Research classified by Journal of Economic Literature (JEL) codes

2012

• Horioka, Charles Yuji & Terada-Hagiwara, Akiko, 2012, "The determinants and long-term projections of saving rates in Developing Asia," Japan and the World Economy, Elsevier, volume 24, issue 2, pages 128-137, DOI: 10.1016/j.japwor.2012.01.006.
• Allen, Franklin & Gu, Xian & Kowalewski, Oskar, 2012, "Financial crisis, structure and reform," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2960-2973, DOI: 10.1016/j.jbankfin.2012.06.002.
• Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012, "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3302-3317, DOI: 10.1016/j.jbankfin.2012.07.018.
• Chavez-Demoulin, V. & McGill, J.A., 2012, "High-frequency financial data modeling using Hawkes processes," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3415-3426, DOI: 10.1016/j.jbankfin.2012.08.011.
• Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012, "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 239-248, DOI: 10.1016/j.jbankfin.2011.07.006.
• Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012, "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 355-370, DOI: 10.1016/j.jbankfin.2011.07.016.
• Mun, Kyung-Chun, 2012, "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 383-394, DOI: 10.1016/j.jbankfin.2011.07.014.
• Avouyi-Dovi, Sanvi & Idier, Julien, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 428-438, DOI: 10.1016/j.jbankfin.2011.07.019.
• Becerra, O. & Cavallo, E. & Scartascini, C., 2012, "The politics of financial development: The role of interest groups and government capabilities," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 626-643, DOI: 10.1016/j.jbankfin.2011.10.017.
• Xue, Yi & Gençay, Ramazan, 2012, "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 760-773, DOI: 10.1016/j.jbankfin.2011.09.008.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1057-1066, DOI: 10.1016/j.jbankfin.2011.10.018.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012, "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 934-956, DOI: 10.1016/j.jbankfin.2011.10.010.
• Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A., 2012, "Earnings conference calls and stock returns: The incremental informativeness of textual tone," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 992-1011, DOI: 10.1016/j.jbankfin.2011.10.013.
• Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012, "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1492-1502, DOI: 10.1016/j.jbankfin.2011.12.014.
• Mariano, Beatriz, 2012, "Market power and reputational concerns in the ratings industry," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1616-1626, DOI: 10.1016/j.jbankfin.2012.01.012.
• Chen, Shiu-Sheng, 2012, "Revisiting the empirical linkages between stock returns and trading volume," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1781-1788, DOI: 10.1016/j.jbankfin.2012.02.003.
• Levy, Tamir & Yagil, Joseph, 2012, "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1963-1974, DOI: 10.1016/j.jbankfin.2012.03.004.
• Schuhmacher, Frank & Eling, Martin, 2012, "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2077-2082, DOI: 10.1016/j.jbankfin.2012.03.013.
• Kim, Sangbae & In, Francis, 2012, "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2083-2094, DOI: 10.1016/j.jbankfin.2012.03.014.
• Choy, Siu Kai & Wei, Jason, 2012, "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2299-2322, DOI: 10.1016/j.jbankfin.2012.04.010.
• Olmo, José & Sanso-Navarro, Marcos, 2012, "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2351-2365, DOI: 10.1016/j.jbankfin.2012.04.016.
• Bruno, Giuseppe & De Bonis, Riccardo & Silvestrini, Andrea, 2012, "Do financial systems converge? New evidence from financial assets in OECD countries," Journal of Comparative Economics, Elsevier, volume 40, issue 1, pages 141-155, DOI: 10.1016/j.jce.2011.09.003.
• Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
• Ackert, Lucy F. & Kluger, Brian D. & Qi, Li, 2012, "Irrationality and beliefs in a laboratory asset market: Is it me or is it you?," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 1, pages 278-291, DOI: 10.1016/j.jebo.2012.03.014.
• Cohen, Lauren & Lou, Dong, 2012, "Complicated firms," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 383-400, DOI: 10.1016/j.jfineco.2011.08.006.
• Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012, "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 279-310, DOI: 10.1016/j.jfineco.2012.01.005.
• Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012, "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 491-510, DOI: 10.1016/j.jfineco.2012.04.002.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012, "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 114-131, DOI: 10.1016/j.jfineco.2012.05.005.
• Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012, "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1299-1318, DOI: 10.1016/j.jimonfin.2012.02.002.
• Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012, "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1729-1744, DOI: 10.1016/j.jimonfin.2012.03.010.
• Liu, Li-Gang & Pauwels, Laurent L., 2012, "Do external political pressures affect the Renminbi exchange rate?," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1800-1818, DOI: 10.1016/j.jimonfin.2012.04.001.
• Hirose, Yasuo & Ohyama, Shinsuke & Taniguchi, Ken, 2012, "The effects of Bank of Japan’s liquidity provision on the year-end premium," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 1, pages 179-185, DOI: 10.1016/j.jjie.2011.09.007.
• Bird, Ron & Yeung, Danny, 2012, "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 310-327, DOI: 10.1016/j.pacfin.2011.10.001.
• Liu, Chun & Maheu, John M., 2012, "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 329-348, DOI: 10.1016/j.pacfin.2011.11.001.
• Akoum, Ibrahim & Graham, Michael & Kivihaho, Jarno & Nikkinen, Jussi & Omran, Mohammed, 2012, "Co-movement of oil and stock prices in the GCC region: A wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 385-394, DOI: 10.1016/j.qref.2012.07.005.
• Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012, "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, volume 42, issue 3, pages 516-530, DOI: 10.1016/j.regsciurbeco.2011.03.010.
• Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012, "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 261-271, DOI: 10.1016/j.iref.2011.07.004.
• Bianconi, Marcelo & Yoshino, Joe A., 2012, "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 230-253, DOI: 10.1016/j.iref.2011.11.002.
• Dunbar, Kwamie & Amin, Abu S., 2012, "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, volume 21, issue 3, pages 141-152, DOI: 10.1016/j.rfe.2012.06.008.
• Pol, Eduardo, 2012, "The preponderant causes of the USA banking crisis 2007–08," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 519-528, DOI: 10.1016/j.socec.2012.04.019.
• Mardi Dungey & Matteo Luciani & David Veredas, 2012, "Ranking Systemically Important Financial Institutions," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-47, Nov.
• Gulfen TUNA, 2012, "Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 3, pages 311-322.
• Kardaras, Constantinos & Robertson, Scott, 2012, "Robust maximization of asymptotic growth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 44994, Oct.
• Rodolfo Cermeño Bazán & M. Pavel Solís Montes, 2012, "Impact of Macroeconomic Surprises from Mexico and the United States on the Mexican Stock Market," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 35-67, January-J.
• Qin Lei & Murli Rajan & Xuewu Wang, 2012, "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 246-264, June, DOI: 10.1108/20441391211231033.
• Qiang Chen & Daolun Chen & YuTing Gong, 2012, "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 265-285, June, DOI: 10.1108/20441391211231042.
• Mansor H. Ibrahim, 2012, "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 1, pages 25-34, March, DOI: 10.1108/17538391211216802.
• Simplice A. Asongu, 2012, "The 2011 Japanese earthquake, tsunami and nuclear crisis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 4, issue 4, pages 340-353, November, DOI: 10.1108/17576381211279307.
• Clay M. Moffett & Robert Brooks & Jin Q. Jeon, 2012, "The efficacy of Regulation SHO in resolving naked shorts," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 20, issue 1, pages 72-98, February, DOI: 10.1108/13581981211199434.
• Philipp Koenig, 2012, "The effect of LNG on the relationship between UK and Continental European natural gas markets," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1225, Nov.
• Leonardo Becchetti & Nicola Ciampoli, 2012, "What is new in the finance-growth nexus: OTC derivatives, bank assets and growth," Econometica Working Papers, Econometica, number wp40, Jul.
• Ceylan Onay & Gözde Ünal, 2012, "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 1, pages 66-90, February.
• Bahattin Büyüksahin & Michel A. Robe, 2012, "Does It Matter Who Trades Energy Derivatives?," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, March.
• Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2012, "In the shadow of the United States: the international transmission effect of asset returns," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 121.
• Cecilia R. Caglio & Stewart Mayhew, 2012, "Equity trading and the allocation of market data revenue," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-65.
• Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2012, "Repo and securities lending," Staff Reports, Federal Reserve Bank of New York, number 529, Dec.
• Marco Cipriani & Ana Fostel & Daniel Houser, 2012, "Leverage and asset prices: an experiment," Staff Reports, Federal Reserve Bank of New York, number 548.
• Gara Afonso & Ricardo Lagos, 2012, "Trade dynamics in the market for federal funds," Staff Reports, Federal Reserve Bank of New York, number 549, Feb.
• Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012, "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports, Federal Reserve Bank of New York, number 581.
• Rossen Trendafilov & Erick W Rengifo, 2012, "Regime Identification in Limit Order Books," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2012_04.
• Giulio Cifarelli & Paolo Paesani, 2012, "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2012_12.rdf.
• Gunther Capelle-Blancard & Dramane Coulibaly, 2012, "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00854079, DOI: 10.1016/S2110-7017(13)60036-0.
• Julien Barré & Alain Raybaut & Dominique Torre, 2012, "Banks connectivity, credit risk transfer and stability of the banking system," Post-Print, HAL, number hal-00640936.
• Gunther Capelle-Blancard & Dramane Coulibaly, 2012, "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Post-Print, HAL, number hal-00854079, DOI: 10.1016/S2110-7017(13)60036-0.
• Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012, "No contagion, only globalization and flight to quality," Post-Print, HAL, number hal-01494525, DOI: 10.1016/j.jimonfin.2012.03.010.
• Sanvi Avouyi-Dovi & Julien Idier, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Post-Print, HAL, number hal-01511935, DOI: 10.1016/j.jbankfin.2011.07.019.
• Julio Carmona & Ángel León & Antoni Vaello-Sebastià, 2012, "Executive Stock Options and Time Diversification," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 12-16, Nov.
• Ansgar Belke & Christian Dreger & Richard Ochmann, 2012, "Do Wealthier Households Save More? The Impact of the Demographic Factor," ROME Working Papers, ROME Network, number 201203, May.
• Ghada Ali TIMRAZ & Faris Nasif AL-SHUBIRI, 2012, "The Impact Of Stock Options Trading On The Market Value Of Companies Listed In Kuwait Stock Exchange," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 2, issue 3, pages 63-76, September.
• Florinita DUCA, 2012, "An Investigation into the Impact of the Usage of Debt on the Profitability of Romanian Companies," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 3, pages 84-87, September.
• Pasquale Tridico, 2012, "The impact of the economic crisis on the EU labour market: a comparative perspective," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0153, May.
• Leonardo Becchetti & Nicola Ciampoli, 2012, "What is New in the Finance-growth Nexus: OTC Derivatives, Bank Assets and Growth," CEIS Research Paper, Tor Vergata University, CEIS, number 243, Jul, revised 20 Jul 2012.
• Federico Nucera, 2012, "The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 6, December.
• Agata Gemzik-Salwach, 2012, "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 8, issue 4, pages 15-29, February.
• Cameron Truong, 2013, "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 31-48, April, DOI: 10.1177/0312896212440267.
• Christophe Schinckus, 2012, "Financial Economics and Non-representative Art," Journal of Interdisciplinary Economics, , volume 24, issue 1, pages 77-97, January.
• Emre Tarim, 2012, "Storytelling and Structural Incoherence in Financial Markets," Journal of Interdisciplinary Economics, , volume 24, issue 2, pages 115-144, June.
• Joachim Grammig & Erik Theissen, 2012, "Is Best Really BETTER? Internalization of Orders in an Open Limit Order Book," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 64, issue 2, pages 82-100, April.
• Sarah Draus & Mark van Achter, 2012, "Circuit Breakers and Market Runs," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 313, May.
• Astrid Herinckx & Ariane Szafarz, 2012, "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-002, Jan.
• David Le Bris, 2012, "Stock Returns, Governments and Market Foresight in France, 1871-2008," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-007, Feb.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No contagion, only globalization and flight to quality," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-010, Mar.
• Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012, "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-024, Sep.
• Bruno Cara Giovannetti & Guilherme B. Martins, 2012, "Do Margin Requirements Affect Asset Prices?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_17, Sep.
• Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012, "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_18, Sep.
• Nurullah Gur, 2012, "Financial Constraints, Quality of Institutions and Firm Size: What Do Perceptions Tell Us?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 2, issue 2, pages 17-36, December, DOI: 10.14208/BF03353835.
• Michał Barski & Jerzy Zabczyk, 2012, "Forward rate models with linear volatilities," Finance and Stochastics, Springer, volume 16, issue 3, pages 537-560, July, DOI: 10.1007/s00780-011-0163-y.
• Ruodu Wang & Liang Peng & Jingping Yang, 2013, "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, volume 17, issue 2, pages 395-417, April, DOI: 10.1007/s00780-012-0200-5.
• Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
• Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012, "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 106-122, January, DOI: 10.1007/s12197-009-9116-0.
• M. Berument & Nukhet Dogan, 2012, "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 282-302, April, DOI: 10.1007/s12197-009-9118-y.
• Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012, "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 400-423, April, DOI: 10.1007/s12197-010-9125-z.
• Tarek Coury & Emanuela Sciubba, 2012, "Belief heterogeneity and survival in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 49, issue 1, pages 37-58, January, DOI: 10.1007/s00199-010-0531-4.
• Mary E. Barth & Ian D. Gow & Daniel J. Taylor, 2012, "Why do pro forma and Street earnings not reflect changes in GAAP? Evidence from SFAS 123R," Review of Accounting Studies, Springer, volume 17, issue 3, pages 526-562, September, DOI: 10.1007/s11142-012-9192-9.
• Moritz Bassemir & Günther Gebhardt & Sascha Leyh, 2012, "Der Basiszinssatz in der Praxis der Unternehmensbewertung: Quantifizierung eines systematischen Bewertungsfehlers," Schmalenbach Journal of Business Research, Springer, volume 64, issue 6, pages 655-678, September, DOI: 10.1007/BF03372869.
• Klaus Schredelseker, 2012, "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 833-845, December, DOI: 10.1007/BF03372871.
• Bernhard Pellens & Kai Lehmann, 2012, "Managementprognosen und Analystenschätzungen — Eine deskriptive Analyse auf Basis der HDAX-Unternehmen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 873-892, December, DOI: 10.1007/BF03372874.
• Lu s Pacheco, 2012, "Moody S Credit Ratings And The Stock Market Performance Of Portuguese Rated Firms," Journal of Advanced Studies in Finance, ASERS Publishing, volume 3, issue 1, pages 58-83.
• Simplice A ASONGU, 2012, "Globalization Financial Crisis And Contagion Time Dynamic Evidence From Financial Markets Of Developing Countries," Journal of Advanced Studies in Finance, ASERS Publishing, volume 3, issue 2, pages 131-139.
• Rod Cross & Victor Kozyakin, 2012, "Fact and Fiction in FX Arbitrage Processes," Working Papers, University of Strathclyde Business School, Department of Economics, number 1211, Jul.
• Jianxin Wang & Minxian Yang, 2012, "On the Risk Return Relationship," Discussion Papers, School of Economics, The University of New South Wales, number 2012-31, May.
• Abdulnasser Hatemi-J & Youssef El-Khatib, 2012, "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 8, pages 699-703, May, DOI: 10.1080/13504851.2011.572841.
• Gazi Mainul Hassan & Hisham M. Al refai, 2012, "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 13, pages 1029-1041, July, DOI: 10.1080/09603107.2011.637892.
• John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
• Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012, "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 3-4, pages 333-349, May, DOI: 10.1080/1351847X.2011.587521.
• Ingmar Nolte & Valeri Voev, 2012, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, DOI: 10.1080/10473289.2011.637876.
• Dungey, Mardi & Luciani, Matteo & Veredas, David, 2012, "Ranking systemically important financial institutions," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 15473, Nov, revised 21 Nov 2012.
• Martin Scholtus & Dick van Dijk, 2012, "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-018/4, Mar.
• Mardi Dungey & Matteo Luciani & David Veredas, 2012, "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-115/IV/DSF44, Oct.
• Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012, "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-121/III, Nov.
• Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012, "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-140/IV/DSF46, Dec.
• Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012, "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-141/IV/DSF47, Dec.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-002.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2012-001.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 26dea7a6-a424-4e88-b2e4-1.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3744cb8d-b4ce-47a1-9abd-f.
• Degryse, H.A. & van Achter, M. & Wuyts, G., 2012, "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4868ad92-6fe6-42ed-8886-a.
• Marcelo Bianconi & Joe A. Yoshino, 2012, "Worldwide Commodities Sector Market-To-Book and Return on Equity Valuation," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0772.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Thomas Conlon & John Cotter, 2012, "Downside risk and the energy hedger's horizon," Working Papers, Geary Institute, University College Dublin, number 201219, Sep.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, volume 120, issue 4, pages 740-781, DOI: 10.1086/667987.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel Abidin Ozdemir, 2012, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working papers, University of Connecticut, Department of Economics, number 2012-27, Sep.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/149092.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/239873.
• Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012, "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 12/12, Oct.
• Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012, "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/12, Oct.
• Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012, "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 22/12, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Ammann, Manuel & Frey, Roman & Verhofen, Michael, 2012, "Do Newspaper Articles Predict Aggregate Stock Returns?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1204, Aug.
• Ke Du & Eckhard Platen & Renata Rendek, 2012, "Modeling of Oil Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 321, Dec.
• Eckhard Platen & Renata Rendek, 2012, "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 322, Dec.
• Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012, "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 934-955, September.
• Kwamie Dunbar & Abu S. Amin, 2012, "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short‐term debt," Review of Financial Economics, John Wiley & Sons, volume 21, issue 3, pages 141-152, September, DOI: 10.1016/j.rfe.2012.06.008.
• Dilip B. Madan, 2012, "Execution Costs And Efficient Execution Frontiers," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-18, DOI: 10.1142/S2010495212500029.
• Ioana VIASU & Constantin CHILARESCU, 2012, "Mixtures of Laws: a New Method to Estimate the Parameters," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 17, pages 5-22.
• Aurora Murgea & Robert Reisz, 2012, "Does the market make us happy? The stock market and well-being," FEAA Working Papers, West University of Timisoara, Romania, Faculty of Economics and Business Administration, number 2012.FEAA.F.03, Jul.
• Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012, "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers, Department of Economics, West Virginia University, number 13-05, Aug.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers, Department of Economics, University of York, number 12/25, Sep.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
• Bräuning, Falk & Fecht, Falko, 2012, "Relationship lending in the interbank market and the price of liquidity," Discussion Papers, Deutsche Bundesbank, number 22/2012.
• Jank, Stephan, 2012, "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-08.
• Kraemer-Eis, Helmut & Lang, Frank, 2012, "The importance of leasing for SME finance," EIF Working Paper Series, European Investment Fund (EIF), number 2012/15.
• Lee, Bong Soo & Ryu, Doojin, 2012, "Stock returns and implied volatility: A new VAR approach," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-51.
• Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2012, "A directional-change event approach for studying financial time series," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-17, DOI: 10.5018/economics-ejournal.ja.2012-.
• Belke, Ansgar & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? – The Impact of the Demographic Factor," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 338, DOI: 10.4419/86788390.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Anna Creti & Marc Joëts & Valérie Mignon, 2012, "On the links between stock and commodity markets' volatility," Working Papers, HAL, number hal-04141042.
• Holmén, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2012, "Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets," Working Papers in Economics, University of Gothenburg, Department of Economics, number 540, Sep, revised 21 Nov 2012.
• Aase, Knut K., 2012, "What Puzzles? New insights in asset pricing," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2012/13, Nov.
• Ødegaard, Bernt Arne, 2012, "Empirics of the Oslo Stock Exchange. Ownership results 1980-2009," UiS Working Papers in Economics and Finance, University of Stavanger, number 2012/4, Apr.
• Ødegaard, Bernt Arne, 2012, "Empirics of the Oslo Stock Exchange. Liquidity results 1980-2011," UiS Working Papers in Economics and Finance, University of Stavanger, number 2012/5, Apr.
• Ødegaard, Bernt Arne, 2012, "Empirics of the Oslo Stock Exchange. Basic, descriptive, results 1980-2011," UiS Working Papers in Economics and Finance, University of Stavanger, number 2012/6, Apr.
• Emhjellen, Magne & Osmundsen, Petter, 2012, "Rate of return requirement for climate versus petroleum projects," UiS Working Papers in Economics and Finance, University of Stavanger, number 2012/7, Apr.
• Rakkestad, Ketil & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2012, "The liquidity of the Secondary Market for Debt Securities in Norway," UiS Working Papers in Economics and Finance, University of Stavanger, number 2012/12, Jul.
• Holmberg, Ulf, 2012, "Essays on Credit Markets and Banking," Umeå Economic Studies, Umeå University, Department of Economics, number 840, Mar.
• Lönnbark, Carl, 2012, "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies, Umeå University, Department of Economics, number 844, Aug.
• Lönnbark, Carl, 2012, "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 849, Oct.
• Jenny Poschmann, 2012, "The Shadow Banking System - Survey and Typological Framework," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 27-2012, May.
• Mahmoud Dehghan Nayeri & Ali Faal Ghayoumi & Mohammad Ali Bidari, 2012, "Factors Affecting the Value Relevance of Accounting Information," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 2, pages 76-84, April.
• Atanas Christev & Jacques Melitz, 2012, "EMU, EU, Market Integration and Consumption Smoothing," Heriot-Watt University Economics Discussion Papers, Department of Economics, School of Management and Languages, Heriot Watt University, number 1209.
• Cristian Ricardo Nogales Carvajal & Pamela Córdova Olivera & Laura C. García Sobral, 2012, "Responsible investments in a developing country: Case study of a Bolivian pilot experience," Investigación & Desarrollo, Universidad Privada Boliviana, number 0112.
• Kangrong Tan & Meifen Chu, 2012, "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 97-107.
• Francisco Sancho & Luis Rivera & Julio Rosales, 2012, "Housing Finance in Central America: What is Holding It Back?," Research Department Publications, Inter-American Development Bank, Research Department, number 4761, Jan.
• Hsinan Hsu & Emily Ho, 2012, "The Optimal Total Costs for Writing a Straddle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 11, issue 1, pages 13-24, June.
• Imroze Nandha & Harminder Singh & Randy Silvers, 2012, "Does Momentum Still Exist in the Australian Stock-Market?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 11, issue 1, pages 89-92, June.
• Werner Kristjanpoller Rodriguez, 2012, "Day of the Week Effect in Latin American Stock Markets," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 27, issue 1, pages 71-89, April.
• Marcela Jaramillo Jaramillo & María Antonieta García Benau, 2012, "Reacción del Mercado de Valores Mexicano ante los Escándalos Financieros: Evidencia Empírica," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 129-153, Julio-Dic.
• Guillermo Sierra Juárez, 2012, "El Modelo SABR y su Relación con la Geometría Diferencial: Valuación de Opciones de Compra de Dólares del Banco de México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 185-209, Julio-Dic.
• Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012, "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 211-231, Julio-Dic.
• Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2012, "On existence, efficiency and bubbles of Ramsey equilibrium with borrowing constraints," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2012-001, Feb.
• Essers, Dennis & Cassimon, Danny, 2012, "Washing away original sin: vulnerability to crisis and the role of local currency bonds in Sub-Saharan Africa," IOB Working Papers, Universiteit Antwerpen, Institute of Development Policy (IOB), number 2012.12, Dec.
• Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012, "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 34, pages 81-124, segundo t.
• Pineda-Saavedra, HUgo & Sierra-Juárez, Guillermo, 2012, "Opciones reales en la evaluación económica de activos minerales y energéticos," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 35, pages 67-83, tercer tr.
• Caberra-Llanos, Agustín Ignacio. & López-Gil, Samantha Sofía. & López-Herrera, Francisco., 2012, "Dependencia de largo plazo en los rendimientos de acciones mexicanas selectas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 14, pages 59-78, primer se.
• Belke, Ansgar H. & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? The Impact of the Demographic Factor," IZA Discussion Papers, IZA Network @ LISER, number 6567, May.
• Banerji, Sanjay & Raj, Rajesh S.N. & Sen, Kunal, 2012, "Monitoring Costs, Credit Constraints and Entrepreneurship," IZA Discussion Papers, IZA Network @ LISER, number 6594, May.
• Gicheva, Dora & Ionescu, Felicia & Simpson, Nicole B., 2012, "The Effects of Credit Status on College Attainment and College Completion," IZA Discussion Papers, IZA Network @ LISER, number 6719, Jul.
• Alex YiHou Huang & Chiao-Ming Cheng & Wen-Cheng Hu & Chih-Chun Chen, 2012, "Oil Prices and Stock Prices of Alternative Energy Companies: Time Varying Relationship with Recent Evidence," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 8, issue 2, pages 221-258, July.
• Florinita Duca, 2012, "What Determines The Capital Structure Of Listed Firms In Romania," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, volume 4, issue 3a, pages 523-531, September.
• William Barnett & Fredj Jawadi, 2012, "Introduction to Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201237, Sep, revised Sep 2012.
• Marcel Blais & Philip Protter, 2012, "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, volume 8, issue 1, pages 1-13, February, DOI: 10.1007/s10436-011-0184-8.