Research classified by Journal of Economic Literature (JEL) codes

2014

• Auer, Benjamin R., 2014, "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, volume 43, issue C, pages 82-88, DOI: 10.1016/j.eneco.2014.02.005.
• Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios, 2014, "Forecasting energy markets using support vector machines," Energy Economics, Elsevier, volume 44, issue C, pages 135-142, DOI: 10.1016/j.eneco.2014.03.017.
• Kristoufek, Ladislav, 2014, "Leverage effect in energy futures," Energy Economics, Elsevier, volume 45, issue C, pages 1-9, DOI: 10.1016/j.eneco.2014.06.009.
• Annaert, Jan & Mensah, Lord, 2014, "Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)," Explorations in Economic History, Elsevier, volume 52, issue C, pages 22-43, DOI: 10.1016/j.eeh.2013.10.002.
• Kearney, Colm & Liu, Sha, 2014, "Textual sentiment in finance: A survey of methods and models," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 171-185, DOI: 10.1016/j.irfa.2014.02.006.
• Smimou, K., 2014, "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 186-209, DOI: 10.1016/j.irfa.2014.02.009.
• Kumar, Dilip & Maheswaran, S., 2014, "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 166-176, DOI: 10.1016/j.irfa.2014.06.002.
• Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014, "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 235-246, DOI: 10.1016/j.irfa.2014.03.006.
• Godlewski, Christophe J., 2014, "The determinants of multiple bank loan renegotiations in Europe," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 275-286, DOI: 10.1016/j.irfa.2014.07.005.
• Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014, "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 80-89, DOI: 10.1016/j.irfa.2014.07.010.
• Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2014, "Contagion effect on bond portfolio risk measures in a hybrid credit risk model," Finance Research Letters, Elsevier, volume 11, issue 2, pages 131-139, DOI: 10.1016/j.frl.2013.07.005.
• Magron, Camille, 2014, "Investors’ aspirations and portfolio performance," Finance Research Letters, Elsevier, volume 11, issue 2, pages 153-160, DOI: 10.1016/j.frl.2013.09.001.
• Jarrow, Robert, 2014, "Computing present values: Capital budgeting done correctly," Finance Research Letters, Elsevier, volume 11, issue 3, pages 183-193, DOI: 10.1016/j.frl.2014.05.001.
• Bonilla, Claudio A. & Ruiz, Jose L., 2014, "Insurance demand and first order risk increases under (μ,σ)-preferences," Finance Research Letters, Elsevier, volume 11, issue 3, pages 219-223, DOI: 10.1016/j.frl.2014.04.002.
• Briec, Walter & Oms, Laurence & Paget-Blanc, Eric, 2014, "Shortage function and portfolio selection: On some special cases and extensions," Finance Research Letters, Elsevier, volume 11, issue 3, pages 295-302, DOI: 10.1016/j.frl.2013.11.001.
• Schorno, Patrick J. & Swidler, Steve M. & Wittry, Michael D., 2014, "Hedging house price risk with futures contracts after the bubble burst," Finance Research Letters, Elsevier, volume 11, issue 4, pages 332-340, DOI: 10.1016/j.frl.2014.06.002.
• Gürgün, Gözde & Ünalmış, İbrahim, 2014, "Is gold a safe haven against equity market investment in emerging and developing countries?," Finance Research Letters, Elsevier, volume 11, issue 4, pages 341-348, DOI: 10.1016/j.frl.2014.07.003.
• Michis, Antonis A., 2014, "Investing in gold: Individual asset risk in the long run," Finance Research Letters, Elsevier, volume 11, issue 4, pages 369-374, DOI: 10.1016/j.frl.2014.07.008.
• Braun, Matías, 2014, "The structure of equity markets across countries: Scarcity and stock valuations," Finance Research Letters, Elsevier, volume 11, issue 4, pages 385-397, DOI: 10.1016/j.frl.2014.10.004.
• Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014, "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, volume 17, issue C, pages 199-229, DOI: 10.1016/j.finmar.2013.05.001.
• Easley, David & López de Prado, Marcos M. & O'Hara, Maureen, 2014, "VPIN and the Flash Crash: A rejoinder," Journal of Financial Markets, Elsevier, volume 17, issue C, pages 47-52, DOI: 10.1016/j.finmar.2013.06.007.
• Maraachlian, Hilda & Rourke, Thomas, 2014, "Delta and vega exposure trading in stock and option markets," Journal of Financial Markets, Elsevier, volume 18, issue C, pages 96-125, DOI: 10.1016/j.finmar.2012.12.002.
• Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014, "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, volume 20, issue C, pages 129-150, DOI: 10.1016/j.finmar.2014.07.001.
• Rourke, Thomas, 2014, "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, volume 20, issue C, pages 175-193, DOI: 10.1016/j.finmar.2014.01.002.
• He, Yan & Wang, Junbo & John Wei, K.C., 2014, "A comprehensive study of liquidity before and after SEOs and SEO underpricing," Journal of Financial Markets, Elsevier, volume 20, issue C, pages 61-78, DOI: 10.1016/j.finmar.2014.03.004.
• Blau, Benjamin M. & Tew, Philip L., 2014, "Short sales and class-action lawsuits," Journal of Financial Markets, Elsevier, volume 20, issue C, pages 79-100, DOI: 10.1016/j.finmar.2014.04.002.
• Stoffman, Noah, 2014, "Who trades with whom? Individuals, institutions, and returns," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 50-75, DOI: 10.1016/j.finmar.2014.08.002.
• Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014, "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, volume 12, issue C, pages 3-15, DOI: 10.1016/j.jfs.2013.06.001.
• Byström, Hans, 2014, "The impact of currency movements on asset value correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 31, issue C, pages 178-186, DOI: 10.1016/j.intfin.2014.03.014.
• Shahzad, Hassan & Duong, Huu Nhan & Kalev, Petko S. & Singh, Harminder, 2014, "Trading volume, realized volatility and jumps in the Australian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 31, issue C, pages 414-430, DOI: 10.1016/j.intfin.2014.04.009.
• Smales, Lee A., 2014, "Political uncertainty and financial market uncertainty in an Australian context," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 32, issue C, pages 415-435, DOI: 10.1016/j.intfin.2014.07.002.
• Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014, "Trade classification accuracy for the BIST," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 259-282, DOI: 10.1016/j.intfin.2014.08.003.
• Galagedera, Don U.A., 2014, "Modeling risk concerns and returns preferences in performance appraisal: An application to global equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 400-416, DOI: 10.1016/j.intfin.2014.09.006.
• Fang, Victor & Hung, Chi-Hsiou D., 2014, "Corporate bond prices and idiosyncratic risk: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 99-114, DOI: 10.1016/j.intfin.2014.07.011.
• Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014, "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 78-98, DOI: 10.1016/j.ijforecast.2013.07.006.
• Van Geyt, Debby & Van Cauwenberge, Philippe & Vander Bauwhede, Heidi, 2014, "Does high-quality corporate communication reduce insider trading profitability?," International Review of Law and Economics, Elsevier, volume 37, issue C, pages 1-14, DOI: 10.1016/j.irle.2013.04.002.
• Gao, Feng & Lisic, Ling Lei & Zhang, Ivy Xiying, 2014, "Commitment to social good and insider trading," Journal of Accounting and Economics, Elsevier, volume 57, issue 2, pages 149-175, DOI: 10.1016/j.jacceco.2014.03.001.
• Paek, Miyoun & Ko, Kwangsoo, 2014, "Aggregate net flows, inflows, and outflows of equity funds: The U.S. versus Japan," Japan and the World Economy, Elsevier, volume 32, issue C, pages 85-95, DOI: 10.1016/j.japwor.2014.08.001.
• Atilgan, Yigit, 2014, "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 205-215, DOI: 10.1016/j.jbankfin.2013.10.007.
• Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014, "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 89-105, DOI: 10.1016/j.jbankfin.2013.09.016.
• Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014, "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 271-285, DOI: 10.1016/j.jbankfin.2013.11.040.
• Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014, "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 443-459, DOI: 10.1016/j.jbankfin.2013.04.025.
• Agyei-Ampomah, Sam & Gounopoulos, Dimitrios & Mazouz, Khelifa, 2014, "Does gold offer a better protection against losses in sovereign debt bonds than other metals?," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 507-521, DOI: 10.1016/j.jbankfin.2013.11.014.
• Vozlyublennaia, Nadia, 2014, "Investor attention, index performance, and return predictability," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 17-35, DOI: 10.1016/j.jbankfin.2013.12.010.
• Garvey, Ryan & Wu, Fei, 2014, "Clustering of intraday order-sizes by uninformed versus informed traders," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 222-235, DOI: 10.1016/j.jbankfin.2014.01.026.
• Byoun, Soku & Fulkerson, Jon A. & Han, Seung Hun & Shin, Yoon S., 2014, "Are unsolicited ratings biased? Evidence from long-run stock performance," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 326-338, DOI: 10.1016/j.jbankfin.2014.02.005.
• Park, Beum-Jo, 2014, "Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents," Journal of Banking & Finance, Elsevier, volume 43, issue C, pages 150-159, DOI: 10.1016/j.jbankfin.2014.03.009.
• Blau, Benjamin M. & Nguyen, Nga & Whitby, Ryan J., 2014, "The information content of option ratios," Journal of Banking & Finance, Elsevier, volume 43, issue C, pages 179-187, DOI: 10.1016/j.jbankfin.2014.03.023.
• Malinova, Katya & Park, Andreas, 2014, "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, volume 44, issue C, pages 55-71, DOI: 10.1016/j.jbankfin.2014.03.026.
• Borio, Claudio, 2014, "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, volume 45, issue C, pages 182-198, DOI: 10.1016/j.jbankfin.2013.07.031.
• Jiang, George J. & Lo, Ingrid, 2014, "Private information flow and price discovery in the U.S. treasury market," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 118-133, DOI: 10.1016/j.jbankfin.2014.06.026.
• Madan, Dilip B., 2014, "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 63-73, DOI: 10.1016/j.jbankfin.2014.05.024.
• Detollenaere, Benoit & Mazza, Paolo, 2014, "Do Japanese candlesticks help solve the trader’s dilemma?," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 386-395, DOI: 10.1016/j.jbankfin.2013.03.013.
• Pantzalis, Christos & Park, Jung Chul, 2014, "Too close for comfort? Geographic propinquity to political power and stock returns," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 57-78, DOI: 10.1016/j.jbankfin.2014.08.001.
• Csóka, Péter & Herings, P. Jean-Jacques, 2014, "Risk allocation under liquidity constraints," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 1-9, DOI: 10.1016/j.jbankfin.2014.08.017.
• Park, Tae-Jun & Lee, Youngjoo & Song, Kyojik “Roy”, 2014, "Informed trading before positive vs. negative earnings surprises," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 228-241, DOI: 10.1016/j.jbankfin.2014.09.016.
• in ’t Veld, Daan & van Lelyveld, Iman, 2014, "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 27-40, DOI: 10.1016/j.jbankfin.2014.08.006.
• Smales, Lee A., 2014, "News sentiment in the gold futures market," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 275-286, DOI: 10.1016/j.jbankfin.2014.09.006.
• Paiardini, Paola, 2014, "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 302-322, DOI: 10.1016/j.jbankfin.2014.08.007.
• Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014, "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 56-68, DOI: 10.1016/j.jbankfin.2014.06.028.
• Kim, Soon-Ho & Kim, Dongcheol, 2014, "Investor sentiment from internet message postings and the predictability of stock returns," Journal of Economic Behavior & Organization, Elsevier, volume 107, issue PB, pages 708-729, DOI: 10.1016/j.jebo.2014.04.015.
• Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014, "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, volume 73, issue C, pages 48-64, DOI: 10.1016/j.jeconbus.2014.01.003.
• Papavassiliou, Vassilios G., 2014, "Cross-asset contagion in times of stress," Journal of Economics and Business, Elsevier, volume 76, issue C, pages 133-139, DOI: 10.1016/j.jeconbus.2014.02.002.
• Kovalenkov, Alexander & Vives, Xavier, 2014, "Competitive rational expectations equilibria without apology," Journal of Economic Theory, Elsevier, volume 149, issue C, pages 211-235, DOI: 10.1016/j.jet.2013.05.002.
• Favara, Giovanni & Song, Zheng, 2014, "House price dynamics with dispersed information," Journal of Economic Theory, Elsevier, volume 149, issue C, pages 350-382, DOI: 10.1016/j.jet.2013.05.001.
• Dionne, Georges & Li, Jingyuan, 2014, "When can expected utility handle first-order risk aversion?," Journal of Economic Theory, Elsevier, volume 154, issue C, pages 403-422, DOI: 10.1016/j.jet.2014.09.019.
• Hombert, Johan & Thesmar, David, 2014, "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, volume 111, issue 1, pages 26-44, DOI: 10.1016/j.jfineco.2013.09.003.
• Tahoun, Ahmed, 2014, "The role of stock ownership by US members of Congress on the market for political favors," Journal of Financial Economics, Elsevier, volume 111, issue 1, pages 86-110, DOI: 10.1016/j.jfineco.2013.10.008.
• Cohen-Cole, Ethan & Kirilenko, Andrei & Patacchini, Eleonora, 2014, "Trading networks and liquidity provision," Journal of Financial Economics, Elsevier, volume 113, issue 2, pages 235-251, DOI: 10.1016/j.jfineco.2014.04.007.
• Hanson, Samuel G., 2014, "Mortgage convexity," Journal of Financial Economics, Elsevier, volume 113, issue 2, pages 270-299, DOI: 10.1016/j.jfineco.2014.05.002.
• Bonaparte, Yosef & Korniotis, George M. & Kumar, Alok, 2014, "Income hedging and portfolio decisions," Journal of Financial Economics, Elsevier, volume 113, issue 2, pages 300-324, DOI: 10.1016/j.jfineco.2014.05.001.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014, "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, volume 114, issue 1, pages 1-19, DOI: 10.1016/j.jfineco.2014.06.008.
• So, Eric C. & Wang, Sean, 2014, "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, volume 114, issue 1, pages 20-35, DOI: 10.1016/j.jfineco.2014.06.009.
• Jiang, Hao & Sun, Zheng, 2014, "Dispersion in beliefs among active mutual funds and the cross-section of stock returns," Journal of Financial Economics, Elsevier, volume 114, issue 2, pages 341-365, DOI: 10.1016/j.jfineco.2014.06.003.
• Popov, Alexander, 2014, "Credit constraints and investment in human capital: Training evidence from transition economies," Journal of Financial Intermediation, Elsevier, volume 23, issue 1, pages 76-100, DOI: 10.1016/j.jfi.2013.11.003.
• Büyükşahin, Bahattin & Robe, Michel A., 2014, "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, volume 42, issue C, pages 38-70, DOI: 10.1016/j.jimonfin.2013.08.004.
• Andini, Monica & Andini, Corrado, 2014, "Finance, growth and quantile parameter heterogeneity," Journal of Macroeconomics, Elsevier, volume 40, issue C, pages 308-322, DOI: 10.1016/j.jmacro.2014.01.008.
• Huang, Yu Chuan & Chan, Shu Hui, 2014, "The house money and break-even effects for different types of traders: Evidence from Taiwan futures markets," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 1-13, DOI: 10.1016/j.pacfin.2013.10.008.
• Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua, 2014, "Value investing and technical analysis in Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 14-36, DOI: 10.1016/j.pacfin.2013.10.004.
• Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014, "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 244-256, DOI: 10.1016/j.pacfin.2013.09.005.
• McGuinness, Paul B., 2014, "IPO firm value and its connection with cornerstone and wider signalling effects," Pacific-Basin Finance Journal, Elsevier, volume 27, issue C, pages 138-162, DOI: 10.1016/j.pacfin.2014.02.003.
• Azmat, Saad & Skully, Michael & Brown, Kym, 2014, "The Shariah compliance challenge in Islamic bond markets," Pacific-Basin Finance Journal, Elsevier, volume 28, issue C, pages 47-57, DOI: 10.1016/j.pacfin.2013.11.003.
• Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014, "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, volume 29, issue C, pages 163-181, DOI: 10.1016/j.pacfin.2014.04.001.
• Lee, Hsiu-Chuan & Tseng, Yung-Ching & Yang, Chung-Jen, 2014, "Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs," Pacific-Basin Finance Journal, Elsevier, volume 29, issue C, pages 35-58, DOI: 10.1016/j.pacfin.2014.03.006.
• León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014, "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 415, issue C, pages 407-420, DOI: 10.1016/j.physa.2014.08.020.
• Zhu, Hui, 2014, "Implications of limited investor attention to customer–supplier information transfers," The Quarterly Review of Economics and Finance, Elsevier, volume 54, issue 3, pages 405-416, DOI: 10.1016/j.qref.2014.02.003.
• Zhang, Bing & Li, Xiao-Ming, 2014, "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 525-536, DOI: 10.1016/j.iref.2013.08.001.
• Márquez, Elena & Nieto, Belén & Rubio, Gonzalo, 2014, "Stock returns with consumption and illiquidity risks," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 57-74, DOI: 10.1016/j.iref.2013.04.003.
• Sakawa, Hideaki & Ubukata, Masato & Watanabel, Naoki, 2014, "Market liquidity and bank-dominated corporate governance: Evidence from Japan," International Review of Economics & Finance, Elsevier, volume 31, issue C, pages 1-11, DOI: 10.1016/j.iref.2013.11.005.
• Fesselmeyer, Eric & Mirman, Leonard J. & Santugini, Marc, 2014, "Risk sharing in an asymmetric environment," International Review of Economics & Finance, Elsevier, volume 34, issue C, pages 1-8, DOI: 10.1016/j.iref.2014.06.004.
• Mohan, Nancy, 2014, "A review of the gender effect on pay, corporate performance and entry into top management," International Review of Economics & Finance, Elsevier, volume 34, issue C, pages 41-51, DOI: 10.1016/j.iref.2014.06.005.
• Apergis, Nicholas & Payne, James E., 2014, "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, volume 23, issue 1, pages 46-53, DOI: 10.1016/j.rfe.2013.08.003.
• Auer, Benjamin R., 2014, "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, volume 30, issue C, pages 195-201, DOI: 10.1016/j.ribaf.2013.07.004.
• Hahl, Teemu & Vähämaa, Sami & Äijö, Janne, 2014, "Value versus growth in IPOs: New evidence from Finland," Research in International Business and Finance, Elsevier, volume 31, issue C, pages 17-31, DOI: 10.1016/j.ribaf.2013.11.004.
• Aggarwal, Raj & Goodell, John W., 2014, "Cross-national differences in access to finance: Influence of culture and institutional environments," Research in International Business and Finance, Elsevier, volume 31, issue C, pages 193-211, DOI: 10.1016/j.ribaf.2013.09.004.
• Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014, "The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-71, Nov.
• Yahir López Chuken, 2014, "Una medida de estrés financiero para México y su relación con la actividad económica," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 8, issue 1, pages 1-15.
• Mine AKSOY, 2014, "The Effects of Terrorism on Turkish Stock Market," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 31-41.
• Berna AYDOGAN & Gulin VARDAR & Gokce TUNC, 2014, "The Interaction of Mutual Fund Flows and Stock Returns: Evidence From The Turkish Capital Market," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 2, pages 163-173.
• Kondor, Peter & Vayanos, Dimitri, 2014, "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 55910, Feb.
• Rahi, Rohit & Zigrand, Jean-Pierre, 2014, "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 55940, Jun.
• Shiryaev, Albert N. & Zhitlukhin, Mikhail N. & Ziemba, William T., 2014, "Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59288, Aug.
• Lleo, Sebastien & Ziemba, William T., 2014, "Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59290, Aug.
• MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2014, "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59292, Jul.
• Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2014, "Model risk of risk models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59296, Apr.
• Schwandt, Hannes, 2014, "Wealth shocks and health outcomes: evidence from stock market fluctuations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60352, Jul.
• Lleo, Sebastien & Ziemba, Bill, 2014, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60960, Sep.
• George Bragues, 2014, "Has Fritz Machlup Stood the Test of Time? Revisiting his Monetary Analysis of the Stock Market☆A version of this paper was presented at the third biennial Wirth Institute Workshop on Austrian Economics held in Lake Louise, Alberta, Canada, September ," Advances in Austrian Economics, Emerald Group Publishing Limited, "Entangled Political Economy", DOI: 10.1108/S1529-213420140000018007.
• Chi Wan & Zhijie Xiao, 2014, "Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033020.
• Debasish Maitra, 2014, "Do volume and open interest explain volatility?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-243, July, DOI: 10.1108/JFEP-04-2013-0012.
• Tess DeLean & Joseph P. Joyce, 2014, "Stock markets and the costs of banking crises," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 6, issue 4, pages 342-361, October, DOI: 10.1108/JFEP-01-2014-0003.
• Vera Palea, 2014, "Fair value accounting and its usefulness to financial statement users," Journal of Financial Reporting and Accounting, Emerald Group Publishing Limited, volume 12, issue 2, pages 102-116, September, DOI: 10.1108/JFRA-04-2013-0021.
• Marielle de Jong & Hongwen Wu, 2014, "Fundamental indexation for bond markets," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 3, pages 264-274, May, DOI: 10.1108/JRF-05-2014-0060.
• Sujit Kalidas & Andrew Kelly & Alastair Marsden, 2014, "New Zealand venture capital funds and access to new financing: an exploratory study," Pacific Accounting Review, Emerald Group Publishing Limited, volume 26, issue 3, pages 196-225, November, DOI: 10.1108/PAR-04-2013-0024.
• Tomoki Kitamura & Munenori Nakasato, 2014, "An experimental analysis of myopic loss aversion," Research in Experimental Economics, Emerald Group Publishing Limited, "Experiments in Financial Economics", DOI: 10.1108/S0193-2306(2013)0000016006.
• Silvio John Camilleri & Christopher J. Green, 2014, "Stock market predictability," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 31, issue 4, pages 354-370, September, DOI: 10.1108/SEF-06-2012-0070.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel Abidin Ozdemir, 2014, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-24.
• Apostolos G. Christopoulos & Spyros Papathanasiou & Petros Kalantonis & Andreas Chouliaras & Savvas Katsikides, 2014, "An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 109-123.
• Óscar Javier de la Garza Garza. & Raúl Ángel Martínez Ibarra., 2014, "La desvinculación del sector financiero con la economía real en el caso mexicano: una prueba de cointegración," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 41, issue 2, pages 107-126, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/412014/delaGarz.
• Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2014, "Market vs. residence principle : experimental evidence on the effects of a financial transaction tax," Economics Working Papers, European University Institute, number ECO2014/03.
• Bisin, Alberto; & Gottardi, Piero; & Ruta, Guido, 2014, "Equilibrium corporate finance and intermediation," Economics Working Papers, European University Institute, number ECO2014/09.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014, "Intertemporal equilibrium with production: bubbles and efficiency," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 14-09.
• Petra Andrlíková, 2014, "Bayesian default probability models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/14, Apr, revised Apr 2014.
• Pérez García Francisco (ed.), 2014, "Crecimiento y competitividad: los desafíos de un desarrollo inteligente," Reports, Fundacion BBVA / BBVA Foundation, number 2014156, edition 1.
• Péter Csóka & P. Jean-Jacques Herings, 2014, "Risk Allocation under Liquidity Constraints," Working Papers, Fondazione Eni Enrico Mattei, number 2014.47, Apr.
• Mary Robertson, 2014, "Housing Provision, Finance, and Well-Being in Europe," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper14, Mar.
• Jerome Creel & Paul Hubert & Fabien Labondance, 2014, "Financial Stability and Economic Performance," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper35, Jul.
• Alessandro Vercelli, 2014, "Implications of different understandings of financial crises for divergent conclusions on the connections between finance and sustainability," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper46, Jul.
• Nikolay Gospodinov & Ibrahim Jamali, 2014, "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-14, Aug.
• Carlos Carrillo-Tudela & Bart Hobijn & Powen She & Ludo Visschers, 2014, "The Extent and Cyclicality of Career Changes: Evidence for the U.K," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-21, Aug, DOI: 10.24148/wp2014-21.
• Jón Daníelsson & Kevin James & Marcela Valenzuela & Ilknur Zer, 2014, "Model Risk of Risk Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-34, Apr.
• Ivan T. Ivanov & João A. C. Santos & Thu Vo, 2014, "Tying loan interest rates to borrowers' CDS spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-70, Jun.
• Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2014, "Financial Stability Monitoring," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2014-08-04, Aug, DOI: 10.17016/2380-7172.0026.
• Carol C. Bertaut & Ruth A. Judson, 2014, "Estimating U.S. Cross-Border Securities Positions: New Data and New Methods," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1113, Aug.
• Gara Afonso & Ricardo Lagos, 2014, "Trade Dynamics in the Market for Federal Funds," Working Papers, Federal Reserve Bank of Minneapolis, number 710, Mar.
• Gara Afonso & Ricardo Lagos, 2014, "The Over-the-Counter Theory of the Fed Funds Market: A Primer," Working Papers, Federal Reserve Bank of Minneapolis, number 711, Apr.
• Fatih Guvenen & Greg Kaplan & Jae Song, 2014, "The Glass Ceiling and the Paper Floor: Gender Differences among Top Earners, 1981–2012," Working Papers, Federal Reserve Bank of Minneapolis, number 716, Oct.
• Samuel Antill & David Hou & Asani Sarkar, 2014, "Components of U.S. financial sector growth, 1950-2013," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 59-83.
• William Dudley, 2014, "Restoring confidence in reference rates," Speech, Federal Reserve Bank of New York, number 143, Oct.
• William Dudley, 2014, "The 2015 economic outlook and the implications for monetary policy," Speech, Federal Reserve Bank of New York, number 153, Dec.
• J. Benson Durham, 2014, "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports, Federal Reserve Bank of New York, number 665, Feb.
• Nina Boyarchenko & Andreas Fuster & David O. Lucca, 2014, "Understanding mortgage spreads," Staff Reports, Federal Reserve Bank of New York, number 674, May.
• Tobias Adrian & Karol Jan Borowiecki & Alexander Tepper, 2014, "A Leverage-Based Measure of Financial Instability," Staff Reports, Federal Reserve Bank of New York, number 688, Aug.
• Péter Kondor & Dimitri Vayanos, 2014, "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers, Financial Markets Group, number dp730.
• Erick W. Rengifo & Debra Emanuela Trifan & Debra Rossen Trendafilov, 2014, "Investors Facing Risk: Prospect Theory and Non-Expected Utility in Portfolio Selection," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2014-03.
• Erick W. Rengifo & Debra Emanuela Trifan & Debra Rossen Trendafilov, 2014, "The Individually Accepted Loss," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2014-04.
• Gary Koop & Dimitris Korobilis, 2014, "Model uncertainty in panel vector autoregressive models," Working Papers, Business School - Economics, University of Glasgow, number 2014_10, Aug.
• Dalia El-Shiaty & Ahmed Abdelmotelib Badawi, 2014, "Herding Behavior in the Stock Market: An Empirical Analysis of the Egyptian Exchange," Working Papers, The German University in Cairo, Faculty of Management Technology, number 37, Jan.
• Stephen B. Kaplan & Kaj Thomsson, 2014, "The Political Economy of Sovereign Debt: Global Finance and Electoral Cycles," Working Papers, The George Washington University, Institute for International Economic Policy, number 2015-1, Dec.
• Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2014, "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01020635, Mar.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014, "Intertemporal equilibrium with production: bubbles and efficiency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01020888, May.
• Cuong Le Van & Ngoc-Sang Pham, 2014, "Intertemporal equilibrium with financial asset and physical capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01147470, Aug.
• Marine Carrasco & Rachidi Kotchoni, 2014, "Adaptive Realized Kernels," Post-Print, HAL, number hal-01386059, DOI: 10.1093/jjfinec/nbu015.
• Anne-Laure Delatte & Claude Lopez, 2014, "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," Post-Print, HAL, number hal-01410596, DOI: 10.1016/j.jbankfin.2013.06.012.
• Bertrand Candelon & Sessi Tokpavi, 2014, "A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion," Post-Print, HAL, number hal-01411694.
• Christophe J. Godlewski, 2014, "The determinants of multiple bank loan renegotiations in Europe," Post-Print, HAL, number hal-03047758, Jul, DOI: 10.1016/j.irfa.2014.07.005.
• Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2014, "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Post-Print, HAL, number halshs-01020635, Mar.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014, "Intertemporal equilibrium with production: bubbles and efficiency," Post-Print, HAL, number halshs-01020888, May.
• Valérie Revest & Alessandro Sapio, 2014, "L'Alternative Investment Market : un modèle pour le financement des petites et moyennes capitalisations ?," Post-Print, HAL, number halshs-01062613, DOI: 10.3917/ecofi.114.0167.
• Herve Alexandre & Karima Bouaiss & Catherine Refait-Alexandre, 2014, "Banking Relationships and Syndicated Loans during the 2008 Financial Crisis," Post-Print, HAL, number halshs-01067252, Aug, DOI: 10.1007/s10693-013-0172-4.
• Cuong Le Van & Ngoc-Sang Pham, 2014, "Intertemporal equilibrium with financial asset and physical capital," Post-Print, HAL, number halshs-01147470, Aug.
• Paul Lagneau-Ymonet & Amir Rezaee & Angelo Riva, 2014, "Is the proof of the pudding in the eating? » - Comparaison entre l’Alternative Investment Market et Alternext," Post-Print, HAL, number halshs-01207195, Jun.
• Paul Lagneau-Ymonet & Amir Rezaee & Angelo Riva, 2014, "Is the proof of the pudding in the eating? » - Comparaison entre l’Alternative Investment Market et Alternext," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-01207195, Jun.
• Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014, "A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets," Working Papers, HAL, number hal-01090837, Nov.
• Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014, "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers, HAL, number hal-01093631, Dec.
• Jjrrme Dugast & Thierry Foucault, 2014, "False News, Informational Efficiency, and Price Reversals," Working Papers, HAL, number hal-02058260, Feb, DOI: 10.2139/ssrn.2398904.
• Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2014, "Toxic Arbitrage," Working Papers, HAL, number hal-02058262, Mar, DOI: 10.2139/ssrn.2409054.
• Bertrand Candelon & Sessi Tokpavi, 2014, "A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion," Working Papers, HAL, number hal-04141347.
• Sofiane Aboura & Julien Chevallier, 2014, "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers, HAL, number halshs-01052488, Jul.
• Gilles de Truchis & Florent Dubois, 2014, "Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets," Working Papers, HAL, number halshs-01065775, Sep.
• Dóra Balog & Tamás László Bátyi & Péter Csóka & Miklós Pintér, 2014, "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1417, Jul.

2013

• Shafer, Michael & Yildirim, Yildiray, 2013, "Operational risk and equity prices," Finance Research Letters, Elsevier, volume 10, issue 4, pages 157-168, DOI: 10.1016/j.frl.2013.05.001.
• Auer, Benjamin R. & Schuhmacher, Frank, 2013, "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, volume 10, issue 4, pages 196-208, DOI: 10.1016/j.frl.2013.08.001.
• Ronen, Tavy & Zhou, Xing, 2013, "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 61-103, DOI: 10.1016/j.finmar.2012.09.003.
• Berry, Thomas & Gamble, Keith Jacks, 2013, "Informed local trading prior to earnings announcements," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 505-525, DOI: 10.1016/j.finmar.2012.07.001.
• Hasbrouck, Joel & Saar, Gideon, 2013, "Low-latency trading," Journal of Financial Markets, Elsevier, volume 16, issue 4, pages 646-679, DOI: 10.1016/j.finmar.2013.05.003.
• Menkveld, Albert J., 2013, "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, volume 16, issue 4, pages 712-740, DOI: 10.1016/j.finmar.2013.06.006.
• Patro, Dilip K. & Qi, Min & Sun, Xian, 2013, "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, volume 9, issue 1, pages 105-116, DOI: 10.1016/j.jfs.2012.03.002.
• Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013, "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, volume 9, issue 3, pages 337-346, DOI: 10.1016/j.jfs.2012.11.004.
• Cihak, Martin & Demirgüç-Kunt, Asli & Martinez Peria, Maria Soledad & Mohseni-Cheraghlou, Amin, 2013, "Bank regulation and supervision in the context of the global crisis," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 733-746, DOI: 10.1016/j.jfs.2013.10.002.
• Aktug, R. Erdem & Nayar, Nandkumar (Nandu) & Vasconcellos, Geraldo M., 2013, "Is sovereign risk related to the banking sector?," Global Finance Journal, Elsevier, volume 24, issue 3, pages 222-249, DOI: 10.1016/j.gfj.2013.10.001.
• Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu, 2013, "Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 379-401, DOI: 10.1016/j.intfin.2012.09.008.
• Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013, "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 139-152, DOI: 10.1016/j.intfin.2012.11.011.
• Auer, Benjamin R. & Schuhmacher, Frank, 2013, "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 153-165, DOI: 10.1016/j.intfin.2012.11.010.
• Das, Sougata & Kadapakkam, Palani-Rajan & Tse, Yiuman, 2013, "Is carry-trade a viable alternative asset class?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 247-257, DOI: 10.1016/j.intfin.2012.12.004.
• Deb, Saikat Sovan & Kalev, Petko S. & Marisetty, Vijaya B., 2013, "Flexible price limits: The case of Tokyo Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 66-84, DOI: 10.1016/j.intfin.2012.11.002.