Report NEP-FMK-2011-11-21This 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:
- Gabriel Desgranges & Stéphane Gauthier, 2011. "Privileged information exacerbates market volatility," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639813, HAL.
- Item repec:ros:wpaper:121 is not listed on IDEAS anymore
- Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
- Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou, 2011. "Stock return predictability and variance risk premia: statistical inference and international evidence," Finance and Economics Discussion Series 2011-52, Board of Governors of the Federal Reserve System (U.S.).
- Argimiro Arratia & Alejandra Caba\~na, 2011. "Tracing the temporal evolution of clusters in a financial stock market," Papers 1111.3127, arXiv.org.
- Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity," MPRA Paper 34725, University Library of Munich, Germany.
- Wassim Daher & Fida Karam & Leonard J. Mirman, 2011. "Insider Trading with Different Market Structures," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639657, HAL.
- Vladimir Vovk, 2011. "A simplified Capital Asset Pricing Model," Papers 1111.2846, arXiv.org.
- Subhani, Muhammad Imtiaz & Hasan, Dr. Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011. "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper 34737, University Library of Munich, Germany, revised 2011.
- Masahiro Inoguchi, 2011. "Stock Prices Of Domestic Banking Sector And External Shocks In East Asia," Asia Pacific Economic Papers 393, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
- Marie-Noëlle Calès & Dominique Chabert & Walid Hichri & Nadège Marchand, 2011. "The reform of European securities settlement systems : Towards an integrated financial market," Post-Print halshs-00639957, HAL.
- Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong, 2011. "The financial stress index: identification of systemic risk conditions," Working Paper 1130, Federal Reserve Bank of Cleveland.
- Dominique Guegan & Bertrand Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00639484, HAL.