Research classified by Journal of Economic Literature (JEL) codes

2011

• G. William Schwert, 2011, "Stock Volatility During the Recent Financial Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16976, Apr.
• Jesse Bricker & Brian K. Bucks & Arthur Kennickell & Traci L. Mach & Kevin Moore, 2011, "Drowning or Weathering the Storm? Changes in Family Finances from 2007 to 2009," NBER Working Papers, National Bureau of Economic Research, Inc, number 16985, Apr.
• Jialun Li & Kent Smetters, 2011, "Optimal Portfolio Choice with Wage-Indexed Social Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 17025, May.
• Yael V. Hochberg & Joshua D. Rauh, 2011, "Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 17122, Jun.
• Jingjing Chai & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011, "Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply," NBER Working Papers, National Bureau of Economic Research, Inc, number 17134, Jun.
• Andrew Ang & Allan Timmermann, 2011, "Regime Changes and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17182, Jun.
• Karen K. Lewis, 2011, "Global Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17261, Jul.
• Clemens Sialm & T. Mandy Tham, 2011, "Spillover Effects in Mutual Fund Companies," NBER Working Papers, National Bureau of Economic Research, Inc, number 17292, Aug.
• Marcin Kacperczyk & Philipp Schnabl, 2011, "Implicit Guarantees and Risk Taking: Evidence from Money Market Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 17321, Aug.
• Stephen A. Ross, 2011, "The Recovery Theorem," NBER Working Papers, National Bureau of Economic Research, Inc, number 17323, Aug.
• Ralph Koijen & Stijn Van Nieuwerburgh & Motohiro Yogo, 2011, "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 17325, Aug.
• Athanasios Geromichalos & Ina Simonovska, 2011, "Asset Liquidity and International Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 17331, Aug.
• Jessica A. Wachter & Missaka Warusawitharana, 2011, "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers, National Bureau of Economic Research, Inc, number 17334, Aug.
• Marcel Fratzscher, 2011, "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 17357, Aug.
• Claudio Raddatz & Sergio L. Schmukler, 2011, "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 17358, Aug.
• David T. Robinson & Berk A. Sensoy, 2011, "Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 17428, Sep.
• Ravi Jagannathan & Srikant Marakani, 2011, "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 17484, Oct.
• Vasily Kartashov & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011, "Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities," NBER Working Papers, National Bureau of Economic Research, Inc, number 17505, Oct.
• Alp Simsek, 2011, "Speculation and Risk Sharing with New Financial Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17506, Oct.
• Karsten Jeske & Dirk Krueger & Kurt Mitman, 2011, "Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises," NBER Working Papers, National Bureau of Economic Research, Inc, number 17537, Oct.
• Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2011, "When Bonds Matter: Home Bias in Goods and Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17560, Nov.
• Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011, "Time-Varying Fund Manager Skill," NBER Working Papers, National Bureau of Economic Research, Inc, number 17615, Nov.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do Borrower Rights Improve Borrower Outcomes? Evidence from the Foreclosure Process," NBER Working Papers, National Bureau of Economic Research, Inc, number 17666, Dec.
• Nicolas Coeurdacier & Hélène Rey, 2011, "Home Bias in Open Economy Financial Macroeconomics," NBER Working Papers, National Bureau of Economic Research, Inc, number 17691, Dec.
• M. Kabir Hassan & Eric Girard, 2011, "Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-05, Apr.
• Irina A. Telyukova & Makoto Nakajima, 2011, "Home Equity in Retirement," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-08B, May, revised Aug 2011.
• João Sousa & Ricardo M. Sousa, 2011, "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers, NIPE - Universidade do Minho, number 21/2011.
• Margaret Meyer & Bruno Strulovici, 2011, "Increasing Interdependence of Multivariate Distributions," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1523, Mar.
• Elisabeth Beckmann & Sandra Dvorsky & Thomas Scheiber, 2011, "OeNB Euro Survey: Growing Uncertainty, but Overall Euroization Not Affected," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 88-99.
• Sebastian Essl & Alfred Stiglbauer, 2011, "Prevention and Correction of Macroeconomic Imbalances: the Excessive Imbalances Procedure," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 99-113.
• Franz Nauschnigg & Paul Schieder, 2011, "Crisis Financing in the EU," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 114-124.
• Andreas Neuhierl & Bernd Schlusche, 2011, "Data Snooping and Market-Timing Rule Performance," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 550-587, Summer.
• Ulrike Malmendier & Stefan Nagel, 2011, "Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 126, issue 1, pages 373-416.
• Mark Grinblatt & Juhani T. Linnainmaa, 2011, "Jensen's Inequality, Parameter Uncertainty, and Multi-period Investment," The Review of Asset Pricing Studies, Society for Financial Studies, volume 1, issue 1, pages 1-34.
• Viral V. Acharya & Jean Imbs & Jason Sturgess, 2011, "Finance and Efficiency: Do Bank Branching Regulations Matter?," Review of Finance, European Finance Association, volume 15, issue 1, pages 135-172.
• H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011, "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, volume 15, issue 1, pages 173-206.
• Dimitris Georgarakos & Giacomo Pasini, 2011, "Trust, Sociability, and Stock Market Participation," Review of Finance, European Finance Association, volume 15, issue 4, pages 693-725.
• Andreas Fuster & Paul S. Willen, 2011, "Insuring Consumption Using Income-Linked Assets," Review of Finance, European Finance Association, volume 15, issue 4, pages 835-873.
• Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011, "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, volume 16, issue 1, pages 285-321.
• James S. Doran & Danling Jiang & David R. Peterson, 2011, "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, volume 16, issue 3, pages 685-731.
• Joachim Inkmann & Paula Lopes & Alexander Michaelides, 2011, "How Deep Is the Annuity Market Participation Puzzle?," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 279-319.
• Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011, "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 82-122.
• Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011, "Risk Shifting and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 8, pages 2575-2616.
• 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.
• Kourtidis, Dimitrios & Šević, Željko & Chatzoglou, Prodromos, 2011, "Investors’ trading activity: A behavioural perspective and empirical results," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 5, pages 548-557, DOI: 10.1016/j.socec.2011.04.008.
• Yao, Rui & Sharpe, Deanna L. & Wang, Feifei, 2011, "Decomposing the age effect on risk tolerance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 879-887, DOI: 10.1016/j.socec.2011.08.023.
• Keef, Stephen P. & Khaled, Mohammed S., 2011, "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 959-967, DOI: 10.1016/j.socec.2011.08.012.
• Humberto Valencia Herrera, 2011, "Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 33-49.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Cohen, Lauren & Lou, Dong, 2011, "Complicated firms," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119066, Jun.
• Basak, Suleyman & Chabakauri, Georgy, 2011, "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119068, May.
• Mayraz, Guy, 2011, "Wishful thinking," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121942, Nov.
• Bustamante, Maria Cecilia, 2011, "Strategic investment, industry concentration and the cross section of returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37454, Jun.
• Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011, "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43096, Feb.
• Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011, "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011, EcoMod, number 3038, Jul.
• Reza Habibi, 2011, "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 14, issue 2, pages 127-136, Winter.
• Gerard Caprio, 2011, "Safe and Sound Banking: A Role for Countercyclical Regulatory Requirements?," Chapters, Edward Elgar Publishing, chapter 14, in: Sylvester Eijffinger & Donato Masciandaro, "Handbook of Central Banking, Financial Regulation and Supervision".
• Fabrice Barthelemy & Jean-Luc Prigent, 2011, "Real Estate Portfolio Management : Optimization under Risk Aversion," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2011-12.
• Denis Conniffe & Donal O'Neill, 2011, "Efficient Probit Estimation with Partially Missing Covariates," Advances in Econometrics, Emerald Group Publishing Limited, "Missing Data Methods: Cross-sectional Methods and Applications", DOI: 10.1108/S0731-9053(2011)000027A011.
• Simone Varotto, 2011, "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 2, pages 134-152, April, DOI: 10.1108/17439131111122139.
• Bruce Hearn, 2011, "Development strategy in offshore markets: evidence from the Channel Islands," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 1, pages 30-51, January, DOI: 10.1108/01443581111096132.
• Craig A. Depken & Harris Hollans & Steve Swidler, 2011, "Flips, flops and foreclosures: anatomy of a real estate bubble," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 1, pages 49-65, April, DOI: 10.1108/17576381111116759.
• Joseph J. French & Nazneen Ahmad, 2011, "Returns or valuation? Foreign equity investment in the United States," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 28, issue 3, pages 196-216, August, DOI: 10.1108/10867371111141963.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011, "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 131-154.
• Panayotis Artikis & Georgia Nifora, 2011, "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-26.
• Emmanouil Mavrakis, 2011, "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-70.
• Aleksandr Alekseev & Mikhail Sokolov, 2011, "A Note on Indices of Return," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2011/02, Feb, revised 21 Feb 2011.
• Di Clemente Annalisa, 2011, "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 104, pages 5-28.
• Borys, Magdalena Morgese Borys, 2011, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 118-139, June.
• Ayesha Afzal & Nawazish Mirza, 2011, "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 173-190, June.
• Karel Báta, 2011, "Equity Home Bias Among Czech Investors: Experimental Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/17, Aug, revised Aug 2011.
• Junjiang Li & Lei Hou & Jiarui Zhang, 2011, "Capital Endowment, Credit Constraint and FDI: Analysis Based on Heterogeneous Firms," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 6, issue 1, pages 55-75, March.
• Kenneth Högholm1, Johan Knif, Seppo Pynnönen, 2011, "Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 1-26, October.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes? Evidence from the foreclosure process," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-16.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes?: evidence from the foreclosure process," Public Policy Discussion Paper, Federal Reserve Bank of Boston, number 11-9.
• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Turan G. Bali & Hao Zhou, 2011, "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-45.
• Vasia Panousi & Dimitris Papanikolaou, 2011, "Investment, idiosyncratic risk, and ownership," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-54.
• Viral V. Acharya & Nada Mora, 2011, "Are banks passive liquidity backstops? deposit rates and flows during the 2007-2009 crisis," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 11-06.
• Christopher J. Neely & Paul A. Weller, 2011, "Lessons from the evolution of foreign exchange trading strategies," Working Papers, Federal Reserve Bank of St. Louis, number 2011-021, DOI: 10.20955/wp.2011.021.
• Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl, 2011, "Heterogeneity and risk sharing in village economies," Working Papers, Federal Reserve Bank of Minneapolis, number 683.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Working Papers, Federal Reserve Bank of Minneapolis, number 685.
• 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.