Report NEP-FMK-2010-07-03This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Malhotra, Karan, 2010. "Autoregressive multifactor APT model for U.S. Equity Markets," MPRA Paper 23418, University Library of Munich, Germany.
- NorbÃ¤ck, Pehr-Johan & Persson, Lars & TÃ¥g, Joacim, 2010. "Ownership Efficiency and Tax Advantages: The Case of Private Equity Buyouts," Working Paper Series, Research Institute of Industrial Economics 841, Research Institute of Industrial Economics.
- Yoshihiko Sugihara & Nobuyuki Oda, 2010. "An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes," IMES Discussion Paper Series 10-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Vera Popva, 2010. "What renders financial advisors less treacherous? - On commissions and reciprocity -," Jena Economic Research Papers 2010-036, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
- Myong-Il Kang, 2010. "Can the Consumption-Free Nonexpected Utility Model Solve the Risk PremiumPuzzle? An Empirical Study of the Japanese Stock Market," ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 0783, Institute of Social and Economic Research, Osaka University.
- DÃ¶tz, Niko & Fischer, Christoph, 2010. "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Discussion Paper Series 1: Economic Studies 2010,11, Deutsche Bundesbank, Research Centre.
- Satoshi Yamashita & Toshinao Yoshiba, 2010. "Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value," IMES Discussion Paper Series 10-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
- Jesus Sierra, 2010. "International Capital Flows and Bond Risk Premia," Working Papers, Bank of Canada 10-14, Bank of Canada.
- Thomas Breuer & Martin JandaÄka & Javier MencÃa & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Banco de Espaï¿½a Working Papers 1018, Banco de Espaï¿½a.
- Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies 2010,09, Deutsche Bundesbank, Research Centre.
- Scott H. Irwin & Dwight R. Sanders, 2010. "The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results," OECD Food, Agriculture and Fisheries Papers 27, OECD Publishing.
- Bernd Hayo & Matthias Neuenkirch, 2010. "Bank of Canada Communication, Media Coverage, and Financial Market Reactions," MAGKS Papers on Economics, Philipps-UniversitÃ¤t Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201020, Philipps-UniversitÃ¤t Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Zuzana Fungacova & Laurent Weill, 2010. "How Market Power Influences Bank Failures Evidence from Russia," Working Papers of LaRGE Research Center 2010-08, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.