Research classified by Journal of Economic Literature (JEL) codes

2015

• Wong, Max C. Y., 2015, "Exploring the use of the Kelly criterion for Basel capital requirement: An optimal and countercyclical approach," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 8, issue 1, pages 45-61, January.
• Walter Beckert, 2015, "Choice in the Presence of Experts," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1503, Apr.
• Ionut Traian Luca, 2015, "Portfolio Optimization Algorithms," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Jie Zhou, 2015, "Household Stockholding Behavior During the Great Financial Crisis," Staff Working Papers, Bank of Canada, number 15-15, DOI: 10.34989/swp-2015-15.
• Dimitris Christelis & Michael Ehrmann & Dimitris Georgarakos, 2015, "Exploring Differences in Household Debt Across Euro Area Countries and the United States," Staff Working Papers, Bank of Canada, number 15-16, DOI: 10.34989/swp-2015-16.
• Shaofeng Xu, 2015, "On the Welfare Cost of Rare Housing Disasters," Staff Working Papers, Bank of Canada, number 15-26, DOI: 10.34989/swp-2015-26.
• Raphaël Janssen & Romuald Morhs, 2015, "The interest rate sensitivity of Luxembourg bond funds: results from a time-varying model," BCL working papers, Central Bank of Luxembourg, number 98, Aug.
• Eduardo Ariel Corso, 2015, "Ambiguity, Ambiguity Aversion and Reserve of Value in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 73, pages 91-115, December.
• Eduardo Corso, 2015, "Ambiguity and portfolio decisions," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201567, Nov.
• Mirta González & María Cecilia Pérez, 2015, "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201570, Nov.
• Batu TUNAY, 2015, "Sectoral Concentration in Loan Portfolio and Risk Relationship: An Analysis on The Turkish Commercial Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 9, issue 1, pages 127-147.
• Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote, 2015, "Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation," Working Papers, Banco de España, number 1520, Jul.
• Franco Panfili & Francesco Daini & Francesco Potente & Giuseppe Reale, 2015, "Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 277, Jun.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1044, Nov.
• Ciril Bosch-Rosa & Thomas Meissner & Antoni Bosch-Domènech, , "Cognitive Bubbles," BDPEMS Working Papers, Berlin School of Economics, number 2015006.
• Carlos A. Arango & Oscar M. Valencia, 2015, "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia, Banco de la Republica de Colombia, number 878, Apr, DOI: 10.32468/be.878.
• Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015, "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia, Banco de la Republica de Colombia, number 899, Aug, DOI: 10.32468/be.899.
• M. Debbich, 2015, "Why Financial Advice Cannot Substitute for Financial Literacy?," Working papers, Banque de France, number 534.
• Fourel, G. & Potier, V., 2015, "Fonds d’investissement non monétaires français Faits saillants pour l’année 2014 et le premier trimestre 2015," Bulletin de la Banque de France, Banque de France, issue 201, pages 41-49.
• Bui Quang, P., 2015, "Le portefeuille-titres des résidents entre 2008 et 2015," Bulletin de la Banque de France, Banque de France, issue 202, pages 35-42.
• F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015, "Main determinants of profit sharing policy in the French life insurance industry," Débats Economiques et financiers, Banque de France, number 17.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015, "The hunt for duration: not waving but drowning?," BIS Working Papers, Bank for International Settlements, number 519, Oct.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," BIS Working Papers, Bank for International Settlements, number 531, Dec.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015, "Mortgage risk and the yield curve," BIS Working Papers, Bank for International Settlements, number 532, Dec.
• Dumičić Ksenija & Žmuk Berislav, 2015, "Statistical Control Charts: Performances of Short Term Stock Trading in Croatia," Business Systems Research, Sciendo, volume 6, issue 1, pages 22-35, March, DOI: 10.1515/bsrj-2015-0002.
• Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015, "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 55, issue 1, pages 1-27, March.
• Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2015, "Understanding The Effects Of Marriage And Divorce On Financial Investments: The Role Of Background Risk Sharing," Economic Inquiry, Western Economic Association International, volume 53, issue 1, pages 431-447, January, DOI: 10.1111/ecin.12113.
• Michael A. Goldstein & Abhinav Goyal & Brian M. Lucey & Cal B. Muckley, 2015, "The Global Preference for Dividends in Declining Markets," The Financial Review, Eastern Finance Association, volume 50, issue 4, pages 575-609, November.
• Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2015, "Money Doctors," Journal of Finance, American Finance Association, volume 70, issue 1, pages 91-114, February.
• Philipp Krüger & Augustin Landier & David Thesmar, 2015, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Journal of Finance, American Finance Association, volume 70, issue 3, pages 1253-1285, June.
• Bo Becker & Victoria Ivashina, 2015, "Reaching for Yield in the Bond Market," Journal of Finance, American Finance Association, volume 70, issue 5, pages 1863-1902, October.
• Camelia M. Kuhnen, 2015, "Asymmetric Learning from Financial Information," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2029-2062, October.
• Jakub W. Jurek & Erik Stafford, 2015, "The Cost of Capital for Alternative Investments," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2185-2226, October.
• Philipp Harms & Mathias Hoffmann & Christina Ortseifer, 2015, "The Home Bias in Equities and Distribution Costs," Scandinavian Journal of Economics, Wiley Blackwell, volume 117, issue 3, pages 983-1018, July.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2015, "Study Regarding The Markowitz Model Of Portfolio Selection," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 67, issue Supplemen, pages 195-206, September.
• Marco Belmonte Fagalde & Martín Villegas Tufiño, 2015, "Regulación del crédito y tasas máximas: un análisis de sus efectos sobre las entidades de intermediación financiera," Serie de Documentos de Trabajo, Banco Central de Bolivia, number 2015/05, Dec.
• Davide Pettenuzzo & Francesco Ravazzolo, 2015, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 9/2015, Aug.
• Michael Chin & Christopher Polk, 2015, "A forecast evaluation of expected equity return measures," Bank of England Staff Working Paper series, Bank of England, number 520, Jan.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015, "Extreme downside risk and financial crises," Bank of England Staff Working Paper series, Bank of England, number 547, Sep.
• Philippe Bracke & Christian Hilber & Olmo Silva, 2015, "Mortgage debt and entrepreneurship," Bank of England Staff Working Paper series, Bank of England, number 560, Oct.
• Imlak Shaikh & Puja Padhi, 2015, "The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 1, pages 44-52, March.
• Nasif Ozkan & Mustafa Mesut Kayali, 2015, "The accrual anomaly: Evidence from Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 115-125, June.
• Mouna Boujelbene Abbes & Yousra Trichilli, 2015, "Islamic stock markets and potential diversification benefits," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 93-105, June.
• Al-Ississ Mohamad, 2015, "The Cross-Border Impact of Political Violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 21, issue 2, pages 239-272, April, DOI: 10.1515/peps-2014-0046.
• Elif Sisli Ciamarra & Abigail Hornstein, 2015, "Board Overlaps in Mutual Fund Families," Working Papers, Brandeis University, Department of Economics and International Business School, number 92, Sep.
• Gabriel Matos Pereira & Leonardo Riegel Sant'Anna & Tiago Pascoal Filomena & João Luiz Becker, 2015, "Liquidity Constraint for Portfolio Selection Models," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 288-324.
• Paulo Rogério Faustino Matos & Wandermon Silva & Felipe Silva, 2015, "Do Brazilian mutual stock fund managers have sufficient skill?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 325-366.
• Melquiades Pereira Lima & Vinicio de Souza Almeida, 2015, "Sell-side analysts make good predictions in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 365-393.
• Paulo Ferreira Naibert & João Caldeira, 2015, "Selection of optimal portfolios under norm constraints in the allocation vectors: an empirical evaluation with data from BM&FBovespa," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 504-543.
• Antonio Zoratto Sanvicente, 2015, "The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 631-649.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, volume 36, issue 2, pages 67-105.
• Zoe Knight, 2015, "Le développement d'une « finance 2 °C » et l'exemple des green bonds," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 155-174.
• Mats Andersson & Patrick Bolton & Frédéric Samama, 2015, "Les indices low carbon : entrée des investisseurs institutionnels dans la lutte contre le réchauffement climatique," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 175-188.
• Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015, "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/02, Jan.
• Libin Yang & William Rea & Alethea Rea, 2015, "Stock Selection with Principal Component Analysis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/03, Feb.
• Libin Yang & William Rea & Alethea Rea, 2015, "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/07, Mar.
• Libin Yang & William Rea & Alethea Rea, 2015, "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/08, Mar.
• Libin Yang & William Rea & Alethea Rea, 2015, "Can PCA Structure Changes Indicate that it is Time to Trade?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/13, Jun.
• Roberto Marfè, 2015, "Survey Expectations and the Equilibrium Risk-Return Trade Off," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 408.
• Relwende SAWADOGO & Samuel GUERINEAU, 2015, "Les déterminants du développement de l'assurance-vie dans les pays d’Afrique Subsaharienne: le rôle de la qualité du système juridique et politique," Working Papers, CERDI, number 201519, Jun.
• Roth Tran, Brigitte, 2015, "Divest, Disregard, or Double Down?," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt1hw1k2ps, Jul.
• José P. Dapena & Julian R. Siri, 2015, "Index options realized returns distributions from passive investment strategies," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 580, Dec.
• Inaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015, "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CESifo Working Paper Series, CESifo, number 5182.
• Michael Stimmelmayr, 2015, "Investors' Portfolio Choice and Tax Reforms: The 2008 German Corporate Tax Reform Reconsidered," CESifo Working Paper Series, CESifo, number 5311.
• Jozef Baruník & Evžen Kocenda & Lukáš Vácha & Evžen Kočenda, 2015, "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series, CESifo, number 5333.
• Nadjeschda Arnold & Ray Rees, 2015, "The Sovereign Default Problem in the Eurozone: An Insurance-Based Approach," CESifo Working Paper Series, CESifo, number 5389.
• Steffen Huck & Tobias Schmidt & Georg Weizsäcker, 2015, "The Standard Portfolio Choice Problem in Germany," CESifo Working Paper Series, CESifo, number 5441.
• Leo Kaas & Georgi Kocharkov & Edgar Preugschat, 2015, "Wealth Inequality and Homeownership in Europe," CESifo Working Paper Series, CESifo, number 5498.
• Jenny Simon, 2015, "Optimal Debt Bias in Corporate Income Taxation," CESifo Working Paper Series, CESifo, number 5561.
• Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series, CESifo, number 5608.
• Gadi S. Perets & Eran Yashiv, 2015, "The Fundamental Nature of HARA Utility," Discussion Papers, Centre for Macroeconomics (CFM), number 1522, Sep.
• Yuki SATO, 2015, "Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-06, Feb.
• Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU, 2015, "History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-11, Feb, revised Jul 2015.
• Marc S. PAOLELLA & Pawel POLAK, 2015, "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-17, Jun.
• Martin Herdegen & Johannes Muhle-Karbe, 2015, "Sensitivity of Optimal Consumption Streams," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-27, Aug.
• Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE, 2015, "The Acceleration Effect and Gamma Factor in Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-30, Aug.
• Johannes Muhle-Karbe & Kevin Webster, 2015, "Information and Inventories in High-Frequency Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-35, Sep.
• Johannes Muhle-Karbe & Ibrahim Ekren & Ren Liu, 2015, "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-44, Oct.
• Eric JONDEAU & Qunzi ZHANG, 2015, "Average Skewness Matters!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-47, Nov.
• Carlo Sala & Giovanni Barone-Adesi, 2015, "Conditioning the Information in Portfolio Optimization," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-50, Oct, revised Apr 2016.
• Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015, "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-54, Oct, revised Jun 2016.
• Paul Schneider & Fabio Trojani, 2015, "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-60, Nov.
• Meike Bradbury & Thorsten Hens & Stefan Zeisberger, 2017, "How Persistent are the Effects of Experience Sampling on Investor Behavior?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-43, Dec.
• Luis Franjo, 2015, "International Interest Rates and Housing Markets," Working Papers, Center for Fiscal Policy, Swiss Federal Institute of Technology Lausanne, number 201501, Feb, revised Feb 2015.
• Kevin Moran & Benoît Carmichael & Gilles Boevi Koumou, 2015, "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," CIRANO Working Papers, CIRANO, number 2015s-16, Apr.
• Kate Rybczynski, 2015, "Gender differences in portfolio risk across birth cohort and marital status," Canadian Journal of Economics, Canadian Economics Association, volume 48, issue 1, pages 28-63, February, DOI: 10.1111/caje.12118.
• Dante Amengual & Enrique Sentana, 2015, "Is a Normal Copula the Right Copula?," Working Papers, CEMFI, number wp2015_1504, Aug.
• Natacha Postel-Vinay, 2015, "What caused Chicago bank failures in the Great Depression? A look at the 1920s," Working Papers, Department of Economic and Social History at the University of Cambridge, number 22, Apr.
• Carlos A. Arango & Oscar M. Valencia, 2015, "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia, Banco de la Republica, number 12695, Apr.
• Juli�n David Garc�a-Pulgar�n & Javier G�mez-Restrepo & Daniel Vela-Bar�n, 2015, "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia, Banco de la Republica, number 13440, Aug.
• Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas, 2015, "Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano," Estudios Gerenciales, Universidad Icesi, volume 31, issue 137, pages 383-392.
• Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas, 2015, "Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano," Estudios Gerenciales, Universidad Icesi, volume 31, issue 137, pages 383-392.
• Caroline Sulzbach Pletsch & Estelamaris Reif & Tarc�sio Pedro Da Silva, 2015, "Análise da relacao entre o valor economico agregado (EVA) e os indicadores do mercado de empresas brasileiras," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, volume 0, issue 1, pages 157-173.
• Paulo Sérgio Almeida Santos & Andr�ia Carpes Dani & Roberto Carlos Klann, 2015, "Concentracao de propriedade e o impairment loss sobre o goodwill: investigacao empírica no contexto das companhias abertas brasileiras," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, volume 0, issue 1, pages 175-188.
• Andrés Mauricio Gómez Sánchez & Jos� Gabriel Astaiza G�mez, 2015, "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 1, pages 109-129.
• Leonardo Santana Viloria, 2015, "Estimación del beta para el sector inmobiliario a partir del desempeno de fondos de inversión inmobiliaria en Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 1, pages 83-95.
• Peter B. Dixon & James. A. Giesecke & Maureen T. Rimmer, 2015, "Superannuation within a financial CGE model of the Australian economy," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-253, Jul.
• Marcel Lever & Ilja Boelaars & Ryanne Cox & Roel Mehlkopf, 2015, "The allocation of financial risks during the life cycle in individual and collective DC pension contracts," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 317, Dec.
• Thomas Michielsen & Remco Mocking & Sander van Veldhuizen, 2015, "Home Ownership and Household Portfolio Choice," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 318, Dec.
• Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015, "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 10328, Jan.
• Kaniel, Ron & Starks, Laura T & Gallaher, Steven, 2015, "Advertising and Mutual Funds: From Families to Individual Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 10329, Jan.
• Carrillo, Juan & Brocas, Isabelle & Giga, Aleksandar & Zapatero, Fernando, 2015, "Risk Aversion in a Dynamic Asset Allocation Experiment," CEPR Discussion Papers, Centre for Economic Policy Research, number 10332, Jan.
• Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015, "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 10335, Jan.
• Gomes, Francisco & Fugazza, Carolina & Campanale, Claudio, 2015, "Life-Cycle Portfolio choice with Liquid and Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 10369, Jan.
• Gromb, Denis & Vayanos, Dimitri, 2015, "The Dynamics of Financially Constrained Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 10436, Feb.
• Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015, "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 10437, Feb.
• Ellul, Andrew & Lundblad, Christian T & Wang, Yihui & Jotikasthira, Chotibhak, 2015, "Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 10450, Mar.
• Black, Sandra & Devereux, Paul J. & Majlesi, Kaveh & Lundborg, Petter, 2015, "Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 10525, Apr.
• Nijman, Theo E & Bovenberg, Lans, 2015, "Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe," CEPR Discussion Papers, Centre for Economic Policy Research, number 10538, Apr.
• Ghironi, Fabio & Rebucci, Alessandro & Lee, Jaewoo, 2015, "The Valuation Channel of External Adjustment," CEPR Discussion Papers, Centre for Economic Policy Research, number 10564, Apr.
• Kosowski, Robert & Joenväärä, Juha, 2015, "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 10577, May.
• Favero, Carlo A. & Bisetti, Emilio & Nocera, Giacomo & Tebaldi, Claudio, 2015, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 10595, May.
• Vayanos, Dimitri & Rabin, Matthew & Eyster, Erik, 2015, "Financial Markets where Traders Neglect the Informational Content of Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 10629, May.
• Haliassos, Michael & Fuchs-Schündeln, Nicola, 2015, "Does Product Familiarity Matter for Participation?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10632, May.
• Simonov, Andrei & Bodnaruk, Andriy & Chokaev, Bekhan, 2015, "Downside Risk Timing by Mutual Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 10639, May.
• Black, Sandra & Devereux, Paul J. & Majlesi, Kaveh & Lundborg, Petter, 2015, "On the Origins of Risk-Taking," CEPR Discussion Papers, Centre for Economic Policy Research, number 10694, Jul.
• Dahlquist, Magnus & Tédongap, Roméo & Farago, Adam, 2015, "Asymmetries and Portfolio Choice," CEPR Discussion Papers, Centre for Economic Policy Research, number 10706, Jul.
• Guiso, Luigi & Mistrulli, Paolo Emilio & Gambacorta, Leonardo & Foà , Gabriele, 2015, "The supply side of household finance," CEPR Discussion Papers, Centre for Economic Policy Research, number 10714, Jul.
• Dumas, Bernard & Buss, Adrian, 2015, "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 10737, Jul.
• Koedijk, Kees & ter Horst, Jenke & Borgers, Arian & Derwall, Jeroen, 2015, "Do Social Factors Influence Investment Behaviour and Performance? Evidence from Mutual Fund Holdings," CEPR Discussion Papers, Centre for Economic Policy Research, number 10740, Jul.
• Sentana, Enrique & Amengual, Dante, 2015, "Is a normal copula the right copula?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10809, Sep.
• Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2015, "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10820, Sep.
• Stork, Philip & Koedijk, Kees & Slager, Alfred, 2015, "Investing in Systematic Factor Premiums," CEPR Discussion Papers, Centre for Economic Policy Research, number 10824, Sep.
• Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo & Weber, Andreas, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CEPR Discussion Papers, Centre for Economic Policy Research, number 10958, Nov.
• Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, Centre for Economic Policy Research, number 11019, Dec.
• Galán, Jorge & Ramos, Sofía B. & Veiga, Helena, 2015, "An analysis of the dynamics of efficiency of mutual funds," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1517, Jul.
• Nikolai Dokuchaev, 2015, "Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection," Annals of Economics and Finance, Society for AEF, volume 16, issue 1, pages 143-161, May.
• Claude Montmarquette & Nathalie Viennot-Briot, 2015, "The Value of Financial Advice," Annals of Economics and Finance, Society for AEF, volume 16, issue 1, pages 69-94, May.
• Gyoocheol Shim & Hyeng Keun Koo, 2015, "Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity," Annals of Economics and Finance, Society for AEF, volume 16, issue 1, pages 19-42, May.
• Ki Beom Binh & Hogyu Jhang, 2015, "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 335-352, November.
• Haijun Wang & L. Steven Hou, 2015, "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 393-416, November.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 676.
• Love, David & Phelan, Gregory, 2015, "Hyperbolic discounting and life-cycle portfolio choice," Journal of Pension Economics and Finance, Cambridge University Press, volume 14, issue 4, pages 492-524, October.
• Masset, Philippe & Weisskopf, Jean-Philippe & Cossutta, Mathieu, 2015, "Wine Tasters, Ratings, and En Primeur Prices," Journal of Wine Economics, Cambridge University Press, volume 10, issue 1, pages 75-107, May.
• Szűcs, Balázs Árpád & Váradi, Kata, 2015, "Measuring and managing liquidity risk in the Hungarian practice," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2015/03.
• Enver BAJ NCA, 2015, "Some features of investing SMEs in Kosovo," Journal of Economics and Political Economy, EconSciences Journals, volume 2, issue 2, pages 309-316, June.
• Tai-Yuen HON & Richard C. LAM, 2015, "Decision-Making in the Hong Kong Bank Stock Market," Journal of Economics and Political Economy, EconSciences Journals, volume 2, issue 4, pages 481-493, December.
• Tai-Yuen HON, 2015, "Rank Correlation Analysis of Investment Decisionfor Small Investors in the Hong Kong Derivatives Markets," Journal of Economics Bibliography, EconSciences Journals, volume 2, issue 3, pages 106-116, September.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015, "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2001, Jun.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2015, "Long-run Heterogeneity in an Exchange Economy with Fixed-Mix Traders," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2015/29, 11.
• Pietro Dindo, 2015, "Survival in Speculative Markets," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2015/32, 12.
• Andreas Fagereng & Elin Halvorsen, 2015, "Imputing consumption from Norwegian income and wealth registry data," Discussion Papers, Statistics Norway, Research Department, number 831, Dec.
• Peter Schwendner & Martin Schuele & Thomas Ott & Martin Hillebrand, 2015, "European Government Bond Dynamics and Stability Policies: Taming Contagion Risks," Working Papers, European Stability Mechanism, number 8, Dec.
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• Nicolas Huck, 2015, "Pairs trading: does volatility timing matter?," Applied Economics, Taylor & Francis Journals, volume 47, issue 57, pages 6239-6256, December, DOI: 10.1080/00036846.2015.1068923.
• Peter C. Dawson, 2015, "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, volume 47, issue 6, pages 569-598, February, DOI: 10.1080/00036846.2014.975333.
• Nicolas Huck & Komivi Afawubo, 2015, "Pairs trading and selection methods: is cointegration superior?," Applied Economics, Taylor & Francis Journals, volume 47, issue 6, pages 599-613, February, DOI: 10.1080/00036846.2014.975417.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015, "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 5, pages 594-616, May, DOI: 10.1080/07474938.2013.808561.
• Renuka Sane & Susan Thomas, 2015, "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Journal of Development Studies, Taylor & Francis Journals, volume 51, issue 10, pages 1409-1424, October, DOI: 10.1080/00220388.2014.997220.
• Giannis Vardas & Anastasios Xepapadeas, 2015, "Uncertainty aversion, robust control and asset holdings," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 3, pages 477-491, March, DOI: 10.1080/14697688.2011.637077.
• Ozcan Ceylan, 2015, "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 6, pages 1031-1039, June, DOI: 10.1080/14697688.2013.808374.
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• Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz, 2015, "Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1531.
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• Siem Jan Koopman & Rutger Lit & André Lucas, 2015, "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-037/III/DSF90, Mar.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-056/III, May.
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• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015, "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-133/III, Dec.
• Prokudina, Elena & Renneboog, Luc & Tobler, Philippe, 2015, "Does Confidence Predict Out-of-Domain Effort?," Discussion Paper, Tilburg University, Center for Economic Research, number 2015-055.
• Renneboog, Luc, 2015, "Investing in Diamonds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4144e181-d12f-4c6f-a3f8-6.
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• Lars Hornuf & Armin Schwienbacher, 2015, "Funding Dynamics in Crowdinvesting," Research Papers in Economics, University of Trier, Department of Economics, number 2015-09.
• Sanna Nivakoski, 2015, "Wealth and the Effect of Subjective Survival Probability," Working Papers, Geary Institute, University College Dublin, number 201509, Jun.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-16, Nov.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015, "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-19, Nov.
• Sandra E. Black & Paul J. Devereux & Petter Lundborg & Kaveh Majleshi, 2015, "Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets," Working Papers, School of Economics, University College Dublin, number 201509, Apr.
• Sandra E. Black & Paul J. Devereux & Petter Lundborg & Kaveh Majlesi, 2015, "Poor Little Rich Kids? - The Determinants of the Intergenerational Transmission of Wealth," Working Papers, School of Economics, University College Dublin, number 201516, Jul.
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• Anne Haubo Dyhrberg, 2015, "Hedging Capabilities of Bitcoin. Is it the virtual gold?," Working Papers, School of Economics, University College Dublin, number 201521, Oct.
• Henrik Cronqvist & Stephan Siegel, 2015, "The Origins of Savings Behavior," Journal of Political Economy, University of Chicago Press, volume 123, issue 1, pages 123-169, DOI: 10.1086/679284.
• Tarek A. Hassan & Thomas M. Mertens, 2015, "Information Aggregation in a Dynamic Stochastic General Equilibrium Model," NBER Macroeconomics Annual, University of Chicago Press, volume 29, issue 1, pages 159-207, DOI: 10.1086/680621.
• Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015, "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/226296.
• Jin Cheng & Meixing Dai & Frédéric Dufourt, 2015, "The banking crisis with interbank market freeze," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2015-20.
• Grey Gordon & Aaron Hedlund, 2015, "Accounting for the Rise in College Tuition," Working Papers, Department of Economics, University of Missouri, number 1514, Sep.
• Aaron Hedlund, 2015, "Failure to Launch: Housing, Debt Overhang, and the Inflation Option During the Great Recession," Working Papers, Department of Economics, University of Missouri, number 1515, Oct.
• Ciril Bosch-Rosa & Thomas Meissner & Antoni Bosch-Domènech, 2015, "Cognitive bubbles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1464, Jan.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015, "Risk-Return Trade-Off for European Stock Markets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/246967.
• Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015, "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance, University of St. Gallen, School of Finance, number 1508, May.
• Giofré, Maela, 2015, "Financial Education, Investor Protection and International Portfolio Diversification," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 201547, Dec.
• Mikhail Anufriev & Te Bao & Angela Sutan & Jan Tuinstra, 2015, "Fee structure, return chasing and mutual fund choice: an experiment," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 30, Apr.
• Marco Corazza & Andrea Sangalli, 2015, "Q-Learning and SARSA: a comparison between two intelligent stochastic control approaches for financial trading," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:15, revised 2015.