassan
  • 2009 Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
    by Erdemlioglu, Deniz
  • 2009 Oil and portfolio risk diversification
    by Cifarelli, Giulio & Paladino, Giovanna
  • 2009 Exploiting price misalignements
    by Rambaccussing, Dooruj
  • 2009 Estimating Value-at-Risk (VaR) using TiVEx-POT Models
    by Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese
  • 2009 Optimal option pricing and trading: a new theory
    by Moawia, Alghalith
  • 2009 Evaluating alternative methods for testing asset pricing models with historical data
    by Rubio, Gonzalo & Lozano, Martin
  • 2009 Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice
    by Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J.
  • 2009 Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
    by García de la Vega, Victor Manuel & Ruiz-Porras, Antonio
  • 2009 Central banking and monetary management in islamic financial environment
    by Hanif, M. Nadim & Sheikh, Salman
  • 2009 Coarse Thinking and Pricing a Financial Option
    by Siddiqi, Hammad
  • 2009 Measuring market risk using extreme value theory
    by Mapa, Dennis S. & Suaiso, Oliver Q.
  • 2009 Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
    by Varga, Gyorgy
  • 2009 What Causes Herding:Information Cascade or Search Cost ?
    by Lin, William & Tsai, Shih-Chuan & Sun, David
  • 2009 On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
    by Cadogan, Godfrey
  • 2009 Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique
    by Todd, Prono
  • 2009 U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?
    by John, Tatom
  • 2009 A Spot Stochastic Recovery Extension of the Gaussian Copula
    by Bennani, Norddine & Maetz, Jerome
  • 2009 A new stopping time and American option model: a solution to the free-boundary problem
    by Moawia, Alghalith
  • 2009 Optimal option pricing and trading: a new theory
    by Moawia, Alghalith
  • 2009 An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play
    by Gonzalez-Astudillo, Manuel
  • 2009 An Extended Macro-Finance Model with Financial Factors
    by Dewachter, Hans & Iania, Leonardo
  • 2009 Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?
    by Maku, Olukayode E. & Atanda, Akinwande A.
  • 2009 Equity Price Bubbles in the Middle Eastern and North African Financial Markets
    by Jahan-Parvar, Mohammad & Waters, George
  • 2009 An Extended Macro-Finance Model with Financial Factors
    by Dewachter, Hans & Iania, Leonardo
  • 2009 Legitimacy to develop fair value measurement standards: The Case of the IVSC Discussion Paper – Determination of fair value of intangible assets for IFRS reporting purposes
    by Deaconu, Adela & Nistor, Cristina Silvia & Filip, Crina
  • 2009 Estimación de la Curva de Rendimiento
    by Alfaro, Rodrigo
  • 2009 Testing Linearity in Term Structures
    by Peroni, Chiara
  • 2009 How Duration Between Trades of Underlying Securities Affects Option Prices
    by Cartea, Álvaro & Meyer-Brandis, Thilo
  • 2009 Equity Returns and Business Cycles in Small Open Economies
    by Jahan-Parvar, Mohammad R. & Liu, Xuan & Rothman, Philip
  • 2009 US Industry-Level Returns and Oil Prices
    by Fan, Qinbin & Jahan-Parvar, Mohammad R.
  • 2009 Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process
    by Gan, Jumwu
  • 2009 The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds
    by Landon, Stuart
  • 2009 Ambiguity, Learning, and Asset Returns
    by Ju, Nengjiu & Miao, Jianjun
  • 2009 Carry Trades and Global FX Volatility
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas
  • 2009 Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?
    by Balli, Faruk & Ozer-Balli, Hatice
  • 2009 Potential dividends versus actual cash flows in firm valuation
    by Magni, Carlo Alberto & Vélez-Pareja, Ignacio
  • 2009 Axiomatization of residual income and generation of financial securities
    by Ghiselli Ricci, Roberto & Magni, Carlo Alberto
  • 2009 Corporate equality and equity prices: Doing well while doing good?
    by Fu, Shihe & Shan, Liwei
  • 2009 Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita
    by Fernandez, Pablo
  • 2009 Apples and oranges: relative growth rate of consumer price indices
    by Kitov, Ivan
  • 2009 Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment
    by Siddiqi, Hammad
  • 2009 An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
    by Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip
  • 2009 The Undervaluation of Distressed Company's Equity
    by Schmidt, Frederik
  • 2009 U.S. Venture Capital Meets Clean-Technology
    by Emanuel Shachmurove & Yochanan Shachmurove
  • 2009 Venture Capital Meets Industrial Sector and Location
    by Emanuel Shachmurove & Yochanan Shachmurove
  • 2009 Economic Geography, Venture Capital and Focal Points of Entrepreneurial Activity
    by Yochanan Shachmurove
  • 2009 Asset markets can achieve efficiency in the directed search framework
    by Shoko Morimoto
  • 2009 Are Banks Different? Evidence from the CDS Market
    by Scheicher, Martin & Raunig, Burkhard
  • 2009 What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area
    by David Haugh & Patrice Ollivaud & David Turner
  • 2009 A theoretical foundation for the Nelson and Siegel class of yield curve models
    by Leo Krippner
  • 2009 Developing stratified housing price measures for New Zealand
    by Chris McDonald & Mark Smith
  • 2009 Capital Mobility and Asset Pricing
    by Darrell Duffie & Bruno Strulovici
  • 2009 Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions
    by Ping Zhang
  • 2009 Do Structural Oil-Market Shocks Affect Stock Prices?
    by Nicholas Apergis & Stephen M. Miller
  • 2009 Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009
    by Hugh Kelley & Tom Evans
  • 2009 Estimated Impact of the Fed’s Mortgage-Backed Securities Purchase Program
    by Johannes C. Stroebel & John B. Taylor
  • 2009 Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
    by Benjamin Chabot & Eric Ghysels & Ravi Jagannathan
  • 2009 Decentralized Trading with Private Information
    by Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski
  • 2009 Risk Price Dynamics
    by Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman
  • 2009 An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
    by Ravi Bansal & Dana Kiku & Amir Yaron
  • 2009 Can Owning a Home Hedge the Risk of Moving?
    by Todd M. Sinai & Nicholas S. Souleles
  • 2009 The Demographics of Innovation and Asset Returns
    by Nicolae Gârleanu & Leonid Kogan & Stavros Panageas
  • 2009 Disasters Risk and Business Cycles
    by François Gourio
  • 2009 Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
    by Yi-Li Chien & Harold L. Cole & Hanno Lustig
  • 2009 On the Scholes Liquidation Problem
    by David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo
  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
  • 2009 Technological Growth and Asset Pricing
    by Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu
  • 2009 Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy
    by George O. Aragon & Philip E. Strahan
  • 2009 Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
    by Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet
  • 2009 Risk Aversion and Clientele Effects
    by Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov
  • 2009 Tiebreaker: Certification and Multiple Credit Ratings
    by Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann
  • 2009 Mutual Fund Tax Clienteles
    by Clemens Sialm & Laura Starks
  • 2009 Measuring the Timing Ability and Performance of Bond Mutual Funds
    by Yong Chen & Wayne Ferson & Helen Peters
  • 2009 When Everyone Runs for the Exit
    by Lasse Heje Pedersen
  • 2009 Professor Zipf goes to Wall Street
    by Yannick Malevergne & Pedro Santa-Clara & Didier Sornette
  • 2009 The Determinants of Stock and Bond Return Comovements
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht
  • 2009 Aggregate Implications of Micro Asset Market Segmentation
    by Chris Edmond & Pierre-Olivier Weill
  • 2009 On the Size Distribution of Macroeconomic Disasters
    by Robert J. Barro & Tao Jin
  • 2009 A Parsimonious Macroeconomic Model for Asset Pricing
    by Fatih Guvenen
  • 2009 Disasters implied by equity index options
    by David Backus & Mikhail Chernov & Ian Martin
  • 2009 Asset Return Dynamics under Bad Environment Good Environment Fundamentals
    by Geert Bekaert & Eric Engstrom
  • 2009 The stock market and aggregate employment
    by Long Chen & Lu Zhang
  • 2009 Dynamic Trading with Predictable Returns and Transaction Costs
    by Nicolae B. Garleanu & Lasse H. Pedersen
  • 2009 Market Selection
    by Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield
  • 2009 A Factor Analysis of Bond Risk Premia
    by Sydney C. Ludvigson & Serena Ng
  • 2009 Market Valuation of Accrued Social Security Benefits
    by John Geanakoplos & Stephen P. Zeldes
  • 2009 The Japanese Bubble: A 'Heterogeneous' Approach
    by Robert B. Barsky
  • 2009 Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
    by Raymond Kan & Cesare Robotti & Jay Shanken
  • 2009 Inflation and the Stock Market:Understanding the "Fed Model"
    by Geert Bekaert & Eric Engstrom
  • 2009 Understanding Inflation-Indexed Bond Markets
    by John Y. Campbell & Robert J. Shiller & Luis M. Viceira
  • 2009 Liquidity Shocks and Order Book Dynamics
    by Bruno Biais & Pierre-Olivier Weill
  • 2009 Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
    by Söhnke M. Bartram & Gregory Brown & René M. Stulz
  • 2009 Risk Shifting and Mutual Fund Performance
    by Jennifer Huang & Clemens Sialm & Hanjiang Zhang
  • 2009 Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock
    by Christian Leuz & Catherine Schrand
  • 2009 CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
    by Zhi Da & Re-Jin Guo & Ravi Jagannathan
  • 2009 Information Asymmetry, Information Precision, and the Cost of Capital
    by Richard A. Lambert & Christian Leuz & Robert E. Verrecchia
  • 2009 Valuing Toxic Assets: An Analysis of CDO Equity
    by Francis A. Longstaff & Brett Myers
  • 2009 Forced Sales and House Prices
    by John Y. Campbell & Stefano Giglio & Parag Pathak
  • 2009 Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets
    by Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek
  • 2009 A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management
    by Patrick Bolton & Hui Chen & Neng Wang
  • 2009 Confidence Risk and Asset Prices
    by Ravi Bansal & Ivan Shaliastovich
  • 2009 Learning and Asset-Price Jumps
    by Ravi Bansal & Ivan Shaliastovich
  • 2009 Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
    by Turan G. Bali & Nusret Cakici & Robert F. Whitelaw
  • 2009 The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    by Jason Beeler & John Y. Campbell
  • 2009 Optimal Endowment Destruction under Campbell-Cochrane Habit Formation
    by Lars Ljungqvist & Harald Uhlig
  • 2009 Stock-Market Crashes and Depressions
    by Robert J. Barro & José F. Ursúa
  • 2009 Are Stocks Really Less Volatile in the Long Run?
    by Lubos Pastor & Robert F. Stambaugh
  • 2009 Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    by John Y. Campbell & Adi Sunderam & Luis M. Viceira
  • 2009 The Term Structures of Equity and Interest Rates
    by Martin Lettau & Jessica A. Wachter
  • 2009 Global Imbalances and Financial Fragility
    by Ricardo J. Caballero & Arvind Krishnamurthy
  • 2009 Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
    by Francis A. Longstaff
  • 2009 Momentum traders in the housing market: survey evidence and a search model
    by Monika Piazzesi & Martin Schneider
  • 2009 The reception of public signals in financial markets – what if central bank communication becomes stale?
    by Michael Ehrmann & David Sondermann
  • 2009 Back to the basics in banking ? A micro-analysis of banking system stability
    by Olivier De Jonghe
  • 2009 Asset Pricing in a Production Economy with Chew-Dekel Preferences
    by CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca
  • 2009 Asset Pricing in a Production Economy with Chew–Dekel Preferences
    by CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca
  • 2009 An analytical derivation of the relation between idiosyncratic volatility and expected stock return
    by Don U.A. Galagedera
  • 2009 Arbitrage and equilibrium with portofolio constraints
    by Bernard Cornet & Ramu Gopalan
  • 2009 Accounting and economic measures:An integrated theory of capital budgeting
    by Carlo Alberto Magni
  • 2009 A joint macroeconomic-yield curve model for Hungary
    by Zoltán Reppa
  • 2009 The information content of Hungarian sovereign CDS spreads
    by Lóránt Varga
  • 2009 Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach
    by Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI
  • 2009 News and Correlations of CEEC-3 Financial Markets
    by David Büttner & Bernd Hayo
  • 2009 The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
    by David Büttner & Bernd Hayo & Matthias Neuenkirch
  • 2009 Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?
    by Kirsten Rüchardt & Bodo Vogt
  • 2009 Structured Finance, Risk Management, and the Recent Financial Crisis
    by Georges Dionne
  • 2009 Detecting Regime Shifts in Corporate Credit Spreads
    by Georges Dionne & Pascal François & Olfa Maalaoui Chun
  • 2009 A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    by Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti
  • 2009 Robust Equilibrium Yield Curves
    by Isaac Kleshchelski & Nicolas Vincent
  • 2009 Credit Spread Changes within Switching Regimes
    by Olfa Maalaoui & Georges Dionne & Pascal François
  • 2009 Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
    by Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters
  • 2009 A Convergence Model of the Term Structure of Interest Rates
    by Viktors Ajevskis & Kristine Vitola
  • 2009 Short-Horizon Return Predictability in International Equity Markets
    by Abul Shamsuddin & Jae H Kim
  • 2009 A factor analysis approch to measuring European loan and bond market integration
    by Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena
  • 2009 Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System
    by Breig, Christoph & Elsas, Ralf
  • 2009 Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse
    by Gann, Philipp
  • 2009 Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods
    by Chiaki Hara
  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Chiaki Hara
  • 2009 Incomplete Financial Markets and Jumps in Asset Prices
    by Hervé Crès & Tobias Markeprand & Mich Tvede
  • 2009 The Intertemporal Relation between Expected Return and Risk on Currency
    by Turan Bali & Kamil Yilmaz
  • 2009 Maturity, Indebtedness, and Default Risk
    by Satyajit Chatterjee & Burcu Eyigungor
  • 2009 Determinants of government bond spreads in the Euro area – in good times as in bad
    by Christian Aßmann & Jens Hogrefe
  • 2009 Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations
    by Thomas Lux & Leonardo Morales-Arias
  • 2009 Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market
    by Thomas Lux
  • 2009 Arbitrage and Equilibrium with Portfolio Constraints
    by Bernard Cornet & Ramu Gopalan
  • 2009 Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market
    by Cheung, Stephen L. & Palan, Stefan
  • 2009 Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market
    by Cheung, Stephen L. & Palan, Stefan
  • 2009 Determinants of interest rate exposure of Spanish banking industry
    by Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer
  • 2009 Bubble or no Bubble - The Impact of Market Model on the Formation of Price Bubbles in Experimental Asset Markets
    by Michael Kirchler & J?rgen Huber & Thomas St?ckl
  • 2009 Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach
    by Jianying Qiu & Prashanth Mahagaonkar
  • 2009 Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II
    by Jens Fricke & Ralf Pauly
  • 2009 Common Trends and Common Cycles among Interest Rates of the G7-Countries
    by Nannette Lindenberg & Frank Westermann
  • 2009 Ecological Discounting
    by Gollier, Christian
  • 2009 Dynamics of Biofuel Stock Prices: A Bayesian Approach
    by Xiaodong Du & Dermot J. Hayes & Cindy L. Yu
  • 2009 Representations for optimal stopping under dynamic monetary utility functionals
    by Volker Krätschmer & John Schoenmakers
  • 2009 Shape invariant modelling pricing kernels and risk aversion
    by Maria Grith & Wolfgang Härdle & Juhyun Park
  • 2009 CDO and HAC
    by Barbara Choroś & Wolfgang Härdle & Ostap Okhrin
  • 2009 A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    by Ji Cao & Wolfgang Härdle & Julius Mungo
  • 2009 CDO Pricing with Copulae
    by Barbara Choros & Wolfgang Härdle & Ostap Okhrin
  • 2009 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
    by Kiyotaka Nakashima & Makoto Saito
  • 2009 Information Loss in Volatility Measurement with Flat Price Trading
    by Peter C. B. Phillips & Jun Yu
  • 2009 International Interest-Rate Risk Premia in Affine Term Structure Models
    by Felix Geiger
  • 2009 A Structural Investigation into the Price and Wage Dynamics in Hong Kong
    by Michael Cheng & Wai-Yip Alex Ho
  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Hara, Chiaki
  • 2009 What factors affect the Oslo Stock Exchange?
    by Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne
  • 2009 Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
    by Naes, Randi & Ødegaard, Bernt Arne
  • 2009 Oil Price Shocks and Stock Return Predictability
    by Sørensen, Lars Qvigstad
  • 2009 A Model of Deferred Callability in Defaultable Debt
    by Mjøs, Aksel & Persson, Svein-Arne
  • 2009 Dynamics in Systematic Liquidity
    by Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger
  • 2009 Introducing a spread into the Kyle model
    by Salomonsson, Marcus
  • 2009 Asian Sovereign Debt and Country Risk
    by Johansson, Anders C.
  • 2009 What Moves Bond Yields In China?
    by Fan, Longzhen & Johansson, Anders C.
  • 2009 Stock returns in relation to environmental, social and governance performance: mispricing or compensation for risk?
    by Manescu, Cristiana
  • 2009 The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area
    by Becchetti , Leonardo & Carpentieri , Andrea & Hasan, Iftekhar
  • 2009 Noncausal vector autoregression
    by Lanne, Markku & Saikkonen, Pentti
  • 2009 Stock return seasonalities and investor structure: Evidence from China's B-share markets
    by Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L.
  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
  • 2009 Trader see, trader do: How do (small) FX traders react to large counterparties' trades?
    by Menkhoff, Lukas & Schmeling, Maik
  • 2009 The Goods and Services Tax (GST) and Non-Bank Lender Mortgage Costs: Empirical Evidence
    by Allen Huang & Benjamin Liu
  • 2009 The Goods and Services Tax (GST) and Bank Mortgage Costs: Empirical Evidence
    by Allen Huang & Benjamin Liu
  • 2009 How does European Integration affect the European Stock Markets?
    by Burcu Erdogan
  • 2009 An Empirical Investigation of the Lucas Hypothesis: the Yield Curve and on Linearity in the Money-Output Relationship
    by Matteo Modena
  • 2009 Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years
    by Giulio Cifarelli & Giovanna Paladino
  • 2009 What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?
    by Nicole Branger & Holger Kraft & Christoph Meinerding
  • 2009 Cointegração e Causalidade entre Indicadores Macroeconômicos e Índice Bovespa
    by Mário Bertella & Roseli da Silva & Renan Pereira
  • 2009 Empirical Risk Factors in Realized Stock Returns
    by Jiri Novak & Dalibor Petr
  • 2009 Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds
    by Linnéa Lundberg & Jiri Novak & Maria Vikman
  • 2009 Determinants of intra-euro area government bond spreads during the financial crisis
    by Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer
  • 2009 Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy
    by Andreas Ziegler & Timo Busch & Volker H. Hoffmann
  • 2009 Sorting out Downside Beta
    by Post, G.T. & van Vliet, P. & Lansdorp, S.D.
  • 2009 Forecasting Realized Volatility with Linear and Nonlinear Models
    by McAleer, M.J. & Medeiros, M.C.
  • 2009 Predicting Betas: Two new methods
    by Tusell Palmer, Fernando Jorge & Esteban González, María Victoria
  • 2009 Endogenous technological progress and the cross section of stock returns
    by Xiaoji Lin
  • 2009 Does beta move with news?: Systematic risk and firm-specific information flows
    by Andrew J. Patton & Michela Verardo
  • 2009 The lifecycle of the financial sector and other speculative industries
    by Bruno Biais & Jean-Charles Rochet & Paul Woolley
  • 2009 Understanding portfolio efficiency with conditioning information
    by Francisco Peñaranda
  • 2009 The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds
    by Stuart Landon
  • 2009 Corporate Equality and Equity Prices: Doing Well While Doing Good?
    by Shihe Fu & Liwei Shan
  • 2009 Default Risk, Idiosyncratic Coskewness and Equity Returns
    by Chabi-Yo, Fousseni & Yang, Jun
  • 2009 Expected Returns and Volatility of Fama-French Factors
    by Chabi-Yo, Fousseni
  • 2009 The equity premium in 150 textbooks
    by Fernandez, Pablo
  • 2009 Shareholder value creators in the Dow Jones: Year 2008
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2009 Beta = 1 does a better job than calculated betas
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 Betas utilizadas por directivos y profesores europeos en 2009
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 La prima de riesgo del mercado según 100 Libros
    by Fernandez, Pablo
  • 2009 Betas used by professors: A survey with 2,500 answers
    by Fernandez, Pablo
  • 2009 The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy
    by Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich
  • 2009 17 problemas de finanzas básicas resueltos y 307 respuestas erróneas
    by Fernandez, Pablo
  • 2009 Rentabilidad de los fondos de pensiones en España. 1991-2008
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 Rentabilidad y creación de valor de 136 empresas españolas en el primer semestre de 2009 y en 2008
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 100 questions on finance
    by Fernandez, Pablo
  • 2009 Can corporate social responsibility help us understand the credit crisis?
    by Argandoña, Antonio
  • 2009 Rentabilidad de los fondos de inversión en España. 1991-2008
    by Fernandez, Pablo & Bermejo, Vicente
  • 2009 IBEX 35: 1991-2008. Rentabilidad y creación de valor
    by Fernandez, Pablo
  • 2009 The valuation of tax shields induced by asset step-ups in corporate acquisitions
    by Groh, Alexander P. & Henseleit, Christoph
  • 2009 Market risk premium used in 2008: A survey of more than a 1,000 professors
    by Fernandez, Pablo
  • 2009 Liquidity cycles and make/take fees in electronic markets
    by Foucault, Thierry & Kadan, Ohad & Kandel, Eugene
  • 2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
    by Peter C. B. Phillips & Jun Yu
  • 2009 Financial Leverage and Market Volatility with Diverse Beliefs
    by Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu
  • 2009 Time-Varying Currency Betas : Evidence from Developed and Emerging Markets
    by Prabhath Jayasinghe & Albert K. Tsui
  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2009 Pricing of the Time-Change Risks
    by Ivan Shaliastovich & George Tauchen
  • 2009 Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models
    by Sabrina Khanniche
  • 2009 Regulatory versus Informational Value of Bond Ratings: Hints from History ..
    by Ludovic Moreau
  • 2009 Media Bias in Financial Newspapers: Evidence from Early 20th Century France
    by Vincent Bignon & Antonio Miscio
  • 2009 The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis
    by Michel Aglietta & Ludovic Moreau & Adrian Roche
  • 2009 The dynamics of U.S. equity risk premia: lessons from professionals'view
    by Alain Abou & Georges Prat
  • 2009 The European used-car market at a glance: Hedonic resale price valuation in automotive leasing industry
    by Sylvain Prado
  • 2009 Fundamentals, Macroeconomic Announcements and Asset Prices
    by Aymen Belgacem
  • 2009 How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach
    by Joscha Beckmann & Ansgar Belke & Michael Kühl
  • 2009 How Does European Integration Affect the European Stock Markets?
    by Burcu Erdogan
  • 2009 How Does European Integration Affect the European Stock Markets?
    by Burcu Erdogan
  • 2009 Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model
    by Falko Juessen & Ludger Linnemann & Andreas Schabert
  • 2009 Back to Basics in Banking? A Micro-Analysis of Banking System Stability
    by De Jonghe, O.G.
  • 2009 Sovereign Risk in International Bond Markets and Nonconvergence
    by Volker Böhm & George Vachadze
  • 2009 Strategic beliefs
    by Napp, Clotilde & Jouini, Elyès
  • 2009 Volatility as an Asset Class for Long-Term Investors
    by Burgues, Alexander & Signori, Ombretta & Brière, Marie
  • 2009 Do Inflation-Linked Bonds Still Diversify ?
    by Brière, Marie & Signori, Ombretta
  • 2009 Corporate Finance: The Role of the Private Equity Funds in Restructuring of the Economic Productive Tissue
    by Benslimane, Sonia & Poix, Michel
  • 2009 Unbiased Disagreement and the Efficient Market Hypothesis
    by Jouini, Elyès & Napp, Clotilde
  • 2009 How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?
    by Platten, Isabelle & Gresse, Carole & De Winne, Rudy
  • 2009 Titrisation : analyse économique et financière
    by Simon, Yves & Lautier, Delphine
  • 2009 Quantifying the Distortionary Fiscal Cost of ‘The Bailout’
    by Francisco Gomes & Alexander Michaelides & Valery Polkovnichenko
  • 2009 Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates
    by J. Doyne Farmer & John Geanakoplos
  • 2009 The Leverage Cycle
    by John Geanakoplos
  • 2009 The Leverage Cycle
    by John Geanakoplos
  • 2009 Market Valuation of Accrued Social Security Benefits
    by John Geanakoplos & Stephen P. Zeldes
  • 2009 Understanding Inflation-Indexed Bond Markets
    by John Y. Campbell & Robert J. Shiller & Luis M. Viceira
  • 2009 Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
    by Jianping Mei & Jose A. Scheinkman & Wei Xiong
  • 2009 Real Options Theory for Law Makers
    by Bruno Deffains & Marie Obidzinski
  • 2009 Consistent estimation of the risk-return tradeoff in the presence of measurement error
    by Anisha Ghosh & Oliver Linton
  • 2009 A nonparametric copula based test for conditional independence with applications to granger causality
    by Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti
  • 2009 Two-sided career concern and financial equilibrium
    by Yolanda Portilla
  • 2009 Volatility and covariation of financial assets: a high-frequency analysis
    by Alvaro Cartea & Dimitrios Karyampas
  • 2009 The relationship between the volatility of returns and the number of jumps in financial markets
    by Alvaro Cartea & Dimitrios Karyampas
  • 2009 Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs
    by Sergio Mayordomo & Juan Ignacio Peña & Juan Romo
  • 2009 Behavioral Heterogeneity in the Option Market
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 Behavioral Heterogeneity in the Option Market
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 Behavioral Heterogeneity in the Option Market
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 Directional and non-directional risk exposures in Hedge Fund returns
    by Marie Lambert & George Hübner & Marie Lambert
  • 2009 Directional and non-directional risk exposures in Hedge Fund returns
    by Marie Lambert & George Hübner & Marie Lambert
  • 2009 Directional and non-directional risk exposures in Hedge Fund returns
    by Marie Lambert & George Hübner & Marie Lambert
  • 2009 A Cumulative Prospect Theory Approach to Option Pricing
    by Christian Wolff & Thorsten Lehnert & Cokki Versluis
  • 2009 A Cumulative Prospect Theory Approach to Option Pricing
    by Christian Wolff & Thorsten Lehnert & Cokki Versluis
  • 2009 A Cumulative Prospect Theory Approach to Option Pricing
    by Christian Wolff & Thorsten Lehnert & Cokki Versluis
  • 2009 The Other January Effect: International Evidence
    by Martin T. Bohl & Christian A. Salm
  • 2009 Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets
    by Martin T. Bohl & Michael Schuppli & Pierre L. Siklos
  • 2009 A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada
    by Tino Berger & Bernd Kempa
  • 2009 Identification of speculative bubbles using state-space models with Markov-switching
    by Nael Al-Anaswah & Bernd Wilfling
  • 2009 Asset fire sales and purchases and the international transmission of financial shocks
    by Jotikasthira, Chotibhak & Lundblad, Christian T. & Ramadorai, Tarun
  • 2009 Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
    by Albuquerque, Rui
  • 2009 Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
    by Beber, Alessandro & Pagano, Marco
  • 2009 Liquidity cycles and make/take fees in electronic markets
    by Foucault, Thierry & Kadan, Ohad & Kandel, Eugene
  • 2009 Dynamic Trading and Asset Prices: Keynes vs. Hayek
    by Cespa, Giovanni & Vives, Xavier
  • 2009 Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis
    by Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido
  • 2009 Internal Rationality and Asset Prices
    by Adam, Klaus & Marcet, Albert
  • 2009 Equilibrium Prices in the Presence of Delegated Portfolio Management
    by Cuoco, Domenico & Kaniel, Ron
  • 2009 When Everyone Runs for the Exit
    by Pedersen, Lasse Heje
  • 2009 Disasters implied by equity index options
    by Backus, David & Chernov, Mikhail & Martin, Ian
  • 2009 Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
    by Basak, Suleyman & Yan, Hongjun
  • 2009 Dynamic Trading with Predictable Returns and Transaction Costs
    by Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje
  • 2009 Quantifying private benefits of control from a structural model of block trades
    by Albuquerque, Rui & Schroth, Enrique
  • 2009 Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed
    by Campbell, Rachel & Graddy, Kathryn & Hamilton, Jonathan
  • 2009 Monetary Policy Inertia: More a Fiction than a fact?
    by Consolo, Agostino & Favero, Carlo A.
  • 2009 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
    by Acharya, Viral V. & Lochstoer, Lars & Ramadorai, Tarun
  • 2009 The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    by Smith, Peter N & Sorensen, Steffen & Wickens, Michael R.
  • 2009 Testing Asymmetric-Information Asset Pricing Models
    by Kelly, Bryan & Ljungqvist, Alexander P.
  • 2009 Incomplete-Market Equilibria Solved Recursively on an Event Tree
    by Dumas, Bernard J & Lyasoff, Andrew
  • 2009 Rollover Risk and Market Freezes
    by Acharya, Viral V. & Gale, Douglas M & Yorulmazer, Tanju
  • 2009 Discounting investments in mitigation and adaptation: a dynamic stochastic general equilibrium approach of climate change
    by Rob Aalbers
  • 2009 Stock prices, anticipations and investment in general equilibrium
    by DREZE, Jacques H. & LACHIRI, Oussama & MINELLI, Enrico
  • 2009 A nonparametric copula based test for conditional independence with applications to Granger causality
    by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim
  • 2009 Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
    by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai
  • 2009 Option-Implied Measures of Equity Risk
    by Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg
  • 2009 Option Valuation with Conditional Heteroskedasticity and Non-Normality
    by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs
  • 2009 A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    by Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti
  • 2009 Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
    by René Garcia & Richard Luger
  • 2009 Long-Term Asset Price Volatility and Macroeconomics Fluctations
    by Miguel Angel Iraola & Manuel S. Santos
  • 2009 Money and Liquidity in Financial Markets
    by Kjell G. NYBORG & Per OSTBERG
  • 2009 Microinformation, Nonlinear Filtering and Granularity
    by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT
  • 2009 Realizing Smiles: Pricing Options with Realized Volatility
    by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA
  • 2009 How Should the Distant Future be Discounted when Discount Rates are Uncertain?
    by Christian Gollier & Martin L. Weitzman
  • 2009 Dynamic Trading and Asset Prices: Keynes vs. Hayek
    by Giovanni Cespa & Xavier Vives
  • 2009 On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries
    by Mohamed El hedi Arouri & Christophe Rault
  • 2009 Tax-Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive
    by Thomas Hemmelgarn & Gaëtan J.A. Nicodème
  • 2009 Application of Stochastic Optimal Control to Financial Market Debt Crises
    by Jerome L. Stein
  • 2009 Common Trends and Common Cycles among Interest Rates of the G7-Countries
    by Nannette Lindenberg & Frank Westermann
  • 2009 Size and Value Efects in the Visegrad Countries
    by Magdalena Morgese Borys & Petr Zemcik
  • 2009 Housing Markets in Central and Eastern Europe: Is There a Bubble in the Czech Republic?
    by Petr Zemcik
  • 2009 Can Optimism about Technology Stocks Be Good for Welfare? Positive Spillovers vs. Equity Market Losses
    by Katrin Tinn & Evangelia Vourvachaki
  • 2009 An Options Pricing Approach for CO2 Allowances in the EU ETS
    by Beat Hintermann
  • 2009 Allowance Price Drivers in the First Phase of the EU ETS
    by Beat Hintermann
  • 2009 Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions
    by Ping Zhang
  • 2009 Can behavioral finance models account for historical asset prices?
    by ap Gwilym, Rhys
  • 2009 A Theory of Banks, Bonds, and the Distribution of Firm Size
    by Diego Valderrama & Katheryn N. Russ
  • 2009 Admissible strategies in semimartingale portfolio selection
    by Sara Biagini & Ales Cerny
  • 2009 Bayesian Extreme Value Mixture Modelling for Estimating VaR
    by Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley
  • 2009 Extreme Value GARCH modelling with Bayesian Inference
    by Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao
  • 2009 Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach
    by Jianying Qiu & Prashanth Mahagaonkar
  • 2009 Convertible Bonds: Default Risk and Uncertain Volatility
    by Haishi Huang
  • 2009 Convertible Bonds: Risks and Optimal Strategies
    by Haishi Huang
  • 2009 Benchmark bonds interactions under regime shifts
    by Dimitris A. Georgoutsos & Petros M. Migiakis
  • 2009 What factors affect the Oslo Stock Exchange?
    by Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard
  • 2009 Exercise Strategies for American Exotic Options under Ambiguity
    by Tatjana Chudjakow & Jörg Vorbrink
  • 2009 Consumption-Wealth Ratio and Housing Prices
    by Dubecq, S. & Ghattassi, I.
  • 2009 Frequency-domain analysis of debt service in a macro-finance model for the euro area
    by Renne, J-P.
  • 2009 Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy
    by Dubecq, S. & Mojon, B. & Ragot, X.
  • 2009 La TVA sociale : bonne ou mauvaise idée ?
    by Fève, P. & Matheron, J. & Sahuc, J-G.
  • 2009 No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
    by Jardet, C. & Monfort, A. & Pegoraro, F.
  • 2009 A Model of a Systemic Bank Run
    by Harald Uhlig
  • 2009 High and Low Frequency Correlations in Global Equity Markets
    by Robert F. Engle & José Gonzalo Rangel
  • 2009 The Factor-Spline-GARCH Model for High and Low Frequency Correlations
    by Jose Gonzalo Rangel & Robert F. Engle
  • 2009 Assessing the risk-return trade-off in loans portfolios
    by Javier Mencía
  • 2009 Extraction of financial market expectations about inflation and interest rates from a liquid market
    by Ricardo Gimeno & José Manuel Marqués
  • 2009 Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap
  • 2009 Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
    by Alejandro García & Andrei Prokopiw
  • 2009 Asset Bubbles without Dividends - An Experiment
    by Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin
  • 2009 Efficience informationnelle des marchés de l’or à Paris et à Londres, 1948-2008. Une vérification économétrique de la forme faible
    by Thi Hong Van Hoang
  • 2009 A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)
    by David Le Bris & Pierre-Cyrille Hautcoeur
  • 2009 Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
    by Christian M. Dahl & Emma M. Iglesias
  • 2009 Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
    by Jesper Rangvid & Maik Schmeling & Andreas Schrimpf
  • 2009 Realized Volatility and Multipower Variation
    by Torben G. Andersen & Viktor Todorov
  • 2009 The dividend-price ratio does predict dividend growth: International evidence
    by Tom Engsted & Thomas Q. Pedersen
  • 2009 The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
    by Peter Christoffersen & Steven Heston & Kris Jacobs
  • 2009 Option Valuation with Conditional Heteroskedasticity and Non-Normality
    by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs
  • 2009 Long Memory and Tail dependence in Trading Volume and Volatility
    by Eduardo Rossi & Paolo Santucci de Magistris
  • 2009 Tails, Fears and Risk Premia
    by Tim Bollerslev & Viktor Todorov
  • 2009 A Meta-Distribution for Non-Stationary Samples
    by Dominique Guégan
  • 2009 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
    by Dennis Kristensen & Antonio Mele
  • 2009 Jump Testing and the Speed of Market Adjustment
    by Torben B. Rasmussen
  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2009 New thoughts on efficient markets
    by Helena NAFFA
  • 2009 Hétérogénéité des croyances et équilibre des marchés financiers
    by Ben Mansour Kharraz, Selima
  • 2009 Should we Discount the Far-Distant Future at its Lowest Possible Rate?
    by Gollier, Christian
  • 2009 Capm With Information Cost
    by Hachicha NIZAR
  • 2009 Case Study Regarding The Co-Integration Of The Financial Derivates With Their Underlying Assets
    by Laura STEFANESCU
  • 2009 Macroeconomic Conditions And Credit Spreads
    by Tarek CHEBBI & Slaheddine HELLARA
  • 2009 The Analysis Of The Per Effect In The Financial Markets Of Ceec
    by Lucian BRICIU & Daniel GOYEAU & Sophie NIVOIX
  • 2009 Foreign Institutional Investor'S Impact On Stock Prices In India
    by Anand Bansal & J.S. Pasricha
  • 2009 The Performance of Actively and Passively Managed Swiss Equity Funds
    by Manuel Ammann & Michael Steiner
  • 2009 Financing Community Facilities: A Case Study Of The Parks And Recreational General Obligation Bond Measure Of San Jose, California
    by Shishir MATHUR
  • 2009 Capital investments in options contracts and straddle contracts
    by BOTEZATU Mihai
  • 2009 Comparable investment capital
    by Mihai BOTEZATU
  • 2009 The promotion of renewable energy sources: European experiences and steps forward
    by Andreea ZAMFIR
  • 2009 Empirical Study On The Performances Of Black-Scholes Model For Evaluating European Options
    by Vasile, Emilia & Armeanu, Dan
  • 2009 Economists’ hubris – the case of asset pricing
    by Shojai, Shahin & Feiger, George
  • 2009 Speculative Bubbles and Overreaction to Technological Innovation
    by Lansing, Kevin
  • 2009 Euler Equation Errors
    by Martin Lettau & Sydney Ludvigson
  • 2009 Asset Prices and Business Cycles under Market Incompleteness
    by Eva Carceles-Poveda
  • 2009 Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico
    by Lourdes Trevino
  • 2009 The Financial Indicators Leading Real Economic Activity - the Case of Poland
    by Szymon Grabowski
  • 2009 Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
    by Umberto Triacca
  • 2009 Some Essential Notes on Estimation of Multidimensional Business Values for Decision-making about Purchase and Sale
    by Miloš Mařík
  • 2009 Measuring market risk using extreme value theory
    by Jose Oliver Q. Suaiso & Dennis S. Mapa
  • 2009 Role Of Information In Adoption Of Investment Decisions On Capital Market
    by Barna Flavia & Danuletiu Adina Elena & Mura Petru Ovidiu
  • 2009 The Effects Of The Energy To Ecosystem And Risk Management Solution For Covering The Potential Losses
    by GAVRILETEA MARIUS DAN & GAVRILETEA MIHAELA IOANA
  • 2009 Developments in sovereign bond issuance in the Central and Eastern European region after the Lehman collapse
    by Norbert Kiss M. & István Mák
  • 2009 Hungarian sovereign credit risk premium in international comparison during the financial crisis
    by Lóránt Varga
  • 2009 An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns
    by Arshad Hasan & M. Tariq Javed
  • 2009 2002 German Federal Elections and Associated Energy Policy: How Were Energy Corporations Financially Affected?
    by Ulrich Oberndorfer & Andreas Ziegler
  • 2009 The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin's Forgone Bail-out
    by Alexander Schulz & Guntram B. Wolff
  • 2009 La Economía Financiera Frente a la Crisis
    by Felipe Zurita
  • 2009 Strategic Trading in Multiple Assets and the Effects on Market Volatiliy
    by Chenghuan Sean Chu & Andreas Lehnert & Wayne Passmore
  • 2009 When Everyone Runs for the Exit
    by Lasse Pedersen
  • 2009 The relationship between risk and expected returns with incomplete information
    by Germán López & Joaquín Marhuenda & Belén Nieto
  • 2009 Opportunity Cost, Excess Profit, and Counterfactual Conditionals
    by Carlo Alberto Magni
  • 2009 Computational Efficiency and Accuracy in the Valuation of Basket Options
    by Pengguo Wang
  • 2009 Financial Spillovers to Emerging Markets during the Global Financial Crisis
    by Nathaniel Frank & Heiko Hesse
  • 2009 Global and Local Sources of Risk in Eastern European Emerging Stock Markets
    by Elena Fedorova & Mika Vaihekoski
  • 2009 Market volatility across countries – evidence from international markets
    by Sabur Mollah & Asma Mobarek
  • 2009 Price volatility forecasts for agricultural commodities:an application of volatility models,option implieds and composite approaches forfutures prices of corn and wheat
    by Benavides, Guillermo
  • 2009 Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media
    by García de la Vega, Víctor Manuel & Ruiz Porras, Antonio
  • 2009 Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach
    by Zhu, Jie
  • 2009 Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004
    by Michailidis, G.
  • 2009 Pricing Foreign Equity Options with Stochastic Correlation and Volatility
    by Jun Ma
  • 2009 Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
    by Jianping Mei & Jose A. Scheinkman & Wei Xiong
  • 2009 Real Options Theory for Law Makers
    by Bruno Deffains & Marie Obidzinski
  • 2009 Un modèle de prix de l'immobilier pour estimer l'ampleur de la bulle américaine
    by Stéphane Sorbe
  • 2009 Influence de la notation éthique sur l'évolution du prix des actions. Un modèle théorique
    by Denis Dupré & Isabelle Girerd-Potin & Sonia Jimenez-Garces & Pascal Louvet
  • 2009 The cost of equity for global banks: a CAPM perspective from 1990 to 2009
    by Michael R King
  • 2009 An Empirical Analysis of Short Term Interest Rate Models for Turkey
    by Hasan Sahin & Ismail H. Genç
  • 2009 Financial Crises: Theory and Evidence
    by Franklin Allen & Ana Babus & Elena Carletti
  • 2009 The Term Structure of Interest Rates
    by Robert A. Jarrow
  • 2009 Credit Risk Models
    by Robert A. Jarrow
  • 2009 Learning in Financial Markets
    by Lubos Pastor & Pietro Veronesi
  • 2009 Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
    by Yacine A�t-Sahalia
  • 2009 Volatility Derivatives
    by Peter Carr & Roger Lee
  • 2009 Financial Contagion And Investors Behavior
    by George Horia Ionescu & Dragos Mihai Ungureanu & Ruxandra Dana Vilag & Florian Bogdan Stoian
  • 2009 Testing Capital Asset Pricing Model For Romanian Capital Market
    by Alina Lucia Trifan
  • 2009 Testing The Efficiency Market Hypothesis For The Romanian Stock Market
    by Bogdan Dima & Laura Raisa Milos
  • 2009 Operational risk in banking - card fraud
    by Ioan TRENCA & Daniela BOJAN
  • 2009 Mezzanine finance and corporate bonds
    by Libena TETREVOVA
  • 2009 Weaknesses in the regulatory policy of financial derivatives instruments and their impact on international financial crisis
    by Jenica POPESCU & Dorina POANTA
  • 2009 A Multivariate Analysis of Factors Affecting Stock Returns on the JSE
    by Artwell Chimanga & Danelle Kotze
  • 2009 Stock Market Integration: A South African Perspective
    by Alain Kabundi & Idriss Mouchili
  • 2009 The U.S. Equity Return Premium: Past, Present, and Future
    by J. Bradford DeLong & Konstantin Magin
  • 2009 Technological Revolutions and Stock Prices
    by Luboš Pástor & Pietro Veronesi
  • 2009 Tax Changes and Asset Pricing
    by Clemens Sialm
  • 2009 Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
    by Francis A. Longstaff
  • 2009 Economic Catastrophe Bonds
    by Joshua D. Coval & Jakub W. Jurek & Erik Stafford
  • 2008 Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach
    by Cathy Ning & Tony S. Wirjanto
  • 2008 The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
    by Clive G. Bowsher & Roland Meeks
  • 2008 Uniform Price Auctions and Fixed Price Offerings in IPOs: An Experimental Comparison
    by Ping Zhang
  • 2008 Combination notes: market segmentation and equity transfer
    by Schaber, Albert
  • 2008 Combination notes: market segmentation and equity transfer
    by Schaber, Albert
  • 2008 Information Salience, Investor Sentiment, and Stock Returns: The Case of British Soccer Betting
    by Palomino, F.A. & Renneboog, L.D.R. & Zhang, C.
  • 2008 The Dutch Grey Market
    by Renneboog, L.D.R. & Spaenjers, C.
  • 2008 Les prix des instruments financiers dérivés, source de décision politique et stratégique
    by Lautier, Delphine
  • 2008 Les rehausseurs de crédit : anatomie d'une crise
    by Simon, Yves & Lautier, Delphine
  • 2008 Control-theoretic framework for a quasi-Newton local volatility surface inversion
    by Turinici, Gabriel
  • 2008 Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience
    by Jouini, Elyès & Napp, Clotilde & Nocetti, Diego
  • 2008 Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment
    by Aboura, Sofiane & Boucher, Christophe
  • 2008 Economic Properties of Recognized Intangibles under Domestic Accounting Standards: Evidence from European Capital Markets
    by Escaffre, Lionel & Ramond, Olivier & Casta, Jean-François
  • 2008 Uniform Price Auctions and Fixed Price Offerings in IPOs: An Experimental Comparison
    by Ping Zhang
  • 2008 Ödül beta yaklasımının Istanbul Menkul Kıymetler Borsası’nda uygulanması
    by Sezgin DEMİR & Yusuf KADERLİ
  • 2008 Türkiye’de devlet iç borçlanma senetlerinin günlük getirilerinde mevsimsellik ve koşullu risk
    by Macide ÇİÇEK
  • 2008 Behavioral research: What the theories say
    by Önder KAYMAZ & Ali ALP & Kaymaz ÖZGÜR
  • 2008 EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry
    by Oberndorfer, Ulrich
  • 2008 International Stock Return Predictability Under Model Uncertainty
    by Schrimpf, Andreas
  • 2008 Returns and Volatility of Eurozone Energy Stocks
    by Oberndorfer, Ulrich
  • 2008 Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung
    by Schosser, Josef
  • 2008 Quantitative forecast model for the application of the Black-Litterman approach
    by Becker, Franziska & Gürtler, Marc
  • 2008 Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?
    by Orlowski, Lucjan T.
  • 2008 A Data-Reconstructed Fractional Volatility Model
    by Mendes, Rui Vilela & Oliveira, Maria J.
  • 2008 Bewertung von Schiffsfonds: Brücke zwischen Theorie und Praxis
    by Küster Simic, André & von Duesterlho, Jens-Eric & Endert, Volker
  • 2008 Informationseffizienz von Handelsplattformen für Schiffsfonds
    by Küster Simic, André & Prigge, Stefan & Thönnessen, Rasmus
  • 2008 Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten
    by Küster Simic, André & Thönnessen, Rasmus
  • 2008 Foreign exchange symmetries
    by Wystup, Uwe
  • 2008 Latin hypercube sampling with dependence and applications in finance
    by Packham, Natalie & Schmidt, Wolfgang M.
  • 2008 FX basket options
    by Hakala, Jürgen & Wystup, Uwe
  • 2008 Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen
    by Weber, Andreas & Wystup, Uwe
  • 2008 Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen
    by Weber, Andreas & Wystup, Uwe
  • 2008 The diminishing liquidity premium
    by Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi
  • 2008 Pro-rata matching and one-tick futures markets
    by Field, Jonathan & Large, Jeremy
  • 2008 Insiders-outsiders, transparency and the value of the ticker
    by Cespa, Giovanni & Foucault, Thierry
  • 2008 Excess returns and the distinguished player paradox
    by Blonski, Matthias & von Lilienfeld-Toal, Ulf
  • 2008 Why and how to integrate liquidity risk into a VaR-framework
    by Stange, Sebastian & Kaserer, Christoph
  • 2008 Equilibrium security prices with capital income taxes and an exogenous interest rate
    by Rapp, Marc Steffen & Schwetzler, Bernhard
  • 2008 Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
    by Franke, Reiner
  • 2008 On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization
    by Franke, Reiner
  • 2008 A value at risk analysis of credit default swaps
    by Scheicher, Martin & Raunig, Burkhard
  • 2008 The pricing of correlated default risk: evidence from the credit derivatives market
    by Zhu, Haibin & Tarashev, Nikola A.
  • 2008 Market conditions, default risk and credit spreads
    by Tang, Dragon Yongjun & Yan, Hong
  • 2008 Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks
    by Memmel, Christoph
  • 2008 Sturm und Drang in money market funds: when money market funds cease to be narrow
    by Jank, Stephan & Wedow, Michael
  • 2008 The German sub-national government bond market: evolution, yields and liquidity
    by Schulz, Alexander & Wolff, Guntram B.
  • 2008 Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen
    by Fochmann, Martin & Rumpf, Dominik
  • 2008 Should Benchmark Indices Have Alpha? Revisiting Performance
    by Martijn Cremers & Antti Petajisto & Eric Zitzewitz
  • 2008 Pension Funds And Capital Market Development:How Much Bang For The Buck?
    by Raddatz, Claudio & Schmukler, Sergio L.
  • 2008 Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs
    by Sergiy Gerasymchuk
  • 2008 The Structure of Equilibrium in an Asset Market with Variable Supply
    by Manfred Nermuth
  • 2008 Italian Equity Funds: Efficiency and Performance Persistence
    by Loriana Pelizzon & Roberto Casarin & Andrea Piva
  • 2008 Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    by Loriana Pelizzon & Monica Billio & Mila Getmansky
  • 2008 Crisis and Hedge Fund Risk
    by Loriana Pelizzon & Monica Billio & Mila Getmansky
  • 2008 Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach
    by Benjamin Eden
  • 2008 Exchange Options Under Jump-Diffusion Dynamics
    by Gerald H. L. Cheang & Carl Chiarella
  • 2008 Heterogeneity, Bounded Rationality and Market Dysfunctionality
    by Xue-Zhong He & Lei Shi
  • 2008 Hedge Portfolios in Markets with Price Discontinuities
    by Gerald H.L. Cheang & Carl Chiarella
  • 2008 Hedging for the Long Run
    by Eckhard Platen & Hardy Hulley
  • 2008 Insights into the Market Impact of Different Investment Styles
    by Ron Bird & Lorenzo Casavecchia & Paul Woolley
  • 2008 Why Disagreement May Not Matter (much) for Asset Prices
    by Paul Söderlind
  • 2008 Predicting the Presidential Election Cycle in US Stock Prices: Guinea Pigs versus the Pros
    by Manfred Gärtner
  • 2008 Betting on Hitler: The value of political connections in Nazi Germany
    by Joachim Voth & Thomas Ferguson
  • 2008 Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
    by Francisco Peñaranda & Enrique Sentana
  • 2008 A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
    by Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives
  • 2008 Employee Satisfaction, Firm Value and Firm Productivity
    by Roger Best
  • 2008 On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts
    by John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo
  • 2008 Do Structural Oil-Market Shocks Affect Stock Prices?
    by Nicholas Apergis & Stephen M. Miller
  • 2008 Does Volatility matter? Expectations of price return and variability in an asset pricing experiment
    by Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto
  • 2008 Forecasting Realized Volatility: A Bayesian Model Averaging Approach
    by Chun Liu & John M Maheu
  • 2008 Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices
    by John C. Frain
  • 2008 A New Perspective on the Relationship Between House Prices and Income
    by Quan Gan & Robert J. Hill
  • 2008 A dynamic equilibrium of imperfectly integrated financial markets
    by Stéphane Guibaud & Nicolas Coeurdacier
  • 2008 Bourse et Football
    by Michel Aglietta & Wladimir Andreff & Bastien Drut
  • 2008 Volatility Exposure for Strategic Asset Allocation
    by Marie Briere & Alexandre Burgues & Ombretta Signori
  • 2008 Does FOMC News Increase Global FX Trading?
    by Andreas M. Fischer & Angelo Ranaldo
  • 2008 A Semiparametric Stochastic Volatility Model
    by Jun Yu
  • 2008 Information Loss in Volatility Measurement with Flat Price Trading
    by Peter C.B.Phillips & Jun Yu
  • 2008 Dynamic Trading and Asset Prices: Keynes vs. Hayek
    by Giovanni Cespa & Xavier Vives
  • 2008 Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset-Price Bubble?
    by Lucjan T. Orlowski
  • 2008 Liquidity and Asset Prices
    by Raphael A. Espinoza & Dimitrios P. Tsomocos
  • 2008 The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
    by Clive Bowsher & Roland Meeks
  • 2008 An analytically tractable time-changed jump-diffusion default intensity model
    by Naoufel El-Bachir & Damiano Brigo
  • 2008 A Term Structure Decomposition of the Australian Yield Curve
    by Richard Finlay & Mark Chambers
  • 2008 Momentum in Australian Stock Returns: An Update
    by A. S. Hurn & V.Pavlov
  • 2008 Insiders-Outsiders, Transparency and the Value of the Ticker
    by Giovanni Cespa & Thierry Foucault
  • 2008 The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities
    by Nazim Belhocine
  • 2008 Statistical Arbitrage with Default and Collateral
    by José Fajardo & Ana Lacerda
  • 2008 Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds
    by Landon, Stuart & Smith, Constance
  • 2008 A Non-Random Walk down Canary Wharf
    by Canegrati, Emanuele
  • 2008 The term structure and the expectations hypothesis: a threshold model
    by Modena, Matteo
  • 2008 Capital Investment as Real Options: A Note on Dixit-Pindyck Model
    by Termos, Ali
  • 2008 Investment Model Uncertainty and Fair Pricing
    by Los, Cornelis A. & Tungsong, Satjaporn
  • 2008 Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns
    by Jiang, Danling
  • 2008 Parametrix approximations for non constant coefficient parabolic PDEs
    by Foschi, Paolo & Pieressa, Luca & Polidoro, Sergio
  • 2008 Potential dividends and actual cash flows. Theoretical and empirical reasons for using ‘actual’ and dismissing ‘potential’, Or: How not to pull potential rabbits out of actual hats
    by Vélez-Pareja, Ignacio & Magni, Carlo Alberto
  • 2008 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
    by Schied, Alexander & Schoeneborn, Torsten
  • 2008 Closed-Form Approximations for Spread Option Prices and Greeks
    by Li, Minqiang
  • 2008 Yield to Maturity Is Always Realized as Promised: A Reply
    by Cebula, Richard & Yang, Bill
  • 2008 Centre Rules the Markets
    by Alves, Paulo & Ferreira, Miguel
  • 2008 Yield to Maturity Is Always Received as Promised: A Reply
    by Cebula, Richard & Yang, Bill
  • 2008 Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006
    by Pasaribu, Rowland Bismark Fernando
  • 2008 Approximating correlated defaults
    by Rosenthal, Dale W.R.
  • 2008 Using sentiment surveys to predict GDP growth and stock returns
    by Guzman, Giselle C.
  • 2008 Using sentiment to predict GDP growth and stock returns
    by Guzman, Giselle C.
  • 2008 Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca
    by Abderrazik, Amal & Boutkardine, Mehdi & El Bahi, Nour El Houda & Kartoubi, Salah Eddine & El Bouhadi, Abdelhamid
  • 2008 Sur-réaction sur le marché tunisien des actions : une investigation empirique
    by Trabelsi, Mohamed Ali
  • 2008 The Logic of Merger and Acquisition Pricing
    by Lenz, Rainer
  • 2008 Peut-on encore parler des mesures de performance ?
    by Trabelsi, Mohamed Ali
  • 2008 Changes in REIT liquidity 1988 - 2007: Evidence from daily data
    by Cannon, Susanne E. & Cole, Rebel A.
  • 2008 Stock returns and foreign investment in Brazil
    by Reis, Luciana & Meurer, Roberto & Da Silva, Sergio
  • 2008 Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
    by Bianchetti, Marco
  • 2008 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
    by Bianchi, Francesco
  • 2008 Price informativeness and predictability: how liquidity can help
    by Lin, William & Tsai, Shih-Chuan & Sun, David
  • 2008 Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
    by El Bouhadi, A. & Ounir, A. & El Maguiri, M.
  • 2008 Pricing of Double Barrier Options by Spectral Theory
    by Dell'Era Mario, M.D.
  • 2008 Pricing of the European Options by Spectral Theory
    by Dell'Era Mario, M.D.
  • 2008 Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case
    by Albulescu, Claudiu Tiberiu
  • 2008 Gambling Preference and the New Year Effect of Assets with Lottery Features
    by Doran, James & Jiang, Danling & Peterson, David
  • 2008 Stock Futures Introduction & Its Impact on Indian Spot Market
    by Bhattacharyya, Surajit & Saxena, Arunima
  • 2008 Market Bubbles and Chrashes
    by Kaizoji, Taisei & Sornette, Didier
  • 2008 A non-parametric investigation of risk premia
    by Peroni, Chiara
  • 2008 Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
    by Klein, A. & Urbig, D. & Kirn, S.
  • 2008 Dynamic Regimes of a Multi-agent Stock Market Model
    by Yu, Tongkui & Li, Honggang
  • 2008 Indicators for the analysis of the evolution of the stock exchange
    by Alexandru, Ciprian Antoniade
  • 2008 Trust and Loss Aversion in Romanian Capital Market
    by Alexandru, Ciprian Antoniade
  • 2008 Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble?
    by Orlowski, Lucjan T
  • 2008 Information Exchange and the Limits of Arbitrage
    by Gray, Wesley
  • 2008 Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
    by Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu
  • 2008 S-shaped utility, subprime crash and the black swan
    by de Farias Neto, Joao Jose
  • 2008 Information Exchange and the Limits of Arbitrage
    by Gray, Wesley
  • 2008 Macro-finance VARs and bond risk premia: a caveat
    by Taboga, Marco
  • 2008 What does a financial system say about future economic growth?
    by Grabowski, Szymon
  • 2008 Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem
    by Lau, Chi-Lei Oscar
  • 2008 A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation
    by Li, Minqiang
  • 2008 Cash Flow-Wise ABCDS pricing
    by Penasse, Julien
  • 2008 Equilibrium asset prices and bubbles in a continuous time OLG model
    by Brito, Paulo
  • 2008 Splitting Up Value: A Critical Review of Residual Income Theories
    by Carlo Alberto, Magni
  • 2008 Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?
    by Balli, Faruk
  • 2008 Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns
    by Francois-Éric Racicot & Raymond Théoret
  • 2008 Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange
    by Attiya Y. Javid & Eatzaz Ahmad
  • 2008 Information, Liquidity, Asset Prices and Monetary Policy, Second Version
    by Benjamin Lester & Andrew Postlewaite & Randall Wright
  • 2008 Information, Liquidity and Asset Prices
    by Benjamin Lester & Andrew Postlewaite & Randall Wright
  • 2008 Liquidity and Asset Prices
    by Raphael A. Espinoza & Dimitrios P. Tsomocos
  • 2008 The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
    by Clive G. Bowsher & Roland Meeks
  • 2008 Incomplete-Market Equilibria Solved Recursively on an Event Tree
    by Bernard Dumas & Andrew Lyasoff
  • 2008 Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
    by Zhi Da & Pengjie Gao & Ravi Jagannathan
  • 2008 Mispricing of S&P 500 Index Options
    by George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis
  • 2008 Asset Pricing Tests with Long Run Risks in Consumption Growth
    by George M. Constantinides & Anisha Ghosh
  • 2008 Impossible Frontiers
    by Thomas J. Brennan & Andrew W. Lo
  • 2008 Price Momentum In Stocks: Insights From Victorian Age Data
    by Benjamin Chabot & Eric Ghysels & Ravi Jagannathan
  • 2008 Taxes on Tax-Exempt Bonds
    by Andrew Ang & Vineer Bhansali & Yuhang Xing
  • 2008 Carry Trades and Currency Crashes
    by Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen
  • 2008 What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
    by Amir E. Khandani & Andrew W. Lo
  • 2008 An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    by Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  • 2008 Realization Utility
    by Nicholas C. Barberis & Wei Xiong
  • 2008 The True Cost of Social Security
    by Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross
  • 2008 Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
    by Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst
  • 2008 Using Samples of Unequal Length in Generalized Method of Moments Estimation
    by Anthony W. Lynch & Jessica A. Wachter
  • 2008 Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
    by Jessica Wachter
  • 2008 A Model of Capital and Crises
    by Zhiguo He & Arvind Krishnamurthy
  • 2008 Costly Financial Intermediation in Neoclassical Growth Theory
    by Rajnish Mehra & Facundo Piguillem & Edward C. Prescott
  • 2008 Costly External Finance: Implications for Capital Markets Anomalies
    by Dongmei Li & Lu Zhang
  • 2008 Asset Management, Human Capital, and the Market for Risky Assets
    by Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin
  • 2008 The Burden of the Nondiversifiable Risk of Entrepreneurship
    by Robert E. Hall & Susan E. Woodward
  • 2008 Housing Supply and Housing Bubbles
    by Edward L. Glaeser & Joseph Gyourko & Albert Saiz
  • 2008 Short Sales and Trade Classification Algorithms
    by Paul Asquith & Rebecca Oman & Christopher Safaya
  • 2008 A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds
    by Joost Driessen & Tse-Chun Lin & Ludovic Phalippou
  • 2008 Common Risk Factors in Currency Markets
    by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan
  • 2008 Hedge Fund Contagion and Liquidity
    by Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz
  • 2008 Market Liquidity, Asset Prices and Welfare
    by Jennifer Huang & Jiang Wang
  • 2008 Inflation, Monetary Policy and Stock Market Conditions
    by Michael D. Bordo & Michael J. Dueker & David C. Wheelock
  • 2008 Liquidity and Market Crashes
    by Jennifer Huang & Jiang Wang
  • 2008 Do Funds-of-Funds Deserve Their Fees-on-Fees?
    by Andrew Ang & Matthew Rhodes-Kropf & Rui Zhao
  • 2008 Macroeconomic Crises since 1870
    by Robert J. Barro & José F. Ursúa
  • 2008 The Wealth-Consumption Ratio
    by Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan
  • 2008 Collateral Pricing
    by Efraim Benmelech & Nittai K. Bergman
  • 2008 Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
    by Bruce Lehmann
  • 2008 High Frequency Market Microstructure Noise Estimates and Liquidity Measures
    by Yacine Ait-Sahalia & Jialin Yu
  • 2008 Rare Disasters and Exchange Rates
    by Emmanuel Farhi & Xavier Gabaix
  • 2008 Predictive Systems: Living with Imperfect Predictors
    by Lubos Pastor & Robert F. Stambaugh
  • 2008 Do Hedge Funds Profit From Mutual-Fund Distress?
    by Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein
  • 2008 Catering Through Nominal Share Prices
    by Malcolm Baker & Robin Greenwood & Jeffrey Wurgler
  • 2008 High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
    by Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang
  • 2008 Footnotes Aren't Enough: The Impact of Pension Accounting on Stock Values
    by Julia Coronado & Olivia S. Mitchell & Steven A. Sharpe & S. Blake Nesbitt
  • 2008 Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance
    by Xavier Gabaix
  • 2008 It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication
    by Marek Rozkrut
  • 2008 Risk premiums and macroeconomic dynamics in a heterogeneous agent model
    by Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters
  • 2008 Testing Conditional Asset Pricing Models: An Emerging Market Perspective
    by Javed Iqbal & Robert Brooks & Don U.A. Galagedera
  • 2008 Efficient frontier for robust higher-order moment portfolio selection
    by Emmanuel F. Jurczenko & Bertrand Maillet & Paul M. Merlin
  • 2008 Relevancy of the cost-of-capital rate for the insurance companies
    by Mathieu Gatumel
  • 2008 Dynamic analysis of the insurance linked securities index
    by Mathieu Gatumel & Dominique Guegan
  • 2008 Non-stationarity and meta-distribution
    by Dominique Guegan
  • 2008 Decreasing absolute risk aversion : some clarification
    by Moez Abouda
  • 2008 Towards an understanding approach of the insurance linked securities market
    by Mathieu Gatumel & Dominique Guegan
  • 2008 Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market
    by Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel
  • 2008 Estimating yield curves from swap, BUBOR and FRA data
    by Zoltán Reppa
  • 2008 The forint interest rate swap market and the main drivers of swap spreads
    by Csaba Csávás & Lóránt Varga & Csaba Balogh
  • 2008 Tassi di interesse reali, rischio di lungo periodo e cicli economici
    by Giorgio PIZZUTTO
  • 2008 Rischio di lungo periodo e premio a termine
    by Giorgio PIZZUTTO
  • 2008 Seasonal Mackey-Glass-GARCH process and short-term dynamics
    by Catherine Kyrtsou & Michel Terraza
  • 2008 EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland
    by David Büttner & Bernd Hayo
  • 2008 Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
    by Kajuth, Florian & Watzka, Sebastian
  • 2008 Combination notes: market segmentation and equity transfer
    by Schaber, Albert
  • 2008 Einflussfaktoren auf den Credit Spread von Unternehmensanleihen
    by Gann, Philipp & Laut, Amelie
  • 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2008 Sentiment Dynamics and Stock Returns: The Case of the German Stock Market
    by Thomas Lux
  • 2008 A note on Arbitrage under Transaction Costs
    by Claas Prelle & Albrecht Irle
  • 2008 Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
    by Ruipeng Liu & Tiziana Di Matteo & Thomas Lux
  • 2008 Stochastic Behavioral Asset Pricing Models and the Stylized Facts
    by Thomas Lux
  • 2008 Applications of Statistical Physics in Finance and Economics
    by Thomas Lux
  • 2008 Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach
    by Prashanth Mahagaonkar & Jianying Qiu
  • 2008 Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset Bubble?
    by Lucjan T. Orlowski
  • 2008 Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences
    by Claudio Campanale & Gian Luca Clementi & Rui Castro
  • 2008 EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns
    by Jouchi Nakajima
  • 2008 Discounting with Fat-Tailed Economic Growth
    by Gollier, Christian
  • 2008 Free Cash-Flow, Issuance Costs and Stock Price Volatility
    by Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane
  • 2008 Realized Betas and the Cross-Section of Expected Returns
    by Claudio Morana
  • 2008 Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
    by Nikolaus Hautsch & Yangguoyi Ou
  • 2008 Numerics of Implied Binomial Trees
    by Wolfgang Härdle & Alena Mysickova
  • 2008 Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
    by Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer
  • 2008 Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?
    by Maik Schmeling & Andreas Schrimpf
  • 2008 Stock Picking via Nonsymmetrically Pruned Binary Decision Trees
    by Anton Andriyashin
  • 2008 Recursive Portfolio Selection with Decision Trees
    by Anton Andriyashin & Wolfgang Härdle & Roman Timofeev
  • 2008 Value-at-Risk and Expected Shortfall when there is long range dependence
    by Wolfgang Härdle & Julius Mungo
  • 2008 Testing Monotonicity of Pricing Kernels
    by Yuri Golubev & Wolfgang Härdle & Roman Timonfeev
  • 2008 Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region
    by Lillian Cheung & Laurence Fung & Chi-sang Tam
  • 2008 Predicting Stock Market Returns by Combining Forecasts
    by Laurence Fung & Ip-wing Yu
  • 2008 Heterogeneous Impatience in a Continuous-Time Model
    by Hara, Chiaki
  • 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
    by Hara, Chiaki & Huang, James & Kuzmics, Christoph
  • 2008 Complete Monotonicity of the Representative Consumer's Discount Factor
    by Hara, Chiaki
  • 2008 The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market
    by Aono, Kohei & Iwaisako, Tokuo
  • 2008 Liquidity on the Scandinavian Order-driven Stock Exchanges
    by Söderberg, Jonas
  • 2008 Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia
    by Söderberg, Jonas
  • 2008 A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions
    by Marzo, Massimiliano & Romagnoli , Silvia & Zagaglia, Paolo
  • 2008 The Monetary Policy Decision-Making Process and the Term Structure of Interest Rates
    by Dillén, Hans
  • 2008 An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient
    by Ekern, Steinar
  • 2008 Credit Spreads and Incomplete Information
    by Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne
  • 2008 The Risk Components of Liquidity
    by Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A.
  • 2008 Panel Cointegration of Chinese A and B Shares
    by Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua
  • 2008 A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions
    by Marzo, Massimiliano & Romagnoli, Silvia & Zagaglia, Paolo
  • 2008 Bank runs, liquidity and credit risk
    by Topi, Jukka
  • 2008 Global and local sources of risk in Eastern European emerging stock markets
    by Fedorova, Elena & Vaihekoski, Mika
  • 2008 Investor sentiment and stock returns: Some international evidence
    by Schmeling, Maik
  • 2008 Rational bubbles and fractional integration
    by Kruse, Robinson
  • 2008 Excess Returns and the Distinguished Player Paradox
    by Matthias Blonski & Ulf von Lilienfeld-Toal
  • 2008 The Term Structure and the Expectations Hypothesis: a Threshold Model
    by Matteo Modena
  • 2008 An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates
    by Matteo Modena
  • 2008 Chebyshev polynomial approximation to approximate partial differential equations
    by Guglielmo Maria Caporale & Mario Cerrato
  • 2008 Oil price Dynamics and Speculation. A Multivariate Financial Approach
    by Giulio Cifarelli & Giovanna Paladino
  • 2008 The Credit Default Swap Market's Determinants
    by Caitlin Ann Greatrex
  • 2008 Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
    by Nicole Branger & Christian Schlag
  • 2008 A Long-Run Risks Model of Asset Pricing with Fat Tails
    by Zhiguang Wang & Prasad V. Bidarkota
  • 2008 Incomplete Information in a Long Run Risks Model of Asset Pricing
    by Prasad V. Bidarkota
  • 2008 Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models
    by Vít Bubák
  • 2008 Time-varying integration, the euro and international diversification strategy
    by Lieven Baele & Koen Inghelbrecht
  • 2008 The Effect of CSR on Stock Performance: New Evidence for the USA and Europe
    by Urs von Arx & Andreas Ziegler
  • 2008 Another Look to the Price-Dividend Ratio: A Markov-Switching Approach
    by Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel
  • 2008 Can rare events explain the equity premium puzzle?
    by Christian Julliard & Anisha Ghosh
  • 2008 Arbitrage networks
    by Rohit Rahi & Jean-Pierre Zigrand
  • 2008 Central banks and financial crises
    by Willem H. Buiter
  • 2008 Asset pricing tests with long run risks in consumption growth
    by George M. Constantinides & Anisha Ghosh
  • 2008 Labor hiring, investment and stock return predictability in the cross section
    by Santiago Bazdrech & Frederico Belo & Xiaoji Lin
  • 2008 News And Expectations In Financial Markets: An Experimental Study
    by Gordon Menzies & Daniel Zizzo
  • 2008 Earnings Valuation And Sources Of Growth
    by Sherrill Shaffer
  • 2008 Corporate Governance and Performance: the REIT Effect
    by Eichholtz, Piet & Bauer, Rob & Kok, Nils
  • 2008 Investor Attention and the Underreaction to Stock Recommendations
    by Loh, Roger
  • 2008 Herd behavior towards the market index: Evidence from 21 financial markets
    by Wang, Daxue
  • 2008 Métodos de valoración de empresas
    by Fernandez, Pablo
  • 2008 160 preguntas sobre finanzas
    by Fernandez, Pablo
  • 2008 Rentabilidad y creación de valor de 125 empresas españolas en 2008 (hasta el 17 de septiembre)
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Valoración de empresas por descuento de flujos: Diez métodos y siete teorías
    by Fernandez, Pablo
  • 2008 Dos sentencias con tremendos errores sobre valoración
    by Fernandez, Pablo
  • 2008 Prima de riesgo del mercado utilizada: Encuesta 2008
    by Fernandez, Pablo
  • 2008 The equity premium in 100 textbooks
    by Fernandez, Pablo
  • 2008 Descensos de las cotizaciones de 154 empresas españolas. 1991-2008
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Price efficiency and short selling
    by Saffi, Pedro & Sigurdson, Kari
  • 2008 Differences of opinion, information and the timing of trades
    by Saffi, Pedro
  • 2008 Poor performance of mutual funds in Spain. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente J. & Bilan, Andrada
  • 2008 The equity premium in finance and valuation textbooks
    by Fernandez, Pablo
  • 2008 Eléctricas españolas: 1991-2007. Creación de valor y rentabilidad para los accionistas
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Iberdrola: 1991-2007. Creación de valor y rentabilidad
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Rentabilidad de los fondos de pensiones en España. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Rentabilidad de los fondos de inversión en España. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente
  • 2008 BBVA: 1991-2007. Creación de valor y rentabilidad
    by Fernandez, Pablo & Bermejo, Vicente
  • 2008 Banco Santander: 1991-2007. Creación de valor y rentabilidad
    by Fernandez, Pablo & Bermejo, Vicente
  • 2008 Telefónica: 1991-2007. Creación de valor y rentabilidad
    by Fernandez, Pablo & Bermejo, Vicente
  • 2008 Las empresas españolas en 2007 (y en el periodo 1993-2007). Rentabilidad y creación de valor
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 IBEX 35: 1992-2007 - Rentabilidad y creación de valor
    by Fernandez, Pablo & Bermejo, Vicente J.
  • 2008 Individual investors and volatility
    by Foucault, Thierry & Themar, David & Sraer, David
  • 2008 Intra-metropolitan Price and Trading Volume Dynamics : Evidence from Hong Kong
    by Charles Ka Yui Leung
  • 2008 Simulation-based Estimation of Contingent-claims Prices
    by Peter C. B. Phillips & Jun Yu
  • 2008 Permanence and innovation in central banking policy for financial stability
    by Michel Aglietta & Laurence Scialom
  • 2008 Prices for Paintings by African American Artists and Their Contemporaries: Does Race Matter? (Revision of Working Paper No. 2006-06)
    by Richard Agnello & Xiaowen Xu
  • 2008 Positive Expectations Feedback Experiments and Number Guessing Games as Models of Financial Markets
    by Joep Sonnemans & Jan Tuinstra
  • 2008 Complex Evolutionary Systems in Behavioral Finance
    by Cars Hommes & Florian Wagener
  • 2008 Have Euro Area Government Bond Risk Premia Converged To Their Common State?
    by Lorenzo Pozzi & Guido Wolswijk
  • 2008 Information Salience, Investor Sentiment, and Stock Returns: The Case of British Soccer Betting
    by Palomino, F.A. & Renneboog, L.D.R. & Zhang, C.
  • 2008 The Dutch Grey Market
    by Renneboog, L.D.R. & Spaenjers, C.
  • 2008 Crisis-Robust Bond Portfolios
    by Szafarz, Ariane & Brière, Marie
  • 2008 Le financement des entreprises : Rôle des fonds de private-equity dans la recomposition du tissu productif
    by Benslimane, Sonia
  • 2008 Value Relevance of Summary Accounting Income Measures: Evidence from Major European Capital Markets
    by Lin, Stephen & Ramond, Olivier & Casta, Jean-François
  • 2008 IPO Underpricing, Post-Listing Liquidity, and Information Asymmetry in the Secondary Market
    by Gajewski, Jean-François & Gresse, Carole
  • 2008 A market for weather risk ? Worlds in conflict and compromising
    by Rainelli, Hélène & Huault, Isabelle
  • 2008 Are More Risk-Averse Agents More Optimistic ? Insights from a Rational Expectations Model
    by Jouini, Elyès & Napp, Clotilde
  • 2008 Are Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach
    by Robert, Christian P. & Napp, Clotilde & Marin, Jean-Michel & Jouini, Elyès & Ben Mansour, Selima
  • 2008 Long Term Risk
    by Scheinkman, José A.
  • 2008 Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique
    by Beaubrun-Diant, Kevin & Matheron, Julien
  • 2008 Les réhausseurs de crédit : anatomie d'une crise
    by Lautier, Delphine & Simon, Yves
  • 2008 A market for weather risk ? Worlds in conflict and compromising
    by Rainelli, Hélène & Huault, Isabelle
  • 2008 Systematic credit risk: CDX index correlation and extreme dependence
    by Aboura, Sofiane & Wagner, Niklas
  • 2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics
    by J. Doyne Farmer & John Geanakoplos
  • 2008 The real estate risk premium : A developed/emerging country panel data analysis
    by John-John, D’ARGENSIO & Frederic, LAURIN
  • 2008 Measuring causality between volatility and returns with high-frequency data
    by Jean-Marie Dufour & René García & Abderrahim Taamouti
  • 2008 The value of coskewness in evaluating mutual funds
    by David Moreno & Rosa Rodriguez
  • 2008 The performance of socially responsible mutual funds: the role of fees and management companies
    by Javier Gil-Bazo & Pablo Ruiz-Verdu & Andre A. P. Santos
  • 2008 Nonparametric estimation of conditional beta pricing models
    by Eva Ferreira & Javier Gil-Bazo & Susan Orbe
  • 2008 Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
    by Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas
  • 2008 Loss Functions in Option Valuation: A Framework for Selection
    by Christian Wolff & Dennis Bams & Thorsten Lehnert
  • 2008 Loss Functions in Option Valuation: A Framework for Selection
    by Christian Wolff & Dennis Bams & Thorsten Lehnert
  • 2008 Loss Functions in Option Valuation: A Framework for Selection
    by Christian Wolff & Dennis Bams & Thorsten Lehnert
  • 2008 Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
    by Nikolay Gospodinov & Taisuke Otsu
  • 2008 Competitive Rational Expectations Equilibria Without Apology
    by Kovalenkov, Alex & Vives, Xavier
  • 2008 Individual Investors and Volatility
    by Foucault, Thierry & Sraer, David & Thesmar, David
  • 2008 The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium
    by Ramadorai, Tarun
  • 2008 Black Man’s Burden: Measured Philanthropy in the British Empire, 1880-1913
    by Accominotti, Olivier & Flandreau, Marc & Rezzik, Riad & Zumer, Frédéric
  • 2008 The Term Structure of Inflation Expectations
    by Chernov, Mikhail & Mueller, Philippe
  • 2008 Does FOMC News Increase Global FX Trading?
    by Fischer, Andreas M & Ranaldo, Angelo
  • 2008 Determinants of the Block Premium and of Private Benefits of Control
    by Albuquerque, Rui & Schroth, Enrique
  • 2008 Why so Glum? The Meese-Rogoff Methodology Meets the Stock Market
    by Flood, Robert P & Rose, Andrew K
  • 2008 Procrastination and Impatience
    by Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi
  • 2008 The Role of Portfolio Constraints in the International Propagation of Shocks
    by Pavlova, Anna & Rigobon, Roberto
  • 2008 Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt
    by Cooper, Ian & Nyborg, Kjell G
  • 2008 Moral Hazard, Collateral and Liquidity
    by Acharya, Viral V & Viswanathan, S
  • 2008 The real estate risk premium: A developed/emerging country panel data analysis
    by D’ARGENSIO, John-John & LAURIN, Frédéric
  • 2008 The Econometrics Of Mean-Variance Efficiency Tests: A Survey
    by Enrique Sentana
  • 2008 A Comparison Of Mean-Variance Efficiency Tests
    by Enrique Sentana & Dante Amegual
  • 2008 Efficiency in Large Dynamic Panel Models with Common Factor
    by Patrick GAGLIARDINI & Christian GOURIEROUX
  • 2008 Market Selection of Constant Proportions Investment Strategies in Continuous Time
    by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE
  • 2008 Bubbles and multiplicity of equilibria under portfolio constraints
    by Julien Hugonnier
  • 2008 Mutual Fund Competition in the Presence of Dynamic Flows
    by Michèle Breton & Julien Hugonnier & Tarek Masmoudi
  • 2008 Incomplete information, idiosyncratic volatility and stock returns
    by Tony BERRADA & Julien HUGONNIER
  • 2008 Valuing modularity as a real option
    by Andrea GAMBA & Nicola FUSARI
  • 2008 O Spread de Incumprimento dos Emprestimos Bancarios
    by Paulo Horta
  • 2008 Competitive Rational Expectations Equilibria without Apology
    by Alexander Kovalenkov & Xavier Vives
  • 2008 No-Trade in the Laboratory
    by Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson
  • 2008 Using Chebyshev Polynomials to Approximate Partial Differential Equations
    by Guglielmo Maria Caporale & Mario Cerrato
  • 2008 Reputation, Price, and Death: An Empirical Analysis of Art Price Formation
    by Heinrich Ursprung & Christian Wiermann
  • 2008 The Other Side of the Trading Story: Evidence from NYSE
    by Wong, Woon K & Copeland, Laurence & Lu, Ralph
  • 2008 A Generalized Normal Mean Variance Mixture for Return Processes in Finance
    by Elisa Luciano & Patrizia Semeraro
  • 2008 Multivariate Variance Gamma and Gaussian dependence: a study with copulas
    by Elisa Luciano & Patrizia Semeraro
  • 2008 Comparative Statics of Asset Prices
    by Theodoros Diasakos
  • 2008 Identifying and Forecasting House Price Dynamics in Ireland
    by D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard
  • 2008 Feedback Trading and Intermittent Market Turbulence
    by Tambakis, D.N.
  • 2008 Barrier Options and a Reflection Principle of the Fractional Brownian Motion
    by Cipian Necula
  • 2008 Asset Pricing in a Two-Country Discontinuous General Equilibrium Model
    by Ciprian Necula
  • 2008 A Two-Country Discontinuous General Equilibrium Model
    by Ciprian Necula
  • 2008 Pricing European and Barrier Options in the Fractional Black-Scholes Market
    by Ciprian Necula
  • 2008 Option Pricing in a Fractional Brownian Motion Environment
    by Cipian Necula
  • 2008 A Framework for Derivative Pricing in the Fractional Black-Scholes Market
    by Ciprian Necula
  • 2008 Are Asia-Pacific Housing Prices Too High For Comfort?
    by Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu
  • 2008 Short-run Exchange-rate Dynamics: Theory And Evidence
    by John A. Carlson & Christian M. Dahl & Carol L. Osler
  • 2008 Return Predictability under Equilibrium Constraints on the Equity Premium
    by Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov
  • 2008 Time-series predictability in the disaster model
    by François Gourio
  • 2008 A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
    by Zhongjun Qu & Pierre Perron
  • 2008 Asymptotic Maturity Behavior of the Term Structure
    by Klaas Schulze
  • 2008 Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve
    by Joyce, Michael & Kaminska, Iryna & Lildholdt, Peter
  • 2008 Liquidity at the Oslo Stock Exchange
    by Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard
  • 2008 The risk components of liquidity
    by Lorán Chollete & Randi Næs & Johannes A. Skjeltorp
  • 2008 On equilibrium prices in continuous time
    by V. Filipe Martins-da-Rocha & Frank Riedel
  • 2008 Econometric Asset Pricing Modelling
    by Bertholon, H. & Monfort, A. & Pegoraro, F.
  • 2008 A Macroeconomic Model of the Term Structure of Interest Rates in Mexico
    by Josué Fernando Cortés Espada & Manuel Ramos Francia
  • 2008 An Affine Model of the Term Structure of Interest Rates in Mexico
    by Josué Fernando Cortés Espada & Manuel Ramos Francia
  • 2008 An Empirical Analysis of the Mexican Term Structure of Interest Rates
    by Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia
  • 2008 A beta based framework for (lower) bond risk premia
    by Stefano Nobili & Gerardo Palazzo
  • 2008 A structural model of sovereign debt issuance: assessing the role of financial factors
    by Aitor Erce
  • 2008 Uncertainty and the price of risk in a nominal convergence process
    by Ricardo Gimeno & José Manuel Marqués
  • 2008 Delving into country risk
    by Silvia Iranzo
  • 2008 How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange
    by Ron Alquist
  • 2008 McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
    by Antonio Diez de los Rios
  • 2008 Macroeconomic Determinants of the Term Structure of Corporate Spreads
    by Jun Yang
  • 2008 Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?
    by Philipp Maier & Garima Vasishtha
  • 2008 Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
    by George J. Jiang & Ingrid Lo & Adrien Verdelhan
  • 2008 On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
    by Fousseni Chabi-Yo & Eric Ghysels & Eric Renault
  • 2008 Default Dependence: The Equity Default Relationship
    by Stuart M. Turnbull & Jun Yang
  • 2008 Cotton manufacturers as bankers: the textile trade and credit in spain (1840-1913)
    by Marc Prat Sabartes
  • 2008 Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
    by Christian Conrad & Enno Mammen
  • 2008 Stock Market Volatility and Learning
    by Albert Marcet & Klaus Adam & Juan Pablo Nicolini
  • 2008 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
    by Thomas Q. Pedersen
  • 2008 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
    by Almut E. D. Veraart
  • 2008 Expected Stock Returns and Variance Risk Premia
    by Tim Bollerslev & Tzuo Hao & George Tauchen
  • 2008 Mean Reversion in US and International Short Rates
    by Charlotte Christiansen
  • 2008 Semiparametric Inference in a GARCH-in-Mean Model
    by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias
  • 2008 Consumption growth and time-varying expected stock returns
    by Stig Vinther Møller
  • 2008 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    by Tom Engsted & Thomas Q. Pedersen
  • 2008 Inference for the jump part of quadratic variation of Itô semimartingales
    by Almut Veraart
  • 2008 Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach
    by Jie Zhu
  • 2008 Pricing Volatility of Stock Returns with Volatile and Persistent Components
    by Jie Zhu
  • 2008 An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
    by Tom Engsted & Stig V. Møller
  • 2008 Option Valuation with Long-run and Short-run Volatility Components
    by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang
  • 2008 Short-run Exchange-Rate Dynamics: Theory and Evidence
    by John A Carlson & Christian M. Dahl & Carol L. Osler
  • 2008 Asset Management in Volatile Markets
    by Peter R. Haiss & Bernhard Sammer & Martin Gartner & Otto Loistl & Stephan Zellner & Christine Zinner & Robert C. Merton & Krzysztof Rybinski & Urszula Sowa
  • 2008 Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières
    by Kourouvakalis, Stylianos
  • 2008 A New Model For Stock Price Movements
    by Guido VENIER
  • 2008 Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
    by Dirk Krueger & Hanno Lustig & Fabrizio Perri
  • 2008 Emerging Market Liquidity and Crises
    by Eduardo Levy Yeyati & Sergio L. Schmukler & Neeltje Van Horen
  • 2008 Risk Factors for the Swiss Stock Market
    by Manuel Ammann & Michael Steiner
  • 2008 Discussion of "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices"
    by Christian Schlag
  • 2008 Bounded Rationality, Rights Offerings, and Optimal Subscription Prices
    by Wolfgang Breuer
  • 2008 Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?
    by Haven, Emmanuel
  • 2008 Evaluating art as an alternative investment aset
    by Mamarbachi, Raya & Day, Marc & Favato, Giampiero
  • 2008 Direction of Change at the Bucharest Stock Exchange
    by Radu Lupu & Cristiana Tudor
  • 2008 International Asset Markets and Real Exchange Rate Volatility
    by Martin Bodenstein
  • 2008 Asset Pricing with Adaptive Learning
    by Eva Carceles-Poveda & Chryssi Giannitsarou
  • 2008 Performance of Quoted and Non-quoted Companies in the Europe
    by Tomáš Buus
  • 2008 New Approach to Evalution of Risk Loans
    by Jaroslav Schönfeld
  • 2008 Some Notices to the Firm Valuations by Income Approach
    by Jan Jurečka
  • 2008 Fair Value Measurement – Obstacle or Benefit of Financial Accounting and Reporting?
    by Marcela Žárová
  • 2008 Partial versus Integrated Conception of Intellectual Property for Asset Valuation
    by Jan Jurečka
  • 2008 HML and SMB Premiums in the Recent Scholar Literature – Magnitude and Nature
    by Tomáš Buus
  • 2008 On Estimation of Volatility of Financial Time Series for Pricing Derivatives
    by Michal Černý
  • 2008 Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach
    by Arshad Hasan & Zafar Mueen Nasir
  • 2008 Interest rate expectations and macroeconomic shocks affecting the yield curve
    by Zoltán Reppa
  • 2008 Equilibrium Security Prices with Capital Income Taxes and an Exogenous Interest Rate
    by Marc Steffen Rapp & Bernhard Schwetzler
  • 2008 Una revisión de conjunto de la economía de los intangibles
    by PULIDO SAN ROMÁN, Antonio
  • 2008 Valoración de opciones. Un enfoque diferente
    by CRUZ BÁEZ, DOMINGO ISRAEL & GONZÁLEZ RODRÍGUEZ, JOSÉ MANUEL
  • 2008 Size and Value Premium inKarachi Stock Exchange
    by Nawazish Mirza & Saima Shahid
  • 2008 The Motivations of Issuing Convertible Bonds - An Inquiry regarding the Sequential-Financing Hypothesis
    by Chun-Da Chen & Fu-Pin Hung & Dar-Hsin Chen & Hsin-Ho Lin
  • 2008 The Policy Effects of Lifting the Short-Sale Price Restriction on Stock Price Behaviors
    by Shih-Ju Chan & Ching-Chung Lin & Wen-Hsiu Kuo
  • 2008 Testing Term Structure Estimation Models: Evidence from Taiwan's Government Bonds Market
    by Jian-Hsin Chou & Hong-Fwu Yu & Der-Rong Hwu
  • 2008 Volatilidad de Indices Accionarios: El caso del IPSA
    by Rodrigo A. Alfaro & Carmen Gloria Silva
  • 2008 Emerging Markets Spreads at the Turn of the Cantury: A roller Coaster
    by Sergio Godoy
  • 2008 Real Option Applications to Information Security
    by Pythagoras PETRATOS
  • 2008 Dynamic Copula Modelling for Value at Risk
    by Dean Fantazzini
  • 2008 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
    by Martina Nardon
  • 2008 Statistical Inference for Risk-Adjusted Performance Measure
    by Miranda Lam
  • 2008 Fundamental Capital Valuation for IT Companies: A Real Options Approach
    by Chung Baek, Arun J Prakash, Bruce Dupoyet
  • 2008 La matriz de covarianzas de residuales en la asignación y valuación de activos
    by Benjamín García Martínez & Arturo Lorenzo Valdés
  • 2008 Aplicación de procesos poisson-gaussianos a los activos nacionales: desechando la distribución normal
    by Guillermo Einar Moreno Quezada
  • 2008 Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE
    by Jesús Bravo Pliego
  • 2008 Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
    by Li, Ming-Yuan Leon
  • 2008 Forecasting Market Crashes: Does Density Specification Matter?
    by BRIO, Esther B. & PEROTE, Javier
  • 2008 Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité
    by Cécile Kharoubi-Rakotomalala & Christophe Moussu
  • 2008 Viewpoint: Estimating the equity premium
    by John Y. Campbell
  • 2008 Developments in repo markets during the financial turmoil
    by Peter Hördahl & Michael R King
  • 2008 The ABX: how do the markets price subprime mortgage risk?
    by Ingo Fender & Martin Scheicher
  • 2008 Credit derivatives an structured creit: the nascant markets of Asia and the Pacific
    by Eli M Remolona & Ilhyock Shim
  • 2008 The spillover of money market turbulence to FX swap and cross-currency swap markets
    by Naohiko Baba & Frank Packer & Teppei Nagano
  • 2008 Interbank rate fixings during the recent turmoil
    by Jacob Gyntelberg & Philip Wooldridge
  • 2008 The Market Performance of Initial Public Offerings in the Istanbul Stock Exchange
    by Recep Bildik & Mustafa K. Yilmaz
  • 2008 Financial Stability of the Turkish Banking Sector
    by Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya
  • 2008 Distribuição Regional do Crédito Bancário e Convergência no Crescimento Estadual Brasileiro
    by Michel Alexandre & Ciro Biderman & Gilberto Tadeu Lima
  • 2008 Overconfidence And Trading Volume: Evidence From An Emergent Market
    by Zaiane Salma & Abaoub Ezzeddine
  • 2008 Comprehensive Income In Europe: Valuation, Prediction And Conservative Issues
    by Igor Goncharov & Allan Hodgson
  • 2008 Can oil reach $200 a barrel?
    by David BONNER
  • 2008 Assessing Financial Equilibrium of the Romanian Companies Traded at Bucharest Stock Exchange
    by Adina Elena DaNULETIU & Dan Constantin DANULETIU
  • 2008 Reservation Prices And Pre-Auction Estimates: A Study In Abstract Art
    by Calin Valsan & Robert Sproule
  • 2008 Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
    by Nicholas Barberis & Ming Huang
  • 2008 Leverage Cycles and the Anxious Economy
    by John Geanakoplos & Ana Fostel
  • 2008 Disasters and the Welfare Cost of Uncertainty
    by Ian W. R. Martin
  • 2008 Disasters and Recoveries
    by Francois Gourio
  • 2008 Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance
    by Xavier Gabaix
  • 2008 Consumption Disasters in the Twentieth Century
    by Robert J. Barro & Jose F. Ursua
  • 2007 Endogenous State Prices, Liquidity, Default, and the Yield Curve
    by Raphael A. Espinoza & Dimitrios P Tsomocos
  • 2007 La dépréciation des actifs
    by Chabrak, Nihel
  • 2007 Finance internationale et gestion des risques : questions et exercices corrigés
    by Lautier, Delphine & Simon, Yves
  • 2007 Equilibres à anticipations rationnelles et information incomplète sur les caractéristiques des autres acteurs
    by Jouini, Elyès & Napp, Clotilde
  • 2007 Attentes Stratégiques
    by Jouini, Elyès & Napp, Clotilde
  • 2007 Financial Markets with Heterogeneous Beliefs
    by Jouini, Elyès & Napp, Clotilde
  • 2007 Market timing with candlestick technical analysis
    by Marshall, Ben & Young, Martin & Rose, Lawrence
  • 2007 The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach
    by Ricardo Pereira
  • 2007 Yatırım ortaklıkları ve bedelsiz sermaye artırımları: İMKB’de ampirik bir analiz
    by Sadık ÇUKUR & Resul ERYİĞİT
  • 2007 Hisse senedi getirilerinde global ve yerel faiz oranı riski: Kısmi çokdeğişkenli GARCH modeliyle İstanbul Menkul Kıymetler Borsası üzerine bir çalışma
    by Alper ÖZÜN & Atilla ÇİFTER
  • 2007 Devlet iç borçlanma senetleri için getiri eğrisi tahmini
    by Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL
  • 2007 Immunization Strategy In A Fuzzy Environment
    by Terceño Gómez, A. & Brotons Martínez, J. M. & Fernández Bariviera, A.
  • 2007 Modelo de opciones reales y aplicación al mercado petrolero
    by Hernández del Valle, Adrián & Martínez García, Claudia Icela
  • 2007 Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies
    by Thomas Nitschka
  • 2007 Cashflow news, the value premium and an asset pricing view on European stock market integration
    by Thomas Nitschka
  • 2007 International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
    by Thomas Nitschka
  • 2007 The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective
    by Mathias Hoffmann & Thomas Nitschka
  • 2007 Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns
    by Schrimpf, Andreas & Grammig, Joachim G.
  • 2007 Analysts' dividend forecasts, portfolio selection, and market risk premia
    by Breuer, Wolfgang & Feilke, Franziska & Gürtler, Marc
  • 2007 Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
    by Cremers, Heinz & Walzner, Jens
  • 2007 Instalment options: a closed-form solution and the limiting case
    by Griebsch, Susanne & Kühn, Christoph & Wystup, Uwe
  • 2007 Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
    by Canto, Bea & Kräussl, Roman
  • 2007 On the relative performance of multi-strategy and funds of hedge funds
    by Agarwal, Vikas & Kale, Jayant R.
  • 2007 Transaction costs and value premium
    by Agarwal, Vikas & Wang, Lingling
  • 2007 Hedge funds for retail investors? An examination of hedged mutual funds
    by Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y.
  • 2007 The effect of socially responsible investing on portfolio performance
    by Kempf, Alexander & Osthoff, Peer
  • 2007 Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
    by Herwartz, Helmut & Golosnoy, Vasyl
  • 2007 An affine macro-finance term structure model for the euro area
    by Lemke, Wolfgang
  • 2007 A note on the coefficient of determination in regression models with infinite-variance variables
    by Loretan, Michael Stanislaus & Kurz-Kim, Jeong-Ryeol
  • 2007 Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
    by Archontakis, Theofanis & Lemke, Wolfgang
  • 2007 Die Fehlbewertung durch das Stuttgarter Verfahren: eine Sensitivitätsanalyse der Werttreiber von Steuer- und Marktwerten
    by Müller, Jens
  • 2007 Term Structure Dynamics in a Monetary Economy with Learning
    by Sadayuki Ono
  • 2007 Ramsey Waits: A Computational Study on General Equilibrium Pricing of Derivative Securities
    by Jacco Thijssen
  • 2007 Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK
    by Renatas Kizys & Peter Spencer
  • 2007 The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)
    by Peter N Smith & Steffen Sorensen & Mike Wickens
  • 2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
    by Paola Zerilli
  • 2007 Option Pricing under Stochastic Volatility and Trading Volume
    by Sadayuki Ono
  • 2007 Asset Bubbles without Dividends - An Experiment
    by Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin
  • 2007 Real economic activity and state of financial markets
    by Szymon Grabowski
  • 2007 Decomposition of the realized rate of return on investment in fixed-income securities
    by Rumiana Górska
  • 2007 Asset price dynamics with small world interactions under hetereogeneous beliefs
    by Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov
  • 2007 Dynamic Risk Exposure in Hedge Funds
    by Monica Billio & Mila Getmansky & Loriana Pelizzon
  • 2007 Liquidity, Equity Premium and Participation
    by Benjamin Eden
  • 2007 Temptation and Self-Control: Some Evidence and Applications
    by Kevin X.D. Huang & Zheng Liu & John Q. Zhu
  • 2007 The Role of the Real Interest Rate in US Macroeconomic History
    by Ernst Juerg Weber
  • 2007 Forecasting Implied Volatility Surfaces
    by Francesco Audrino & Dominik Colagelo
  • 2007 Ambiguity Aversion and the Term Structure of Interest Rates
    by Patrick Gagliardini & Paolo Porchia & Fabio Trojani
  • 2007 Predicting Stock Price Movements: Regressions versus Economists
    by Paul Söderlind
  • 2007 Interval LU-fuzzy arithmetic in the Black and Scholes option pricing
    by Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini
  • 2007 Interest Rate Modeling: A Matlab Implementation
    by Daniele Marazzina
  • 2007 Duality in mean-variance frontiers with conditioning information
    by Francisco Peñaranda & Enrique Sentana
  • 2007 Measuring time-varying economic fears with consumption-based stochastic discount factors
    by Belén Nieto & Gonzalo Rubio
  • 2007 Portfolio choice beyond the traditional approach
    by Francisco Peñaranda
  • 2007 On the impact of fundamentals, liquidity and coordination on market stability
    by Francisco Peñaranda & Jón Daníelsson
  • 2007 Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints
    by Tsvetanka Karagyozova
  • 2007 Do Inflation-Linked Bonds Still Diversify?
    by Marie Briere & Ombretta Signori
  • 2007 Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
    by Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka
  • 2007 Diverse Beliefs and Time Variability of Risk Premia
    by Mordecai Kurz & Maurizio Motolese
  • 2007 Information Sales and Insider Trading with Long-lived Information
    by Giovanni Cespa
  • 2007 Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors
    by Prabhath Jayasinghe & Albert K. Tsui
  • 2007 Endogenous State Prices, Liquidity, Default, and the Yield Curve
    by Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos
  • 2007 Option Pricing When the Regime-Switching Risk is Priced
    by Tak Kuen Siu & Hailiang Yang Unim & John W Lau
  • 2007 The Equity Premium: 100 Years of Empirical Evidence from the UK
    by Andrew Vivian
  • 2007 The Equity Premium: UK Industry Evidence
    by Andrew Vivian
  • 2007 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
    by Andreas Humpe & Peter Macmillan
  • 2007 The Price of Risk on the JSE
    by Nick Samouilhan
  • 2007 Recovering Probabilistic Information From Options Prices and the Underlying
    by Bruce Mizrach
  • 2007 Monitoring Bands and Monitoring Rules: how currency intervention can change market composition
    by Luisa Corrado & Marcus Miller & Lei Zhang
  • 2007 Risk and Derivative Price
    by Yusuke Osaki
  • 2007 Does the hedge fund industry deliver alpha?
    by Wagenvoort, Rien
  • 2007 Modeling and predicting the CBOE market volatility index
    by Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth
  • 2007 Monetary policy credibility and inflation risk premium: a model with application to Brazilian data
    by Alexandre Lowenkron & Marcio Gomes Pinto Garcia
  • 2007 Progressive Taxation and Corporate Liquidation: Analysis and Policy Implications
    by Elettra Agliardi & Rossella Agliardi
  • 2007 Asset Pricing in a Production Economy with ChewÐDekel Preferences
    by Claudio Campanale & Rui Castro & Gian Luca Clementi
  • 2007 German Open Ended Funds: Was there a Valuation Problem?
    by Neil Crosby
  • 2007 An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
    by Damiano Brigo & Naoufel El-Bachir
  • 2007 Low-Cost Momentum Strategies
    by Xiafei Li & Chris Brooks & Jöelle Miffre
  • 2007 Analytic Approximations for Spread Options
    by Carol Alexander & Aanand Venkatramanan
  • 2007 The Value Premium and Time-Varying Unsystematic Risk
    by Chris Brooks & Xiafei Li & Joelle Miffre
  • 2007 The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns
    by Adam Clements & Michael E. Drew & Evan M. Reedman
  • 2007 Information Sales and Insider Trading with Long-lived Information
    by Giovanni Cespa
  • 2007 A Test for Serial Dependence Using Neural Networks
    by George Kapetanios
  • 2007 Testing for Strict Stationarity
    by George Kapetanios
  • 2007 Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
    by Yu Ren & Katsumi Shimotsu
  • 2007 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    by Michael Dueker & Martin Sola & Fabio Spagnolo
  • 2007 The response of industry stock returns to market, exchange rate and interest rate risks
    by Hyde, Stuart J
  • 2007 A new Model for Stock Price Movements
    by Venier, Guido
  • 2007 Residual income and value creation: An investigation into the lost-capital paradigm
    by Magni, Carlo Alberto
  • 2007 Day-of-the-week effects in selected East Asian stock markets
    by Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa
  • 2007 Residual income and value creation: An investigation into the lost-capital paradigm
    by Magni, Carlo Alberto
  • 2007 Fear of the Unknown: Familiarity and Economic Decisions
    by Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold
  • 2007 Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium
    by Yoshida, Jiro
  • 2007 A Sum&Discount method for appraising firms:An illustrative example
    by Magni, Carlo Alberto
  • 2007 Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74
    by Alpanda, Sami & Peralta-Alva, Adrian
  • 2007 The Boom-Bust Cycle in Japanese Asset Prices
    by Alpanda, Sami
  • 2007 Measuring performance and valuing firms: In search of the lost capital
    by Magni, Carlo Alberto
  • 2007 Time-varying global and local sources of risk in Russian stock market
    by Saleem, Kashif & Vaihekoski, Mika
  • 2007 Inference for stochastic volatility model using time change transformations
    by Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros
  • 2007 Likelihood-based inference for correlated diffusions
    by Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O.
  • 2007 Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision
    by Schoeneborn, Torsten & Schied, Alexander
  • 2007 Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?
    by Magni, Carlo Alberto
  • 2007 CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation
    by Magni, Carlo Alberto
  • 2007 Forecasting volatility: Evidence from the Macedonian stock exchange
    by Kovačić, Zlatko
  • 2007 Callable Swaps, Snowballs And Videogames
    by Albanese, Claudio
  • 2007 Accruals and Aggregate Stock Market Returns
    by Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong
  • 2007 The Accrual Anomaly: Risk or Mispricing?
    by Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong
  • 2007 A non-parametric investigation of risk premia
    by Peroni, Chiara
  • 2007 Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle
    by Doran, James & Jiang, Danling & Peterson, David
  • 2007 Structural change and the bond yield conundrum
    by Taboga, Marco
  • 2007 Asset pricing and predictability of stock returns in the french market
    by Ellouz, Siwar & Bellalah, Mondher
  • 2007 GMM Estimation of the Number of Latent Factors
    by Perez, Marcos & Ahn, Seung Chan
  • 2007 Rational bubbles in emerging stockmarkets
    by Nunes, Mauricio & Da Silva, Sergio
  • 2007 Robustness of the Risk-Return Relationship in the U.S. Stock Market
    by Lanne, Markku & Luoto, Jani
  • 2007 Liquidity-adjusted benchmark yield curves: a look at trading concentration and information
    by Lin, William & Sun, David
  • 2007 Olive: a simple method for estimating betas when factors are measured with error
    by Meng, Ginger & Hu, Gang & Bai, Jushan
  • 2007 Optimal management and inflation protection for defined contribution pension plans
    by Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver
  • 2007 Rational Interacting Agents and Volatility Clustering: A New Approach
    by Siddiqi, Hammad
  • 2007 An empirical study of corporate bond pricing with unobserved capital structure dynamics
    by Maclachlan, Iain C
  • 2007 Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
    by Iqbal, Javed & Brooks, Robert & Galagedera, Don UA
  • 2007 Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models
    by Iqbal, Javed & Brooks, Robert & Galagedera, Don UA
  • 2007 Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
    by Ozun, Alper & Cifter, Atilla
  • 2007 Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange
    by Javed, Attiya Y. & Iqbal, Robina
  • 2007 A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns
    by Hirshleifer, David & Jiang, Danling
  • 2007 Hversu vel tekst til með verðbólguspár greiningardeilda?
    by Olafsdottir, Katrin & Sigurdsson, Kari
  • 2007 Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns
    by Hirshleifer, David & Jiang, Danling
  • 2007 Testing Efficiency Performance of an Underdeveloped Stock Market
    by Onour, Ibrahim
  • 2007 Project valuation and investment decisions: CAPM versus arbitrage
    by Magni, Carlo Alberto
  • 2007 Corporate debt pricing I
    by Ilya, Gikhman
  • 2007 Local financing through capital markets
    by Alexandru, Ciprian Antoniade
  • 2007 ABS, MBS and CDO compared: an empirical analysis
    by Vink, Dennis
  • 2007 Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives
    by Francois-Éric Racicot
  • 2007 Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab
    by Francois-Éric Racicot & Raymond Théoret
  • 2007 Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms
    by Attiya Y. Javid
  • 2007 The Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange
    by Attiya Y. Javed & Robina Iqbal
  • 2007 Does Competitive Pricing Cause Market Breakdown under Extreme Adverse Selection?
    by George J. Mailath & Georg Noldeke
  • 2007 Geography and Industry Meets Venture Capital
    by Yochanan Shachmurove
  • 2007 Market Efficiency, Asymmetric Price Adjustment and Over-Evaluation: Linking Investor Behaviors to EGARCH
    by Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda & Junji Shimada
  • 2007 Rare Disasters, Asset Prices, and Welfare Costs
    by Robert J. Barro
  • 2007 How Sovereign is Sovereign Credit Risk?
    by Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton
  • 2007 Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
    by Dirk Krueger & Hanno Lustig & Fabrizio Perri
  • 2007 The Long and the Short End of the Term Structure of Policy Rules
    by Josephine M. Smith & John B. Taylor
  • 2007 When Does a Mutual Fund's Trade Reveal its Skill?
    by Zhi Da & Pengjie Gao & Ravi Jagannathan
  • 2007 The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
    by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  • 2007 Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
    by Francis X. Diebold & Canlin Li & Vivian Z. Yue
  • 2007 Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models
    by Robert J. Shiller
  • 2007 A Multiplier Approach to Understanding the Macro Implications of Household Finance
    by YiLi Chien & Harold Cole & Hanno Lustig
  • 2007 Understanding the Accrual Anomaly
    by Jin Ginger Wu & Lu Zhang & X. Frank Zhang
  • 2007 Measuring the Returns to R&D: The Depreciation Problem
    by Bronwyn H. Hall
  • 2007 An Asset-Pricing View of External Adjustment
    by Anna Pavlova & Roberto Rigobon
  • 2007 Construction and Interpretation of Model-Free Implied Volatility
    by Torben G. Andersen & Oleg Bondarenko
  • 2007 No-Arbitrage Taylor Rules
    by Andrew Ang & Sen Dong & Monika Piazzesi
  • 2007 Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
    by Xavier Gabaix
  • 2007 Estimating the Equity Premium
    by John Y. Campbell
  • 2007 Cracking the Conundrum
    by David K. Backus & Jonathan H. Wright
  • 2007 Mortgage Timing
    by Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh
  • 2007 Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors
    by A. Craig Burnside
  • 2007 Bubbles in Prices of Exhaustible Resources
    by Boyan Jovanovic
  • 2007 Neoclassical Factors
    by Long Chen & Lu Zhang
  • 2007 The Fundamentals of Commodity Futures Returns
    by Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst
  • 2007 Risk Based Explanations of the Equity Premium
    by John Donaldson & Rajnish Mehra
  • 2007 Long-Run Risks and Financial Markets
    by Ravi Bansal
  • 2007 Investor Sentiment in the Stock Market
    by Malcolm Baker & Jeffrey Wurgler
  • 2007 Exchange Rate Fundamentals and Order Flow
    by Martin D. D. Evans & Richard K. Lyons
  • 2007 The Forward Premium is Still a Puzzle
    by Craig Burnside
  • 2007 Do Security Analysts Speak in Two Tongues?
    by Ulrike Malmendier & Devin Shanthikumar
  • 2007 Cointegration and Consumption Risks in Asset Returns
    by Ravi Bansal & Robert Dittmar & Dana Kiku
  • 2007 Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    by Ravi Bansal & A. Ronald Gallant & George Tauchen
  • 2007 The Earnings Announcement Premium and Trading Volume
    by Owen Lamont & Andrea Frazzini
  • 2007 Global Currency Hedging
    by John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira
  • 2007 The Incentives to Start New Companies: Evidence from Venture Capital
    by Robert E. Hall & Susan E. Woodward
  • 2007 Return Persistence and Fund Flows in the Worst Performing Mutual Funds
    by Jonathan B. Berk & Ian Tonks
  • 2007 Regularities
    by Laura X. L. Liu & Toni Whited & Lu Zhang
  • 2007 Durability of Output and Expected Stock Returns
    by Joao F. Gomes & Leonid Kogan & Motohiro Yogo
  • 2007 Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
    by Torben G. Andersen & Luca Benzoni
  • 2007 Beliefs, Doubts and Learning: Valuing Economic Risk
    by Lars Peter Hansen
  • 2007 Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
    by Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker
  • 2007 Market Liquidity and Funding Liquidity
    by Markus K. Brunnermeier & Lasse Heje Pedersen
  • 2007 Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
    by Nicholas Barberis & Ming Huang
  • 2007 The Term Structure of Real Rates and Expected Inflation
    by Andrew Ang & Geert Bekaert & Min Wei
  • 2007 Activity-Based Valuation of Bank Holding Companies
    by Charles W. Calomiris & Doron Nissim
  • 2007 Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows
    by Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson
  • 2007 The Demand for Treasury Debt
    by Arvind Krishnamurthy & Annette Vissing-Jorgensen
  • 2007 Slow Moving Capital
    by Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino
  • 2007 Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
    by Borja Larrain & Motohiro Yogo
  • 2007 Risk, Return and Dividends
    by Andrew Ang & Jun Liu
  • 2007 The determinants of stock and bond return comovements
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht
  • 2007 Risk and Predictability of Singapore’s Direct Residential Real Estate Market
    by Qin Xiao & Weihong Huang
  • 2007 Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?
    by Gael M. Martin & Andrew Reidy & Jill Wright
  • 2007 A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
    by Xibin Zhang & Robert D. Brooks & Maxwell L. King
  • 2007 Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
    by Dominique Guégan & Jing Zhang
  • 2007 Global and local stationary modelling in finance : theory and empirical evidence
    by Dominique Guégan
  • 2007 The role of demographic variables in explaining financial returns in Italy
    by Marianna Brunetti & Costanza Torricelli
  • 2007 A Sum&Discount Method for Appraising Firms: An Illustrative Example
    by Carlo Alberto Magni
  • 2007 A Sum&Discount Method for Appraising Firms: An Illustrative Example
    by Carlo Alberto Magni
  • 2007 Valuing American Style Options by Least Squares Methods
    by Mario Cerrato & Kan Kwok Cheung
  • 2007 Understanding Labour Market Frictions: A Tobin’s Q Approach
    by Parantap Basu
  • 2007 Asset pricing implications for a New Keynesian model
    by Bianca De Paoli, Alasdair Scott, Olaf Weeken
  • 2007 Exchange Rate Monitoring Bands: Theory and Policy
    by Luisa Corrado & Marcus Miller & Lei Zhang
  • 2007 Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities
    by Renatas Kizys & Peter Spencer
  • 2007 Do emerging markets benefit from index inclusion?
    by Burcu Hacibedel & Jos van Bommel
  • 2007 Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt
    by Jens Hilscher & Yves Nosbusch
  • 2007 ICAPM with time-varying risk aversion
    by Paulo Maio
  • 2007 The Determinnts of Short Selling in the Hong Kong Equities Market
    by Michael McKenzie & Olan T. Henry
  • 2007 Dynamic Effects of Increasing Heterogeneity in Financial Markets
    by Ahmad Naimzada & Giorgio Ricchiuti
  • 2007 A market microstructure explanation of IPOs underpricing
    by Patarick Leoni
  • 2007 A market microstructure explanation of IPOs underpricing
    by Patarick Leoni
  • 2007 Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs
    by Maurice J. Roche & Michael J. Moore
  • 2007 A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2007 Benchmarks in Aggregate Household Portfolios
    by Pascal ST-AMOUR
  • 2007 Complete Monotonicity of the Representative Consumer's Discount Factor
    by Chiaki Hara
  • 2007 Systematic Mispricing in European Equity Prices?
    by Marian Berneburg
  • 2007 Ume Y La Integración De Los Mercados De Capitales Europeos: Relevancia Del Tipo De Cambio Y La Inflación
    by Alfredo Juan Grau Grau & Begoña Font Belaire
  • 2007 An Arbitrage Model for the Stock Price Adjustment in the Dividend Period
    by Maria Rosa Borges
  • 2007 Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS
    by Naohiko Baba & Masakazu Inada
  • 2007 Firms vs. insiders as traders of last resort
    by José M. Marín & Antoni Sureda-Gomila
  • 2007 The dog that did not bark: Insider trading and crashes
    by José M. Marín & Jacques Olivier
  • 2007 Robust Equilibrium Yield Curves
    by Isaac Kleshchelski & Nicolas Vincent
  • 2007 Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
    by Brunnermeier, Markus & Gollier, Christian & Parker, Jonathan
  • 2007 Estimating, Filtering and Forecasting Realized Betas
    by Claudio Morana
  • 2007 Copula-Based Default Dependence Modelling: Where Do We Stand?
    by Elisa Luciano
  • 2007 Why Managers Hold Shares of Their Firms: An Empirical Analysis
    by Ulf von Lilienfeld-Toal & Stefan Ruenzi
  • 2007 Sensitivities for Bermudan Options by Regression Methods
    by Denis Belomestny & Grigori Milstein & John Schoenmakers
  • 2007 Long Memory Persistence in the Factor of Implied Volatility Dynamics
    by Wolfgang Härdle & Julius Mungo
  • 2007 Time Series Modelling with Semiparametric Factor Dynamics
    by Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park
  • 2007 A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    by Wen-Jen Tsay & Wolfgang Härdle
  • 2007 Empirical Pricing Kernels and Investor Preferences
    by Kai Detlefsen & Wolfgang Härdle & Rouslan Moro
  • 2007 Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes
    by Matthias Fischer
  • 2007 Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model
    by Harald Uhlig
  • 2007 Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model
    by Harald Uhlig
  • 2007 The Performance Evaluation of Hedge Funds: Are Investors Mislead by Standard Mean-Variance Statistics?
    by De Ryck, Pieter & Cole, Frank & Smedts, Jan & De Moor, Lieven
  • 2007 The small firm anomaly: US and international evidence
    by De Moor, Lieven & Sercu, Piet
  • 2007 Risk-return of Belgian SRI funds
    by Van Liedekerke, Luc & De Moor, Lieven & Vanwalleghem, Dieter
  • 2007 Country v Sector Effects in Equity Returns: Are Emerging-Market Firms just Small Firms?
    by De Moor, Lieven & Sercu, Piet
  • 2007 Money and Inflation
    by Ansgar Belke & Thorsten Polleit
  • 2007 Share Price Disparity in Chinese Stock Markets
    by Tom Fong & Alfred Wong & Ivy Yong
  • 2007 Measuring Market Sentiment in Hong Kong's Stock Market
    by Ip-wing Yu & Chi-sang Tam
  • 2007 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
    by Hara, Chiaki & Huang, James & Kuzmics, Christoph
  • 2007 Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach
    by Takamizawa, Hideyuki & Shoji, Isao
  • 2007 Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
    by Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina
  • 2007 The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates
    by Hasseltoft, Henrik
  • 2007 High-Speed Natural Selection in Financial Markets with Large State Spaces
    by Fedyk, Yuriy & Walden, Johan
  • 2007 Earnings Inequality and the Equity Premium
    by Walentin, Karl
  • 2007 Strategic Insider Trading Equilibrium: A Forward Integration Approach
    by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  • 2007 Simplifying and generalizing some efficient frontier and CAPM related results
    by Ekern, Steinar
  • 2007 Risk Exchange as a Market or Production Game
    by Borglin, Anders & Flåm, Sjur
  • 2007 Option Pricing by Mathematical Programming
    by Flåm, Sjur
  • 2007 Ambiguity Aversion, the Equity Premium and the Welfare Costs of Business Cycles
    by Alonso, Irasema & Prado, Jr., Jose Mauricio
  • 2007 Capital Structure Arbitrage: Model Choice and Volatility Calibration
    by Bajlum, Claus & Tind Larsen, Peter
  • 2007 Monetary policy, expected inflation and inflation risk premia
    by Ravenna , Federico & Seppälä, Juha
  • 2007 Risk exchange as a market or production game
    by Borglin, Anders & Flåm, Sjur Didrik
  • 2007 Whose trades convey information? Evidence from a cross-section of traders
    by Menkhoff, Lukas & Schmeling, Maik
  • 2007 Stock Market Valuation and Monopolistic Competition: a Dynamic Stochastic General Equilibrium Approach
    by Gabriel Talmain
  • 2007 Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information
    by Alexis Derviz
  • 2007 2007 Housing Bubble Update: 10 Economic Indicators to Watch
    by Dean Baker
  • 2007 A Recommitment Strategy for Long Term Private Equity Fund Investors
    by de Zwart, G.J. & Frieser, B. & van Dijk, D.J.C.
  • 2007 Labor income risk and asset returns
    by Christian Julliard
  • 2007 Efficient estimation of a semiparametric characteristic-based factor model of security returns
    by Gregory Connor & Matthias Hagmann & Oliver Linton
  • 2007 Consistent estimation of the risk-return tradeoff in the presence of measurement error
    by Anisha Ghosh & Oliver Linton
  • 2007 Efficient estimation of a semiparametric characteristic-based factor model of security returns
    by Gregory Connor & Matthias Hagmann & Oliver Linton
  • 2007 Strategic financial innovation in segmented markets
    by Rohit Rahi & Jean-Pierre Zigrand
  • 2007 Portfolio choice beyond the traditional approach
    by Francisco Penaranda
  • 2007 Endogenous state prices, liquidity, default, and the yield curve
    by Raphael A. Espinoza & Charles Goodhart & Dimitrios P. Tsomocos
  • 2007 Forecasting Cross-Section Stock Returns using The Present Value Model
    by George Bulkley & Richard Holt
  • 2007 Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models
    by Shiller, Robert J.
  • 2007 The Changing Nature of Chapter 11
    by Bharath, Sreedhar T. & Panchapegesan, Venky & Werner, Ingrid
  • 2007 Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World
    by Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A.
  • 2007 Dynamic trading and asset prices: Keynes vs. Hayek
    by Cespa, Giovanni & Vives, Xavier
  • 2007 A more realistic valuation: APV and WACC with constant book leverage ratio
    by Fernandez, Pablo
  • 2007 110 common errors in company valuations
    by Fernandez, Pablo & Bilan, Andrada
  • 2007 Rentabilidad de los fondos de inversión en España. (1991-2006)
    by Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia
  • 2007 Rentabilidad de los fondos de inversión de renta variable nacional en España (1991-2006)
    by Fernandez, Pablo & Carabias, Jose M. & Miguel, Lucia
  • 2007 Valoración de marcas e intangibles
    by Fernandez, Pablo
  • 2007 El peligro de utilizar betas calculadas
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 120 errores en valoraciones de empresas
    by Fernandez, Pablo
  • 2007 Creación de valor para los accionistas de bancos españoles (1991-2006)
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Creación de valor para los accionistas de las eléctricas españolas (1991-2006)
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Creación de valor para los accionistas de Bankinter (1991-2006)
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Rentabilidad y creación de valor de las empresas españolas en 2006 (y en el periodo 1993-2006)
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Creación de valor para los accionistas de Repsol. 1991-2006
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2006
    by Fernandez, Pablo & Carabias, Jose M.
  • 2007 Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors
    by Ananda Jayawickrama & Tilak Abeysinghe
  • 2007 The Relationship between Corporate Governance Indicators and Firm Value : A Case Study of Karachi Stock Exchange
    by Attiya Y. Javed & Robina Iqbal
  • 2007 Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â
    by Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA
  • 2007 Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms
    by Attiya Y. Javid
  • 2007 Return Explanatory Ability and Predictability of Non-Linear Market Models
    by Chi-Hsiou Hung
  • 2007 Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns
    by Chi-Hsiou Hung
  • 2007 Autorité et flexibilité : quand la théorie des options interroge
    by Camille Chaserant
  • 2007 Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds
    by Chee Jin Yap & Gerard Gannon
  • 2007 Socially Responsible Investments: Methodology, Risk Exposure and Performance
    by Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C.
  • 2007 The Price of Ethics: Evidence from Socially Responsible Mutual Funds
    by Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C.
  • 2007 Socially Responsible Investments: Methodology, Risk and Performance
    by Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C.
  • 2007 The Price of Ethics: Evidence from Socially Responsible Mutual Funds
    by Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C.
  • 2007 Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
    by Jouini, Elyès & Napp, Clotilde
  • 2007 Do Carbon Permits Constitute a Respectable Asset Class? Efficiency, Liquidity and Volatility in comparison with Other Financial Markets
    by Keppler, Jan Horst & Hervé-Mignucci, Morgan
  • 2007 Optimal hedging in European electricity forward markets
    by Le Pen, Yannick & Sévi, Yannick
  • 2007 Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
    by Campi, Luciano & Cetin, Umut
  • 2007 Explaining the Cross-Section Returns in France : Characteristics or Risk Factors?
    by Lajili, Souad
  • 2007 The Determinants of Sin Stock Returns : Evidence on the European Market
    by Salaber, Julie
  • 2007 Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)
    by Gresse, Carole & Gajewski, Jean-François
  • 2007 Value relevance of comprehensive income and its components: Evidence from major European capital markets
    by Casta, Jean-François & Ramond, Olivier & Lin, Stephen
  • 2007 Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models
    by Robert J. Shiller
  • 2007 Information Loss in Volatility Measurement with Flat Price Trading
    by Peter C.B. Phillips & Jun Yu
  • 2007 Simulation-based Estimation of Contingent-claims Prices
    by Peter C.B. Phillips & Jun Yu
  • 2007 Transition Modeling and Econometric Convergence Tests
    by Peter C.B. Phillips & Donggyu Sul
  • 2007 Estimating and testing beta pricing models: Alternative methods and their performance in simulations
    by Jay Shanken & Guofu Zhou
  • 2007 Four-Moment Asset Pricing Model: Computation Standards and specification Tests for Moment-Related Risk Premia
    by Marie Lambert
  • 2007 Four-Moment Asset Pricing Model: Computation Standards and specification Tests for Moment-Related Risk Premia
    by Marie Lambert
  • 2007 Four-Moment Asset Pricing Model: Computation Standards and specification Tests for Moment-Related Risk Premia
    by Marie Lambert
  • 2007 Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
    by Acharya, Viral V & Schaefer, Stephen M & Zhang, Yili
  • 2007 Advance Information and Asset Prices
    by Albuquerque, Rui & Miao, Jianjun
  • 2007 Duality in Mean-Variance Frontiers with Conditioning Information
    by Peñaranda, Francisco & Sentana, Enrique
  • 2007 Stock Market Volatility and Learning
    by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo
  • 2007 On Seller Estimates and Buyer Returns
    by Gershkov, Alex & Toxvaerd, Flavio
  • 2007 Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements
    by Campbell, John Y & Ramadorai, Tarun & Schwartz, Allie
  • 2007 Consumption and Labour Supply with Partial Insurance: An Analytical Framework
    by Heathcote, Jonathan & Storesletten, Kjetil & Violante, Giovanni L
  • 2007 The Dog that Did Not Bark: Insider Trading and Crashes
    by Marín Vigueras, José Maria & Olivier, Jacques
  • 2007 Understanding Index Option Returns
    by Broadie, Mark & Chernov, Mikhail & Johannes, Michael
  • 2007 Asset Pricing with Adaptive Learning
    by Carceles-Poveda, Eva & Giannitsarou, Chryssi
  • 2007 Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
    by Guidolin, Massimo & Timmermann, Allan G
  • 2007 Money Illusion and Housing Frenzies
    by Brunnermeier, Markus K & Julliard, Christian
  • 2007 Optimal Beliefs, Asset Prices and the Preference for Skewed Returns
    by Brunnermeier, Markus K & Gollier, Christian & Parker, Jonathan A
  • 2007 The Impact of Oil Price Shocks on the U.S. Stock Market
    by Kilian, Lutz & Park, Cheolbeom
  • 2007 Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
    by Gomes, Francisco J & Michaelides, Alexander
  • 2007 Slow Moving Capital
    by Mitchell, Mark & Pedersen, Lasse Heje & Pulvino, Todd
  • 2007 Financial Integration of Stock Markets among New EU Member States and the Euro Area
    by Ian Babetskii & Lubos Komarek & Zlatuse Komarkova
  • 2007 Duality In Mean-Variance Frontiers With Conditioning Information
    by Enrique Sentana & Francisco Peñaranda
  • 2007 From Basel I To Basel Ii: An Analysis Of The Three Pillars
    by Abel Elizalde
  • 2007 Risk, Timing and Overoptimism in Private Placements and Public Offerings
    by Cécile Carpentier & Jean-François L'Her & Stephan Smith & Jean-Marc Suret
  • 2007 Competition and Survival of Stock Exchanges: Lessons From Canada
    by Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret
  • 2007 Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators
    by Virginie Coudert & Mathieu Gex
  • 2007 The Trader, the Market Maker, his Guru and her Information
    by Nicolas Melissas
  • 2007 Dynamic Option-Based Strategies under Downside Loss Averse Preferences
    by Amine Jalal
  • 2007 Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
    by Gregory Connor & Matthias Hagmann & Oliver Linton
  • 2007 Asset Pricing, Habit Memory, and the Labor Market
    by Ivan Jaccard
  • 2007 Do Stylised Facts of Order Book Markets Need Strategic Behaviour?
    by Dan Ladley & Klaus Reiner Schenk-Hoppe
  • 2007 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
    by Ivan Jaccard
  • 2007 Testing for Bubbles in Housing Markets: A Panel Data Approach
    by Vyacheslav Mikhed & Petr Zemcik
  • 2007 Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence
    by Vyacheslav Mikhed & Petr Zemcik
  • 2007 Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
    by Magdalena Morgese Borys
  • 2007 Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns
    by Gregory Connor & Matthias Hagmann & Oliver Linton
  • 2007 Sobre Burbujas De Precios De Activos, Expectativas Y Equilibrios
    by José Pablo Dapena
  • 2007 Factoring governance risk into investors´expected rates of return by means of a weighted average governance index
    by Rodolfo Apreda
  • 2007 Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?
    by Filippo Taddei
  • 2007 Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
    by Elisa Luciano & Patrizia Semeraro
  • 2007 Single and joint default in a structural model with purely discontinuous assets
    by Filippo Fiorani & Elisa Luciano & Patrizia Semeraro
  • 2007 A Model of Cross-Country House Prices (228.91 KB PDF)
    by McQuinn, Kieran & O' Reilly, Gerard
  • 2007 Bulls, Bears and Excess Volatility: can currency intervention help?
    by Corrado, L. & Miller, M. & Zhang, L.
  • 2007 Predictability in the cross-section of European bank stock returns
    by Wolfgang Drobetz & Thomas Erdmann & Heinz Zimmermann
  • 2007 Determinants of the time varying risk premia
    by Pornpinun Chantapacdepong
  • 2007 Hvilke faktorer driver kursutviklingen på Oslo Børs?
    by Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard
  • 2007 What captures liquidity risk? A comparison of trade and order based liquidity factors
    by Lorán Chollete & Randi Næs & Johannes A. Skjeltorp
  • 2007 Optimal Two Stage Committee Voting Rules
    by Ian Ayres & Colin Rowat & Nasser Zakariya
  • 2007 Switching VARMA Term Structure Models - Extended Version
    by Monfort, A. & Pegoraro, F.
  • 2007 Understanding Asset Prices: Determinants and Policy Implications
    by Clerc, L.
  • 2007 Balance-sheet ratios and stock returns: An analysis for Italian banks
    by Angela Romagnoli
  • 2007 Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory
    by Orazio P. Attanasio & Monica Paiella
  • 2007 Have real interest rates really fallen that much in Spain?
    by Roberto Blanco & Fernando Restoy
  • 2007 Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
    by Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault
  • 2007 Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
    by Bryan Campbell & Scott Hendry
  • 2007 Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms
    by Michael R. King & Eric Santor
  • 2007 Price Discovery in Canadian Government Bond Futures and Spot Markets
    by Christopher Chung & Bryan Campbell & Scott Hendry
  • 2007 Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
    by Chris D'Souza & Ingrid Lo & Stephen Sapp
  • 2007 A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
    by Fousseni Chabi-Yo & Jun Yang
  • 2007 Uncollateralized Overnight Loans Settled in LVTS
    by Scott Hendry & Nadja Kamhi
  • 2007 The relationship of capitalization period length with market portfolio composition and betas
    by Jordi Esteve Comas & Didac Ramirez Sarrio
  • 2007 Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment
    by Andrea Morone
  • 2007 Forward-Looking Betas
    by Peter Christoffersen & Kris Jacobs & Gregory Vainberg
  • 2007 Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
    by Peter Christoffersen & Kris Jacobs & Karim Mimouni
  • 2007 Habit Formation, Surplus Consumption and Return Predictability: International Evidence
    by Tom Engsted & Stuart Hyde & Stig V. Møller
  • 2007 Construction and Interpretation of Model-Free Implied Volatility
    by Torben G. Andersen & Oleg Bondarenko
  • 2007 Risk, Jumps, and Diversification
    by Tim Bollerslev & Tzuo Hann Law & George Tauchen
  • 2007 Expected Stock Returns and Variance Risk Premia
    by Tim Bollerslev & Hao Zhou
  • 2007 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
    by Tim Bollerslev & Michael Gibson & Hao Zhou
  • 2007 Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
    by Viktor Todorov & Tim Bollerslev
  • 2007 Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns
    by Stig V. Møller
  • 2007 Decomposing European Bond and Equity Volatility
    by Charlotte Christiansen
  • 2007 Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
    by Charlotte Christiansen
  • 2007 The Effect of Long Memory in Volatility on Stock Market Fluctuations
    by Bent Jesper Christensen & Morten Ørregaard Nielsen
  • 2007 Introduction to Asset Price Dynamics, Volatility, and Prediction
    by Stephen J. Taylor
  • 2007 The Ability to ''Outperform the Market'': Logical Foundations based on the Theory of Rational Beliefs
    by Horace W. Brock
  • 2007 Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries
    by Juan Pablo Domínguez H.
  • 2007 Two-fund separation in dynamic general equilibrium
    by Schmedders, Karl
  • 2007 Absolute Risk Aversion on the Romanian Capital Market
    by Paun, Cristian & Brasoveanu, Iulian & Musetescu, Radu
  • 2007 Asset Pricing with Idiosyncratic Risk and Overlapping Generations
    by Kjetil Storesletten & Chris Telmer & Amir Yaron
  • 2007 The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy
    by Karel Brůna
  • 2007 Vield curve construction using government bonds in the Czech republic
    by Jiří Málek & Jarmila Radová & Filip Štěrba
  • 2007 Monetary policy, trend inflation changes and volatility of interest rates relations: an analysis of long-term interest rate dynamics in the context of changes in czech national bank repo rate
    by Karel Brůna
  • 2007 Wavelet Decomposition of the Financial Market
    by Lukáš Vácha & Miloslav Vošvrda
  • 2007 Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States?
    by Jan Frait & Luboš Komárek
  • 2007 Measuring of bond price sensitivity
    by Jarmila Radová
  • 2007 Some Less Known Charting Methods of Technical Analysis and Possibilities Its Using for Identification Trend Changes
    by Jitka Veselá
  • 2007 Fractal Properties of the Financial Market
    by Lukáš Vácha
  • 2007 Evaluarea corporativă. Aplicaţii pentru firmele transnaţionale
    by Neculai Daniela
  • 2007 The flattening of the yield curve : causes and economic policy implications
    by M. Collin
  • 2007 Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market
    by MIRALLES MARCELO, JOSÉ LUIS & MIRALLES QUIRÓS, MARÍA DEL MAR & MIRALLES QUIRÓS, JOSÉ LUIS.
  • 2007 Weighting Two Quality Indexes In Valuation Theory: Survival Function And An Alternative Technique/Ponderando Dos Índices De Calidad En Teoría De Valoración: Función De Supervivencia Y Una Técnica Alternativa
    by FRANCO NICOLÁS, M. & VIVO MOLINA, J.M.
  • 2007 Makrooekonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
    by Horst Entorf & Christian Steiner
  • 2007 The Determinants of Sovereign Bond Spreads: Theory and Facts From Latin America
    by Martín Grandes
  • 2007 Transparency, Disclosure, and the Federal Reserve
    by Michael Ehrmann & Marcel Fratzscher
  • 2007 A Model of Price, Volume, and Sequential Information
    by Gaiyan Zhang
  • 2007 Industry Momentum at the End of the 20th Century
    by Christos I. Giannikos & Xiuqing Ji
  • 2007 Riesgo asimétrico y estrategias de momentum en el mercado de valores español
    by Luis Muga & Rafael Santamaría
  • 2007 Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market
    by Iwaisako, Tokuo
  • 2007 The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns
    by Md. Arifur Rahman
  • 2007 Global Market and Currency Risk in Finnish Stock Market
    by Mika Vaihekoski
  • 2007 Financial Integration of Stock Markets among New EU Member States and the Euro Area
    by Ian Babetskii & Luboš Komárek & Zlatuše Komárková
  • 2007 Risk-Return of Belgian SRI Funds
    by L. Van Liedekerke & L. De Moor & D. Van Walleghem
  • 2007 Determinación de una estructura de plazos para el mercado de renta fija de México mediante un modelo de tres factores para la dinámica de la tasa corta
    by René Benjamín Pérez Sicairos
  • 2007 The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
    by Francisco Venegas-Martínez & J. Víctor Reynoso-Vendrell
  • 2007 Valoración de los Planes de Pensiones del Sistema Individual en España a Través del Modelo CAPM y del Modelo Ampliado con la Variable Tamaño
    by Yaiza García Padrón & Juan García Boza
  • 2007 Procesos de Hurts y movimientos brownianos fraccionales en mercados fractales
    by Guillermo Sierra
  • 2007 The Closed-form Solution for Pricing American Put Options
    by Wang Xiaodong
  • 2007 Les comportements boursiers sont-ils eulériens ?
    by Georges Prat
  • 2007 The covered bond market
    by Frank Packer & Ryan Stever & Christian Upper
  • 2007 The bond market term premium: what is it, and how can we measure it?
    by Don H Kim & Athanasios Orphanides
  • 2007 Cracking the Conundrum
    by David K. Backus & Jonathan H. Wright
  • 2007 Real Interest Rate Risk in the Argentine Banking System. A Measuring Model
    by Verónica Balzarotti
  • 2007 An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market Using Variance-Ratios Tests
    by Collins G. Ntim & Kwaku K. Opong & Jo Danbolt
  • 2007 Demographics and Industry Returns
    by Stefano DellaVigna & Joshua M. Pollet
  • 2006 Modelling option prices using neural networks
    by L.F. Hoogerheide & H.K. van Dijk
  • 2006 A new framework for firm value using copulas
    by Elena Maria De Giuli & Mario Maggi & Dean Fantazzini
  • 2006 A Structural Model of Credit Risk with Counter-Cyclical Risk Premia
    by Turalay Kenc & Martin Sola & Marzia Raybaudi
  • 2006 Evaluating hedge fund managers: A Bayesian investigation of skill and persistence
    by Vrontos Ioannis & Vrontos Spyridon & Giamouridis Daniel
  • 2006 Asset pricing implications of a New Keynesian model
    by Bianca De Paoli & Alasdair Scott & Olaf Weeken
  • 2006 Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets
    by Hendri Adriaens & Bertrand Melenberg & Bas Donkers
  • 2006 Using genetic algorithms to improve the term structure of interest rates fitting
    by Ricardo Gimeno & Juan M. Nave
  • 2006 Firm Value and Default Correlation
    by Lars Grüne & Willi Semmler & Lucas Bernard
  • 2006 Extreme observations in developed and emerging equity markets
    by Pilar Grau-Carles
  • 2006 Computational Finance Techniques for Valuing Customers
    by David Colliings & Nicola Baxter
  • 2006 Private information and the use of a so called 'information function'
    by Emmanuel Haven
  • 2006 The Transition to Electronic Trading in the Secondary Treasury Market
    by Bruce Mizrach & Chris Neely
  • 2006 Interest Rate Swap and Corporate Default
    by Urban Jermann & Vivian Z. Yue
  • 2006 Expectations and Asset Prices with Heterogeneous Households
    by Monika Piazzesi & Martin Schneider
  • 2006 Consumption, wealth, and expected asset returns in the United States. Implications of housing wealth and housing consumption
    by Andrea Finicelli
  • 2006 Financial Leverage Does Not Cause the Leverage Effect
    by A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield
  • 2006 Business Cycles under Generalized Disappointment Aversion
    by Claudio Campanale & Rui Castro & Gian Luca Clementi
  • 2006 Non-ergodic Behavior in a Financial Market with Interacting Investors
    by Ulrich Horst & Jan Wezelburger
  • 2006 Predictable returns and asset allocation: Should a skeptical investor time the market?
    by Jessica A. Wachter & Missaka Warusawitharana
  • 2006 High Dimensional Yield Curves: Models and Forecasting
    by Clive Bowsher & Roland Meeks
  • 2006 Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry
    by Mariana Mazzucato & Massimiliano Tancioni
  • 2006 The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure
    by Clive G. Bowsher & Roland Meeks
  • 2006 Uniform price auctions and fixed price offerings in IPOs: an experimental comparison
    by Ping Zhang
  • 2006 Evaluating a nonlinear asset pricing model on international data
    by Asgharian, Hossein & Karlsson, Sonnie
  • 2006 Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique
    by Slim Chaouachi & Fredj Jawadi
  • 2006 Les agents les plus tolérants au risque sont-ils plus pessimistes ? Un modèle d'équilibre à anticipations rationnelles
    by Jouini, Elyès & Napp, Clotilde
  • 2006 Les modèles de volatilité et d'options
    by Aboura, Sofiane
  • 2006 Heterogeneous Beliefs and Asset Pricing in Discrete Time : an Analysis of Pessimism and Doubt
    by Jouini, Elyès & Napp, Clotilde
  • 2006 The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
    by Gresse, Carole
  • 2006 Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective
    by Beaubrun-Diant, Kevin
  • 2006 Is there a pessimistic bias in individual and collective beliefs ? Theory and Evidence
    by Napp, Clotilde & Jouini, Elyès & Ben Mansour, Selima
  • 2006 Heterogeneous beliefs and asset pricing : an analysis in terms of pessimism, doubt and risk aversion
    by Jouini, Elyès & Ben Mansour, Selima & Napp, Clotilde
  • 2006 Are risk averse agents more optimistic ?
    by Ben Mansour, Selima & Jouini, Elyès & Marin, Jean-Michel & Napp, Clotilde & Robert, Christian P.
  • 2006 Uniform price auctions and fixed price offerings in IPOs: an experimental comparison
    by Ping Zhang
  • 2006 Nomen est Omen: How Company Names Influence Short- and Long-Run Stock Market Performance
    by Pascal Pensa
  • 2006 Optimal two stage committee voting rules
    by Ian Ayres & Colin Rowat & Nasser Zakariya
  • 2006 What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
    by Nathan S. Balke & Mark E. Wohar
  • 2006 Rational Beliefs or Distorted Beliefs: The Equity Premium Puzzle and Micro Survey Data
    by Cheolbeom Park
  • 2006 Stock Price Bubble and Trade Deficit in the Wake of a Large Technology Shock: The Case of the U.S
    by Zietz, Joachim
  • 2006 Fama-French üç faktör varlık fiyatlama modelinin İMKB’de uygulanması
    by M.Mete DOĞANAY
  • 2006 Makroekonomik değişkenlerin borsa getirisi ve oynaklığı üzerindeki etkisi: Türkiye örneği
    by Sıdıka BAŞÇI & Nildağ Başak CEYLAN
  • 2006 Hisse senetlerinde risk ayrışımı ve İstanbul Menkul Kıymetler Borsası’nda bir uygulama
    by M. Mete DOĞANAY & Ramazan AKTAŞ & Ünsal BAN
  • 2006 Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi
    by Cem K. ARSLAN & Cumhur ERDEM & Meziyet Sema ERDEM
  • 2006 Factores macroeconómicos en rendimientos accionarios chilenos
    by Fuentes S.M., Rodrigo & Gregoire C., Jorge & Zurita L., Salvador
  • 2006 Dividend Yields for Forecasting Stock Market Returns. An ARDL Cointegration Analysis for Germany
    by Ansgar Belke & Thorsten Polleit
  • 2006 Environmentally oriented energy policy and stock returns: an empirical analysis
    by Oberndorfer, Ulrich & Ziegler, Andreas
  • 2006 Market discipline and the use of government bonds as collateral in the EMU
    by Ullrich, Katrin
  • 2006 Evaluating conditional asset pricing models for the German stock market
    by Schrimpf, Andreas & Schröder, Michael & Stehle, Richard
  • 2006 Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns
    by Grammig, Joachim G. & Schrimpf, Andreas
  • 2006 Portfolio selection with time constraints and a rational explanation of insufficient diversification and excessive trading
    by Dolzer, Armin & Nietert, Bernhard
  • 2006 An overreaction implementation of the coherent market hypothesis and option pricing
    by Schöbel, Rainer & Veith, Jochen
  • 2006 A Strategic Approach to Financial Options
    by Siebe, Wilfried & Milde, Hellmuth & Broll, Udo & Bieta, Volker
  • 2006 Einflussfaktoren von Immobilienpreisen bei Renditeobjekten
    by Fest, Martin & Gürtler, Marc & Heithecker, Dirk
  • 2006 Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
    by Hoffmann, Mathias
  • 2006 Does sensitivity to cashflow news explain the value premium on European stock markets?
    by Nitschka, Thomas
  • 2006 The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability
    by Nitschka, Thomas
  • 2006 Stock Market Volatility around National Elections
    by Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr
  • 2006 Revisiting the home bias puzzle: Downside equity risk
    by Campbell, Rachel A. & Kräussl, Roman
  • 2006 Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
    by Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S.
  • 2006 Evaluation asset pricing models with limited commitment using household consumption data
    by Krueger, Dirk & Lustig, Hanno & Perri, Fabrizio
  • 2006 Why managers hold shares of their firm: An empirical analysis
    by von Lilienfeld-Toal, Ulf & Ruenzi, Stefan
  • 2006 The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
    by Lux, Thomas
  • 2006 Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
    by Lux, Thomas & Kaizoji, Taisei
  • 2006 A minimal noise trader model with realistic time series properties
    by Alfarano, Simone & Lux, Thomas
  • 2006 Fiscal institutions, fiscal policy and sovereign risk premia
    by Hallerberg, Mark & Wolff, Guntram B.
  • 2006 Learning, structural instability and present value calculations
    by Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan
  • 2006 Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
    by Bernoth, Kerstin & Wolff, Guntram B.
  • 2006 Forecasting the price of crude oil via convenience yield predictions
    by Knetsch, Thomas A.
  • 2006 Bond pricing when the short term interest rate follows a threshold process
    by Lemke, Wolfgang & Archontakis, Theofanis
  • 2006 Equity Valuation Under Stochastic Interest Rates
    by Marco Realdon
  • 2006 Sequential Restructuring of Debt Classes, Absolute Priority Violation and Spread Reversals Under Chapter 11
    by Adriana Breccia
  • 2006 The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility
    by P N Smith & S Sorensen & M R Wickens
  • 2006 Quadratic Term Structure Models in Discrete Time
    by Marco Realdon
  • 2006 Application of fundamental multiples in capital asset pricing. An empirical verification on the Polish market (1998-2004)
    by Slawomir Sklinda
  • 2006 Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models
    by Monika Witkowska
  • 2006 Monetary Policy and Asset Prices : What Role for Central Banks in New EU Member States?
    by Frait, Jan & Komarek, Lubos
  • 2006 Anomalías de los Mercados Financieros. Análisis de las Empresas Gallegas que cotizan en el Mercado de Renta Variable
    by Lucy Amigo Dobaño
  • 2006 Phase-Locking and Switching Volatility in Hedge Funds
    by Monica Billio & Mila Getmansky & Loriana Pelizzon
  • 2006 Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He
  • 2006 The dynamics of trader motivations in asset bubbles
    by Gunduz Caginalp & Vladimira Ilieva
  • 2006 Monetary Policy Effects on Financial Risk Premia
    by Paul Söderlind
  • 2006 C-CAPM without Ex Post Data
    by Paul Söderlind
  • 2006 C-CAPM Refinements and the Cross-Section of Returns
    by Paul Söderlind
  • 2006 Firms vs. insiders as traders of last resort
    by José M. Marín & Antoni Sureda-Gomila
  • 2006 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
    by Elisa Alòs & Jorge A. León & Josep Vives
  • 2006 The dog that did not bark: Insider trading and crashes
    by José M. Marín & Jacques Olivier
  • 2006 The Equity Premium Puzzle: Australia and the United States in Comparative Perspective
    by Ville, Simon
  • 2006 Real Options Theory for Law Maker
    by Marie Obidzinski & Bruno Deffains
  • 2006 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    by Michael Dueker & Martin Sola & Fabio Spagnolo
  • 2006 Sovereign Risk Premiums in the European Government Bond Market
    by Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger
  • 2006 On Seller Estimates and Buyer Returns
    by Gershkov, Alex & Toxvaerd, Flavio
  • 2006 Herd Behavior in Efficient Financial Markets
    by Andreas Park & Hamid Sabourian
  • 2006 A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
    by Luis H. R. Alvarez & Teppo A. Rakkolainen
  • 2006 Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective
    by Luis H. R. Alvarez E.
  • 2006 The epistemology of modern finance
    by Xavier De Scheemaekere
  • 2006 A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion
    by André Farber & Van Huu Nguyen & Quan Hoang Vuong
  • 2006 A quoi réagit le marchés des obligations privées?
    by Marie Briere & Aurélie Cohen
  • 2006 Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    by Charlotte Christiansen & Angelo Ranaldo
  • 2006 Learning, Structural Instability and Present Value Calculations
    by Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  • 2006 Rational Inattention, Portfolio Choice, and the Equity Premium
    by Yulei Luo
  • 2006 Learning, structural instability and present value calculations
    by M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann
  • 2006 The discounted economic stock of money with VAR forecasting
    by William A. Barnett & Unja Chae & John W. Keating
  • 2006 Pricing problems of perpetual Bermudan options
    by Yoshifumi Muroi & Takashi Yamada
  • 2006 Asset Prices and asset Correlations in Illiquid Markets
    by Celso Brunetti & Alessio Caldarera
  • 2006 Complete Markets, Enforcement Constraints and Intermediation
    by Arpad Abraham & Eva Carceles-Poveda
  • 2006 Asset pricing with adaptive learning
    by Eva Carceles Poveda & Chryssi Giannitsarou
  • 2006 Behavioral Consistent Market Equilibria under Procedural Rationality
    by Mikhail Anufriev & Giulio Bottazzi
  • 2006 A Habit-Based Explanation of the Exchange Rate Risk Premium
    by Adrien Verdelhan
  • 2006 Monetary Policy and the Term Structure of Interest Rates
    by Federico Ravenna & University of California & Juha Seppala & University of Illinois
  • 2006 Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
    by Carl Chiarella & Roberto Dieci & Tony He
  • 2006 The predictive power of the present value model of stock prices
    by Geraldine Ryan
  • 2006 Endogenous State Prices, Liquidity, Default, and the Yield Curve
    by Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos
  • 2006 High Dimensional Yield Curves: Models and Forecasting
    by Clive G. Bowsher & Roland Meeks
  • 2006 Structural versus Temporary Drivers of Country and Industry Risk
    by L. BAELE & K. INGHELBRECHT
  • 2006 Corporate Social Responsibility and Stock Market Performance
    by Leonardo Becchetti & Rocco Ciciretti
  • 2006 Learning Under Ambiguity
    by Larry Epstein & Martin Schneider
  • 2006 Technological Growth, Asset Pricing, and Consumption Risk over Long Horizons
    by Stavros Panageas & Jianfeng Yu
  • 2006 A Habit-Based Explanation of the Exchange Rate Risk Premium
    by Adrien Verdelhan
  • 2006 Search in Asset Markets
    by Ricardo Lagos & Guillaume Rocheteau
  • 2006 The Returns to Currency Speculation
    by Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo
  • 2006 Firms' Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns
    by Francois Gourio
  • 2006 The Baby Boom: Predictability in House Prices and Interest Rates
    by Robert F. Martin
  • 2006 Finite-Life, Private-Information Theory of Unsecured Debt
    by Satyajit Chatterjee & Dean Corbae & Jose-Victor Rios-Rull
  • 2006 Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    by Mariano M. Croce & Marin Lettau & Sydney Ludvigson
  • 2006 Welfare Costs, Long Run Consumption Risk, and a Production Economy
    by Mariano M. Croce
  • 2006 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
    by Ivan Jaccard
  • 2006 Testing the q-Theory of Anomalies
    by Toni M. Whited & Lu Zhang
  • 2006 Reconciling the Return Predictability Evidence
    by Martin Lettau & Stijn Van Nieuwerburgh
  • 2006 Bubbles and Self-fulfilling Crises
    by Edouard Challe & Xavier Ragot
  • 2006 The Empirical Risk-Return Relation: a factor analysis approach
    by Sydney Ludvigson & Serena Ng
  • 2006 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
    by Damiano Brigo & Naoufel El-Bachir
  • 2006 Momentum Profits and Time-Varying Unsystematic Risk
    by Xiafei Li & Chris Brooks & Joelle Miffre
  • 2006 Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
    by Carol Alexander & Andreas Kaeck
  • 2006 Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?
    by Chris Brooks & Apostolos Katsaris
  • 2006 Measuring Housing Price Growth – Using Stratification to Improve Median-based Measures
    by Nalini Prasad & Anthony Richards
  • 2006 Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures
    by James Hansen
  • 2006 Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange
    by Marcelo Fernandes & Marco Aur�lio dos Santos Rocha
  • 2006 Taxation and Transaction Costs in a General Equilibrium Asset Economy
    by Frank Milne & Xing Jin
  • 2006 Financial Condition Index and interest rate settings: a comparative analysis
    by Alberto Montagnoli & Oreste Napolitano
  • 2006 CAPM-based capital budgeting and nonadditivity
    by Magni, Carlo Alberto
  • 2006 The exact value for European options on a stock paying a discrete dividend
    by Amaro de Matos, Joao & Dilao, Rui & Ferreira, Bruno
  • 2006 Equilibrium price dynamics in an overlapping-generations exchange economy
    by Brito, Paulo & Dilao, Rui
  • 2006 Consumption and Expected Asset Returns without Assumptions About Unobservables
    by Whelan, Karl
  • 2006 Zelig and the Art of Measuring Excess Profit
    by magni, Carlo Alberto
  • 2006 How a small open economy's asset are priced by heterogeneous international investors
    by Chang, Yanqin
  • 2006 Time series properties of ARCH processes with persistent covariates
    by Han, Heejoon & Park, Joon Y.
  • 2006 Higher-order volatility: dynamics and sensitivities
    by Carey, Alexander
  • 2006 Path-conditional forward volatility
    by Carey, Alexander
  • 2006 The effect of parallel OTC-DVP bond market introduction on yield curve volatility
    by Grum, Andraž
  • 2006 Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti
    by Andraž, Grum
  • 2006 Market characteristics and chaos dynamics in stock markets: an international comparison
    by Mattarocci, Gianluca
  • 2006 Supply of Money
    by Barnett, William A.
  • 2006 Divisia Monetary Index
    by Barnett, William A.
  • 2006 Further evidence on the impact of economic news on interest rates
    by Ielpo, Florian & Guégan, Dominique
  • 2006 Driven to distraction: Extraneous events and underreaction to earnings news
    by Hirshleifer, David & Lim, Sonya Seongyeon & Teoh, Siew Hong
  • 2006 Stock market volatiltity around national elections
    by Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz
  • 2006 Asset allocation approach to understanding stock market dynamics
    by Nuttall, John
  • 2006 Risk Premia, diverse belief and beauty contests
    by Kurz, Mordecai & Motolese, Maurizio
  • 2006 Beauty contests under private information and diverse beliefs: how different?
    by Kurz, Mordecai
  • 2006 A comparative analysis of correlation skew modeling techniques for CDO index tranches
    by Claudio, Ferrarese
  • 2006 Some critical comments on credit risk modeling
    by ilya, gikhman
  • 2006 Fixed-income instrument pricing
    by ilya, gikhman
  • 2006 Memory and Asset Pricing Models with Heterogeneous Beliefs
    by Verbic, Miroslav
  • 2006 An Interpretation of An Affine Term Structure Model for Chile
    by Juan Marcelo, Ochoa
  • 2006 A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited
    by Alain Coen & Francois-Éric Racicot
  • 2006 Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors
    by Francois-Éric Racicot & Raymond Théoret & Alain Coen
  • 2006 Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 Les modèles HJM et LMM revisités
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 Stock Splits: Real Effects or Just a Question of Maths? An Empirical Analysis of the Portuguese Case
    by Jorge Farinha & Nuno Filipe Basílio
  • 2006 Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version
    by Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova
  • 2006 Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse
  • 2006 Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints
    by Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova
  • 2006 Discount Rates in Emerging Capital Markets
    by Samuel Mongrut & Dídac Ramírez
  • 2006 Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks
    by Christine Wilson & Allen Featherstone
  • 2006 The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure
    by Clive Bowsher & Roland Meeks
  • 2006 Can Perpetual Learning Explain the Forward Premium Puzzle?
    by George W. Evans & Avik Chakraborty
  • 2006 Interactions Between Monetary and Fiscal Policy: How Monetary Conditions Affect Fiscal Consolidation
    by Rudiger Ahrend & Pietro Catte & Robert W.R. Price
  • 2006 The Persistence and Predictive Power of the Dividend-Price Ratio
    by Cheolbeom Park
  • 2006 High Dimensional Yield Curves: Models and Forecasting
    by Clive Bowsher & Roland Meeks
  • 2006 A Complete Characterization of Pure Strategy Equilibrium in Uniform Price IPO Auctions
    by Ping Zhang
  • 2006 Money Illusion and Housing Frenzies
    by Markus K. Brunnermeier & Christian Julliard
  • 2006 Multifrequency Jump-Diffusions: An Equilibrium Approach
    by Laurent E. Calvet & Adlai J. Fisher
  • 2006 Heterogeneous Expectations and Bond Markets
    by Wei Xiong & Hongjun Yan
  • 2006 Can Housing Collateral Explain Long-Run Swings in Asset Returns?
    by Hanno Lustig & Stijn Van Nieuwerburgh
  • 2006 On the Welfare Costs of Consumption Uncertainty
    by Robert J. Barro
  • 2006 Long Term Risk: An Operator Approach
    by Lars Peter Hansen & Jose Scheinkman
  • 2006 Equilibrium Yield Curves
    by Monika Piazzesi & Martin Schneider
  • 2006 Financially Constrained Stock Returns
    by Dmitry Livdan & Horacio Sapriza & Lu Zhang
  • 2006 Linear Approximations and Tests of Conditional Pricing Models
    by Michael W. Brandt & David A. Chapman
  • 2006 The Equity Premium Implied by Production
    by Urban Jermann
  • 2006 Benchmarking Money Manager Performance: Issues and Evidence
    by Josef Lakonishok & Louis Chan & Stephen G. Dimmock
  • 2006 The Equity Premium in India
    by Rajnish Mehra
  • 2006 Recursive Competitive Equilibrium
    by Rajnish Mehra
  • 2006 Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory
    by Orazio P. Attanasio & Monica Paiella
  • 2006 What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
    by Nicholas Barberis & Wei Xiong
  • 2006 The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle
    by Nicholas Barberis & Ming Huang
  • 2006 Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market
    by Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz
  • 2006 A Skeptical Appraisal of Asset-Pricing Tests
    by Jonathan Lewellen & Stefan Nagel & Jay Shanken
  • 2006 The Performance of International Equity Portfolios
    by Charles P. Thomas & Francis E. Warnock & Jon Wongswan
  • 2006 Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
    by Andrew B. Abel
  • 2006 Noise Traders
    by James Dow & Gary Gorton
  • 2006 Risk, Uncertainty and Asset Prices
    by Geert Bekaert & Eric Engstrom & Yuhang Xing
  • 2006 Stock and Bond Returns with Moody Investors
    by Geert Bekaert & Eric Engstrom & Steven R. Grenadier
  • 2006 Is IPO Underperformance a Peso Problem?
    by Andrew Ang & Li Gu & Yael V. Hochberg
  • 2006 Household Finance
    by John Y. Campbell
  • 2006 Investment Taxes and Equity Returns
    by Clemens Sialm
  • 2006 Reconciling the Return Predictability Evidence
    by Martin Lettau & Stijn Van Nieuwerburgh
  • 2006 Testing Portfolio Efficiency with Conditioning Information
    by Wayne E. Ferson & Andrew F. Siegel
  • 2006 Is There Hedge Fund Contagion?
    by Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz
  • 2006 Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
    by Jay Shanken & Guofu Zhou
  • 2006 Valuation in Over-the-Counter Markets
    by Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen
  • 2006 Optimal Value and Growth Tilts in Long-Horizon Portfolios
    by Jakub W. Jurek & Luis M. Viceira
  • 2006 Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk
    by Leora Friedberg & Anthony Webb
  • 2006 Dividend Taxes and Firm Valuation: New Evidence
    by Alan J. Auerbach & Kevin A. Hassett
  • 2006 The term structure of interest rates in a DSGE model
    by Marina Emiris
  • 2006 A multi-factor model for the valuation and risk managment of demand deposits
    by Hans Dewachter & Marco Lyrio & Konstantijn Maes
  • 2006 Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul
    by Qin Xiao & Randolph Gee Kwang Tan
  • 2006 Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles
    by Qin Xiao & Randolph Gee Kwang Tan
  • 2006 Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility
    by Gael M. Martin & Andrew Reidy & Jill Wright
  • 2006 Change analysis of dynamic copula for measuring dependence in multivariate financial data
    by Dominique Guégan & Jing Zhang
  • 2006 The wedge of arbitrage free prices : anything goes
    by Roko Aliprantis & Monique Florenzano & Daniella Puzzello & Rabee Tourky
  • 2006 Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History
    by Péter Banczúr & Cosmin Ilut
  • 2006 Strategic Urban Development under Uncertainty
    by Flavia Cortelezzi & Pierpaolo Giannoccolo
  • 2006 Heterogeneous Fundamentalists and Imitative Processes
    by Ahmad Naimzada & Giorgio Ricchiuti
  • 2006 Intangible Capital, Corporate Valuation and Asset Pricing
    by Jean-Pierre DANTHINE & Xiangrong JIN
  • 2006 Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2006 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2006 Decreasing Relative Risk Premium
    by Frank Hansen
  • 2006 Wieweit tragen rationale Modelle in der Finanzmarktforschung?
    by Günter Franke & Thomas Weber
  • 2006 Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤
    by Günter Franke & Erik Lüders
  • 2006 Supply of Money
    by William Barnett
  • 2006 Divisia Monetary Index
    by William Barnett
  • 2006 Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
    by William Barnett & Ousmane Seck
  • 2006 Financial predictors of real activity and the propagation of aggregate shocks
    by Johann Burgstaller
  • 2006 Excess Volatility in European Equity Style Indices - New Evidence
    by Marian Berneburg
  • 2006 New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange
    by Juan A. Lafuente & Manuel Illueca Muñoz
  • 2006 Equilibrium price dynamics in an overlapping-generations exchange economy
    by Paulo Brito & Rui Dilao
  • 2006 How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders
    by Todd B. Walker
  • 2006 Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders
    by Kenneth Kasa & Todd B. Walker & Charles H. Whiteman
  • 2006 Indexed Bonds and Revisions of Inflation Expectations
    by Reschreiter, Andreas
  • 2006 Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting
    by Reschreiter, Andreas
  • 2006 Functional Rational Expectations Equilibria in Market Games
    by Shorish, Jamsheed
  • 2006 Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem
    by Nuno Cassola & Christian Ewerhart & Claudio Morana
  • 2006 Regression methods in pricing American and Bermudan options using consumption processes
    by Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny
  • 2006 An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems
    by Denis Belomestny & Pavel V. Gapeev
  • 2006 Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market
    by Denis Belomestny & Grigori Milstein
  • 2006 A jump-diffusion Libor model and its robust calibration
    by Denis Belomestny & John Schoenmakers
  • 2006 Time Dependent Relative Risk Aversion
    by Enzo Giacomini & Michael Handel & Wolfgang K. Härdle
  • 2006 Calibration Risk for Exotic Options
    by Kai Detlefsen & Wolfgang Härdle
  • 2006 The Impacts of "Shock Therapy" on Large and Small Clients: Experiences from Two Large Bank Failures in Japan
    by Fukuda, Shin-ichi & Koibuchi, Satoshi
  • 2006 Stock Data, Trade Durations, And Limit Order Book Information
    by Simonsen, Ola
  • 2006 Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?
    by Hellström, Jörgen & Simonsen, Ola
  • 2006 Taxation, Dividend Payments and Ex-Day Price Changes
    by Daunfeldt, Sven-Olov & Selander, Carina & Wikström, Magnus
  • 2006 Effects of Explanatory Variables in Count Data Moving Average Models
    by Brännäs, Kurt & Lönnbark, Carl
  • 2006 Time Series Modelling Of High Frequency Stock Transaction Data
    by Quoreshi, Shahiduzzaman
  • 2006 A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data
    by Quoreshi, Shahiduzzaman
  • 2006 LongMemory, Count Data, Time Series Modelling for Financial Application
    by Quoreshi, Shahiduzzaman
  • 2006 Closed form spread option valuation
    by Bjerksund, Petter & Stensland, Gunnar
  • 2006 Pricing Implications of Shared Variance in Liquidity Measures
    by Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A.
  • 2006 A Dozen Consistent CAPM-Related Valuation Models - So Why Use the Incorrect One?
    by Ekern, Steinar
  • 2006 The Nonequivalence of the Earnings and Dividends Approaches to Equity Valuation
    by Stecher, Jack D.
  • 2006 The effect of lenders’ credit risk transfer activities on borrowing firms’ equity returns
    by Marsh , Ian W
  • 2006 A global house price bubble? Evaluation based on a new rent-price approach
    by Taipalus , Katja
  • 2006 Monetary policy and rejections of the expectations hypothesis
    by Ravenna , Federico & Seppälä , Juha
  • 2006 Forecasting market crashes: further international evidence
    by Jokipii, Terhi
  • 2006 Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE
    by Bask, Mikael
  • 2006 Announcement effects on exchange rate movements: continuity as a selection criterion among the REE
    by Bask , Mikael
  • 2006 Pricing risky bank loans in the new Basel II environment
    by Hasan, Iftekhar & Zazzara, Cristiano
  • 2006 Bubbles in the Finnish and US equities markets
    by Taipalus, Katja
  • 2006 Coherent Measures of Risk from a General Equilibrium Perspective
    by Péter Csóka & Jean-Jacques Herings & László Kóczy
  • 2006 Institutional and Individual Sentiment: Smart Money and Noise Trader Risk
    by Schmeling, Maik
  • 2006 A Prospect-Theoretical Interpretation of Momentum Returns
    by Menkhoff, Lukas & Schmeling, Maik
  • 2006 Tractable Hedging - An Implementation of Robust Hedging Strategies
    by Nicole Branger & Antje Mahayni
  • 2006 Asset price dynamics when behavioural heterogeneity varies
    by Domenico Colucci & Vincenzo Valori
  • 2006 Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy
    by Prasad Bidarkota & Brice Dupoyet
  • 2006 Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe
    by Dutordoir, M.D.R.P. & van de Gucht, L.
  • 2006 Why Do Western European Firms Issue Convertibles Instead of Straight Debt or Equity?
    by Dutordoir, M.D.R.P. & van de Gucht, L.
  • 2006 Bayesian Model Averaging in the Presence of Structural Breaks
    by Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F.
  • 2006 Nonparametric estimation betas in the Market Model
    by Esteban González, María Victoria & Orbe Mandaluniz, Susan
  • 2006 Money illusion and housing frenzies
    by Markus K. Brunnermeier & Christian Julliard
  • 2006 Semiparametric estimation of a characteristic-based factor model of common stock returns
    by Gregory Connor & Oliver Linton
  • 2006 Equilibrium asset pricing with systemic risk
    by Jon Danielsson & Jean-Pierre Zigrand
  • 2006 The Asymmetric Effect Of The Business Cycle On The Relation Between Stock Market Returns And Their Volatility
    by P.N. Smith & S. Sorensen & M.R. Wickens
  • 2006 The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?
    by Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei
  • 2006 The Accrual Anomaly: Risk or Mispricing?
    by Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong
  • 2006 Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers
    by Guerdjikova, Ani
  • 2006 A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition
    by Kiefer, Nicholas M. & Larson, C. Erik
  • 2006 A general formula for the WACC: A correction
    by Fernandez, Pablo
  • 2006 Descensos memorables en las cotizaciones: Telepizza y Boston Chicken
    by Fernandez, Pablo
  • 2006 The equity premium in finance and valuation textbooks
    by Fernandez, Pablo
  • 2006 Creación de valor para los accionistas de Bankinter
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de Repsol
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de Unión Fenosa
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de Endesa
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de Iberdrola
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas del Banco Popular
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de BBVA
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas del Banco Santander
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 Creación de valor para los accionistas de Telefónica
    by Fernandez, Pablo & Carabias, Jose M.
  • 2006 The correct value of tax shields: An analysis of 23 theories
    by Fernandez, Pablo
  • 2006 Euro Stoxx 50: 1997-2005. Shareholder value creation in Europe
    by Fernandez, Pablo & Carabias, Jose M. & Aznarez, Julio & Carbonell, Oscar E.
  • 2006 Rentabilidad y creación de valor para los accionistas de las empresas españolas y del IBEX 35. 1993-2005
    by Fernandez, Pablo & Martinez, Jon
  • 2006 A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets
    by Coeurdacier, Nicolas & Guibaud, Stéphane
  • 2006 Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation
    by Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi
  • 2006 Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering
    by Hammad A. Siddiqi
  • 2006 Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
    by Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse
  • 2006 Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
    by Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse
  • 2006 Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique
    by Kevin Elie Beaubrun-Diant & Julien Matheron
  • 2006 Création de valeur actionnariale et chômage dans un modèle WS-PS
    by Nicolas Piluso
  • 2006 Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
    by Kerstin Bernoth & Guntram Wolff
  • 2006 Indicator and boundaries of financial stability
    by Jan Willem van den End
  • 2006 House Prices and Affordability - A First and Second Look Across Countries
    by Dirk Brounen & Peter Neuteboom & Arjen van Dijkhuizen
  • 2006 Do U.S. Paintings Follow the CAPM? Findings Disaggregated by Subject, Artist, and Value of the Work
    by Richard J. Agnello
  • 2006 On Estimating an Asset's Implicit Beta
    by Sven Husmann & Andreas Stephan
  • 2006 Famille de fonds de pension, performance et persistance de la performance
    by Fabrice Hervé
  • 2006 Les fonds de pension protègent-ils les investisseurs des évolutions du marché?
    by Fabrice Hervé
  • 2006 Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount
    by Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu
  • 2006 The Econometric Analysis of Microscopic Simulation Models
    by Li, Y. & Donkers, A.C.D. & Melenberg, B.
  • 2006 The Convertible Arbitrage Strategy Analyzed
    by Loncarski, I. & Horst, J.R. ter & Veld, C.H.
  • 2006 The Non- and Semiparametric Analysis of MS Models: Some Applications
    by Li, Y. & Donkers, A.C.D. & Melenberg, B.
  • 2006 How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards
    by Renneboog, L.D.R. & Szilagyi, P.G.
  • 2006 Corporate Restructuring and Bondholder Wealth
    by Renneboog, L.D.R. & Szilagyi, P.G.
  • 2006 Aggregation of Heterogeneous Beliefs
    by Napp, Clotilde & Jouini, Elyès
  • 2006 Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs
    by Hua, Cheng
  • 2006 The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship
    by Gresse, Carole & Deville, Laurent & de Séverac, Béatrice
  • 2006 Valuation of default sensitive claims under imperfect information
    by Jeanblanc, Monique & Geman, Hélyette & Coculescu, Délia
  • 2006 Understanding the Fine Structure of Electricity Prices
    by Geman, Hélyette & Roncoroni, Andréa
  • 2006 Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy
    by Troy Davig & Jeffrey R. Gerlach
  • 2006 Extreme Adverse Selection, Competitive Pricing, and Market Breakdown
    by George J. Mailath & Georg Noldeke
  • 2006 Stock-bond correlation and the bond quality ratio: Removing the discount factor to generate a “deflated” stock index
    by Andrea Terzi & Giovanni Verga
  • 2006 New-Keynesian Macroeconomics and the Term Structure
    by Bekaert, Geert & Cho, Seonghoon & Moreno, Antonio
  • 2006 International Stock Return Comovements
    by Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan
  • 2006 Stock and Bond Returns with Moody Investors
    by Bekaert, Geert & Engstrom, Eric & Grenadier, Steve
  • 2006 Risk, Uncertainty and Asset Prices
    by Bekaert, Geert & Engstrom, Eric & Xing, Yuhang
  • 2006 The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
    by Krüger, Dirk & Lustig, Hanno
  • 2006 Intangible Capital, Corporate Valuation and Asset Pricing
    by Danthine, Jean-Pierre & Jin, Xiangrong
  • 2006 Global Private Information in International Equity Markets
    by Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin
  • 2006 Multiplicity in General Financial Equilibrium with Portfolio Constraints
    by Basak, Suleyman & Cass, David & Licari, Juan Manuel & Pavlova, Anna
  • 2006 Optimal Value and Growth Tilts in Long-Horizon Portfolios
    by Jurek, Jakub W & Viceira, Luis M
  • 2006 Predictability in Financial Markets: What Do Survey Expectations Tell Us?
    by Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric
  • 2006 The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
    by Bhamra, Harjoat Singh & Uppal, Raman
  • 2006 Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets
    by Pijoan-Mas, Josep
  • 2006 Asymmetric Information in the Stock Market: Economic News and Co-movement
    by Albuquerque, Rui & Vega, Clara
  • 2006 Hedge Funds: Performance, Risk and Capital Formation
    by Fung, William & Hsieh, David A & Naik, Narayan & Ramadorai, Tarun
  • 2006 The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    by Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica
  • 2006 Valuation in Over-the-Counter Markets
    by Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje
  • 2006 Are the markets for factories and offices integrated? Evidence from Hong Kong?
    by Charles Ka Yui Leung & Peiling Wei & Siu Kei Wong
  • 2006 Are the markets for factories and offices integrated? Evidence from Hong Kong?
    by Charles Ka Yui Leung & Peiling Wei & Siu Kei Wong
  • 2006 Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions
    by Francesco A. Franzoni
  • 2006 Benchmarks in Aggregate Household Portfolios
    by Pascal St-Amour
  • 2006 Bankcruptcy Law and Firms’ Behavior
    by Anne Epaulard & Aude Pommeret
  • 2006 House Prices, Real Estate Returns and the Business Cycle
    by Ivan Jaccard
  • 2006 The Impact of News on Higher Moments
    by Eric Jondeau & Michael Rockinger
  • 2006 The Quality of Public Information and The Term Structure of Interest Rates
    by Frederik Lundtofte
  • 2006 Intangible Capital, Corporate Valuation and Asset Pricing
    by Jean-Pierre Danthine & Xiangrong JIN
  • 2006 What Jump Process to use to Model S&P500 Returns?
    by Maria Semenova
  • 2006 Model Combination and Stock Return Predictability
    by Matthias Hagmann & Joachim Loebb
  • 2006 How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World
    by Lubos Briatka
  • 2006 Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
    by Gregory Connor & Oliver Linton
  • 2006 A Complete Characterization of Pure Strategy Equilibrium in Uniform Price IPO Auctions
    by Ping Zhang
  • 2006 A Multivariate Jump-Driven Financial Asset Model
    by Elisa Luciano & Wim Schoutens
  • 2006 Ambiguity in Asset Markets: Theory and Experiment
    by Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame
  • 2006 Consumption and Expected Asset Returns Without Assumptions About Unobservables
    by Whelan, Karl
  • 2006 Learning, Structural Instability and Present Value Calculations
    by Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A.
  • 2006 Extreme Adverse Selection, Competitive Pricing, and Market Breakdown
    by George J. Mailath & Georg Nöldeke
  • 2006 Threshold Random Walks in the U.S. Stock Market
    by Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis
  • 2006 The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    by Hanno Lustig & Adrien Verdelhan
  • 2006 Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns
    by François Gourio &
  • 2006 Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility
    by George A. Christodoulakis & Stephen E Satchell
  • 2006 Risk in financial reporting: status, challenges and suggested directions
    by Claudio E. V. Borio & Kostas Tsatsaronis
  • 2006 Risk and liquidity in a system context
    by Hyun Song Shin
  • 2006 Macro factors in the term structure of credit spreads
    by Maurizio Luisi & Jeffery D. Amato
  • 2006 The Dog That Did Not Bark: Insider Trading and Crashes
    by Jacques Olivier & José M. Marin
  • 2006 The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    by Lustig, H. & Verdelhan, A.
  • 2006 The CAPM and the risk appetite index; theoretical differences and empirical similarities
    by Marcello Pericoli & Massimo Sbracia
  • 2006 Genetic algorithm estimation of interest rate term structure
    by Ricardo Gimeno & Juan M. Nave
  • 2006 Option-implied preferences adjustments, density forecasts, and the equity risk premium
    by Francisco Alonso & Roberto Blanco & Gonzalo Rubio
  • 2006 House prices and rents in Spain: does the discount factor matter?
    by Juan Ayuso & Fernando Restoy
  • 2006 House prices and real interest rates in Spain
    by Juan Ayuso & Roberto Blanco & Fernando Restoy
  • 2006 Real Interest Rate Risk in the Argentine Banking System. A Measuring Model
    by Verónica Balzarotti
  • 2006 Methodological Alternatives for the Analysis of Financial Constraints in Argentina
    by Pedro Elosegui & Paula Español & Demian Panigo & Juan Sotes Paladino
  • 2006 Peut-on parler de bulle sur le marché immobilier au Luxembourg ?
    by Christophe Blot
  • 2006 L'identité de Fisher et l'interaction entre l'inflation et la rentabilité des actions: l'importance des régimes sous-jacents aux marchés boursiers
    by Abdelaziz Rouabah
  • 2006 The Long-Term Effects of Cross-Listing Investor Recognition, and Ownership Structure on Valuation
    by Michael R. King & Dan Segal
  • 2006 Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
    by Alexander Melnikov & Yuliya Romanyuk
  • 2006 Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
    by Fousseni Chabi-Yo
  • 2006 Can Affine Term Structure Models Help Us Predict Exchange Rates?
    by Antonio Diez de los Rios
  • 2006 Benchmark Index of Risk Appetite
    by Miroslav Misina
  • 2006 UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts
    by Alvaro Cartea & Thomas Williams
  • 2006 An interpretation of an affine term structure model of Chile
    by J.Marcelo Ochoa
  • 2006 ¿Cómo valorar los planes de pensiones del sistema individual en España?
    by Yaiza García Padrón & Juan García Boza
  • 2006 Endogenous incomplete markets, enforcement constraints, and intermediation
    by Abraham, Arpad & Carceles-Poveda, Eva
  • 2006 Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities
    by Mehmet Horasanli
  • 2006 Discussion of "Optimal Debt Service: Straight vs. Convertible Debt"
    by Gunther Friedl
  • 2006 Optimal Debt Service: Straight vs. Convertible Debt
    by Christian Koziol
  • 2006 Estimating the Expected Cost of Equity Capital Usind Analysts’ Consensus Forecasts
    by Holger Daske & Günther Gebhardt & Stefan Klein
  • 2006 The Application of Neural Networks to the Pricing of Credit Derivatives
    by Alessandro Ludovici
  • 2006 Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process
    by Lupu, Radu
  • 2006 Improving liquidity through efficient stock market structure and operational design
    by Jain, Pankaj
  • 2006 A search model of centralized and decentralized trade
    by Jianjun Miao
  • 2006 Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)
    by Sergey Belousov
  • 2006 Management accounting: development in the light of changes of undertaking enviroment and managerial needs
    by Bohumil Král
  • 2006 Eleccion De Portafolio En Presencia De Mercados Iliquidos
    by LUIS FELIPE VARAS GREENE
  • 2006 Portfolio Constraints and Contagion in Emerging Markets
    by Anna Ilyina
  • 2006 The role of equities in corporate finance in Belgium
    by V. Baugnet & G. Wuyts
  • 2006 Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach
    by Rossella Bisignani & Giovanni Masala & Marco Micocci
  • 2006 The Disappearing Calendar Anomalies in the Singapore Stock Market
    by Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong
  • 2006 The Bond Yield "Conundrum" from a Macro-Finance Perspective
    by Glenn D. Rudebusch & Eric T. Swanson & Tao Wu
  • 2006 Financial Market Functioning and Monetary Policy: Japanfs Experience
    by Naohiko Baba
  • 2006 Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
    by Bauwens, Luc
  • 2006 Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos
    by Arturo Lorenzo Valdés
  • 2006 Measuring Investors' Risk Appetite
    by Prasanna Gai & Nicholas Vause
  • 2006 Irreversibility and Interest Rates
    by Giuseppe Travaglini
  • 2006 Sensibilidad de los rendimientos sectoriales a tipos de interés reales e inflación
    by Francisco Jareño Cebrián
  • 2006 Análisis del origen de los beneficios del momentum en el mercado de valores español
    by Carlos Forner Rodríguez & Joaquín Marhuenda Fructuoso
  • 2006 Option Pricing with Long-Short Spreads
    by Pengguo wang
  • 2006 Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)
    by Jan Brùha & Alexis Derviz
  • 2006 The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)
    by Yeliz Yalcin & Eray M. Yycel
  • 2006 A Behavioural Finance Explanation of a Gearing-ß Inverse Association Referencing Weill’s Liquidity Result (in English)
    by Edward J. Lusk & Michael HALPERIN & Li Yue
  • 2006 Flutuações nos preços dos ativos: uma comparação entre as bolhas especulativas racionais e a contribuição keynesiana
    by Curado, Marcelo
  • 2006 Testing Technical Anomalies in Athens Stock Exchange (ASE)
    by Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou
  • 2006 A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
    by Jorge H. del Castillo-Spíndola
  • 2006 Una aproximación al sesgo de medición del precio de las computadoras personales en México
    by Carlos Guerrero de Lizardi
  • 2006 A Simple Stock Market Model Involving Delay
    by Jan Melecký
  • 2006 Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market
    by Ken Hung & Chang-Wen Duan & Chin W. Yang
  • 2006 Global Versus Regional Systematic Risk and International Asset Allocations in Asia
    by Priscilla Swartz
  • 2006 Asset Pricing Simultaneities: Phases and Patterns
    by Robert D. Coleman
  • 2006 Intégration technologique et valeur boursière des firmes de biotechnologies
    by Lionel Nesta & Pier-Paolo Saviotti
  • 2006 Innovation and Stock Prices: a Review of some Recent Work
    by Mariana Mazzucato
  • 2006 The structure of housing finance markets and house prices in Asia
    by Haibin Zhu
  • 2006 Derivatives activity and monetary policy
    by Christian Upper
  • 2006 Risk premia across asset markets: information from option prices
    by Nikola Tarashev & Kostas Tsatsaronis
  • 2006 Bubble, Bubble, Where's the Housing Bubble?
    by Margaret Hwang Smith & Gary Smith
  • 2006 Are house prices in the USA and Europe sustainable?
    by Moëc, G.
  • 2006 Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement
    by DANIEL, L. & MANAS, A.
  • 2006 La gestion des réserves de change et ses conséquences pour les marchés
    by LAGERBLOM, A. & LEVY-RUEFF, G.
  • 2006 La soutenabilité des prix de l’immobilier aux États-Unis et en Europe
    by MOËC, G.
  • 2006 An Examination of the Time Variation in Systematic Risk on the Stock Exchange of Mauritius
    by Sunil Bundoo
  • 2006 Macroeconomic Factors and the Ghana Stock Market
    by Kofi A. Osei
  • 2006 An Investigation of the Size and Value Premium on the Stock Exchange of Mauritius
    by Sunil K. Bundoo
  • 2005 Fundamental Uncertainties and Firm-level Stock Volatilities
    by Yang Yu
  • 2005 Option pricing with sparse grids
    by Thomas Mertens
  • 2005 Bond Yield Predictability and Estimation of Affine Term Structure Models
    by Bovorn Vichiansin
  • 2005 Noisy Earnings Reports and the Equity Premium
    by Gorkem Ozer & Paul Beaumont
  • 2005 The Temptation of Emergence or: Don't Rush into Economic(al) Explanations
    by Norman Ehrentreich
  • 2005 Commercial Mortgage Backed Securities: How Much Subordination is Enough?
    by Nancy Wallace & Chris Downing
  • 2005 Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control
    by Sel Dibooglu & Turalay Kenc
  • 2005 Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations
    by Wolfgang Lemke
  • 2005 Financial markets with heterogeneous agents as nonlinear news filters
    by Cees Diks
  • 2005 Heterogeneity, Profitability and Autocorrelations
    by Youwei Li & Xue-Zhong (Tony) He
  • 2005 Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
    by Christoph Schleicher & Matthew Hurd & Mark Salmon
  • 2005 Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?
    by Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang
  • 2005 Long Memory, Heterogeneity, and Trend Chasing
    by Youwei Li & Xue-Zhong He
  • 2005 A Quantitative Model of Competitive Asset Pricing Under Private Information
    by Martin Schneider & Juan Carlos Hatchondo & Per Krusell
  • 2005 Amplification and Asymmetry in Crashes and Frenzies
    by Han N. Ozsoylev
  • 2005 Price, Trade Size, and Information Revelation in Multi-Period Securities Markets
    by Han N. Ozsoylev & Shino Takayama
  • 2005 Innovation and Idiosyncratic Risk: an Industry & Firm Level Analysis
    by Mariana Mazzucato & Massimiliano Tancioni
  • 2005 Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison
    by Ping Zhang
  • 2005 Option Pricing by Students and Professional Traders: A Behavioural Investigation
    by KLAUS ABBINK & BETTINA ROCKENBACH
  • 2005 Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?
    by Lundtofte, Frederik
  • 2005 Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy
    by Lundtofte, Frederik
  • 2005 Commodities and commodity derivatives : modeling and pricing for agriculturals, metals and energy
    by Geman, Hélyette
  • 2005 Equilibrium Pricing in Incomplete Markets
    by Bizid, Abdelhamid & Jouini, Elyès
  • 2005 Arbitrage and state price deflators in a general intertemporal framework
    by Napp, Clotilde & Jouini, Elyès
  • 2005 Asset Returns and Business Cycles in Models with Investment Adjustment Cost
    by Beaubrun-Diant, Kevin & Tripier, Fabien
  • 2005 From Measure Changes to Time Changes in Asset Pricing
    by Geman, Hélyette
  • 2005 Uniform Price Auction and Fixed Price Offerings in IPO: An Experimental Comparison
    by Ping Zhang
  • 2005 Option Pricing by Students and Professional Traders: A Behavioural Investigation
    by KLAUS ABBINK & BETTINA ROCKENBACH
  • 2005 Feasible Momentum Strategies - Evidence from the Swiss Stock Market
    by David Rey & Markus M. Schmid
  • 2005 Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies
    by
  • 2005 Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form
    by Scott Gilbert & Petr Zemík
  • 2005 Choosing Business Risk Measures
    by Popescu, Nela
  • 2005 Market Value and Patent Citations
    by Bronwyn H. Hall & Adam Jaffe & Manuel Trajtenberg
  • 2005 Trade Opening and the Behavior of Emerging Stock Market Prices
    by Basu, Parantap & R. Morey, Matthew
  • 2005 Signalling effects of a large player in a global game of creditor coordination
    by Schüle, Tobias & Stadler, Manfred
  • 2005 On the cost of delayed currency fixing announcements
    by Becker, Christoph & Wystup, Uwe
  • 2005 Stock returns and expected business conditions: Half a century of direct evidence
    by Campbell, Sean D. & Diebold, Francis X.
  • 2005 Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    by Haas, Markus & Mittnik, Stefan & Mizrach, Bruce
  • 2005 A framework for exploring the macroeconomic determinants of systematic risk
    by Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin
  • 2005 A noise trader model as a generator of apparent financial power laws and long memory
    by Alfarano, Simone & Lux, Thomas
  • 2005 A "wreckers theory" of financial distress
    by von Kalckreuth, Ulf
  • 2005 Consumption, wealth and business cycles: why is Germany different?
    by Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim
  • 2005 Why Do Individual Investors Hold Under-Diversified Portfolios?
    by WILLIAM N. GOETZMANN & ALOK KUMAR
  • 2005 The Theory of Monetary Aggregation (book front matter)
    by William Barnett & Apostolos Serletis & W. Erwin Diewert
  • 2005 Forecast Design in Monetary Capital Stock Measurement
    by William Barnett & Unja Chae & John Keating
  • 2005 The Discounted Economic Stock of Money with VAR Forecasting
    by William Barnett & Unja Chae & John Keating
  • 2005 Monetary Aggregation
    by William Barnett
  • 2005 A learning hypothesis of the term structure of interest rates
    by Balázs Romhányi
  • 2005 Structural versus Temporary Drivers of Country and Industry Risk
    by Lieven Baele & Koen Inghelbrecht
  • 2005 International equity flows and returns: a quantitative equilibrium approach
    by Rui Albuquerque & Gregory H. Bauer & Martin Schneider
  • 2005 Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?
    by Jian Wang
  • 2005 The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
    by Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou
  • 2005 A Wavelet Analysis of MENA Stock Markets
    by Marco Gallegati
  • 2005 Securities Markets And Social Capital Integration In Africa: Risks And Policy Options
    by GODWIN NWAOBI
  • 2005 Expectations, Bond Yields and Monetary Policy
    by Albert Lee Chun
  • 2005 Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)
    by Anthony Murphy & Marwan Izzeldin
  • 2005 Valuing defaultable bonds: an excursion time approach
    by Martina Nardon
  • 2005 Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
    by Sascha Mergner & Jan Bulla
  • 2005 Implied Calibration of Stochastic Volatility Jump Diffusion Models
    by Stefano Galluccio & Yann Le Cam
  • 2005 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
    by Alessandro Sansone & Giuseppe Garofalo
  • 2005 Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
    by Sascha Mergner
  • 2005 Dynamic State Tameness
    by Jaime Londoño
  • 2005 A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes
    by Shino Takayama & Han Ozsoylev
  • 2005 Modelling International Bond Markets with Affine Term Structure Models
    by Georg Mosburger & Paul Schneider
  • 2005 On Risk Premia and Volatility Transmission Across the Stock and Bond Markets
    by Francis Vitek
  • 2005 A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?
    by Fatih Guvenen
  • 2005 Correlation Dynamics in European Equity Markets
    by Colm Kearney & Valerio Poti
  • 2005 Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data
    by Silvio John Camilleri
  • 2005 The Impact of the Suspension of Opening and Closing Call
    by Silvio John Camilleri & Christopher J. Green
  • 2005 Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
    by Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou
  • 2005 An Exploration of Asset Returns in a Production Economy with Relative Habits
    by Santiago Budria
  • 2005 An empirical analysis of structural models of corporate debt pricing
    by Joao C. A. Teixeira
  • 2005 An Analysis of the Impacts of Non-Synchronous Trading On
    by Silvio John Camilleri & Christopher J. Green
  • 2005 From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
    by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil
  • 2005 Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates
    by Ayla Ogus
  • 2005 Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
    by Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou
  • 2005 International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
    by Stefano d'Addona & Axel H. Kind
  • 2005 Discount Rates in Emerging Capital Markets
    by Samuel Mongrut Montalván & Didac Ramírez Sarrió
  • 2005 A Double Auction Market with Signals of Varying Precision
    by Carl Plat
  • 2005 Functional Structure and Approximation in Econometrics (book front matter)
    by William A. Barnett & Jane Binner & W. Erwin Diewert
  • 2005 The Price-Dividend Relationship In Inflationary And Deflationary Regimes
    by Jakob Madsen & Costas Milas
  • 2005 Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
    by Leo Krippner
  • 2005 Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
    by Leo Krippner
  • 2005 An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    by Leo Krippner
  • 2005 An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    by Leo Krippner
  • 2005 Assessing Credit with Equity: A CEV Model with Jump to Default
    by Luciano Campi & Simon Polbennikov & Sbuelz
  • 2005 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He
  • 2005 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
    by Carl Chiarella & Hing Hung & Thuy-Duong To
  • 2005 Long Memory, Heterogeneity and Trend Chasing
    by Xue-Zhong He & Youwei Li
  • 2005 Information Quality and Stock Returns Revisited
    by Frode Brevik & Stefano d'Addona
  • 2005 Efficient Derivative Pricing by Extended Method of Moments
    by Patrick Gagliardini & C. Gourieroux & E. Renault
  • 2005 Portable alphas from pension mispricing
    by José M. Marín & Francesco Franzoni
  • 2005 A note on the Malliavin differentiability of the Heston volatility
    by Elisa Alòs & Christian-Olivier Ewald
  • 2005 Pension plan funding and stock market efficiency
    by Francesco Franzoni & José M. Marín
  • 2005 The weekend trading profitability: evidence from international mutual funds
    by Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert
  • 2005 International Capital Flows, Financial Stability and Growth
    by Graciela L. Kaminsky
  • 2005 New-Keynesian Macroeconomics and the Term Structure
    by Seonghoon Cho & Antonio Moreno & Geert Bekaert
  • 2005 An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market
    by Alar Kein
  • 2005 Expectations structure in asset pricing experiments
    by Giulio Bottazzi & Giovanna Devetag
  • 2005 Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraint
    by Ortalo-Magné, François & Rady, Sven
  • 2005 Expectations, Bond Yields and Monetary Policy
    by Albert Lee Chun
  • 2005 Innovation and Idiosyncratic Risk
    by Mariana Mazzucato & Massimiliano Tancioni
  • 2005 Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach
    by Eymen Errais & Jeffrey Sadowsky
  • 2005 Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
    by Kris Jacobs & Stephane Pallage & Michel A. Robe
  • 2005 A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance
    by Matt Pritsker
  • 2005 Optimal Capital Structure and the Term Structure of Interest Rates
    by Xin Wang & Chris Downing
  • 2005 Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies
    by Giulio Bottazzi & Mikhail Anufriev
  • 2005 TIPS: Taking Inflation Premium Seriously
    by Min Wei & Stefania D'Amico & Don H. Kim
  • 2005 Agency Conflicts, Investment, and Asset Pricing
    by Neng Wang & Rui Albuquerque
  • 2005 The Futures Pricing Puzzle
    by Shafiqur Rahman & M. Shahid Ebrahim
  • 2005 The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective
    by Tao Wu & Glenn Rudebusch
  • 2005 Financial Development and Property Valuation
    by Sikandar Hussain & M. Shahid Ebrahim
  • 2005 Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns
    by Mathias Hoffmann
  • 2005 Evolution with Individual and Social Learning in an Agent-Based Stock Market
    by Ryuichi YAMAMOTO
  • 2005 Bubbles, Can We Spot Them? Crashes, Can We Predict Them?
    by Gee Kwang Randolph Tan & Xiao Qin
  • 2005 Estimating the Stochastic Discount Factor without a Utility Function
    by Fabio Araujo & Joao Victor Issler
  • 2005 Asset Pricing and Loss Aversion
    by Willi Semmler & Lars Grüne
  • 2005 Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach
    by Eymen Errais & Fabio Mercurio
  • 2005 Multi-period CAPM with Heterogeneous Agents
    by Hendri Adriaens & Bertrand Melenberg
  • 2005 Extreme Value Theory and Fat Tails in Equity Markets
    by Ritirupa Samanta & Blake LeBaron
  • 2005 Term structure estimation without using latent factors
    by Greg Duffee
  • 2005 Amplification and Asymmetry in Crashes and Frenzies
    by Han N. Ozsoylev
  • 2005 Price, Trade Size, and Information Revelation in Multi-Period Securities Markets
    by Han N. Ozsoylev & Shino Takayama
  • 2005 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
    by Giuseppe Garofalo & Alessandro Sansone
  • 2005 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
    by Andreas Humpe & Peter D. Macmillan
  • 2005 Credit Market Development, Economic Performance and Business Cycle Volatility
    by Caterina Mendicino
  • 2005 Ambiguity, Information Quality and Asset Pricing
    by Larry Epstein & Martin Schneider
  • 2005 Monetary Policy and the Term Structure of Interest Rates
    by Juha Seppala & Federico Ravenna
  • 2005 Information Acquisition and Portfolio Underdiversification
    by Laura Veldkamp & Stijn Van Nieuwerburgh
  • 2005 A Search-Based Theory of the On-the-Run Phenomenon
    by Pierre-Olivier Weill & Dimitri Vayanos
  • 2005 Keeping Up with the Joneses: Evidence from Micro Data
    by Enrichetta Ravina
  • 2005 Euler Equation Errors
    by Sydney C. Ludvigson & Martin Lettau
  • 2005 Asset Prices and Asset Correlations in Illiquid Markets
    by Alessio Caldarera & Celso Brunetti
  • 2005 Search Frictions and Asset Price Volatility
    by B. Ravikumar & Enchuan Shao
  • 2005 No-Arbitrage Taylor Rules
    by Andrew Ang & Sen Dong
  • 2005 Human Capital Risk, Stockholder Consumption, and Asset Returns
    by Christopher Malloy & Tobias Moskowitz
  • 2005 The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street
    by Stijn Van Nieuwerburgh & Hanno Lustig
  • 2005 Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach
    by Lorenzo Cappiello & Nikolaos Panigirtzoglou
  • 2005 Size Matters: Covariance Matrix Estimation Under the Alternative
    by Jason Allen
  • 2005 Around-the-Clock Media Coverage and the Timing of Earnings Announcements
    by Bagnoli, Mark & Clement, Michael & Watts, Susan G.
  • 2005 Interview with Kenneth Arrow
    by Dubra, Juan
  • 2005 Arbitrage pricing theory: evidence from an emerging stock market
    by Iqbal, Javed & Haider, Aziz
  • 2005 Two Essays on Self-Tender Offers
    by Gray, W
  • 2005 Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I
    by Magni, Carlo Alberto
  • 2005 Firm Value and the mis-use of the CAPM for valuation and decision making
    by Magni, Carlo Alberto
  • 2005 Firm Value and the mis-use of the CAPM for valuation and decision making
    by Magni, Carlo Alberto
  • 2005 Investor Overconfidence and the Forward Discount Puzzle
    by Han, Bing & Hirshleifer, David & Wang, Tracy
  • 2005 Theoretical Flaws In The Use Of The Capm For Investment Decisions
    by Magni, Carlo Alberto
  • 2005 Hedging with Foreign-listed Single Stock Futures
    by Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan
  • 2005 Higher-order volatility
    by Carey, Alexander
  • 2005 A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
    by Marcello, Pericoli & Marco, Taboga
  • 2005 Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997
    by Simarmata, Djamester A.
  • 2005 Is Your Bubble About to Burst?
    by Tatom, John
  • 2005 Liquidity and Asset Prices
    by Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje
  • 2005 Options valuation
    by ilya, gikhman
  • 2005 The determinants of the Harare Stock Exchange (HSE) market capitalisation
    by Ilmolelian, Peter
  • 2005 Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
    by Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K.
  • 2005 Valoración de flujos de caja en inflación. El caso de la regulación en el Banco Mundial
    by Vélez-Pareja, Ignacio
  • 2005 On decomposing net final values: EVA, SVA, and shadow project
    by Magni, Carlo Alberto
  • 2005 L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options
    by Francois-Éric Racicot & Raymond Théoret
  • 2005 De l'évaluation du risque de crédit
    by Francois-Éric Racicot & Raymond Théoret
  • 2005 Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices
    by Francois-Éric Racicot & Raymond Théoret
  • 2005 Ex-dividend pricing, taxes and arbitrage opportunities: the case of the Portuguese stock exchange
    by Jorge Farinha & Miguel Sôro
  • 2005 Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    by Sean D. Campbell & Francis X. Diebold
  • 2005 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu
  • 2005 Financial Dollarization and the Size of the Fear
    by Juan Castro & Eduardo Morón
  • 2005 The Monotonicity of Asset Prices with Changes in Risk
    by Masamitsu Ohnishi & Yusuke Osaki
  • 2005 Dependent Background Risks and Asset Prices
    by Yusuke Osaki
  • 2005 New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model
    by Kin Lam & May Chun Mei Wong & Wing-Keung Wong
  • 2005 La flexibilidad como creadora de valor. El caso de una explotaci¢n forestal en Portugal
    by Alonso Bonis, Susana & Vallelado Gonz lez, Eleuterio & Henriques Xavier, Jos‚ Manuel
  • 2005 International Stock Return Comovements
    by Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang
  • 2005 CAPM Over the Long Run: 1926-2001
    by Andrew Ang & Joseph Chen
  • 2005 Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
    by Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge
  • 2005 Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
    by Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron
  • 2005 Demand-Based Option Pricing
    by Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman
  • 2005 The Myth of Long-Horizon Predictability
    by Jacob Boudoukh & Matthew Richardson & Robert Whitelaw
  • 2005 Downside Risk
    by Andrew Ang & Joseph Chen & Yuhang Xing
  • 2005 Cash-Flow Risk, Discount Risk, and the Value Premium
    by Tano Santos & Pietro Veronesi
  • 2005 Tax Changes and Asset Pricing: Time-Series Evidence
    by Clemens Sialm
  • 2005 Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
    by Sean D. Campbell & Francis X. Diebold
  • 2005 Institutional Investors and Stock Market Volatility
    by Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley
  • 2005 Macro Factors in Bond Risk Premia
    by Sydeny C. Ludvigson & Serena Ng
  • 2005 Banking System Stability: A Cross-Atlantic Perspective
    by Philipp Hartmann & Stefan Straetmans & Casper G. De Vries
  • 2005 Euler Equation Errors
    by Martin Lettau & Sydney C. Ludvigson
  • 2005 Futures Prices in a Production Economy with Investment Constraints
    by Leonid Kogan & Dmitry Livdan & Amir Yaron
  • 2005 The Only Game in Town: Stock-Price Consequences of Local Bias
    by Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein
  • 2005 Momentum Profits and Macroeconomic Risk
    by Laura X.L. Liu & Jerold B. Warner & Lu Zhang
  • 2005 The Empirical Risk-Return Relation: A Factor Analysis Approach
    by Sydney C. Ludvigson & Serena Ng
  • 2005 Investment-Based Underperformance Following Seasoned Equity Offerings
    by Evgeny Lyandres & Le Sun & Lu Zhang
  • 2005 The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study
    by Alan J. Auerbach & Kevin A. Hassett
  • 2005 Optimal Trading Strategy and Supply/Demand Dynamics
    by Anna Obizhaeva & Jiang Wang
  • 2005 Multifrequency News and Stock Returns
    by Laurent E. Calvet & Adlai J. Fisher
  • 2005 Wealth Transfers, Contagion, and Portfolio Constraints
    by Anna Pavlova & Roberto Rigobon
  • 2005 Liquidity and Expected Returns: Lessons From Emerging Markets
    by Geert Bekaert & Campbell R. Harvey & Christian Lundblad
  • 2005 Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    by John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho
  • 2005 Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
    by Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang
  • 2005 The Value Spread as a Predictor of Returns
    by Naiping Lu & Lu Zhang
  • 2005 Expected Returns, Yield Spreads, and Asset Pricing Tests
    by Murillo Campello & Long Chen & Lu Zhang
  • 2005 Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
    by Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger
  • 2005 The Tactical and Strategic Value of Commodity Futures
    by Claude B. Erb & Campbell R. Harvey
  • 2005 Systemic Risk and Hedge Funds
    by Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo
  • 2005 Explaining Returns with Cash-Flow Proxies
    by Peter Hecht & Tuomo Vuolteenaho
  • 2005 A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
    by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu
  • 2005 The Term Structure of the Risk-Return Tradeoff
    by John Y. Campbell & Luis Viceira
  • 2005 Bank-Tax Conformity for Corporate Income: An Introduction to the Issues
    by Michelle Hanlon & Terry Shevlin
  • 2005 Consumption Risk and the Cost of Equity Capital
    by Ravi Jagannathan & Yong Wang
  • 2005 Weak and Semi-Strong Form Stock Return Predictability Revisited
    by Wayne E. Ferson & Andrea Heuson & Tie Su
  • 2005 Mimicking Portfolios with Conditioning Information
    by Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu
  • 2005 Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis
    by Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho
  • 2005 Financial intermediation theory and implications for the sources of value in structured finance markets
    by Janet Mitchell
  • 2005 Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
    by BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda
  • 2005 Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
    by BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda
  • 2005 Is systematic downside beta risk really priced? Evidence in emerging market data
    by Don U.A. Galagedera & Robert D. Brooks
  • 2005 Revisiting Calender Anomolies in Asian Stock Markets Using a Stochastic Dominance Approach
    by Lean Hooi Hooi & Wong Wing Keung & Russell Smyth
  • 2005 Market Arbitrage of Cash Dividends and Franking Credits
    by D. Beggs & C.L. Skeels
  • 2005 Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect
    by O.T. Henry & S. Suardi
  • 2005 Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics
    by Olan T. Henry & Nilss Olekalns & Sandy Suardi
  • 2005 Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
    by Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D.
  • 2005 The equity premium puzzle and decreasing relative risk aversion
    by M. J. Roche
  • 2005 House Prices in Australia - 1970 to 2003 - Facts and Explanations
    by Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung
  • 2005 Default Risk in Corporate Yield Spreads
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2005 Price Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum
    by Marie-Claude Beaulieu & Jean-Claude Cosset & Naceur Essaddam
  • 2005 Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints (Revised Version)
    by Ortalo-Magné, François & Rady, Sven
  • 2005 Direct Preference for Wealth in Aggregate Household Portfolio
    by Pascal St-Amour
  • 2005 Heterogeneous Risk Attitudes in a Continuous-Time Model
    by Chiaki Hara
  • 2005 Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model
    by Günter Franke & Erik Lüders
  • 2005 The price-dividend relationship in inflationary and deflationary regimes
    by Jakob B Madsen & Costas Milas
  • 2005 The Term Structure of Interest Rates under Regime Shifts and Jumps
    by Shu Wu & Yong Zeng
  • 2005 Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets
    by Shu Wu
  • 2005 Forecast Design in Monetary Capital Stock Measurement
    by William Barnett & Unja Chae & John Keating
  • 2005 The Discounted Economic Stock of Money with VAR Forecasting
    by William Barnett & Unja Chae & John Keating
  • 2005 Monetary Aggregation
    by William Barnett
  • 2005 Estudio Del Efecto Informativo Del Anuncio De Beneficios Trimestrales
    by Begoña Herrero & Ana María Ibáñez & Constantino José García
  • 2005 A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options
    by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.
  • 2005 A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps
    by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.
  • 2005 Predictability and Habit Persistence
    by Collard, Fabrice & Fève, Patrick & Ghattassi, Imen
  • 2005 Calibrating risk-neutral default correlation
    by Elisa Luciano
  • 2005 Duality and Derivative Pricing with Time-Changed Lévy Processes
    by José Fajardo & Ernesto Mordecki
  • 2005 Duality and Derivative Pricing with Lévy Processes
    by José Fajardo & Ernesto Mordecki
  • 2005 Simulación eficiente del valor de riesgo de un portafolio de acciones del IPSA: Un análisis de componentes principales
    by Karoline Terán Matamoros & Oscar Molina Tejerina
  • 2005 The Impact of Industry Classification Schemes on Financial Research
    by Christian Weiner
  • 2005 Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
    by Imen Bentahar & Bruno Bouchard
  • 2005 Dynamics of State Price Densities
    by Wolfgang Härdle & Zdenek Hlavka
  • 2005 A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    by Matthias Fengler & Wolfgang Härdle & Enno Mammen
  • 2005 Arbitrage-Free Smoothing of the Implied Volatility Surface
    by Matthias R. Fengler
  • 2005 FFT Based Option Pricing
    by Szymon Borak & Kai Detlefsen & Wolfgang Härdle
  • 2005 Implied Trinomial Trees
    by Pavel Cizek & Karel Komorad
  • 2005 Equity Valuation in Mainland China and Hong Kong: The Chinese A-H Share Premium
    by Zhijun Zhao & Yue Ma & Yuhui Liu
  • 2005 Modelling High Frequency Financial Count Data
    by Quoreshi, Shahiduzzaman
  • 2005 Bivariate Time Series Modelling of Financial Count Data
    by Quoreshi, Shahiduzzaman
  • 2005 C-CAPM without Ex Post Data
    by Söderlind, Paul
  • 2005 Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
    by Amilon, Henrik
  • 2005 Tax-adjusted discount rates with investor taxes and risky debt
    by Cooper, Ian A. & Nyborg, Kjell G.
  • 2005 The value of tax shields IS equal to the present value of tax shields
    by Cooper, Ian A. & Nyborg, Kjell G.
  • 2005 Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
    by Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A.
  • 2005 On the Timing Option in a Futures Contract
    by Björk, Tomas & Biagini, Francesca
  • 2005 Quadratic Portfolio Credit Risk models with Shot-noise Effects
    by Gaspar, Raquel M. & Schmidt, Thorsten
  • 2005 Correlation Between Intensity and Recovery in Credit Risk Models
    by Gaspar, Raquel M. & Slinko, Irina
  • 2005 On the Predictability of Global Stock Returns
    by Hjalmarsson, Erik
  • 2005 Asset Pricing with Incomplete Information under Stable Shocks
    by Prasad V. Bidarkota & Brice V. Dupoyet & J. Huston McCulloch
  • 2005 Risk Premia in Forward Foreign Exchange Markets: A Comparison of Signal Extraction and Regression Methods
    by Prasad V. Bidarkota
  • 2005 Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
    by Kjell G. Nyborg & Ulrich Bindseil & Ilya A. Strebulaev
  • 2005 Knowledge and Productivity in the World's Largest Manufacturing Corporations Level:Panel Data analysis on Compustat and Patent data
    by Lionel Nesta
  • 2005 Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
    by Michael Rockinger & Maria Semenova
  • 2005 Monte Carlo Simulations for Real Estate Valuation
    by Martin Hoesli & Elion Jani & André Bender
  • 2005 Trading Volumes in Dynamically Efficient Markets
    by Tony Berrada & Julien Hugonnier & Marcel Rindisbacher
  • 2005 Growth Options in General Equilibrium: Some Asset Pricing Implications
    by Julien Hugonnier & Erwan Morellec & Suresh Sundaresan
  • 2005 Direct Preference Wealth in Aggregate Household Portfolios
    by Pascal St-Amour
  • 2005 Indirect Robust Estimation of the Short-term interest Rate Process
    by Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti
  • 2005 Are European Corporate Bond and Default Swap Markets Segmented?
    by Didier Cossin & Hongze Lu
  • 2005 Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
    by Eric Jondeau & Michael Rockinger
  • 2005 Theory and Calibration of Swap Market Models
    by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet
  • 2005 Default Recovery Values and Implied Default Probabilities Estimations: Evidence from the Argentinean Crisis
    by Ramiro Sosa Navarro
  • 2005 Modeling Conditional Skewness in Stock Returns
    by Markku Lanne & Pentti Saikkonen
  • 2005 Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment
    by Andrea Morone
  • 2005 A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions
    by Post, G.T.
  • 2005 Wanted: A Test for FSD Optimality of a Given Portfolio
    by Post, G.T.
  • 2005 Testing for Stochastic Dominance Efficiency
    by Post, G.T. & Linton, O. & Whang, Y-J.
  • 2005 How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area
    by Moerman, G.A.
  • 2005 Consumer Confidence and Yield Spreads in Europe
    by Ferreira García, María Eva & Rubio Irigoyen, Gonzalo & Martínez, María Isabel & Navarro, Eliseo
  • 2005 Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts
    by Rubio Irigoyen, Gonzalo & Alonso, Francisco & Blanco, Roberto
  • 2005 Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities
    by Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo
  • 2005 The Relationship between Risk and Expected Return in Europe
    by Nave, Juan & Rubio Irigoyen, Gonzalo & León, Angel
  • 2005 Simulated nonparametric estimation of dynamic models with applications to finance
    by Filippo Altissimo & Antonio Mele
  • 2005 Labor and the market value of the firm
    by Monika Merz & Eran Yashiv
  • 2005 Valuing companies with a fixed book-value leverage ratio
    by Fernandez, Pablo
  • 2005 The value of tax shields depends only on the net increases of debt
    by Fernandez, Pablo
  • 2005 The value of tax shields with a fixed book-value leverage ratio
    by Fernandez, Pablo
  • 2005 Financial literature about discounted cash flow valuation
    by Fernandez, Pablo
  • 2005 Discounted cash flow valuation methods: Examples of perpetuities, constant growth and general case
    by Fernandez, Pablo
  • 2005 Rentabilidad y creación de valor para los accionistas de las empresas españolas y del Ibex 35. 1992-2004
    by Fernandez, Pablo & Villanueva, Alvaro
  • 2005 La prima de riesgo del mercado (market risk premium)