Research classified by Journal of Economic Literature (JEL) codes

2009

• Igor Evstigneev & Dhruv Kapoor, 2009, "Arbitrage in stationary markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 1, pages 5-12, May, DOI: 10.1007/s10203-008-0083-2.
• Rafael Weißbach & Patrick Tschiersch & Claudia Lawrenz, 2009, "Testing time-homogeneity of rating transitions after origination of debt," Empirical Economics, Springer, volume 36, issue 3, pages 575-596, June, DOI: 10.1007/s00181-008-0212-3.
• Marie-Amélie Morlais, 2009, "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, volume 13, issue 1, pages 121-150, January, DOI: 10.1007/s00780-008-0079-3.
• Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009, "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, volume 13, issue 1, pages 49-77, January, DOI: 10.1007/s00780-008-0072-x.
• Alexander Schied & Torsten Schöneborn, 2009, "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, volume 13, issue 2, pages 181-204, April, DOI: 10.1007/s00780-008-0082-8.
• Nicole Bäuerle & Ulrich Rieder, 2009, "MDP algorithms for portfolio optimization problems in pure jump markets," Finance and Stochastics, Springer, volume 13, issue 4, pages 591-611, September, DOI: 10.1007/s00780-009-0093-0.
• Holger Kraft & Frank Seifried & Mogens Steffensen, 2013, "Consumption-portfolio optimization with recursive utility in incomplete markets," Finance and Stochastics, Springer, volume 17, issue 1, pages 161-196, January, DOI: 10.1007/s00780-012-0184-1.
• Qiang Bu & Nelson Lacey, 2009, "On understanding mutual fund terminations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 1, pages 80-99, January, DOI: 10.1007/s12197-007-9022-2.
• Kevin Krieger & David Peterson, 2009, "Predicting stock splits with the help of firm-specific experiences," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 410-421, October, DOI: 10.1007/s12197-008-9054-2.
• James Dow, 2009, "Age, investing horizon and asset allocation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 422-436, October, DOI: 10.1007/s12197-008-9039-1.
• Ehud Lehrer, 2009, "A new integral for capacities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 1, pages 157-176, April, DOI: 10.1007/s00199-007-0302-z.
• Emilio Espino & Thomas Hintermaier, 2009, "Asset trading volume in a production economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 39, issue 2, pages 231-258, May, DOI: 10.1007/s00199-007-0290-z.
• Jan Werner, 2009, "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 41, issue 2, pages 231-246, November, DOI: 10.1007/s00199-008-0388-y.
• Frank Krysiak, 2009, "Sustainability and its relation to efficiency under uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 41, issue 2, pages 297-315, November, DOI: 10.1007/s00199-008-0397-x.
• Lucia Milone & Paolo Pellizzari, 2009, "Mutual Funds Flows and the “Sheriff of Nottingham” Effect," Lecture Notes in Economics and Mathematical Systems, Springer, chapter 0, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes, "Artificial Economics", DOI: 10.1007/978-3-642-02956-1_10.
• Antje Henne & Sebastian Ostrowski & Peter Reichling, 2009, "Dividend yield and stability versus performance on the German stock market: a descriptive study," Review of Managerial Science, Springer, volume 3, issue 3, pages 225-248, November, DOI: 10.1007/s11846-009-0029-2.
• Wolfgang Kürsten & Mario Brandtner, 2009, "Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”," Schmalenbach Journal of Business Research, Springer, volume 61, issue 4, pages 358-381, June, DOI: 10.1007/BF03373658.
• Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009, "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer;Spanish Economic Association, volume 11, issue 3, pages 207-241, September, DOI: 10.1007/s10108-008-9048-4.
• Andy Stirling & Go Yoshizawa & Tatsujiro Suzuki, 2009, "Electricity System Diversity in the UK and Japan - a Multicriteria Diversity Analysis," SPRU Working Paper Series, SPRU - Science Policy Research Unit, University of Sussex Business School, number 176, Feb.
• Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009, "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 1, pages 81-102, DOI: 10.1080/13504860802327180.
• Jeroen Rombouts & Marno Verbeek, 2009, "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 6, pages 737-745, DOI: 10.1080/14697680902785284.
• Arco van Oord & Martin Martens & Herman K. van Dijk, 2009, "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-011/4, Feb.
• Chris Elbers & Jan Willem Gunning & Melinda Vigh, 2009, "Investment under Risk with Discrete and Continuous Assets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-054/2, Jun.
• Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009, "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-061/4, Jul.
• Andrey M. Lizyayev, 2009, "Stochastic Dominance: Convexity and Some Efficiency Tests," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-112/2, Dec, revised 05 Jan 2010.
• Luis H.R. Alvarez & Jukka Lempa & Elias Oikarinen, 2009, "Do Standard Real Option Models Overestimate the Required Rate of Return of Real Estate Investment Opportunities?," Discussion Papers, Aboa Centre for Economics, number 52, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-636, Aug.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-638, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-643, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-644, Aug.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-652, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-667, Sep.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
• Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-676, Oct.
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-683, Oct.
• John F. Crean, 2009, "Credit Risk, Default Loss, and the Economics of Bankruptcy," Working Papers, University of Toronto, Department of Economics, number tecipa-354, Mar.
• Alicia García-Herrero & Philip Wooldridge & Doo Yong Yang, 2009, "Why Don't Asians Invest in Asia? The Determinants of Cross-Border Portfolio Holdings," Asian Economic Papers, MIT Press, volume 8, issue 3, pages 228-246, Fall.
• d'Albis, Hippolyte & Thibault, Emmanuel, 2009, "Annuities, Bequests and Portfolio Diversification," TSE Working Papers, Toulouse School of Economics (TSE), number 09-010, Feb.
• Hopfensitz, Astrid, 2009, "Previous Outcomes and Reference Dependence: A Meta Study of Repeated Investment Tasks with Restricted Feedback," TSE Working Papers, Toulouse School of Economics (TSE), number 09-087, Sep.
• Hopfensitz, Astrid & Krawczyk, Michal & Van Winden, Frans, 2009, "Investment, Resolution of Risk, and the Role of Affect," TSE Working Papers, Toulouse School of Economics (TSE), number 09-123, Nov.
• Jacques Drèze & Oussama Lachiri & Enrico Minelli, 2009, "Stock Prices, Anticipations and Investment in General Equilibrium," Working Papers, University of Brescia, Department of Economics, number 0916.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-04.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-07.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-10.
• Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009, "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-12.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-18.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-19.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-20.
• Marie Briere & Ombretta Signori, 2009, "Do inflation-linked bonds still diversify?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169891, Mar.
• Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
• Francisco Peñaranda, 2009, "Understanding portfolio efficiency with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1146, Jan, revised Oct 2011.
• Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009, "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-06, Apr.
• David B. Brown & Enrico G. De Giorgi & Melvyn Sim, 2009, "A Satisficing Alternative to Prospect Theory," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-09, May.
• Enrico G. De Giorgi & Shane Legg, 2009, "Portfolio Selection with Narrow Framing: Probability Weighting Matters," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-12, Jun.
• Enrico G. De Giorgi, 2009, "Goal-Based Investing with Cumulative Prospect Theory and Satisficing Behavior," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-22, Aug.
• Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009, "Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 248, Apr.
• Daniel MANATE & Paval FARCAS, 2009, "The Fundamental Analysis of Financial Instruments in the Context of Diverse Investing Styles," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 4, issue 2, pages 108-129.
• Dinga, Emil, 2009, "Asupra Posibilităţii Utilizării Unui Model De Optimizare Pentru Obţinerea Sustenabilităţii," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 13, issue 2, pages 7-17.
• Lucia Milone & Paolo Pellizzari, 2009, "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 188, Jun.
• Diana Barro & Elio Canestrelli, 2009, "Portfolio management with minimum guarantees: some modeling and optimization issues," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 193, Nov.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009, "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2009-11.
• Didier, Tatiana & Lowenkron, Alexandre, 2009, "The current account as a dynamic portfolio choice problem," Policy Research Working Paper Series, The World Bank, number 4861, Mar.
• Gerlinde Fellner & Matthias Sutter, 2009, "Causes, Consequences, and Cures of Myopic Loss Aversion – An Experimental Investigation," Economic Journal, Royal Economic Society, volume 119, issue 537, pages 900-916, April, DOI: 10.1111/j.1468-0297.2009.02251.x.
• Oreste Tristani, 2009, "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 7, pages 1453-1479, October, DOI: 10.1111/j.1538-4616.2009.00263.x.
• Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2009, "Marriage and Other Risky Assets: A Portfolio Approach," CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY, number wp03_09, Jan.
• Terence Tai-Leung Chong & Tau-Hing Lam & Melvin J. Hinich, 2009, "Are Nonlinear Trading Rules Profitable In The Chinese Stock Market?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 1-20, DOI: 10.1142/S201049520950002X.
• Jingliang Xiao & Robert D Brooks & Wing-Keung Wong, 2009, "Garch And Volume Effects In The Australian Stock Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 1-20, DOI: 10.1142/S2010495209500055.
• John M Longo (ed.), 2009, "Hedge Fund Alpha:A Framework for Generating and Understanding Investment Performance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7012, ISBN: ARRAY(0x85028248).
• John M. Longo, 2009, "Introduction," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "Hedge Fund Research Vs. Traditional Research," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Jorge Barreiro & John M. Longo, 2009, "Achieving Hedge Fund Alpha In Brazil," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Irina Samoylova & John M. Longo, 2009, "Achieving Hedge Fund Alpha In Russia," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Ali Jaffery & John M. Longo, 2009, "Achieving Hedge Fund Alpha In India," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo & Wei-Kang Shih & Ben Sopranzetti, 2009, "Achieving Hedge Fund Alpha In China," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Sanjeev Khullar, 2009, "Using Derivatives To Create Alpha," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Saad Rathore, 2009, "Best Execution Of Hedge Fund Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "Growth Of The Hedge Fund Management Company: Evolving From A Single Strategy Fund To A Multistrategy Fund Or Multiple Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Jeffrey Glattfelder & John Longo & Stephen Spence, 2009, "Fund Of Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo, 2009, "The Psychology Of Hedge Fund Managers," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Saad Rathore, 2009, "Risk Management For Hedge Funds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Erman Civelek, 2009, "Hedge Fund Due Diligence," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• John M. Longo & Yaxuan Qi, 2009, "From Birth To Death: The Lifecycle Of A Hedge Fund Investment Strategy," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Mitchell D. Eichen & John M. Longo, 2009, "The Future Of Hedge Funds: Seven Emerging Trends," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: John M Longo, "Hedge Fund Alpha A Framework for Generating and Understanding Investment Performance".
• Maela Giofre, 2009, "Convergence of EMU Equity Portfolios," FIW Working Paper series, FIW, number 028, Feb.
• John Beshears & James Choi & David Laibson & Brigitte Madrian, 2009, "How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?," Yale School of Management Working Papers, Yale School of Management, number amz2547, May, revised 24 Jun 2009.
• Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009, "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2009-01, Jan.
• Frahm, Gabriel & Memmel, Christoph, 2009, "Dominating estimators for the global minimum variance portfolio," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,01.
• Uhlenbrock, Birgit, 2009, "Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,08.
• Busch, Ramona & Kick, Thomas, 2009, "Income diversification in the German banking industry," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,09.
• Fecht, Falko & Wedow, Michael, 2009, "The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,10.
• Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2009, "Measuring market liquidity risk - which model works best?," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-01.
• Stange, Sebastian & Kaserer, Christoph, 2009, "Market liquidity risk: an overview," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-04.
• Achleitner, Ann-Kristin & Kaserer, Christoph & Ampenberger, Markus & Bitsch, Florian, 2009, "The German entrepreneurial index (GEX®): a primer on an ownership-based style index in Germany," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-13.
• Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009, "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 06-02.
• Boonenkamp, Ute & Kempf, Alexander & Homburg, Carsten, 2009, "Fundamental information in technical trading strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-12.
• Kempf, Alexander & Niessen-Ruenzi, Alexandra & Merkle, Christoph, 2009, "Low risk and high return - how emotions shape expectations on the stock market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-10.
• Christelis, Dimitris & Georgarakos, Dimitris, 2009, "Household economic decisions under the shadow of terrorism," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/56.
• Christelis, Dimitris & Georgarakos, Dimitris & Haliassos, Michael, 2009, "Stockholding: From participation to location and to participation spillovers," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/02.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
• Christelis, Dimitris & Georgarakos, Dimitris, 2009, "Investing at home and abroad: Different costs, different people," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/28.
• Georgarakos, Dimitris & Pasini, Giacomo, 2009, "Trust, sociability and stock market participation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/29.
• Scholtz, Hellmut D., 2009, "Modell zur Maximierung des Endvermögens unter gleichzeitiger Sicherstellung intertemporärer Vermögenserhaltung/Solvenz," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 11, issue 9, pages 496-505.
• Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009, "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 109.
• Schalast, Christoph & Tiemann, Marcel & Tuppi, Pascal, 2009, "Staatsfonds - neue Akteure an den Finanzmärkten?," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 114.
• Cremers, Heinz & Walzner, Jens, 2009, "Modellierung des Kreditrisikos im Portfoliofall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 127.
• Pasche, Markus, 2009, "Fundamental uncertainty, portfolio choice, and liquidity preference theory," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-48.
• Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009, "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-54.
• Dannenberg, Henry, 2009, "Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 3/2009.
• Amendola, Alessandra & Storti, Giuseppe, 2009, "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-007.
• Post, Thomas, 2009, "Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-022.
• Eckel, Stefanie & Löffler, Gunter & Maurer, Alina & Schmidt, Volker, 2009, "Measuring the effects of geographical distance on stock market correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-025.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-044.
• Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2009, "Renting versus owning and the role of income risk: The case of Germany," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-060.
• Silberhorn, Nadja & Hildebrandt, Lutz, 2009, "Is cross-category brand loyalty determined by risk aversion?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-061.
• Becker, Franziska & Gürtler, Marc & Hibbeln, Martin, 2009, "Markowitz versus Michaud: Portfolio optimization strategies reconsidered," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF30V3.
• Müller, Elisabeth, 2009, "Returns to private equity: idiosyncratic risk does matter!," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-29 [rev.2].
• Müller, Elisabeth, 2009, "Returns to private equity: idiosyncratic risk does matter!," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-29 [rev.3].
• Schindler, Felix, 2009, "Long-term benefits from investing in international real estate," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-023.
• Schindler, Felix, 2009, "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-048.
• Michael Wolf & Dan Wunderli, 2009, "Fund-of-funds construction by statistical multiple testing methods," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 445, Sep.
• Shihe Fu & Liwei Shan, 2009, "Corporate Equality and Equity Prices: Doing Well While Doing Good?," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_09, Sep.
• Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009, "Means-tested income support, portfolio choice and decumulation in retirement," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-12, Apr.
• Miksjuk Alexei, 2009, "Studying the Relation between the Interest Rates and the Exchange Rate in Belarus under the Speculative Motives Assumption," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 09/07e, Nov.
• Francisco Venegas Martínez & Eduardo Hernández Pérez, 2009, "Comportamiento asintótico del rendimiento sobre el capital y de la razón precio-utilidad," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 1, pages 14-28.
• Benjamin Chabot & Christopher J. Kurz, 2009, "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers, Economic Growth Center, Yale University, number 972, Jun.
• Ahmet Kamil TUNCEL, 2009, "Beta Tahmininde Getiri Araligi Etkisi: IMKB Ornegi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 9, issue 1, pages 131-139.
• Nieto-Parra, Sebastián, 2009, "Who saw sovereign debt crises coming?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123066, Oct.
• Peñaranda, Francisco, 2009, "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24415, Jan.
• Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009, "Predicting Betas: Two new methods," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• W Pfau, 2009, "The Role of International Diversification in Public Pension Systems: The Case of Pakistan," Economic Issues Journal Articles, Economic Issues, volume 14, issue 2, pages 81-106, September.
• Walker, Eduardo, 2009, "Los mercados de las rentas vitalicias en Chile. Competencia, regulación, ¿y miopía?," El Trimestre Económico, Fondo de Cultura Económica, volume 76, issue 301, pages 145-179, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v76i.
• González, Marcelo & Farías, Pablo, 2009, "Desempeño operacional posterior a la oferta pública inicial de acciones de las empresas chilenas," El Trimestre Económico, Fondo de Cultura Económica, volume 76, issue 303, pages 751-773, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v76i.
• Steven L. Green, 2009, "Why 5 percent? An analysis of optimal endowment spending rates," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 26, issue 4, pages 216-231, October, DOI: 10.1108/10867370910995681.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-17, Aug.
• Hakim, M.S. & McAleer, M.J., 2009, "VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-32, Nov.
• da Veiga, B. & Chan, F. & McAleer, M.J., 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-39, Nov.
• Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009, "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-107-F&A, Jan.
• Andreu, L. & Swinkels, L.A.P., 2009, "Performance Evaluation of Balanced Pension Plans," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2010-037-F&A, Oct.
• Alexandru Todea & Adrian Zoicas-Ienciu & Angela-Maria Filip, 2009, "Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 63-72.
• Subhasis Bera, 2009, "South-South FDI vs North-South FDI: A Comparative Analysis in the Context of India," Working Papers, eSocialSciences, number id:2143.
• Andreas Ziegler & Timo Busch & Volker H. Hoffmann, 2009, "Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 09/105, Feb.
• Flavia Corneli, 2009, "The Saving Glut Explanation of Global Imbalances: the Role of Underinvestment," Economics Working Papers, European University Institute, number ECO2009/41.
• Karel Janda & Barbora Svárovská, 2009, "Investing into Microfinance Investment Funds," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/32, Dec, revised Dec 2009.
• Josh Lerner & Shai Bernstein & Antoinette Schoar, 2009, "The Investment Strategies of Sovereign Wealth Funds," Working Papers, Fondazione Eni Enrico Mattei, number 2009.25, Apr.
• Carlo Alberto Magni, 2009, "Opportunity Cost, Excess Profit, and Counterfactual Conditionals," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 118-154, April.
• Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2009, "The valuation channel of external adjustment," Working Papers, Federal Reserve Bank of Boston, number 09-18.
• Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009, "Global, local, and contagious investor sentiment," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 37.
• Geert Bekaert & Eric Engstrom, 2009, "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue jan.
• Katheryn N. Russ & Diego Valderrama, 2009, "A theory of banks, bonds, and the distribution of firm size," Working Paper Series, Federal Reserve Bank of San Francisco, number 2009-25.
• Steffan G. Ball, 2009, "Stock market participation, portfolio choice and pensions over the life-cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-64.
• Geng Li, 2009, "Information sharing and stock market participation: evidence from extended families," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2009-47.
• Erik Hjalmarsson & Peter Manchev, 2009, "Characteristic-based mean-variance portfolio choice," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 981.
• Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009, "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers, Federal Reserve Bank of St. Louis, number 2009-001, DOI: 10.20955/wp.2009.001.
• Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2009, "Dynamics in systematic liquidity," Working Papers, Federal Reserve Bank of St. Louis, number 2009-025, DOI: 10.20955/wp.2009.025.
• Monika Piazzesi & Martin Schneider, 2009, "Inflation and the price of real assets," Staff Report, Federal Reserve Bank of Minneapolis, number 423.
• Shawn Cole & Xavier Gine & Jeremy Tobacman & Petia Topalova & Robert M. Townsend & James Vickery, 2009, "Barriers to household risk management: evidence from India," Staff Reports, Federal Reserve Bank of New York, number 373, May.
• Mancino Maria Elvira & Simona Sanfelici, 2009, "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2009-09, Dec.
• Francisco Peñaranda, 2009, "Understanding Portfolio Efficiency with Conditioning Information," FMG Discussion Papers, Financial Markets Group, number dp626, Jan.
• Giulio Cifarelli & Giovanna Paladino, 2009, "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2009_12.rdf.
• Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009, "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
• David Amdur, 2009, "International Diversification in Debt vs Equity," Working Papers, Georgetown University, Department of Economics, number gueconwpa~09-09-01, Sep.
• Edwin Le Heron, 2009, "Fiscal and Monetary Policies in a Keynesian Stock-Flow Consistent Model," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2009-01, Jan.
• Marcela Ibanez & Fredrik Carlsson, 2009, "A survey-based choice experiment on coca cultivation," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 17, Nov.
• Zulia Gubaydullina & Markus Spiwoks, 2009, "Portfolio diversification: an experimental study," Departmental Discussion Papers, University of Goettingen, Department of Economics, number 140, Mar.
• Michael E. Drew & Anup Basu & Alistair Byrnes, 2009, "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:200902, Feb.
• Anup K. Basu & Michael E. Drew, 2009, "The Appropriateness of Default Investment Options in Defined Contribution Plans: Australian Evidence," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:200903, Mar.
• Andrew C. Worthington, 2009, "Household Asset Portfolio Diversification: Evidence from the Household, Income and Labour Dynamics in Australia (HILDA) Survey," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:200908, Aug.
• Claude DUPUY & Matthieu MONTALBAN & Sylvain MOURA, 2009, "Finance and Industrial Dynamics (In French)," Cahiers du GREThA (2007-2019), Groupe de Recherche en Economie Théorique et Appliquée (GREThA), number 2009-24.
• Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009, "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389773, May.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389789, May.
• Bernard Cornet & Ramu Gopalan, 2009, "Arbitrage and Equilibrium with Portfolio Constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00441873, Oct, DOI: 10.1007/s00199-009-0506-5.
• Laurent-Emmanuel Calvet & Paolo Sodini & John Y. Campbell, 2009, "Fight Or Flight? Portfolio Rebalancing by Individual Investors," Post-Print, HAL, number hal-00459683, Feb, DOI: 10.1162/qjec.2009.124.1.301.
• Laurent-Emmanuel Calvet & John Y. Campbell & Paolo Sodini, 2009, "Measuring the Financial Sophistication of Households," Post-Print, HAL, number hal-00459687, May, DOI: 10.1257/aer.99.2.393.
• J. Y. Campbell & P. Sodini & Laurent-Emmanuel Calvet, 2009, "Fight or Flight ? Portfolio Rebalancing by Individual Investors," Post-Print, HAL, number hal-00495693, May.
• David Thesmar, 2009, "Limits of Limits of Arbitrage: Theory and Evidence," Post-Print, HAL, number hal-00495715.
• Ulrich Hege, 2009, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00496178, Aug.
• Nicolas Coeurdacier & Philippe Martin, 2009, "The geography of asset trade and the euro: insiders and outsiders," Post-Print, HAL, number hal-03602444, Jun, DOI: 10.1016/j.jjie.2008.11.001.
• Fabrice Barthélémy & Jean-Luc Prigent, 2009, "Optimal Time to Sell in Real Estate Portfolio Management," Post-Print, HAL, number hal-03679715, Jan, DOI: 10.1007/s11146-008-9122-6.
• Edwin Le Héron, 2009, "Fiscal and Monetary Policies in a Keynesian Stock-flow Consistent Model," Post-Print, HAL, number halshs-00385799.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Post-Print, HAL, number halshs-00389789, May.
• Bernard Cornet & Ramu Gopalan, 2009, "Arbitrage and Equilibrium with Portfolio Constraints," Post-Print, HAL, number halshs-00441873, Oct, DOI: 10.1007/s00199-009-0506-5.
• Raphaëlle Bellando & Linh Tran Dieu, 2009, "La relation entre flux d entrées nets et performance des fonds : une étude appliquée au cas des OPCVM actions français," Post-Print, HAL, number halshs-00451026.
• Rudy de Winne & Carole Gresse & Isabelle Platten, 2009, "Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index," Post-Print, HAL, number halshs-00674163, Oct.
• Pamina Koenig, 2009, "Agglomeration and the Export Decision of French Firms," Post-Print, HAL, number halshs-00754328, Nov, DOI: 10.1016/j.jue.2009.07.002.