Research classified by Journal of Economic Literature (JEL) codes

2013

• Namvar, Ethan & Phillips, Blake, 2013, "Commonalities in investment strategy and the determinants of performance in mutual fund mergers," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 625-635, DOI: 10.1016/j.jbankfin.2012.10.001.
• Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013, "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 648-659, DOI: 10.1016/j.jbankfin.2012.10.004.
• Cornett, Marcia Millon & Li, Lei & Tehranian, Hassan, 2013, "The performance of banks around the receipt and repayment of TARP funds: Over-achievers versus under-achievers," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 730-746, DOI: 10.1016/j.jbankfin.2012.10.012.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013, "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 977-988, DOI: 10.1016/j.jbankfin.2012.11.010.
• Dutt, Tanuj & Humphery-Jenner, Mark, 2013, "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 999-1017, DOI: 10.1016/j.jbankfin.2012.11.001.
• Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013, "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, volume 37, issue 4, pages 1232-1242, DOI: 10.1016/j.jbankfin.2012.11.020.
• Gupta-Mukherjee, Swasti, 2013, "When active fund managers deviate from their peers: Implications for fund performance," Journal of Banking & Finance, Elsevier, volume 37, issue 4, pages 1286-1305, DOI: 10.1016/j.jbankfin.2012.12.003.
• Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013, "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1397-1411, DOI: 10.1016/j.jbankfin.2012.05.009.
• Levy, Ariel & Lieberman, Offer, 2013, "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1412-1421, DOI: 10.1016/j.jbankfin.2012.03.024.
• Da Costa, Newton & Goulart, Marco & Cupertino, Cesar & Macedo, Jurandir & Da Silva, Sergio, 2013, "The disposition effect and investor experience," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1669-1675, DOI: 10.1016/j.jbankfin.2012.12.007.
• Kremer, Stephanie & Nautz, Dieter, 2013, "Causes and consequences of short-term institutional herding," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1676-1686, DOI: 10.1016/j.jbankfin.2012.12.006.
• Jin, Xing & Zhang, Kun, 2013, "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1733-1746, DOI: 10.1016/j.jbankfin.2013.01.017.
• Ramiah, Vikash & Martin, Belinda & Moosa, Imad, 2013, "How does the stock market react to the announcement of green policies?," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1747-1758, DOI: 10.1016/j.jbankfin.2013.01.012.
• Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013, "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1759-1776, DOI: 10.1016/j.jbankfin.2013.01.006.
• Gülpinar, Nalan & Pachamanova, Dessislava, 2013, "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2031-2041, DOI: 10.1016/j.jbankfin.2013.01.025.
• Christelis, Dimitris & Georgarakos, Dimitris, 2013, "Investing at home and abroad: Different costs, different people?," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2069-2086, DOI: 10.1016/j.jbankfin.2013.01.019.
• Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013, "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2124-2139, DOI: 10.1016/j.jbankfin.2013.01.036.
• Fedenia, Mark & Shafer, Sherrill & Skiba, Hilla, 2013, "Information immobility, industry concentration, and institutional investors’ performance," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2140-2159, DOI: 10.1016/j.jbankfin.2013.01.034.
• Thapa, Chandra & Paudyal, Krishna & Neupane, Suman, 2013, "Access to information and international portfolio allocation," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2255-2267, DOI: 10.1016/j.jbankfin.2013.01.011.
• Herrmann, Ulf & Scholz, Hendrik, 2013, "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2314-2328, DOI: 10.1016/j.jbankfin.2013.01.022.
• García-Herrero, Alicia & Vázquez, Francisco, 2013, "International diversification gains and home bias in banking," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2560-2571, DOI: 10.1016/j.jbankfin.2013.02.024.
• Nofsinger, John R. & Varma, Abhishek, 2013, "Availability, recency, and sophistication in the repurchasing behavior of retail investors," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2572-2585, DOI: 10.1016/j.jbankfin.2013.02.023.
• Franck, Alexander & Kerl, Alexander, 2013, "Analyst forecasts and European mutual fund trading," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2677-2692, DOI: 10.1016/j.jbankfin.2013.04.008.
• Bruhn, Kenneth & Steffensen, Mogens, 2013, "Optimal smooth consumption and annuity design," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2693-2701, DOI: 10.1016/j.jbankfin.2013.03.015.
• Ülkü, Numan & Weber, Enzo, 2013, "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2733-2749, DOI: 10.1016/j.jbankfin.2013.03.021.
• Yao, Jing & Li, Duan, 2013, "Prospect theory and trading patterns," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2793-2805, DOI: 10.1016/j.jbankfin.2013.04.001.
• Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013, "Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2823-2835, DOI: 10.1016/j.jbankfin.2013.04.009.
• Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013, "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2991-3006, DOI: 10.1016/j.jbankfin.2013.04.013.
• DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013, "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3018-3034, DOI: 10.1016/j.jbankfin.2013.04.033.
• Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013, "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3085-3099, DOI: 10.1016/j.jbankfin.2013.02.036.
• Ding, Liang & Ma, Jun, 2013, "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3100-3124, DOI: 10.1016/j.jbankfin.2013.02.035.
• Girardi, Giulio & Tolga Ergün, A., 2013, "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3169-3180, DOI: 10.1016/j.jbankfin.2013.02.027.
• Chalmers, John & Kaul, Aditya & Phillips, Blake, 2013, "The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3318-3333, DOI: 10.1016/j.jbankfin.2013.05.004.
• Nyberg, Henri, 2013, "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3351-3363, DOI: 10.1016/j.jbankfin.2013.05.008.
• Verbeek, Marno & Wang, Yu, 2013, "Better than the original? The relative success of copycat funds," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3454-3471, DOI: 10.1016/j.jbankfin.2013.04.024.
• Jang, Bong-Gyu & Park, Seyoung & Rhee, Yuna, 2013, "Optimal retirement with unemployment risks," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3585-3604, DOI: 10.1016/j.jbankfin.2013.05.017.
• Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013, "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3704-3715, DOI: 10.1016/j.jbankfin.2013.04.034.
• Giofré, Maela, 2013, "Investor protection rights and foreign investment," Journal of Comparative Economics, Elsevier, volume 41, issue 2, pages 506-526, DOI: 10.1016/j.jce.2012.07.002.
• Calice, Giovanni & Chen, Jing & Williams, Julian, 2013, "Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 122-143, DOI: 10.1016/j.jebo.2011.10.013.
• Wisniewski, Tomasz Piotr & Lambe, Brendan, 2013, "The role of media in the credit crunch: The case of the banking sector," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 163-175, DOI: 10.1016/j.jebo.2011.10.012.
• Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013, "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 249-268, DOI: 10.1016/j.jebo.2012.04.007.
• Chew, Soo Hong & Ebstein, Richard P. & Zhong, Songfa, 2013, "Sex-hormone genes and gender difference in ultimatum game: Experimental evidence from China and Israel," Journal of Economic Behavior & Organization, Elsevier, volume 90, issue C, pages 28-42, DOI: 10.1016/j.jebo.2013.03.008.
• Beshears, John & Choi, James J. & Laibson, David & Madrian, Brigitte C., 2013, "Simplification and saving," Journal of Economic Behavior & Organization, Elsevier, volume 95, issue C, pages 130-145, DOI: 10.1016/j.jebo.2012.03.007.
• Gong, Binglin & Lei, Vivian & Pan, Deng, 2013, "Before and after: The impact of a real bubble crash on investors’ trading behavior in the lab," Journal of Economic Behavior & Organization, Elsevier, volume 95, issue C, pages 186-196, DOI: 10.1016/j.jebo.2013.03.016.
• de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013, "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 1-34, DOI: 10.1016/j.jeconbus.2013.04.005.
• Wahal, Sunil & Yavuz, M. Deniz, 2013, "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 136-154, DOI: 10.1016/j.jfineco.2012.08.005.
• He, Zhiguo & Xiong, Wei, 2013, "Delegated asset management, investment mandates, and capital immobility," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 239-258, DOI: 10.1016/j.jfineco.2012.08.010.
• Ramadorai, Tarun, 2013, "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 401-416, DOI: 10.1016/j.jfineco.2012.08.020.
• Li, Yan & Yang, Liyan, 2013, "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 715-739, DOI: 10.1016/j.jfineco.2012.11.002.
• Bonaparte, Yosef & Kumar, Alok, 2013, "Political activism, information costs, and stock market participation," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 760-786, DOI: 10.1016/j.jfineco.2012.09.012.
• Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013, "Anomalies and financial distress," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 139-159, DOI: 10.1016/j.jfineco.2012.10.005.
• Hau, Harald & Lai, Sandy, 2013, "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 392-408, DOI: 10.1016/j.jfineco.2012.11.001.
• Spiegel, Matthew & Zhang, Hong, 2013, "Mutual fund risk and market share-adjusted fund flows," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 506-528, DOI: 10.1016/j.jfineco.2012.05.018.
• So, Eric C., 2013, "A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?," Journal of Financial Economics, Elsevier, volume 108, issue 3, pages 615-640, DOI: 10.1016/j.jfineco.2013.02.002.
• Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013, "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, volume 108, issue 3, pages 699-726, DOI: 10.1016/j.jfineco.2013.01.008.
• Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013, "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, volume 109, issue 2, pages 493-516, DOI: 10.1016/j.jfineco.2013.03.009.
• Edelman, Daniel & Fung, William & Hsieh, David A., 2013, "Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 734-758, DOI: 10.1016/j.jfineco.2013.04.003.
• Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013, "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 775-796, DOI: 10.1016/j.jfineco.2013.03.016.
• Green, T. Clifton & Jame, Russell, 2013, "Company name fluency, investor recognition, and firm value," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 813-834, DOI: 10.1016/j.jfineco.2013.04.007.
• Bakshi, Gurdip & Panayotov, George, 2013, "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 139-163, DOI: 10.1016/j.jfineco.2013.04.010.
• Dass, Nishant & Nanda, Vikram & Wang, Qinghai, 2013, "Allocation of decision rights and the investment strategy of mutual funds," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 254-277, DOI: 10.1016/j.jfineco.2013.06.004.
• Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013, "The economics of hedge funds," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 300-323, DOI: 10.1016/j.jfineco.2013.05.004.
• Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013, "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 457-477, DOI: 10.1016/j.jfineco.2013.07.006.
• Chang, Sanders S., 2013, "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 1079-1096, DOI: 10.1016/j.jimonfin.2012.09.002.
• De Moor, Lieven & Sercu, Piet, 2013, "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 129-155, DOI: 10.1016/j.jimonfin.2012.04.002.
• Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013, "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 194-213, DOI: 10.1016/j.jimonfin.2012.04.005.
• De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2013, "Euro area money demand and international portfolio allocation: A contribution to assessing risks to price stability," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 377-404, DOI: 10.1016/j.jimonfin.2012.04.012.
• Abdioglu, Nida & Khurshed, Arif & Stathopoulos, Konstantinos, 2013, "Foreign institutional investment: Is governance quality at home important?," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 916-940, DOI: 10.1016/j.jimonfin.2012.08.001.
• Vermeulen, Robert, 2013, "International diversification during the financial crisis: A blessing for equity investors?," Journal of International Money and Finance, Elsevier, volume 35, issue C, pages 104-123, DOI: 10.1016/j.jimonfin.2013.01.003.
• Hamberg, Mattias & Mavruk, Taylan & Sjögren, Stefan, 2013, "Investment allocation decisions, home bias and the mandatory IFRS adoption," Journal of International Money and Finance, Elsevier, volume 36, issue C, pages 107-130, DOI: 10.1016/j.jimonfin.2013.04.001.
• Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013, "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, volume 36, issue C, pages 191-210, DOI: 10.1016/j.jimonfin.2013.04.004.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Journal of International Money and Finance, Elsevier, volume 39, issue C, pages 65-88, DOI: 10.1016/j.jimonfin.2013.06.019.
• Bauernschuster, Stefan & Falck, Oliver & Große, Niels, 2013, "When trustors compete for the favour of a trustee – A laboratory experiment," Journal of Economic Psychology, Elsevier, volume 34, issue C, pages 133-147, DOI: 10.1016/j.joep.2012.09.004.
• Muehlfeld, Katrin & Weitzel, Utz & van Witteloostuijn, Arjen, 2013, "Fight or freeze? Individual differences in investors’ motivational systems and trading in experimental asset markets," Journal of Economic Psychology, Elsevier, volume 34, issue C, pages 195-209, DOI: 10.1016/j.joep.2012.09.014.
• Duxbury, Darren & Summers, Barbara & Hudson, Robert & Keasey, Kevin, 2013, "How people evaluate defined contribution, annuity-based pension arrangements: A behavioral exploration," Journal of Economic Psychology, Elsevier, volume 34, issue C, pages 256-269, DOI: 10.1016/j.joep.2012.10.008.
• Blaufus, Kay & Bob, Jonathan & Hundsdoerfer, Jochen & Kiesewetter, Dirk & Weimann, Joachim, 2013, "Decision heuristics and tax perception – An analysis of a tax-cut-cum-base-broadening policy," Journal of Economic Psychology, Elsevier, volume 35, issue C, pages 1-16, DOI: 10.1016/j.joep.2012.12.004.
• Kliger, Doron & Kudryavtsev, Andrey, 2013, "Volatility expectations and the reaction to analyst recommendations," Journal of Economic Psychology, Elsevier, volume 37, issue C, pages 1-6, DOI: 10.1016/j.joep.2013.04.003.
• Sensoy, Ahmet, 2013, "Dynamic relationship between precious metals," Resources Policy, Elsevier, volume 38, issue 4, pages 504-511, DOI: 10.1016/j.resourpol.2013.08.004.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013, "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 164-182, DOI: 10.1016/j.matcom.2012.02.008.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013, "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 223-237, DOI: 10.1016/j.matcom.2013.08.010.
• Chae, Joon & Yang, Cheol-Won, 2013, "Commonality in individuals' trading: A systematic path between behavioral bias and expected returns," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1008-1023, DOI: 10.1016/j.pacfin.2012.07.003.
• Hsu, Yuan-Lin & Chow, Edward H., 2013, "The house money effect on investment risk taking: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1102-1115, DOI: 10.1016/j.pacfin.2012.08.005.
• Tsai, Shih-Chuan, 2013, "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 932-951, DOI: 10.1016/j.pacfin.2012.07.001.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013, "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 107-124, DOI: 10.1016/j.pacfin.2012.10.004.
• Nartea, Gilbert V. & Wu, Ji, 2013, "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 119-135, DOI: 10.1016/j.pacfin.2013.07.004.
• Sawada, Michiru, 2013, "How does the stock market value bank diversification? Empirical evidence from Japanese banks," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 40-61, DOI: 10.1016/j.pacfin.2013.08.001.
• Salaber, Julie, 2013, "Religion and returns in Europe," European Journal of Political Economy, Elsevier, volume 32, issue C, pages 149-160, DOI: 10.1016/j.ejpoleco.2013.07.002.
• Pashchenko, Svetlana, 2013, "Accounting for non-annuitization," Journal of Public Economics, Elsevier, volume 98, issue C, pages 53-67, DOI: 10.1016/j.jpubeco.2012.11.005.
• Kero, Afroditi, 2013, "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 112-124, DOI: 10.1016/j.qref.2013.01.001.
• Klein, Rudolf F. & Chow, Victor K., 2013, "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 175-187, DOI: 10.1016/j.qref.2013.02.003.
• Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013, "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 87-111, DOI: 10.1016/j.qref.2013.01.004.
• Ibarra, Raul, 2013, "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 4, pages 429-439, DOI: 10.1016/j.qref.2013.03.001.
• Ling, Leng & Arias, J.J., 2013, "Mutual fund flows and window-dressing," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 4, pages 440-449, DOI: 10.1016/j.qref.2013.05.003.
• Chen, Chun-nan, 2013, "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 272-281, DOI: 10.1016/j.iref.2012.07.012.
• Erdogan, Oral & Tata, Kenan & Karahasan, B. Can & Sengoz, M. Hakan, 2013, "Dynamics of the co-movement between stock and maritime markets," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 282-290, DOI: 10.1016/j.iref.2012.07.007.
• Hueng, C. James & Yau, Ruey, 2013, "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 326-337, DOI: 10.1016/j.iref.2012.07.014.
• Chen, Yi-Hsuan & Tu, Anthony H., 2013, "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 514-528, DOI: 10.1016/j.iref.2013.01.006.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013, "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 97-111, DOI: 10.1016/j.iref.2012.09.006.
• Konermann, Patrick & Meinerding, Christoph & Sedova, Olga, 2013, "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, Elsevier, volume 22, issue 1, pages 36-46, DOI: 10.1016/j.rfe.2012.08.001.
• Demirer, Rıza & Jategaonkar, Shrikant P., 2013, "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, volume 22, issue 3, pages 125-134, DOI: 10.1016/j.rfe.2013.04.004.
• Giovannetti, Bruno C., 2013, "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 169-179, DOI: 10.1016/j.rfe.2013.05.008.
• Walkshäusl, Christian, 2013, "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 180-186, DOI: 10.1016/j.rfe.2013.06.001.
• Baur, Dirk G., 2013, "The autumn effect of gold," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 1-11, DOI: 10.1016/j.ribaf.2012.05.001.
• Pattitoni, Pierpaolo & Petracci, Barbara & Potì, Valerio & Spisni, Massimo, 2013, "Cost of entrepreneurial capital and under-diversification: A Euro-Mediterranean perspective," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 12-27, DOI: 10.1016/j.ribaf.2012.04.004.
• Lagoarde-Segot, Thomas, 2013, "Does stock market development always improve firm-level financing? Evidence from Tunisia," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 183-208, DOI: 10.1016/j.ribaf.2011.10.003.
• Brière, Marie & Signori, Ombretta, 2013, "Hedging inflation risk in a developing economy: The case of Brazil," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 209-222, DOI: 10.1016/j.ribaf.2012.04.003.
• Samson, Lucie, 2013, "Asset prices and exchange risk: Empirical evidence from Canada," Research in International Business and Finance, Elsevier, volume 28, issue C, pages 35-44, DOI: 10.1016/j.ribaf.2012.09.006.
• Vidal-García, Javier, 2013, "The persistence of European mutual fund performance," Research in International Business and Finance, Elsevier, volume 28, issue C, pages 45-67, DOI: 10.1016/j.ribaf.2012.09.004.
• Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013, "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, volume 29, issue C, pages 35-51, DOI: 10.1016/j.ribaf.2013.02.001.
• Demirer, Riza, 2013, "Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets," Research in International Business and Finance, Elsevier, volume 29, issue C, pages 77-98, DOI: 10.1016/j.ribaf.2013.04.001.
• Khaled, Mohammed S. & Keef, Stephen P., 2013, "Seasonal affective disorder: onset and recovery," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 42, issue C, pages 136-139, DOI: 10.1016/j.socec.2012.11.018.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2013, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-24, May.
• Alexandra Spicer & Olena Stavrunova & Susan Thorp, 2013, "How Portfolios Evolve After Retirement: Evidence from Australia," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-40, Jun.
• Jiang, Hao & Verardo, Michela, 2013, "Does herding behavior reveal skill? An analysis of mutual fund performance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119034, Mar.
• Cella, Cristina & Ellul, Andrew & Giannetti, Mariassunta, 2013, "Investors' horizons and the amplification of market shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119037, Feb.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T. & Wang, Yihui, 2013, "Mark-to-market accounting and systemic risk: evidence from the insurance industry," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60968, Oct.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013, "Time Varying Risk Aversion," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1322, revised Sep 2013.
• Luigi Guiso & Eliana Viviano, 2013, "How Much Can Financial Literacy Help?," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1325, revised Sep 2013.
• Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013, "Asset Market Participation and Portfolio Choice over the Life-Cycle," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1326, revised Oct 2013.
• Dora Gicheva & Albert N. Link, 2013, "Leveraging entrepreneurship through private investments: does gender matter?," Chapters, Edward Elgar Publishing, chapter 10, "Public Support of Innovation in Entrepreneurial Firms".
• Chirinos, Miguel, 2013, "Medición de contagio e interdependencia financieros mediante cópulas y eventos extremos en los países de la América Latina," El Trimestre Económico, Fondo de Cultura Económica, volume 80, issue 317, pages 169-206, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v80i.
• Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado, 2013, "Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 177-205., January-J.
• Mark Schaub, 2013, "Latin American ADR performance," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 9, issue 1, pages 4-12, February, DOI: 10.1108/17439131311298485.
• Chang, C-L. & Allen, D.E. & McAleer, M.J., 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-03, Jan.
• Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013, "Risk Modelling and Management: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-22, Jun.
• Kole, H.J.W.G. & van Dijk, D.J.C., 2013, "How to Identify and Forecast Bull and Bear Markets?," 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-2013-016-F&A, Oct.
• Hisanobu SHISHIDO & Shintaro SUGIYAMA & Fauziah ZEN, 2013, "Moving MPAC Forward: Strengthening Public-Private Partnership, Improving Project Portfolio and in Search of Practical Financing Schemes," Working Papers, Economic Research Institute for ASEAN and East Asia (ERIA), number DP-2013-21, Oct.
• Renuka Sane & Susan Thomas, 2013, "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Working Papers, eSocialSciences, number id:5553, Oct.
• Oscar De la Torre Torres., 2013, "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 39, issue 2, pages 119-144, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/392013/DelaTorr.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013, "Systemic Risk and Home Bias in the Euro Area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 494, Apr.
• Damien PUY, 2013, "Institutional Investors Flows and the Geography of Contagion," Economics Working Papers, European University Institute, number ECO2013/06.
• Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013, "Asset Market Participation and Portfolio Choice over the Life-Cycle," Economics Working Papers, European University Institute, number ECO2013/07.
• Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2013, "Universal vs separated banking with deposit insurance in a macro model," Discussion Papers, University of Exeter, Department of Economics, number 1308.
• Önder Büberkökü, 2013, "Kriz Döneminde Yükselen Piyasa Ekonomileri, Euro Bölgesi ve ABD piyasaları Arasındaki Volatilite Yayılmasının İncelenmesi :Varyansta-Granger-Nedensellik Testinden Kanıtlar," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey, Ekonomik Yaklasim Association, number 208.
• Burak DİNDAROĞLU & Yekta TAKIM, 2013, "R&D, Innovation And Stock Market Performance: A Study On Manufacturing Firms Traded In Borsa Istanbul," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 24, issue 89, pages 25-44, DOI: 10.5455/ey.35301.
• Pierpaolo Pattitoni & Barbara Petracci & Marco Savioli & Lorenza Zirulia, 2013, "La scelta imprenditoriale: un approccio finanziario," ECONOMIA E POLITICA INDUSTRIALE, FrancoAngeli Editore, volume 2013, issue 3, pages 71-91.
• Adam Borovička, 2013, "Possible Modifications of the Multiple Criteria Assignment Method," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 7, issue 1, pages 055-067, March.
• Ales S. BERK & Mitja COK & Marko KOSAK & Joze SAMBT, 2013, "CEE Transition from PAYG to Private Pensions: Income Gaps and Asset Allocation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 63, issue 4, pages 360-381, August.
• Krenar AVDULAJ & Jozef BARUNIK, 2013, "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 63, issue 5, pages 425-442, November.
• Robert K. Triest & Bo Zhao, 2013, "The role of economic, fiscal, and financial shocks in the evolution of public sector pension funding," Working Papers, Federal Reserve Bank of Boston, number 13-26, Dec.
• Steven J. Davis & Paul S. Willen, 2013, "Occupation-level income shocks and asset returns: their covariance and implications for portfolio choice," Working Papers, Federal Reserve Bank of Boston, number 13-9, Oct.
• John V. Duca & John N. Muellbauer, 2013, "Tobin lives: integrating evolving credit market architecture into flow of funds based macro-models," Working Papers, Federal Reserve Bank of Dallas, number 1307, DOI: 10.24149/wp1307.
• Luca Benzoni & Olena Chyruk, 2013, "Human Capital and Long-Run Labor Income Risk," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-16, Nov.
• Thomas B. King, 2013, "A Portfolio-Balance Approach to the Nominal Term Structure," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-18, Nov.
• Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2013, "Does commonality in illiquidity matter to investors?," Working Papers, Federal Reserve Bank of St. Louis, number 2013-020, DOI: 10.20955/wp.2013.020.
• Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2013, "Heterogeneity and risk sharking in village economies," Staff Report, Federal Reserve Bank of Minneapolis, number 483.
• Valentin Haddad & Erik Loualiche & Matthew Plosser, 2013, "Buyout activity: the impact of aggregate discount rates," Staff Reports, Federal Reserve Bank of New York, number 606.
• Thomas M. Eisenbach & Martin C. Schmalz, 2013, "Anxiety in the face of risk," Staff Reports, Federal Reserve Bank of New York, number 610.
• Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013, "Time-Varying Inflation Risk and Stock Returns," Staff Reports, Federal Reserve Bank of New York, number 621, May.
• Edison Yu, 2013, "Dynamic market participation and endogenous information aggregation," Working Papers, Federal Reserve Bank of Philadelphia, number 13-42.
• Svend Rasmussen, 2013, "A model for the optimal risk management of (farm) firms," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2013/10, May.
• Ahmad K Naimzada & Giorgio Ricchiuti, 2013, "Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2013_03.rdf.
• Nuno Silva, 2013, "Equity Premia Predictability in the EuroZone," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2013-22, Sep.
• Marcela Ibanez, 2013, "Is the war on drugs working? Examining the Colombian case using micro data," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 148, Sep.
• Olivier Bruno & Alexandra Girod, 2013, "Procyclicality and Bank Portfolio Risk Level under a Constant Leverage Ratio," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2013-35, Oct.
• Stéphanie LAVIGNE & Dalila NICET-CHENAF & Claude DUPUY, 2013, "Where do “impatient” mutual funds invest? A special attraction for large proximate markets and companies with strategic investors," Cahiers du GREThA (2007-2019), Groupe de Recherche en Economie Théorique et Appliquée (GREThA), number 2013-12.
• Ana Fostel & John Geanakoplos, 2013, "Leverage and Default in Binomial Economies: A Complete Characterization," Working Papers, The George Washington University, Institute for International Economic Policy, number 2013-16, May.
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• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013, "Entropy and the Value of Information for Investors," Post-Print, HAL, number hal-00812682, Feb, DOI: 10.1257/aer.103.1.360.
• W. Briec & K. Kerstens & I. van de Woestyne, 2013, "Portfolio selection with skewness : a comparison of methods and a generalized one fund result," Post-Print, HAL, number hal-00837674.
• Mohammed Abdellaoui & Han Bleichrodt & Hilda Kammoun, 2013, "Do financial professionals behave according to prospect theory? An experimental study," Post-Print, HAL, number hal-01069185, Mar, DOI: 10.1007/s11238-011-9282-3.
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• Nicolas Coeurdacier & Hélène Rey, 2013, "Home Bias in Open Economy Financial Macroeconomics," Post-Print, HAL, number hal-03473901, Mar, DOI: 10.1257/jel.51.1.63.
• Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2013, "Optimal portfolio positioning under ambiguity," Post-Print, HAL, number hal-03679709, Aug, DOI: 10.1016/j.econmod.2012.12.005.
• Roy Mersland & Ludovic Urgeghe, 2013, "International Debt Financing and Performance of Microfinance Institutions," Post-Print, HAL, number hal-05220864, DOI: 10.1002/jsc.1919.
• Luc Arrondel & Vladimir Borgy & Frédérique Savignac, 2013, "L'épargnant au bord de la crise," Post-Print, HAL, number halshs-00833287, Jan.
• Luc Arrondel & Majdi Debbich & Frédérique Savignac, 2013, "Financial Literacy and Financial Planning in France," Post-Print, HAL, number halshs-00859682, Jun, DOI: 10.5038/1936-4660.6.2.8.
• Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013, "On Portfolio Choice with Savoring and Disappointment," Post-Print, HAL, number halshs-00927267, Oct, DOI: 10.1287/mnsc.2013.1767.
• Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013, "Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes," Post-Print, HAL, number halshs-00927270, Oct, DOI: 10.1007/s11166-013-9176-6.
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• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013, "Entropy and the Value of Information for Investors," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00812682, Feb, DOI: 10.1257/aer.103.1.360.
• Luc Arrondel & Vladimir Borgy & Frédérique Savignac, 2013, "L'épargnant au bord de la crise," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00833287, Jan.
• Luc Arrondel & Majdi Debbich & Frédérique Savignac, 2013, "Financial Literacy and Financial Planning in France," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00859682, Jun, DOI: 10.5038/1936-4660.6.2.8.
• Quoc-Anh Do & Yen-Teik Lee & Bang Dang Nguyen & Kieu-Trang Nguyen, 2013, "Out of Sight, Out of Mind: The Value of Political Connections in Social Networks," Sciences Po Economics Publications (main), HAL, number hal-03460920, Mar.
• Nicolas Coeurdacier & Hélène Rey, 2013, "Home Bias in Open Economy Financial Macroeconomics," Sciences Po Economics Publications (main), HAL, number hal-03473901, Mar, DOI: 10.1257/jel.51.1.63.
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• Quoc-Anh Do & Yen-Teik Lee & Bang Dang Nguyen & Kieu-Trang Nguyen, 2013, "Out of Sight, Out of Mind: The Value of Political Connections in Social Networks," Working Papers, HAL, number hal-03460920, Mar.
• Eric André, 2013, "Optimal Portfolio with Vector Expected Utility," Working Papers, HAL, number halshs-00796482, Feb.
• Olivier Bruno & Alexandra Girod, 2013, "Procyclicality and Bank Portfolio Risk Level Under A Constant Leverage Ratio," Working Papers, HAL, number halshs-01295573.
• Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013, "Does Commonality in Illiquidity Matter to Investors?," Working Papers, Lund University, Department of Economics, number 2013:24, May.
• Lundtofte, Frederik & Leoni, Patrick, 2013, "Growth Forecasts, Belief Manipulation and Capital Markets," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/15, Sep.
• Brännäs, Kurt, 2013, "The Number of Shareholders - Time Series Modelling and Some Empirical Result," Umeå Economic Studies, Umeå University, Department of Economics, number 855, Jan.