Research classified by Journal of Economic Literature (JEL) codes

2012

• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2012, "Dynamic Co-movements between Stock Market Returns and Policy Uncertainty," MPRA Paper, University Library of Munich, Germany, number 42905, Nov.
• Rossi, Francesco, 2012, "U.K. cross-sectional equity data: The case for robust investability filters," MPRA Paper, University Library of Munich, Germany, number 43312, Nov, revised Nov 2012.
• Baumöhl, Eduard & Lyócsa, Štefan, 2012, "Constructing weekly returns based on daily stock market data: A puzzle for empirical research?," MPRA Paper, University Library of Munich, Germany, number 43431, Dec.
• Lyócsa, Štefan & Baumöhl, Eduard, 2012, "Testing the covariance stationarity of CEE stocks," MPRA Paper, University Library of Munich, Germany, number 43432, Dec.
• Carney, Richard W. & Liu, Wai-Man (Raymond) & Ngo, Phong T. H., 2012, "Responding to Financial Crisis: The Rise of State Ownership and Implications for Firm Performance," MPRA Paper, University Library of Munich, Germany, number 43600, Oct.
• Kohonen, Anssi, 2012, "Transmission of Government Default Risk in the Eurozone," MPRA Paper, University Library of Munich, Germany, number 43823, Dec.
• Hoffmann, Peter, 2012, "A dynamic limit order market with fast and slow traders," MPRA Paper, University Library of Munich, Germany, number 44621, Jul, revised Jan 2013.
• Shumska, Svitlana & Stepanenko-Lypovyk, Bohdana, 2012, "Міжнародні Злиття Та Поглинання У Фінансовому Секторі: Світові Тенденції Та Особливості Прояву В Україні
  [International mergers and acquisitions in financial sector: global trends and theirs features in Ukraine]," MPRA Paper, University Library of Munich, Germany, number 48426, Dec, revised Jul 2013.
• Kozmenko, Serhiy & Plastun, Oleksiy, 2012, "Mutual influence of the exchange assets: practical aspects," MPRA Paper, University Library of Munich, Germany, number 50785, Feb.
• Kozmenko, Serhiy & Plastun, Oleksiy, 2012, "The necessity of stock markets information incorporation into the methodology of credit rating agencies," MPRA Paper, University Library of Munich, Germany, number 50790, Sep.
• Kozmenko, Olha & Kuzmenko, Olha, 2012, "The integration of the banking, insurance and reinsurance markets in Russia and Ukraine," MPRA Paper, University Library of Munich, Germany, number 50842, Oct.
• Wagner, Helmut & Matanovic, Eva, 2012, "Volatility Impact of Stock Index Futures Trading - A Revised Analysis," MPRA Paper, University Library of Munich, Germany, number 51204.
• Ahmed, Tehseen & Malik, Saif Ullah, 2012, "Determinants of Inflow of Foreign Direct Investment (FDI) into Pakistan," MPRA Paper, University Library of Munich, Germany, number 54737, Oct.
• Gulino, Salvatore, 2012, "Obsolescence Of The 30-Year Mortgage," MPRA Paper, University Library of Munich, Germany, number 55354, Mar.
• Sirucek, Martin, 2012, "Effect of money supply on the Dow Jones Industrial Average stock index," MPRA Paper, University Library of Munich, Germany, number 68167, revised 2012.
• Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012, "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper, University Library of Munich, Germany, number 80463.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel A. Ozdemir, 2012, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers, University of Pretoria, Department of Economics, number 201228, Sep.
• Milan Bašta, 2012, "Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2012, issue 2, pages 3-20, DOI: 10.18267/j.aop.360.
• Petr Dvořák, 2012, "Some Questions about Churning by Derivatives
  [K některým otázkám zjišťování churningu u derivátů]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2012, issue 4, pages 6-14, DOI: 10.18267/j.cfuc.2.
• Václav Leinweber, 2012, "Application of financial market approaches related to uncertainty into the area of Corporate Finance," Ekonomika a Management, Prague University of Economics and Business, volume 2012, issue 2, pages 24-36.
• Tomáš Buus, 2012, "What is Self-Influential Economic Theory?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2012, issue 1, pages 28-40, DOI: 10.18267/j.efaj.13.
• Michel Boutillier & Nathalie Lévy & Valérie Oheix, 2012, "Un siècle et demi d’activité titres des banques commerciales américaines (un plaidoyer pour l’unité et la plasticité du système de financement)," Revue d'Économie Financière, Programme National Persée, volume 105, issue 1, pages 49-70.
• Pierre Jacquet & Jean-Paul Pollin, 2012, "Systèmes financiers et croissance," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 77-108.
• Arnoud W. A. Boot & Matej Marinc, 2012, "La stabilité du secteur bancaire : gérer la négociabilité et la complexité," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 171-194.
• Błażej Mazur & Mateusz Pipień, 2012, "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 2, pages 95-116, June.
• Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari & Olaolu Richard Olayeni, 2012, "Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 3, pages 199-213, September.
• Frank Milne, 2012, "Economic Crises: The Impact On Australia And Canada," Working Paper, Economics Department, Queen's University, number 1296, Aug.
• Carol Alexander & Marcel Prokopczuk & Anannit Sumawon, 2012, "The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-01, Jan.
• Jianfeng Yu, 2012, "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices, Review of Economic Dynamics, number 10-230, Apr.
• Jianfeng Yu, 2012, "Code and data files for "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Computer Codes, Review of Economic Dynamics, number 10-230, revised .
• Jianfeng Yu, 2012, "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 3, pages 317-335, October, DOI: 10.1016/j.red.2012.04.001.
• Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012, "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics, number 1196.
• Josef Schroth, 2012, "Financial Crisis Resolution," 2012 Meeting Papers, Society for Economic Dynamics, number 617.
• Muhammad Farhan Malik & Muhammad Usman Qureshi & Muhammad Azeem, 2012, "Determination of Share Price: Evidence from Karachi Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 43, pages 97-114, March.
• Nawazish Mirza & Ayesha Afzal, 2012, "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 55-86, June.
• Suhail Palakkod, 2012, "Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 87-100, June.
• Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2012, "Measuring Market Liquidity: An Introductory Survey," Working Paper series, Rimini Centre for Economic Analysis, number 02_12, Jan.
• Lucio Sarno & Paul Schneider & Christian Wagner, 2012, "Properties of Foreign Exchange Risk Premiums," Working Paper series, Rimini Centre for Economic Analysis, number 10_12, Mar.
• John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012, "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series, Rimini Centre for Economic Analysis, number 47_12, Jun.
• Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2012, "Structural Distortions in the Euro Interbank Market: The Role of 'Key Players' during the Recent Market Turmoil," Working Paper series, Rimini Centre for Economic Analysis, number 57_12, Jul.
• A. Noy Siackhachanh, 2012, "Strengthening the Financial System and Mobilizing Savings to Support More Balanced Growth in ASEAN+3," Working Papers on Regional Economic Integration, Asian Development Bank, number 94, Apr.
• Leonardo Becchetti & Nicola Ciampoli, 2012, "What is new in the finance-growth nexus: OTC derivatives, bank assets and growth," AICCON Working Papers, Associazione Italiana per la Cultura della Cooperazione e del Non Profit, number 110-2012, Jun.
• Luís Gomes & Vasco Soares, 2012, "Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 23/2012, Jan.
• Moawia Alghalith & Tracy Polius & Martin Franklin, 2012, "The Impact of the Exchange Rate on the Stock Market - L’impatto del tasso di cambio sul mercato azionario," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 65, issue 4, pages 495-502.
• Christophe Faugere, 2012, "Making Sense of Asset Prices: A Guide to Required Yield Theory, Part 1 -- Valuing the Stock Market," Journal of Financial Transformation, Capco Institute, volume 34, pages 129-148.
• 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.
• Loncarski, Igor & Szilagyi, Peter G., 2012, "Empirical analysis of credit spread changes of US corporate bonds," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 12-19, DOI: 10.1016/j.irfa.2012.06.011.
• Shan, Liwei & Gong, Stephen X., 2012, "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, volume 9, issue 1, pages 36-47, DOI: 10.1016/j.frl.2011.07.002.
• Jarrow, Robert & Protter, Philip, 2012, "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, volume 9, issue 2, pages 58-62, DOI: 10.1016/j.frl.2012.03.002.
• Simonato, Jean-Guy, 2012, "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, volume 9, issue 4, pages 213-219, DOI: 10.1016/j.frl.2012.06.002.
• Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012, "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 29-46, DOI: 10.1016/j.finmar.2011.08.005.
• Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012, "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 81-107, DOI: 10.1016/j.finmar.2011.07.001.
• Fong, Wai Mun, 2012, "Do expected business conditions explain the value premium?," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 181-206, DOI: 10.1016/j.finmar.2011.08.004.
• Rhee, S. Ghon & Wu, Feng, 2012, "Anything wrong with breaking a buck? An empirical evaluation of NASDAQ's $1 minimum bid price maintenance criterion," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 258-285, DOI: 10.1016/j.finmar.2011.09.002.
• van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk, 2012, "Excess based allocation of risk capital," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 26-42, DOI: 10.1016/j.insmatheco.2011.09.003.
• Vivian, Andrew & Wohar, Mark E., 2012, "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 395-422, DOI: 10.1016/j.intfin.2011.12.003.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 555-574, DOI: 10.1016/j.intfin.2011.12.001.
• Smales, Lee A., 2012, "30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 1006-1023, DOI: 10.1016/j.intfin.2011.12.004.
• Abdou, Hussein A. & Pointon, John & El-Masry, Ahmed & Olugbode, Moji & Lister, Roger J., 2012, "A variable impact neural network analysis of dividend policies and share prices of transportation and related companies," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 796-813, DOI: 10.1016/j.intfin.2012.04.008.
• Galagedera, Don U.A., 2012, "Recent trends in relative performance of global equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 834-854, DOI: 10.1016/j.intfin.2012.05.003.
• Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012, "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1149-1175, DOI: 10.1016/j.intfin.2012.06.001.
• Koutmos, Dimitrios, 2012, "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1176-1187, DOI: 10.1016/j.intfin.2012.05.007.
• Broussard, John Paul & Vaihekoski, Mika, 2012, "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1188-1201, DOI: 10.1016/j.intfin.2012.06.002.
• Chakrabarty, Bidisha & Moulton, Pamela C., 2012, "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, volume 53, issue 3, pages 612-634, DOI: 10.1016/j.jacceco.2012.01.001.
• Kadan, Ohad & Madureira, Leonardo & Wang, Rong & Zach, Tzachi, 2012, "Analysts' industry expertise," Journal of Accounting and Economics, Elsevier, volume 54, issue 2, pages 95-120, DOI: 10.1016/j.jacceco.2012.05.002.
• 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.
• Anna Creti & Marc Joëts & Valérie Mignon, 2012, "On the links between stock and commodity markets' volatility," Working Papers, HAL, number hal-04141042.
• 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.