Report NEP-FMK-2011-12-19This 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:
- Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, School of Economics and Management, University of Aarhus.
- Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1035, Board of Governors of the Federal Reserve System (U.S.).
- Carbo Valverde, S. & Degryse, H.A. & Rodriguez-Fernandez, F., 2011. "Lending relationships and credit rationing: the impact of securitization," Discussion Paper, Tilburg University, Center for Economic Research 2011-128, Tilburg University, Center for Economic Research.
- Seema Narayan & Paresh Kumar Narayan, 2011. "Did the US macroeconomic conditions affect Asian stock markets?," Financial Econometics Series 2011_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Nuno Soares & Andrew W. Stark, 2011. "Is there an accruals or a cash flow anomaly in UK stock returns?," CEF.UP Working Papers 1107, Universidade do Porto, Faculdade de Economia do Porto.