Research classified by Journal of Economic Literature (JEL) codes

2011

• Matteo Del Vigna, 2011, "Ambiguity made easier," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-07, Apr.
• Matteo Del Vigna, 2011, "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-08, Sep.
• Matteo Del Vigna, 2011, "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-09, Apr.
• Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011, "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers, Financial Markets Group, number dp669, Feb.
• JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011, "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers, Financial Markets Group, number dp671, Feb.
• Suleyman Basak & Georgy Chabakauri, 2011, "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers, Financial Markets Group, number dp680, May.
• Andrea Caggese & Vincente Cunat, 2011, "Financing Constraints, Firm Dynamics, Export Decisions and Aggregate productivity," FMG Discussion Papers, Financial Markets Group, number dp685, Jun.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Marcel Marekwica & Raimond Maurer, 2011, "How unobservable Bond Positions in Retirement Accounts affect Asset Allocation," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 176.
• Isakov, Dusan & Marti, Didier, 2011, "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 421, Aug.
• Lyudmila Yu. Ryzhanovskaya & Vera E. Chistova, 2011, "Issues of the State Securities Market Liquidity," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 19-32, July.
• Giulio Cifarelli, 2011, "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2011_13.rdf.
• Richard Ruble, 2011, "Comparative risk aversion of different preferences," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1119.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2011, "Regulating Asset Price Risk," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 02-2011, Jan.
• João Amaro de Matos & Nuno Silva, 2012, "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-01, Jan.
• Ana Rita Gonzaga & Helder Sebastião, 2012, "As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-02, Jan.
• Ainulashikin Marzuki & Andrew C. Worthington, 2011, "Comparative fund flows for Malaysian Islamic and conventional domestic managed equity funds," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201118.
• Christophe Boucher & Bertrand Maillet, 2011, "The Riskiness of Risk Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00587779, Mar.
• Emmanuel Denis & Yuri Kabanov, 2011, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print, HAL, number hal-00488288, DOI: 10.1007/s00780-010-0144-6.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577880, Mar.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577892, Jan.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577896, Jan.
• David Thesmar & P. Kruger & Augustin Landier, 2011, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Post-Print, HAL, number hal-00578326, Feb.
• Thierry Foucault & David Sraer & David Thesmar, 2011, "Individual Investors and Volatility," Post-Print, HAL, number hal-00630297, Aug, DOI: 10.1111/j.1540-6261.2011.01668.x.
• Mogens Steffensen, 2011, "Optimal consumption and investment under time-varying relative risk aversion," Post-Print, HAL, number hal-00796302, Mar, DOI: 10.1016/j.jedc.2010.12.007.
• Olaf Posch, 2011, "Risk premia in general equilibrium," Post-Print, HAL, number hal-00851860, Aug, DOI: 10.1016/j.jedc.2010.12.017.
• Eric Benhamou & Beatrice Guez, 2018, "Incremental Sharpe and other performance ratios," Post-Print, HAL, number hal-02012443.
• Jules Sadefo-Kamdem, 2011, "Businesses Risks Aggregation with Copula," Post-Print, HAL, number hal-02942988, Jul.
• Nicolas Coeurdacier & Stéphane Guibaud, 2011, "International portfolio diversification is better than you think," Post-Print, HAL, number hal-03602483, Mar, DOI: 10.1016/j.jimonfin.2010.10.003.
• Nathalie Oriol, 2011, "Investissement institutionnel et révision de la directive MIF," Post-Print, HAL, number hal-05506345, Dec, DOI: 10.3917/ecofi.104.0217.
• Richard Ruble, 2011, "Comparative risk aversion of different preferences," Post-Print, HAL, number halshs-00585615.
• Salem Boubakri & Cyriac Guillaumin, 2011, "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print, HAL, number halshs-00639224.
• M. Merli & T. Roger, 2011, "What drives the herding behavior of individual investors?," Post-Print, HAL, number halshs-00650943, Sep.
• Vladimir Borgy & Luc Arrondel & Frédérique Savignac, 2011, "Épargne et choix de portefeuille des ménages : approches micro et macroéconomiques," Post-Print, HAL, number halshs-00654461.
• Maxime Merli & Tristan Roger, 2011, "What drives the herding behavior of individual investors?," Post-Print, HAL, number halshs-00658723.
• Thomas Rapp & Nicolas Aubert, 2011, "Bank Employee Incentives and Stock Purchase Plans Participation," Post-Print, HAL, number halshs-01256781, DOI: 10.1007/s10693-011-0104-0.
• Vladimir Borgy & Luc Arrondel & Frédérique Savignac, 2011, "Épargne et choix de portefeuille des ménages : approches micro et macroéconomiques," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00654461.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011, "Entropy and the value of information for investors," PSE Working Papers, HAL, number halshs-00648884, Dec.
• Nicolas Coeurdacier & Stéphane Guibaud, 2011, "International portfolio diversification is better than you think," Sciences Po Economics Publications (main), HAL, number hal-03602483, Mar, DOI: 10.1016/j.jimonfin.2010.10.003.
• Laurent-Emmanuel Calvet & Paolo Sodini, 2011, "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Working Papers, HAL, number hal-00625504, Sep.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011, "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers, HAL, number hal-04140988.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011, "Entropy and the value of information for investors," Working Papers, HAL, number halshs-00648884, Dec.
• Jakub W. Jurek & Erik Stafford, 2011, "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers, Harvard Business School, number 12-013, Aug.
• Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011, "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics, University of Gothenburg, Department of Economics, number 502, May, revised 12 Oct 2012.
• Almenberg, Johan & Dreber, Anna, 2011, "Gender, Stock Market Participation and Financial Literacy," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 737, Aug, revised 18 Jun 2012.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
• Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011, "Risk Aversion in the Large and in the Small," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/12, Jun.
• Christian Framstad, Nils, 2011, "Portfolio Separation Properties of the Skew-Elliptical Distributions," Memorandum, Oslo University, Department of Economics, number 02/2011, Feb.
• Chr. Framstad, Nils, 2011, "Portfolio Separation with -symmetric and Psuedo-isotropic Distributions," Memorandum, Oslo University, Department of Economics, number 12/2011, Apr.
• Chr. Framstad, Nils, 2011, "On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes," Memorandum, Oslo University, Department of Economics, number 20/2011, Sep.
• Betermier, Sebastien & Jansson, Thomas & Parlour, Christine A. & Walden, Johan, 2011, "Hedging Labor Income Risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 255, Nov.
• Suzuki, Masataka, 2011, "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 1, pages 41-54, June, DOI: 10.15057/19220.
• Zeckhauser, Richard Jay & Trautmann, Stefan T, 2011, "Shunning Uncertainty: The Neglect of Learning Opportunities," Scholarly Articles, Harvard Kennedy School of Government, number 5347068.
• Giuseppe Galloppo, 2011, "Higher Order Moments Resampling," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 1, pages 1-14.
• ZhengXiong Chen & Ayse Yuce, 2011, "Optimal Investment For Institutional Investors Under Value-At-Risk Constraints In Chinese Stock Markets," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 1, pages 15-32.
• Jacek Welc, 2011, "Do Fundamentally-Adjusted Valuation Multiples Improve Valuation Accuracy? The Case Of The Polish Stock Market," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 1, pages 57-70.
• Mishari M. Alfaraih & Faisal S. Alanezi, 2011, "Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 65-84.
• Faris Nasif ALShubiri, 2011, "The Effect Of Working Capital Practices On Risk Management: Evidence From Jordan," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 39-54.
• Charles Wong & Massimiliano Versace, 2011, "Context Sensitivity With Neural Networks In Financial Decision Processes," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 5, pages 27-43.
• Ling T. He & K. Michael Casey, 2011, "On The Pricing Of Dual Class Stocks: Evidence From Berkshire Hathaway," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 103-112.
• Sandip Mukherji, 2011, "The Capital Asset Pricing Model’S Risk-Free Rate," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 75-83.
• Stoyu I. Ivanov & Jeff Whitworth & Yi Zhang, 2011, "The Implied Volatility Of Etf And Index Options," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 35-44.
• Joseph J. French, 2011, "The Dynamic Interaction Between Foreign Equity Flows And Returns: Evidence From The Johannesburg Stock Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 45-56.
• Juan Otero-Serrano, 2011, "Does Firm Diversification Represent A Value Added For Stockholders?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 99-113.
• Eduardo Sandoval & Paula Urrutia, 2011, "El Efecto De La Crisis Financiera Subprime En Los Mercados Accionarios Desarrollados. Estimaciones Aparentemente No Relacionadas Sur Versus Garch (1,1)," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 4, issue 1, pages 1-17.
• Moura, Marcelo & Joaquim, Gustavo P., 2011, "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa, number wpe_234, Oct.
• Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011, "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers), Inter-American Development Bank, number 3117, Jun, DOI: http://dx.doi.org/10.18235/0011210.
• Akito Matsumoto & Pietro Cova & Massimiliano Pisani & Alessandro Rebucci, 2011, "News Shocks and Asset Price Volatility in General Equilibrium," Research Department Publications, Inter-American Development Bank, Research Department, number 4740, Jun.
• Massimo Guidolin & Stuart Hyde, 2011, "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 414.
• Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011, "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 416.
• Muhsin ÖZDEMİR, 2011, "Genetik algoritma kullanılarak portföy seçimi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 299, pages 43-66.
• Aydanur GACENER ATIŞ & Utku UTKULU, 2011, "Denge döviz kurunun portföy yaklaşımı ile analizi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 303, pages 65-84.
• Suat AYDIN, 2011, "Finansal Piyasalarda Gürültücüler," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 304, pages 09-36.
• Dirk G. Baur & Thomas K.J. McDermott, 2011, "Safe Haven Assets and Investor Behaviour Under Uncertainty," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp392, Sep, revised Feb 2012.
• Jin-Ray Lu & Chih-Ming Chan & Wen-Shen Li, 2011, "Portfolio Selections with Innate Learning Ability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 3, pages 201-217, December.
• B. Andrew Chupp & Emily Hickey & David Loomis, 2011, "Optimal Wind Portfolios in Illinois," Working Paper Series, Illinois State University, Department of Economics, number 20110401, Apr.
• Sevinc Cukurova & Jose M. Marin, 2011, "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2011-04, Jan.
• Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Pietro Cova & Massimiliano Pisani, 2011, "New Shocks and Asset Price Volatility in General Equilibrium," IMF Working Papers, International Monetary Fund, number 2011/110, May.
• Victoria Dobrynskaya, 2011, "Downside risk and flight to quality in the currency market," Working Papers, International Network for Economic Research - INFER, number 2011.5.
• Federica Teppa, 2011, "Can the longevity risk alleviate The annuitization puzzle? Empirical evidence from Dutch data," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 223.
• Margarida Abreu & Victor Mendes, 2011, "Information, Overconfidence and Trading: Do the Sources of Information Matter?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2011/25, Nov.
• Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011, "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 13, issue 1, pages 41-61, Special I.
• Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," IZA Discussion Papers, IZA Network @ LISER, number 6060, Oct.
• Alexis Cellier & Pierre Chollet & Jean-François Gajewski, 2011, "Les annonces de notations extrafinancières véhiculent-elles une information au marché?," Revue Finance Contrôle Stratégie, revues.org, volume 14, issue 3, pages 5-38, September.
• Francisca Beer & Mohamed Wafta & Mohamed Zouaoui, 2011, "Is Sentiment Risk Priced by Stock Market?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1110502, May.
• Kamel Laaradh & Nesrine Samet, 2011, "Existe-t-il un univers de benchmarks pour les Hedge Funds?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1110701, Jul.
• Francisca Beer & Mohamad Watfa & Mohamed Zouaoui, 2011, "Do investors care about noise trader risk?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1111201, Oct, revised Dec 2011.
• Michela Coppola, 2011, "Einkommens- und Vermögenssituation der Babyboomer," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 80, issue 4, pages 31-50, DOI: 10.3790/vjh.80.4.31.
• Nataliya Barasinska, 2011, "Does Gender Affect Investors' Appetite for Risk?: Evidence from Peer-to-Peer Lending," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1125.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011, "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-20.
• Malte Sunderkötter & Christoph Weber, 2011, "Mean-Variance optimization of power generation portfolios under uncertainty in the merit order," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 1105, Oct, revised Oct 2011.
• Malte Sunderkötter, 2011, "Fuel mix characteristics and expected stock returns of European power companies," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 11056, Oct, revised Oct 2011.
• Bin Zhang, 2011, "Is It Desirable for Asian Economies to Hold More Asian Assets in Their Foreign Exchange Reserves?—The People’s Republic of China’s Answer," Finance Working Papers, East Asian Bureau of Economic Research, number 23230, Aug.
• Bin Zhang, 2011, "Is It Desirable for Asian Economies to Hold More Asian Assets in Their Foreign Exchange Reserves?—The People’s Republic of China’s Answer," Governance Working Papers, East Asian Bureau of Economic Research, number 23230, Aug.
• Bin Zhang, 2011, "Is It Desirable for Asian Economies to Hold More Asian Assets in Their Foreign Exchange Reserves?—The People’s Republic of China’s Answer," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23230, Aug.
• Calvet, Laurent-Emmanuel & Sodini, Paolo, 2011, "Twin picks: disentangling the determinants of risk-taking in household portfolios," HEC Research Papers Series, HEC Paris, number 948, Jun.
• Lieser, Karsten & Groh, Alexander P., 2011, "The determinants of international commercial real estate investments," IESE Research Papers, IESE Business School, number D/935, Jul.
• Lieser, Karsten, 2011, "Pricing of real estate specific market risks for worldwide 66 countries," IESE Research Papers, IESE Business School, number D/940, Nov.
• Roxana Halbleib & Valerie Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-002, Jan.
• Trautmann, Stefan T. & Zeckhauser, Richard J., 2011, "Shunning Uncertainty: The Neglect of Learning Opportunities," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp11-044, Nov.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011, "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-11, Jun.
• Ben-David, Itzhak & Hirshleifer, David, 2011, "Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-13, Jun.
• Ben-David, Itzhak, 2011, "High Leverage and Willingness to Pay: Evidence from the Residential Housing Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-17, Sep.
• Babbel, David F. & Herce, Miguel A., 2011, "Stable Value Funds: Performance to Date," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-01, Jan.
• Banegas, Ayelen & Timmermann, Allan & Gillen, Ben & Wermers, Russ, 2011, "Mutual Fund Return Predictability in Partially Segmented Markets," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-14, Jan.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Quantitative Economics, Econometric Society, volume 2, issue 1, pages 1-36, March.
• Chou, Julia & Ng, Lilian & Wang, Qinghai, 2011, "Are better governed funds better monitors?," Journal of Corporate Finance, Elsevier, volume 17, issue 5, pages 1254-1271, DOI: 10.1016/j.jcorpfin.2011.06.008.
• Kraft, Holger & Kühn, Christoph, 2011, "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1898-1915, DOI: 10.1016/j.jedc.2011.06.001.
• Astrup Jensen, Bjarne & Marekwica, Marcel, 2011, "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1916-1937, DOI: 10.1016/j.jedc.2011.06.007.
• Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011, "News shocks and asset price volatility in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2132-2149, DOI: 10.1016/j.jedc.2011.08.004.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2011, "Pricing executive stock options under employment shocks," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 1, pages 97-114, January.
• Posch, Olaf, 2011, "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 9, pages 1557-1576, September.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 272-280, January.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1, pages 272-280, DOI: 10.1016/j.econmod.2010.09.002.
• Pattitoni, Pierpaolo & Savioli, Marco, 2011, "Investment choices: Indivisible non-marketable assets and suboptimal solutions," Economic Modelling, Elsevier, volume 28, issue 6, pages 2387-2394, DOI: 10.1016/j.econmod.2011.06.027.
• Garcia, René & Renault, Eric & Veredas, David, 2011, "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 325-337, April.
• Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011, "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, volume 162, issue 1, pages 35-43, May.
• Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Peltomäki, Jarkko, 2011, "Geographical focus in emerging markets and hedge fund performance," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 309-320, DOI: 10.1016/j.ememar.2011.05.001.
• Boubakri, Salem & Guillaumin, Cyriac, 2011, "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 460-484, DOI: 10.1016/j.ememar.2011.08.001.
• Diyarbakirlioglu, Erkin, 2011, "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 485-509, DOI: 10.1016/j.ememar.2011.08.002.
• Shawky, Hany A. & Tian, Jianbo, 2011, "Small-cap equity mutual fund managers as liquidity providers," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 802-814, DOI: 10.1016/j.jempfin.2011.09.002.
• Li, Yan & Yang, Liyan, 2011, "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 972-992, DOI: 10.1016/j.jempfin.2011.07.004.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011, "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, volume 33, issue 5, pages 912-923, September.
• Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011, "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, volume 33, issue 6, pages 1283-1294, DOI: 10.1016/j.eneco.2011.03.007.
• Westner, Günther & Madlener, Reinhard, 2011, "Development of cogeneration in Germany: A mean-variance portfolio analysis of individual technology’s prospects in view of the new regulatory framework," Energy, Elsevier, volume 36, issue 8, pages 5301-5313, DOI: 10.1016/j.energy.2011.06.038.
• Fletcher, Jonathan, 2011, "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 375-385, DOI: 10.1016/j.irfa.2011.07.002.
• Husmann, Sven & Todorova, Neda, 2011, "CAPM option pricing," Finance Research Letters, Elsevier, volume 8, issue 4, pages 213-219, DOI: 10.1016/j.frl.2011.03.001.
• Khandani, Amir E. & Lo, Andrew W., 2011, "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, volume 14, issue 1, pages 1-46, February.
• Poshakwale, Sunil S. & Thapa, Chandra, 2011, "Investor protection and international equity portfolio investments," Global Finance Journal, Elsevier, volume 22, issue 2, pages 116-129, DOI: 10.1016/j.gfj.2011.10.003.
• Nguyen, Ha, 2011, "Valuation effects with transitory and trend productivity shocks," Journal of International Economics, Elsevier, volume 85, issue 2, pages 245-255, DOI: 10.1016/j.jinteco.2011.06.005.
• Truong, Cameron, 2011, "Post-earnings announcement abnormal return in the Chinese equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 637-661, DOI: 10.1016/j.intfin.2011.04.002.
• Chudek, Mark & Truong, Cameron & Veeraraghavan, Madhu, 2011, "Is trading on earnings surprises a profitable strategy? Canadian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 832-850, DOI: 10.1016/j.intfin.2011.06.004.
• Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011, "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 851-866, DOI: 10.1016/j.intfin.2011.06.006.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, DOI: 10.1016/j.ijforecast.2009.10.008.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, April.
• Ng, Jeffrey, 2011, "The effect of information quality on liquidity risk," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 126-143, DOI: 10.1016/j.jacceco.2011.03.004.
• Hong, Gwangheon & Lee, Bong Soo, 2011, "The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market," Japan and the World Economy, Elsevier, volume 23, issue 4, pages 273-287, DOI: 10.1016/j.japwor.2011.10.002.
• Bertocchi, Graziella & Brunetti, Marianna & Torricelli, Costanza, 2011, "Marriage and other risky assets: A portfolio approach," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2902-2915, November.
• Fortin, Ines & Hlouskova, Jaroslava, 2011, "Optimal asset allocation under linear loss aversion," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2974-2990, November.
• Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011, "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3188-3201, DOI: 10.1016/j.jbankfin.2011.05.003.
• Ferstl, Robert & Weissensteiner, Alex, 2011, "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, volume 35, issue 1, pages 182-192, January.
• Memmel, Christoph, 2011, "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, volume 35, issue 2, pages 282-289, February.
• Christelis, Dimitris & Georgarakos, Dimitris & Haliassos, Michael, 2011, "Stockholding: Participation, location, and spillovers," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1918-1930, August.
• de Haan, Leo & Kakes, Jan, 2011, "Momentum or contrarian investment strategies: Evidence from Dutch institutional investors," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2245-2251, September.
• Abreu, Margarida & Mendes, Victor & Santos, João A.C., 2011, "Home country bias: Does domestic experience help investors enter foreign markets?," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2330-2340, September.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011, "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, volume 146, issue 1, pages 346-358, January.
• Franke, Guenter & Schlesinger, Harris & Stapleton, Richard C., 2011, "Risk taking with additive and multiplicative background risks," Journal of Economic Theory, Elsevier, volume 146, issue 4, pages 1547-1568, July.
• Ozsoylev, Han N. & Walden, Johan, 2011, "Asset pricing in large information networks," Journal of Economic Theory, Elsevier, volume 146, issue 6, pages 2252-2280, DOI: 10.1016/j.jet.2011.10.003.
• Cvitanic, Jaksa & Malamud, Semyon, 2011, "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, volume 100, issue 1, pages 201-225, April.
• Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011, "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, volume 100, issue 3, pages 496-513, June.
• Cuoco, Domenico & Kaniel, Ron, 2011, "Equilibrium prices in the presence of delegated portfolio management," Journal of Financial Economics, Elsevier, volume 101, issue 2, pages 264-296, August.
• van Rooij, Maarten & Lusardi, Annamaria & Alessie, Rob, 2011, "Financial literacy and stock market participation," Journal of Financial Economics, Elsevier, volume 101, issue 2, pages 449-472, August.
• Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011, "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, volume 101, issue 3, pages 574-595, September.
• Kumar, Alok & Page, Jeremy K. & Spalt, Oliver G., 2011, "Religious beliefs, gambling attitudes, and financial market outcomes," Journal of Financial Economics, Elsevier, volume 102, issue 3, pages 671-708, DOI: 10.1016/j.jfineco.2011.07.001.
• Tu, Jun & Zhou, Guofu, 2011, "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, volume 99, issue 1, pages 204-215, January.
• Palomino, Frederic & Sadrieh, Abdolkarim, 2011, "Overconfidence and delegated portfolio management," Journal of Financial Intermediation, Elsevier, volume 20, issue 2, pages 159-177, April.
• Coeurdacier, Nicolas & Guibaud, Stéphane, 2011, "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, volume 30, issue 2, pages 289-308, March.
• Astudillo, Alfonso & Braun, Matías & Castañeda, Pablo, 2011, "The going public decision and the structure of equity markets," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1451-1470, DOI: 10.1016/j.jimonfin.2011.06.019.
• Kapteyn, Arie & Teppa, Federica, 2011, "Subjective measures of risk aversion, fixed costs, and portfolio choice," Journal of Economic Psychology, Elsevier, volume 32, issue 4, pages 564-580, August.
• van Winden, Frans & Krawczyk, Michal & Hopfensitz, Astrid, 2011, "Investment, resolution of risk, and the role of affect," Journal of Economic Psychology, Elsevier, volume 32, issue 6, pages 918-939, DOI: 10.1016/j.joep.2011.07.007.
• Hara, Chiaki, 2011, "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, volume 47, issue 3, pages 336-345, DOI: 10.1016/j.jmateco.2010.12.013.
• Werner, Jan, 2011, "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, volume 47, issue 3, pages 382-390, DOI: 10.1016/j.jmateco.2010.08.020.
• Diyarbakirlioglu, Erkin, 2011, "Domestic and foreign country bias in international equity portfolios," Journal of Multinational Financial Management, Elsevier, volume 21, issue 5, pages 301-329, DOI: 10.1016/j.mulfin.2011.07.002.
• Sabbaghi, Omid & Sabbaghi, Navid, 2011, "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 399-407, DOI: 10.1016/j.qref.2011.07.004.
• Fugazza, Carolina & Giofré, Maela & Nicodano, Giovanna, 2011, "International diversification and industry-related labor income risk," International Review of Economics & Finance, Elsevier, volume 20, issue 4, pages 764-783, October.
• N Blasco & P Corredor & S Ferreruela, 2011, "Detecting intentional herding: what lies beneath intraday data in the Spanish stock market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 62, issue 6, pages 1056-1066, June, DOI: 10.1057/jors.2010.34.
• Ben Tims & Ronald Mahieu, 2011, "International Portfolio Choice," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, in: Greg N. Gregoriou & Razvan Pascalau, "Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models", DOI: 10.1057/9780230295223_4.
• Maria Elvira Mancino & Simona Sanfelici, 2011, "Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, in: Greg N. Gregoriou & Razvan Pascalau, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures", DOI: 10.1057/9780230298101_1.
• Radoslaw Kurach, 2011, "Eurozone stock returns co-movement: Some findings for portfolio managers and central bankers," Business and Economic Horizons (BEH), Prague Development Center, volume 5, issue 2, pages 1-12, April.
• N. Geetha & M. Ramesh, 2011, "Investors’ Perception On Mutual Funds With Reference To Chidambaram Town," Perspectives of Innovation in Economics and Business (PIEB), Prague Development Center, volume 9, issue 3, pages 30-37, August.
• Kurt Mitman, 2011, "Macroeconomic Effects of Bankruptcy & Foreclosure Policies," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-015, Jun.
• Karsten Jeske & Dirk Krueger & Kurt Mitman, 2011, "Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-034, Oct.
• Ana Preda & Mirela Monea, 2011, "Impact of the Financial Crisis on Life Insurance in Romania," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 11, issue 4, pages 245-254.
• Dani, Ákos & Tőrös, Ágnes, 2011, "China’s Sovereign Wealth Funds: A path to sustained development?," Public Finance Quarterly, Corvinus University of Budapest, volume 56, issue 2, pages 241-256.
• Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011, "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 84/2011, Feb.
• Marco Nicolosi & Stefano Grassi & Elena Stanghellini, 2011, "How to measure Corporate Social Responsibility," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 96/2011, Oct.