Research classified by Journal of Economic Literature (JEL) codes

2016

• Kasper Larsen & Halil Soner & Gordan Žitković, 2016, "Facelifting in utility maximization," Finance and Stochastics, Springer, volume 20, issue 1, pages 99-121, January, DOI: 10.1007/s00780-015-0274-y.
• Eyal Neuman & Alexander Schied, 2016, "Optimal portfolio liquidation in target zone models and catalytic superprocesses," Finance and Stochastics, Springer, volume 20, issue 2, pages 495-509, April, DOI: 10.1007/s00780-015-0280-0.
• Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016, "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, volume 20, issue 3, pages 705-740, July, DOI: 10.1007/s00780-016-0303-5.
• Martin Bischoff & Johannes Jahn, 2016, "Economic objectives, uncertainties and decision making in the energy sector," Journal of Business Economics, Springer, volume 86, issue 1, pages 85-102, January, DOI: 10.1007/s11573-015-0785-1.
• Nader Virk & Hilal Butt, 2016, "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 68-84, January, DOI: 10.1007/s12197-014-9297-z.
• Mico Apostolov, 2016, "Cobb–Douglas production function on FDI in Southeast Europe," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 5, issue 1, pages 1-28, December, DOI: 10.1186/s40008-016-0043-x.
• Elyès Jouini & Clotilde Napp, 2016, "Live fast, die young," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 1, pages 265-278, June, DOI: 10.1007/s00199-015-0894-7.
• Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016, "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 587-633, August, DOI: 10.1007/s00199-015-0922-7.
• Kun Wu & Weixing Wu, 2016, "Optimal Controls for a Large Insurance Under a CEV Model: Based on the Legendre Transform-Dual Method," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 2, pages 167-178, December, DOI: 10.1007/s40953-016-0032-9.
• Alexander Nezlobin & Madhav V. Rajan & Stefan Reichelstein, 2016, "Structural properties of the price-to-earnings and price-to-book ratios," Review of Accounting Studies, Springer, volume 21, issue 2, pages 438-472, June, DOI: 10.1007/s11142-016-9356-0.
• Mu-Shun Wang, 2016, "Idiosyncratic volatility, executive compensation and corporate governance: examination of the direct and moderate effects," Review of Managerial Science, Springer, volume 10, issue 2, pages 213-244, March, DOI: 10.1007/s11846-014-0143-7.
• Elina Pradkhan, 2016, "Impact of culture and patriotism on home bias in bond portfolios," Review of Managerial Science, Springer, volume 10, issue 2, pages 265-301, March, DOI: 10.1007/s11846-014-0146-4.
• Sebastian Lobe & Christian Walkshäusl, 2016, "Vice versus virtue investing around the world," Review of Managerial Science, Springer, volume 10, issue 2, pages 303-344, March, DOI: 10.1007/s11846-014-0147-3.
• Giulia Di Nunno & Erik Hove Karlsen, 2016, "Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises," Springer Books, Springer, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart, "The Fascination of Probability, Statistics and their Applications", DOI: 10.1007/978-3-319-25826-3_22.
• Timmer, Yannick, 2016, "Cyclical investment behavior across financial institutions," ESRB Working Paper Series, European Systemic Risk Board, number 18, Jul.
• Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016, "Back to background risk?," Discussion Papers, Statistics Norway, Research Department, number 834, Feb.
• C.E. Dangerfield & A.E. Whalley & Nick Hanley & C.A. Gilligan, 2016, "What a difference a stochastic process makes: epidemiological-based real options models of optimal treatment of disease," Discussion Papers in Environment and Development Economics, University of St. Andrews, School of Geography and Sustainable Development, number 2016-03, Mar.
• Martyna Marczak & Thomas Beissinger, 2016, "Bidirectional relationship between investor sentiment and excess returns: new evidence from the wavelet perspective," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 18, pages 1305-1311, December, DOI: 10.1080/13504851.2016.1153782.
• Stelios Bekiros & Rangan Gupta & Clement Kyei, 2016, "A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices," Applied Economics, Taylor & Francis Journals, volume 48, issue 31, pages 2895-2898, July, DOI: 10.1080/00036846.2015.1130793.
• Adelina Gschwandtner & Michael Hauser, 2016, "Profit persistence and stock returns," Applied Economics, Taylor & Francis Journals, volume 48, issue 37, pages 3538-3549, August, DOI: 10.1080/00036846.2016.1142652.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016, "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, volume 48, issue 48, pages 4655-4665, October, DOI: 10.1080/00036846.2016.1161724.
• Gonçalo Faria & João Correia-da-Silva, 2016, "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 7, pages 601-626, May, DOI: 10.1080/1351847X.2014.958511.
• Sermin Gungor & Richard Luger, 2016, "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 161-175, April, DOI: 10.1080/07350015.2015.1019510.
• Michael W. McCracken & Serena Ng, 2016, "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 574-589, October, DOI: 10.1080/07350015.2015.1086655.
• T. Roncalli & G. Weisang, 2016, "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 3, pages 377-388, March, DOI: 10.1080/14697688.2015.1046907.
• Daniel Huerta & Peter V. Egly & Diego Escobari, 2016, "The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 22, issue 1, pages 47-62, January, DOI: 10.1080/10835547.2016.12089979.
• Asli Yuksel, 2016, "The relationship between stock and real estate prices in Turkey : Evidence around the global financial crisis," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 16, issue 1, pages 33-40.
• Yasemin Erduman & Neslihan Kaya, 2016, "Time varying determinants of bond flows to emerging markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 16, issue 2, pages 65-72.
• Ahmed Tahoun & Florin P. Vasvari, 2016, "Political Lending," Working Papers Series, Institute for New Economic Thinking, number 47, Aug, DOI: 10.2139/ssrn.2817703.
• Xu Guo & Michael McAleer & Wing-Keung Wong & Lixing Zhu, 2016, "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-003/III, Jan.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-015/III, Mar.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016, "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-025/III, Apr.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016, "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-099/III, Nov.
• Peijnenburg, Kim & Nijman, Theo & Werker, Bas J. M., 2016, "The annuity puzzle remains a puzzle," Other publications TiSEM, Tilburg University, School of Economics and Management, number 011232cd-6c91-4c59-8bc6-6.
• Jiajia, C. & Ponds, Eduard, 2016, "Intergenerational risk trading and the innovative role of equity-wage swaps," Other publications TiSEM, Tilburg University, School of Economics and Management, number ee4d0187-c566-4a78-99bb-4.
• Chen, Daniel L. & Schonger, Martin, 2016, "Is Ambiguity Aversion a Preference?," IAST Working Papers, Institute for Advanced Study in Toulouse (IAST), number 16-52, revised Feb 2020.
• Chen, Daniel L. & Schonger, Martin, 2016, "Is Ambiguity Aversion a Preference?," TSE Working Papers, Toulouse School of Economics (TSE), number 16-703, Sep, revised Feb 2020.
• Marmer, Vadim & Slade, Margaret, 2016, "Investment and Uncertainty With Time to Build: Evidence from U.S. Copper Mining," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2016-14, Dec, revised 22 Dec 2016.
• Halevy, Yoram & Persitz, Dotan & Zrill, Lanny, 2016, "Parametric Recoverability of Preferences," Microeconomics.ca working papers, Vancouver School of Economics, number yoram_halevy-2016-11, Nov, revised 02 Nov 2016.
• Halevy, Yoram & Zrill, Lanny, 2016, "Parametric Recovery Methods: A Comparative Experimental Study," Microeconomics.ca working papers, Vancouver School of Economics, number yoram_halevy-2016-2, Jan, revised 03 Nov 2016.
• John Cotter & Stuart Gabriel & Richard Roll, 2016, "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers, Geary Institute, University College Dublin, number 201612, Nov.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-04, Mar.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016, "Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-05, Dec.
• Marie Briere & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2016, "Towards Greater Diversification in Central Bank Reserves," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/232457.
• Jin Cheng & Meixing Dai & Frédéric Dufourt, 2016, "Banking Crisis, Moral Hazard and Fiscal Policy Responses," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-06.
• Francesco Cerigioni, 2016, "Dual decision processes and noise trading," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1553, Sep.
• Gruber, Alexander & Kogler, Michael, 2016, "Banks and Sovereigns: A Model of Mutual Contagion," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1614, Aug.
• Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016, "Characteristics-based Portfolio Choice with Leverage Constraints," Working Papers on Finance, University of St. Gallen, School of Finance, number 1607, Feb.
• Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016, "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1613, Jun.
• Ammann, Manuel & Ehmann, Christian, 2016, "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Working Papers on Finance, University of St. Gallen, School of Finance, number 1623, Sep.
• Kai Li & Jun Liu, 2016, "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 370, Mar.
• Simona E. Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2016, "Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 20166.
• Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016, "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:01.
• Anastasia Girshina, 2016, "Implications of Fiscal Policy for Housing Tenure Decisions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:.
• Fausto Corradin & Domenico Sartore, 2016, "Non Central Moments of the Truncated Normal Variable," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:17.
• Fausto Corradin & Domenico Sartore, 2016, "Weak Dependence of CRRA on Standard Deviation in the Case of Truncated Normal Distribution of Returns," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:18.
• Fausto Corradin & Domenico Sartore, 2016, "Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:30.
• Iuliana Bitca & Andrea Ellero & Paola Ferretti, 2016, "Is there any link between level of instruction and financial choices? A study on a Generation Y-based survey," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:38.
• Louis Raymond Eeckhoudt & Elisa Pagani & Emanuela Rosazza Gianin, 2016, "Prudence, risk measures and the Optimized Certainty Equivalent: a note," Working Papers, University of Verona, Department of Economics, number 07/2016, May.
• EVRIM MANDACI, Pinar & CAGLI, Efe Caglar, 2016, "Who Drives Whom? Investigating The Relationship Between The Major Stock Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 2, pages 6-24.
• Inga Jonaityte, 2016, "Experts' versus Consumers' Perception of Financial Products," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 19, Nov.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
• Sakowski Paweł & Ślepaczuk Robert & Wywiał Mateusz, 2016, "Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 12, issue 2, pages 23-35, DOI: 10.1515/fiqf-2016-0141.
• Bianchi Robert J. & Drew Michael E. & Walk Adam N., 2016, "The Time Diversification Puzzle: A Survey," Financial Planning Research Journal, Sciendo, volume 2, issue 2, pages 12-48, DOI: 10.2478/fprj-2016-0009.
• Flotyński Marcin, 2016, "The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 113-146, December, DOI: 10.1515/foli-2016-0008.
• Dittmann Iwona, 2016, "Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the Years 1995–2015 – A Comparative Analysis," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 93-112, December, DOI: 10.1515/foli-2016-0007.
• Piasecki Krzysztof, 2016, "Note to “Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the years 1995–2015 – A Comparative Analysis” Folia Oeconomica Stetinensia 16 (1), (2016), 93–112," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 2, pages 250-254, December, DOI: 10.1515/foli-2016-0038.
• Žmuk Berislav, 2016, "Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading," Naše gospodarstvo/Our economy, Sciendo, volume 62, issue 1, pages 12-26, March, DOI: 10.1515/ngoe-2016-0002.
• Wolski Rafał, 2016, "Investment Risk in the Context of Price Changes on the Real Estate and Stock Markets," Real Estate Management and Valuation, Sciendo, volume 24, issue 1, pages 41-50, March, DOI: 10.1515/remav-2016-0004.
• Dittmann Iwona, 2016, "Rates of Return on Shares of Real Estate Development Companies in Poland in the Years 2001-2015. A Comparative Analysis," Real Estate Management and Valuation, Sciendo, volume 24, issue 4, pages 23-34, December, DOI: 10.1515/remav-2016-0027.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-08.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-09.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-10.
• Feixue Gong & Gregory Phelan, 2016, "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers, Department of Economics, Williams College, number 2016-06, Mar, revised Aug 2017.
• Johannes C. Buggle & Steven Nafziger, 2016, "Long-Run Consequences of Labor Coercion: Evidence from Russian Serfdom," Department of Economics Working Papers, Department of Economics, Williams College, number 2016-07, Oct.
• Mira G. Baron & Ella R. Diamant, 2016, "Real estate in studentified neighborhoods," ERSA conference papers, European Regional Science Association, number ersa16p642, Dec.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016, "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, volume 84, issue , pages 1047-1091, May.
• Raj Chetty & Adam Szeidl, 2016, "Consumption Commitments and Habit Formation," Econometrica, Econometric Society, volume 84, issue , pages 855-890, March.
• Davide Pettenuzzo & Francesco Ravazzolo, 2016, "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1312-1332, November.
• Kavita Sirichand & Stephen G. Hall, 2016, "Decision‐Based Forecast Evaluation of UK Interest Rate Predictability," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 2, pages 93-112, March.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016, "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 5, pages 445-461, August.
• Christoph Basten & Andreas Fagereng & Kjetil Telle, 2016, "Saving and Portfolio Allocation Before and After Job Loss," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 2-3, pages 293-324, March, DOI: 10.1111/jmcb.12301.
• Yulei Luo & Eric R. Young, 2016, "Long‐Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 2-3, pages 325-362, March, DOI: 10.1111/jmcb.12302.
• Toni Ahnert, 2016, "Rollover Risk, Liquidity and Macroprudential Regulation," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 8, pages 1753-1785, December, DOI: 10.1111/jmcb.12363.
• Moawia Alghalith & Xu Guo & Wing-Keung Wong & Lixing Zhu, 2016, "A General Optimal Investment Model In The Presence Of Background Risk," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 01, pages 1-8, March, DOI: 10.1142/S2010495216500019.
• Grzegorz Hałaj, 2016, "Dynamic Balance Sheet Model With Liquidity Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 07, pages 1-37, November, DOI: 10.1142/S0219024916500527.
• William T Ziemba, 2016, "Great Investment Ideas," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10149, ISBN: ARRAY(0x7462e4f8), September.
• William T Ziemba, 2016, "Comment on “Why a Weekend Effect?”," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "GREAT INVESTMENT IDEAS".
• Vijay K. Chopra & William T. Ziemba, 2016, "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "GREAT INVESTMENT IDEAS".
• Chris R. Hensel & Gordon A. Sick & William T. Ziemba, 2016, "The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "GREAT INVESTMENT IDEAS".
• Julian Douglass & Owen Wu & William Ziemba, 2016, "Stock Ownership Decisions in Defined Contribution Pension Plans," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "GREAT INVESTMENT IDEAS".
• William T. Ziemba, 2016, "The Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "GREAT INVESTMENT IDEAS".
• Klaus Berge & Giorgio Consigli & William T. Ziemba, 2016, "The Predictive Ability of the Bond Stock Earnings Yield Differential Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "GREAT INVESTMENT IDEAS".
• Constantine Dzhabarov & William T. Ziemba, 2016, "Do Seasonal Anomalies Still Work?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "GREAT INVESTMENT IDEAS".
• Leonard C. MacLean & Edward O. Thorp & Yonggan Zhao & William T. Ziemba, 2016, "How Does the Fortune's Formula-Kelly Capital Growth Model Perform?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "GREAT INVESTMENT IDEAS".
• Olivier Gergaud & William T. Ziemba, 2016, "Great Investors: Their Methods, Results and Evaluation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "GREAT INVESTMENT IDEAS".
• William T. Ziemba, 2016, "Is the 60-40 Stock-Bond Pension Fund Rule Wise?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "GREAT INVESTMENT IDEAS".
• A. N. Shiryaev & M. V. Zhitlukhin & W. T. Ziemba, 2016, "When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "GREAT INVESTMENT IDEAS".
• W. T. Ziemba, 2016, "A Response to Professor Paul A. Samuelson's Objections to Kelly Capital Growth Investing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "GREAT INVESTMENT IDEAS".
• Han, Xing & Li, Youwei, 2016, "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, number 2016-07, Jul, revised 12 Jan 2017.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2016, "Reducing sequence risk using trend following investment strategies and the CAPE," Discussion Papers, Department of Economics, University of York, number 16/11, Sep.
• Faria, Gonçalo & Verona, Fabio, 2016, "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers, Bank of Finland, number 29/2016.
• Timmer, Yannick, 2016, "Cyclical investment behavior across financial institutions," Discussion Papers, Deutsche Bundesbank, number 08/2016.
• Kurz-Kim, Jeong-Ryeol, 2016, "Black Monday, globalization and trading behavior of stock investors," Discussion Papers, Deutsche Bundesbank, number 18/2016.
• Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016, "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers, Deutsche Bundesbank, number 22/2016.
• de Roure, Calebe, 2016, "Fire buys of central bank collateral assets," Discussion Papers, Deutsche Bundesbank, number 51/2016.
• Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2016, "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-05 [rev.2].
• Jaspersen, Stefan, 2021, "Mutual Fund Bets on Market Power," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 16-07, revised 2021.
• Bannier, Christina E. & Neubert, Milena, 2016, "Actual and perceived financial sophistication and wealth accumulation: The role of education and gender," CFS Working Paper Series, Center for Financial Studies (CFS), number 528.
• Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2016, "Why does idiosyncratic risk increase with market risk?," CFS Working Paper Series, Center for Financial Studies (CFS), number 533.
• Buehlmaier, Matthias M. M. & Zechner, Josef, 2016, "Financial media, price discovery, and merger arbitrage," CFS Working Paper Series, Center for Financial Studies (CFS), number 551.
• Kräussl, Roman & Mirgorodskaya, Elizaveta, 2016, "The winner's curse on art markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 564.
• Naqvi, Syed Muhammad Waqar Azeem & Rizvi, Syed Kumail Abbas & Orangzab & Ali, Muhammad, 2016, "Value at Risk at Asian Emerging Stock Markets," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 28, issue 3, pages 311-319.
• Weinert, Jan-Hendrik & Gründl, Helmut, 2016, "The modern tontine: An innovative instrument for longevity risk management in an aging society," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 22/16.
• Bouri, Elie & Azzi, Georges & Haubo Dyhrberg, Anne, 2016, "On the return-volatility relationship in the Bitcoin market around the price crash of 2013," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-41.
• Eichler, Stefan & Plaga, Timo, 2016, "The Political Determinants of Government Bond Holdings," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 14/2016.
• Curatola, Giuliano, 2016, "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 130, DOI: 10.2139/ssrn.2749498.
• Kraft, Holger & Munk, Claus & Weiss, Farina, 2017, "Predictors and portfolios over the life cycle: Skill vs. luck," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 139, revised 2017, DOI: 10.2139/ssrn.2787568.
• Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019, "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 146, revised 2019, DOI: 10.2139/ssrn.2845338.
• Hackethal, Andreas & Jakusch, Sven Thorsten & Meyer, Steffen, 2016, "Taring all investors with the same brush? Evidence for heterogeneity in individual preferences from a maximum likelihood approach," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 147, DOI: 10.2139/ssrn.2845866.
• Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016, "Systemic co-jumps," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 149, DOI: 10.2139/ssrn.2851811.
• Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2016, "Putting the pension back in 401(k) plans: Optimal versus default longevity income annuities," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 150, DOI: 10.2139/ssrn.2853430.
• Meyer, Steffen & Urban, Linda & Ahlswede, Sophie, 2016, "Does feedback on personal investment success help?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 157, DOI: 10.2139/ssrn.2880530.
• Donadelli, Michael & Kizys, Renatas & Riedel, Max, 2016, "Globally dangerous diseases: Bad news for Main Street, good news for Wall Street?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 158, DOI: 10.2139/ssrn.2881220.
• Hanspal, Tobin, 2016, "The effect of personal financing disruptions on entrepreneurship," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 161, DOI: 10.2139/ssrn.2887264.
• Maurer, Raimond & Mitchell, Olivia S., 2016, "Older people's willingness to delay social security claiming," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 170, DOI: 10.2139/ssrn.2945967.
• Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2016, "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-001.
• Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016, "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-006.
• Dlugoszek, Grzegorz R., 2016, "Solving DSGE portfolio choice models with asymmetric countries," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-009.
• Mazelis, Falk, 2016, "Implications of shadow ban regulation for monetary policy at the zero lower bound," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-043.
• Chen, Xiaoyu & Ji, Xiaohao, 2016, "How does rising house price influence stock market participation in China? A micro-household perspective," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-056.
• Broll, Udo & Welzel, Peter & Wong, Kit Pong, 2016, "The banking firm under ambiguity aversion," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 01/16.
• Neugart, Michael, 2016, "Economic systems and risk preferences: evidence from East and West Germany," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145475.
• Haas, Markus, 2016, "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145493.
• Raddant, Matthias & Kenett, Dror, 2016, "Interconnectedness in the global financial market," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145560.
• Neubert, Milena & Bannier, Christina E., 2016, "Actual and perceived financial sophistication and wealth accumulation: The role of education and gender," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145593.
• Bätje, Fabian & Menkhoff, Lukas, 2016, "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145789.
• Khalil, Makram, 2016, "Cross-Border Portfolio Diversification under Trade Linkages," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145811.
• Marczak, Martyna & Beissinger, Thomas, 2016, "Bidirectional Relationship between Investor Sentiment and Excess Returns: New Evidence from the Wavelet Perspective," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145836.
• Hasler, Nicole, 2016, "US International Equity Investment and Economic Fundamentals," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145840.
• Mann, Katja & Davenport, Margaret, 2016, "Demography, Capital Flows and Asset Allocation over the Life-cycle," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145948.
• Zhuoqiong (Charlie) Chen & Tobias Gesche, 2016, "Persistent bias in advice-giving," ECON - Working Papers, Department of Economics - University of Zurich, number 228, Jun, revised Oct 2017.
• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016, "Large dynamic covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 231, Jul, revised Apr 2017.
• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016, "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers, Department of Economics - University of Zurich, number 238, Dec, revised May 2018.
• Fischer, Mario & Hanauer, Matthias X. & Heigermoser, Robert, 2016, "Synthetic hedge funds," Review of Financial Economics, Elsevier, volume 29, issue C, pages 12-22, DOI: 10.1016/j.rfe.2016.02.002.
• Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016, "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, volume 29, issue C, pages 2-11, DOI: 10.1016/j.rfe.2015.05.002.
• Moll, Cliff R. & Huffman, Stephen P., 2016, "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, Elsevier, volume 30, issue C, pages 33-44, DOI: 10.1016/j.rfe.2016.04.001.
• Gutierrez, Jose, 2016, "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, volume 30, issue C, pages 68-73, DOI: 10.1016/j.rfe.2016.07.001.
• Sclip, Alex & Dreassi, Alberto & Miani, Stefano & Paltrinieri, Andrea, 2016, "Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets," Review of Financial Economics, Elsevier, volume 31, issue C, pages 34-44, DOI: 10.1016/j.rfe.2016.06.005.
• Li, Bob & Ee, Mong Shan & Rashid, Mamunur, 2016, "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, Elsevier, volume 31, issue C, pages 56-63, DOI: 10.1016/j.rfe.2016.08.002.
• Al Nasser, Omar M. & Hajilee, Massomeh, 2016, "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 1-12, DOI: 10.1016/j.ribaf.2015.09.025.
• Arjoon, Vaalmikki, 2016, "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 112-126, DOI: 10.1016/j.ribaf.2015.09.016.
• Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016, "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 212-221, DOI: 10.1016/j.ribaf.2015.09.011.
• Alexakis, Panayotis D. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2016, "On emerging stock market contagion: The Baltic region," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 312-321, DOI: 10.1016/j.ribaf.2015.09.035.
• Urquhart, Andrew & Hudson, Robert, 2016, "Investor sentiment and local bias in extreme circumstances: The case of the Blitz," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 340-350, DOI: 10.1016/j.ribaf.2015.09.010.
• Charfeddine, Lanouar & Najah, Ahlem & Teulon, Frédéric, 2016, "Socially responsible investing and Islamic funds: New perspectives for portfolio allocation," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 351-361, DOI: 10.1016/j.ribaf.2015.09.031.
• McQuillan, William & Lucey, Brian, 2016, "The validity of Islamic art as an investment," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 388-401, DOI: 10.1016/j.ribaf.2015.02.010.
• Sui, Lu & Sun, Lijuan, 2016, "Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 459-471, DOI: 10.1016/j.ribaf.2015.10.011.
• Aytaç, Beysül & Hoang, Thi-Hong-Van & Mandou, Cyrille, 2016, "Wine: To drink or invest in? A study of wine as an investment asset in French portfolios," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 591-614, DOI: 10.1016/j.ribaf.2015.03.001.
• Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016, "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 1-16, DOI: 10.1016/j.ribaf.2015.10.004.
• Venanzi, Daniela, 2016, "The performance of the Italian mutual funds: Does the metric matter?," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 406-421, DOI: 10.1016/j.ribaf.2016.01.002.
• Berggrun, Luis & Lizarzaburu, Edmundo & Cardona, Emilio, 2016, "Idiosyncratic volatility and stock returns: Evidence from the MILA," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 422-434, DOI: 10.1016/j.ribaf.2016.01.011.
• Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016, "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 515-526, DOI: 10.1016/j.ribaf.2015.11.017.
• Yavas, Burhan F. & Dedi, Lidija, 2016, "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 583-596, DOI: 10.1016/j.ribaf.2016.01.025.
• Chkili, Walid, 2016, "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 22-34, DOI: 10.1016/j.ribaf.2016.03.005.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016, "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 277-285, DOI: 10.1016/j.ribaf.2016.04.020.
• Roig Hernando, Jaume, 2016, "Crowdfunding: The collaborative economy for channelling institutional and household savings," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 326-337, DOI: 10.1016/j.ribaf.2016.03.004.
• Shank, Corey A. & Vianna, Andre C., 2016, "Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 430-438, DOI: 10.1016/j.ribaf.2016.05.002.
• Zaremba, Adam & Szyszka, Adam, 2016, "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 546-564, DOI: 10.1016/j.ribaf.2016.07.004.
• Insler, Michael & Compton, James & Schmitt, Pamela, 2016, "The investment decisions of young adults under relaxed borrowing constraints," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 64, issue C, pages 106-121, DOI: 10.1016/j.socec.2015.07.004.
• Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016, "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, volume 19, issue 1, pages 55-76, DOI: 10.1016/j.rcsar.2015.01.003.
• Hilbert, Martin, 2016, "Formal definitions of information and knowledge and their role in growth through structural change," Structural Change and Economic Dynamics, Elsevier, volume 38, issue C, pages 69-82, DOI: 10.1016/j.strueco.2016.03.004.
• Tsouknidis, Dimitris A., 2016, "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 91, issue C, pages 90-111, DOI: 10.1016/j.tre.2016.04.001.
• Bojan Tomic & Andrijana Sesar, 2016, "Basic Characteristics of Bonds and their Dynamics on the Croatian Secondary Market," Effectus - Working Paper Series, Effectus - University College for Law and Finance, number 0015, Jan.
• Ibrahim BOZKURT, 2016, "Gunahkar Hisseler," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 16, issue 1, pages 1-12, DOI: 10.21121/eab.2016119950.
• Martin, Ian & Wagner, Christian, 2016, "What is the expected return on a stock?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118957, Nov.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016, "An information based one-factor asset pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118978, Apr.
• Bianchi, Daniele & Tamoni, Andrea, 2016, "The dynamics of expected returns: evidence from multi-scale time series modelling," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118992, Mar.
• Ziemba, William, 2016, "A response to Professor Paul A. Samuelson's objections to Kelly capital growth investing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119002, Jan.
• Czichowsky, Christoph & Schachermayer, Walter, 2016, "Duality theory for portfolio optimisation under transaction costs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 63362, Jun.
• Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2016, "Mortgage risk and the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 64915, May.
• Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2016, "Factor models of stock returns: GARCH errors versus time-varying betas," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65548, Jan.
• Aymanns, Christoph & Caccioli, Fabio & Farmer, J. Doyne & Tan, Vincent W.C., 2016, "Taming the Basel leverage cycle," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65676, Mar.
• Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016, "Back to Background Risk," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1602, revised Jan 2016.