Research classified by Journal of Economic Literature (JEL) codes

2013

• Wayne E. Ferson & Jerchern Lin, 2013, "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers, National Bureau of Economic Research, Inc, number 19349, Aug.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 19381, Aug.
• Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013, "Portfolio Choice with Illiquid Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 19436, Sep.
• Russell Cooper & Guozhong Zhu, 2013, "Household Finance: Education, Permanent Income and Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 19455, Sep.
• Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2013, "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19460, Sep.
• Kent Smetters & Xingtan Zhang, 2013, "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 19500, Oct.
• Clemens Sialm & Zheng Sun & Lu Zheng, 2013, "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 19570, Oct.
• Andreas Hubener & Raimond Maurer & Olivia S. Mitchell, 2013, "How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 19583, Oct.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013, "The Joint Cross Section of Stocks and Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19590, Oct.
• Morten Sorensen & Neng Wang & Jinqiang Yang, 2013, "Valuing Private Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 19612, Nov.
• Jakub W. Jurek & Erik Stafford, 2013, "The Cost of Capital for Alternative Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 19643, Nov.
• Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013, "Buffett's Alpha," NBER Working Papers, National Bureau of Economic Research, Inc, number 19681, Nov.
• Efstathios Avdis & Jessica A. Wachter, 2013, "Maximum likelihood estimation of the equity premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 19684, Nov.
• Charles Y. Horioka & Akiko Terada-Hagiwara, 2013, "Corporate Cash Holding in Asia," NBER Working Papers, National Bureau of Economic Research, Inc, number 19688, Dec.
• Hugh Hoikwang Kim & Raimond Maurer & Olivia S. Mitchell, 2013, "Time is Money: Life Cycle Rational Inertia and Delegation of Investment Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 19732, Dec.
• Krislert Samphantharak & Robert Townsend, 2013, "Risk and Return in Village Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 19738, Dec.
• Simeon Coleman Author name: Vitor Leone, 2013, "Is it good to share? Debating patterns in availability and use of job share," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2013/01, Jan.
• Marzena Rostek & Ji Hee Yoon, 2013, "Private Information in Markets: A Market Design Perspective," Working Papers, NET Institute, number 13-21, Sep.
• Cristiana Cerqueira Leal & Manuel J. Rocha Armada & Gilberto Loureiro, 2013, "Individual Investors Repurchasing Behavior: Preference for Stocks Previously Owned," NIPE Working Papers, NIPE - Universidade do Minho, number 22/2013.
• Cooper, Ian & Sercu, Piet & Vanpée, Rosanne, 2013, "The Equity Home Bias Puzzle: A Survey," Foundations and Trends(R) in Finance, now publishers, volume 7, issue 4, pages 289-416, December, DOI: 10.1561/0500000039.
• Cremers, Martijn & Petajisto, Antti & Zitzewitz, Eric, 2013, "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," Critical Finance Review, now publishers, volume 2, issue 1, pages 1-48, July, DOI: 10.1561/104.00000007.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Working Papers, National Institute of Public Finance and Policy, number 13/124, Jun.
• Simona Moagar-Poladian & Iulia Monica Oehler-Sincai, 2013, "Fdi In The Eec-10: A Comparative Analysis," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 1, issue 1, pages 19-36, May.
• Iulia Monica Oehler-Sincai, 2013, "Financial Contagion Reloaded: The Case Of Cyprus," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 1, issue 1, pages 66-74, May.
• Adela Ionescu, 2013, "Investment Funds Industry In Romania," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 1, issue 2, pages 90-96, November.
• Margaret Meyer & Bruno Strulovici, 2013, "The Supermodular Stochastic Ordering," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1563, May.
• James Knight, 2013, "Assessing the Cost Effectiveness of Index-linked Bond Issuance: A Methodological Approach, Illustrated Using UK Examples," OECD Working Papers on Sovereign Borrowing and Public Debt Management, OECD Publishing, number 7, Aug, DOI: 10.1787/5k481881kjwh-en.
• Elisabeth Beckmann & Mariya Hake & Jarmila Urvová, 2013, "Determinants of Households’ Savings in Central, Eastern and Southeastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 8-29.
• Copil Crina Angela, 2013, "Investment Funds In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 608-617, July.
• Tarnaczi Tibor & Kulcsar Edina, 2013, "The Comparative Risk And Performance Analysis Of Hungarian And Romanian Exchange Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 451-462, December.
• Burja Vasile, 2013, "Economic Value Added And Stakeholders Interests," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 512-522, December.
• Gerd Grau, 2013, "Roadmapping Vs. S-Curves: How To Switch To The Next S-Curve," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 9, pages 173-182.
• Urban Bacher & Kai L. Stober, 2013, "Uhnwi In Emerging Markets – They Still Think, Act And Invest Differently," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 9, pages 481-492.
• Izabela Pruchnicka-Grabias, 2013, "Risk Underestimation As A Consequence Of Assumptions Made In Valuation Models," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, volume 9, pages 513-526.
• Maria Kasch & Massimiliano Caporin, 2013, "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 4, pages 706-742, September.
• Alp Simsek, 2013, "Speculation and Risk Sharing with New Financial Assets," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 128, issue 3, pages 1365-1396.
• Jonathan B. Berk & Johan Walden, 2013, "Limited Capital Market Participation and Human Capital Risk," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 1, pages 1-37.
• Alexander Dyck & Karl V. Lins & Lukasz Pomorski, 2013, "Does Active Management Pay? New International Evidence," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 200-228.
• George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013, "The Puzzle of Index Option Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 229-257.
• Julien Hugonnier & Florian Pelgrin, 2013, "Health and (Other) Asset Holdings," The Review of Economic Studies, Review of Economic Studies Ltd, volume 80, issue 2, pages 663-710.
• Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013, "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, volume 17, issue 1, pages 35-105.
• Pavel Bandarchuk & Jens Hilscher, 2013, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, volume 17, issue 2, pages 809-845.
• Ron Kaniel & Péter Kondor, 2013, "The Delegated Lucas Tree," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 4, pages 929-984.
• Cristina Cella & Andrew Ellul & Mariassunta Giannetti, 2013, "Investors' Horizons and the Amplification of Market Shocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 7, pages 1607-1648.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 8, pages 1914-1961.
• Pochea Maria-Miruna & Filip Angela-Maria, 2013, "Significance of Volatility in Option Pricing," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1440-1444, May.
• Buºu Mihail & Cioacã Sorin, 2013, "An Application of the Kalman Filter for Market Studies," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 726-731, May.
• Margaret Meyer & Bruno Strulovici, 2013, "Beyond Correlation: Measuring Interdependence Through Complementarities," Economics Series Working Papers, University of Oxford, Department of Economics, number 655, May.
• Collin Raymond & Daniel J. Benjamin & Matthew Rabin, 2013, "A Model of Non-Belief in the Law of Large Numbers," Economics Series Working Papers, University of Oxford, Department of Economics, number 672, Sep.
• Belles-Sampera, Jaume & Santolino, Miguel, 2013, "Asignación óptima de capital en base al perfil de riesgo de las instituciones de inversión colectiva: una aplicación de las medidas de riesgo distorsionadas || Optimal Capital Allocation Based on the ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 15, issue 1, pages 65-86, June.
• Y Ito & S Managi & A Matsuda, 2013, "Performances of socially responsible investment and environmentally friendly funds," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 64, issue 11, pages 1583-1594, November.
• Marc Boissaux & Jang Schiltz, 2013, "Conditioned Higher-Moment Portfolio: Optimization Using Optimal Control," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, in: Virginie Terraza & Hery Razafitombo, "Understanding Investment Funds", DOI: 10.1057/9781137273611_6.
• B. Michael Gilroy & Heike Schreckenberg & Volker Seiler, 2013, "Water as an Asset Class (Revised Version)," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 55, Mar.
• Stanislav Skapa, 2013, "Commodities As A Tool Of Risk Diversification," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 8, issue 2, pages 65-77, June, DOI: 10.12775/EQUIL.2013.012.
• Charles Yuji Horioka & Akiko Terada-Hagiwara, 2013, "Corporate Cash Holding in Asia," UP School of Economics Discussion Papers, University of the Philippines School of Economics, number 201311, Oct.
• Da Costa Jr, Newton & Goulart, Marco & Cupertino, Cesar & Macedo Jr, Jurandir & Da Silva, Sergio, 2013, "The disposition effect and investor experience," MPRA Paper, University Library of Munich, Germany, number 43570.
• Fulbert, Tchana Tchana & Georges, Tsafack, 2013, "The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance," MPRA Paper, University Library of Munich, Germany, number 43797, May.
• Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013, "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper, University Library of Munich, Germany, number 43862, Jan.
• Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013, "Two-moment decision model for location-scale family with background asset," MPRA Paper, University Library of Munich, Germany, number 43864, Jan.
• Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013, "Risks of large portfolios," MPRA Paper, University Library of Munich, Germany, number 44206, Feb.
• Du, Julan & Leung, Charles Ka Yui & Chu, Derek, 2013, "Return enhancing, cash-rich or simply empire-building? An empirical investigation of corporate real estate holdings," MPRA Paper, University Library of Munich, Germany, number 44253, Feb.
• Hassine, Marlène & Roncalli, Thierry, 2013, "Measuring Performance of Exchange Traded Funds," MPRA Paper, University Library of Munich, Germany, number 44298, Feb.
• Spataro, Luca & Corsini, Lorenzo, 2013, "Endogenous financial literacy, saving and stock market participation," MPRA Paper, University Library of Munich, Germany, number 44342, Feb.
• Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013, "A Note on Almost Stochastic Dominance," MPRA Paper, University Library of Munich, Germany, number 44365, Feb.
• El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On the pricing and hedging of options for highly volatile periods," MPRA Paper, University Library of Munich, Germany, number 45272, Mar.
• Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013, "The drivers of downside equity tail risk," MPRA Paper, University Library of Munich, Germany, number 45591, Feb.
• Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013, "The cross-section of tail risks in stock returns," MPRA Paper, University Library of Munich, Germany, number 45592, Feb.
• P., Srinivasan & M., Kalaivani, 2013, "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper, University Library of Munich, Germany, number 45871, Apr.
• Dominique, C-Rene, 2013, "Estimating investors' behavior and errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of non-hyperbolic attractors," MPRA Paper, University Library of Munich, Germany, number 46451, Apr.
• Govori, Fadil, 2013, "The performance of commercial banks and the determinants of profitability: Evidence from Kosovo," MPRA Paper, University Library of Munich, Germany, number 46824, May.
• Blanchard, Michel & Bernard, philippe, 2013, "The performance of mutual funds on French stock market:Do star funds’ managers exist or do funds have to hire chimpanzees?," MPRA Paper, University Library of Munich, Germany, number 46896, May.
• Hannah, Lincoln, 2013, "Funding Cost and a New Capital Model," MPRA Paper, University Library of Munich, Germany, number 47111, May.
• Swamy, Vighneswara, 2013, "Euro Zone Debt Crisis: Implications for Indian Banking Sector," MPRA Paper, University Library of Munich, Germany, number 47658, Jun.
• Roncalli, Thierry, 2013, "Introduction to Risk Parity and Budgeting," MPRA Paper, University Library of Munich, Germany, number 47679, Jun.
• Dirk Ulbricht, 2013, "Stock Investments for Old-Age: Less Return, More Risk, and Unexpected Timing," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1324.
• Christopher Boortz & Simon Jurkatis & Stephanie Kremer & Dieter Nautz, 2013, "Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1336.
• Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2013, "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 154.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013, "Equilibrium existence in the international asset and good markets," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 166.
• Charles Yuji Horioka & Akiko Terada-Hagiwara, 2013, "Corporate Cash Holding in Asia," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0889, Oct.
• Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013, "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-28.
• Malte Sundkötter & Daniel Ziegler, 2013, "Perfect Competition vs. Riskaverse Agents: Technology Portfolio Choice in Electricity Markets," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 1303, Apr, revised Apr 2013.
• Edward Tower & Heehyun Lim, 2013, "Enhanced Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree and RAFI Powershares," Working Papers, Duke University, Department of Economics, number 13-15.
• Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013, "The Impact of Hedge Funds on Asset Markets," Working Papers, Duke University, Department of Economics, number 13-27.
• Radu, Vranceanu & Besancenot, Damien & Dubart, Delphine, 2013, "Can Rumors and Other Uninformative Messages Cause Illiquidity ?," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1309, Jul, revised Jun 2014.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1321, Dec.
• Spaenjers , Christophe & Spira, Sven Michael, 2013, "Subjective Life Horizon and Portfolio Choice," HEC Research Papers Series, HEC Paris, number 985, Sep.
• Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013, "The Price of Wine," HEC Research Papers Series, HEC Paris, number 1019, Dec.
• Thiago De Oliveira Souza, 2013, "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-43, Nov.
• De Santis, Roberto A. & Coeurdacier, Nicolas & Aviat, Antonin, 2009, "Cross-Border Mergers and acquisitions: Financial and institutional forces," Working Paper Series, European Central Bank, number 1018, Mar.
• de Bondt, Gabe, 2009, "Euro area money demand: empirical evidence on the role of equity and labour markets," Working Paper Series, European Central Bank, number 1086, Sep.
• Klaus, Benjamin & Rzepkowski, Bronka, 2009, "Risk spillover among hedge funds: The role of redemptions and fund failures," Working Paper Series, European Central Bank, number 1112, Nov.
• Beck, Roland & Weber, Sebastian, 2010, "Should larger reserve holdings be more diversified?," Working Paper Series, European Central Bank, number 1193, May.
• Dorn, Daniel, 2010, "Investors with too many options?," Working Paper Series, European Central Bank, number 1197, May.
• Manganelli, Simone & Popov, Alexander, 2010, "Finance and diversification," Working Paper Series, European Central Bank, number 1259, Oct.
• Bucher-Koenen, Tabea & Ziegelmeyer, Michael, 2011, "Who lost the most? Financial literacy, cognitive abilities, and the financial crisis," Working Paper Series, European Central Bank, number 1299, Feb.
• Gropp, Reint & Corradin, Stefano & Huizinga, Harry & Laeven, Luc, 2011, "Who invests in home equity to exempt wealth from bankruptcy?," Working Paper Series, European Central Bank, number 1337, May.
• Ramb, Fred & Scharnagl, Michael, 2011, "Household's portfolio structure in Germany - analysis of financial accounts data 1959-2009," Working Paper Series, European Central Bank, number 1355, Jun.
• Fratzscher, Marcel, 2011, "Capital flows, push versus pull factors and the global financial crisis," Working Paper Series, European Central Bank, number 1364, Jul.
• Sahel, Benjamin & Scalia, Antonio, 2011, "Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management," Working Paper Series, European Central Bank, number 1377, Sep.
• Bonci, Riccardo, 2011, "Monetary policy and the flow of funds in the euro area," Working Paper Series, European Central Bank, number 1402, Dec.
• Pukthuanthong, Kuntara & Roll, Richard, 2012, "Internationally correlated jumps," Working Paper Series, European Central Bank, number 1436, May.
• Lo Duca, Marco, 2012, "Modelling the time varying determinants of portfolio flows to emerging markets," Working Paper Series, European Central Bank, number 1468, Sep.
• Corradin, Stefano & Fillat, José L. & Vergara-Alert, Carles, 2012, "Optimal portfolio choice with predictability in house prices and transaction costs," Working Paper Series, European Central Bank, number 1470, Sep.
• Hauptmeier, Sebastian & Cimadomo, Jacopo & Zimmermann, Tom, 2013, "Fiscal consolidations and bank balance sheets," Working Paper Series, European Central Bank, number 1511, Feb.
• Fratzscher, Marcel & Straub, Roland & Lo Duca, Marco, 2013, "On the international spillovers of US quantitative easing," Working Paper Series, European Central Bank, number 1557, Jun.
• Sousa, João & Sousa, Ricardo M., 2013, "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series, European Central Bank, number 1575, Aug.
• Duca, John & Muellbauer, John, 2013, "Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models," Working Paper Series, European Central Bank, number 1581, Aug.
• Stracca, Livio & Habib, Maurizio Michael, 2013, "Foreign investors and risk shocks: seeking a safe haven or running for the exit?," Working Paper Series, European Central Bank, number 1609, Nov.
• Jordi Mondria & Climent Quintana‐Domeque, 2013, "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, volume 123, issue 568, pages 429-454, May.
• Sensoy, Berk A. & Wang, Yingdi & Weisbach, Michael S., 2013, "Limited Partner Performance and the Maturing of the Private Equity Industry," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-01, Jan.
• Lim, Jongha & Sensoy, Berk A. & Weisbach, Michael S., 2013, "Indirect Incentives of Hedge Fund Managers," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-06, Mar.
• Andrew B. Abel & Janice C. Eberly & Stavros Panageas, 2013, "Optimal Inattention to the Stock Market With Information Costs and Transactions Costs," Econometrica, Econometric Society, volume 81, issue 4, pages 1455-1481, July, DOI: ECTA7624.
• Md. Shahadath Hossain & A.B.M. Munibur Rahman & Md. Salah Uddin Rajib, 2013, "Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 1, pages 191-201.
• Fabio Pizzutilo, 2013, "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 763-771.
• Akron, Sagi & Benninga, Simon, 2013, "Production and hedging implications of executive compensation schemes," Journal of Corporate Finance, Elsevier, volume 19, issue C, pages 119-139, DOI: 10.1016/j.jcorpfin.2012.10.004.
• Levaggi, Rosella & Menoncin, Francesco, 2013, "Optimal dynamic tax evasion," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2157-2167, DOI: 10.1016/j.jedc.2013.06.007.
• Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013, "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2217-2240, DOI: 10.1016/j.jedc.2013.05.012.
• Khorunzhina, Natalia, 2013, "Structural estimation of stock market participation costs," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2928-2942, DOI: 10.1016/j.jedc.2013.08.011.
• Bouaddi, Mohammed & Taamouti, Abderrahim, 2013, "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2943-2962, DOI: 10.1016/j.jedc.2013.08.010.
• Das, Sanjiv R. & Statman, Meir, 2013, "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 1, pages 137-153, DOI: 10.1016/j.jedc.2012.07.004.
• Yao, Jing & Li, Duan, 2013, "Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 1, pages 18-31, DOI: 10.1016/j.jedc.2012.07.002.
• Blake, David & Wright, Douglas & Zhang, Yumeng, 2013, "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 1, pages 195-209, DOI: 10.1016/j.jedc.2012.08.001.
• Chauveau, Th. & Subbotin, A., 2013, "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1040-1065, DOI: 10.1016/j.jedc.2013.01.011.
• Lioui, Abraham, 2013, "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1066-1096, DOI: 10.1016/j.jedc.2013.01.007.
• Marekwica, Marcel & Schaefer, Alexander & Sebastian, Steffen, 2013, "Life cycle asset allocation in the presence of housing and tax-deferred investing," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 6, pages 1110-1125, DOI: 10.1016/j.jedc.2013.01.008.
• Malevergne, Y. & Saichev, A. & Sornette, D., 2013, "Zipf's law and maximum sustainable growth," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 6, pages 1195-1212, DOI: 10.1016/j.jedc.2013.02.004.
• Dunbar, Geoffrey, 2013, "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1736-1754, DOI: 10.1016/j.jedc.2013.04.007.
• Liang, Hueimei & Lee, Kuo-Jung & Huang, Jen-Tsung & Lei, Hsien-Wei, 2013, "The optimal decisions in franchising under profit uncertainty," Economic Modelling, Elsevier, volume 31, issue C, pages 128-137, DOI: 10.1016/j.econmod.2012.11.044.
• Lemelin, André & Robichaud, Véronique & Decaluwé, Bernard, 2013, "Endogenous current account balances in a world CGE model with international financial assets," Economic Modelling, Elsevier, volume 32, issue C, pages 146-160, DOI: 10.1016/j.econmod.2013.01.046.
• Prat, Georges, 2013, "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, volume 34, issue C, pages 76-88, DOI: 10.1016/j.econmod.2012.12.004.
• Ameur, H. Ben & Prigent, J.L., 2013, "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, volume 34, issue C, pages 89-97, DOI: 10.1016/j.econmod.2012.12.005.
• Hammoudeh, Shawkat & McAleer, Michael, 2013, "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 109-115, DOI: 10.1016/j.najef.2012.06.014.
• Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013, "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 188-201, DOI: 10.1016/j.najef.2012.06.010.
• Larsson, Carl F., 2013, "What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 22-39, DOI: 10.1016/j.najef.2013.01.001.
• Caporin, Massimiliano, 2013, "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 261-275, DOI: 10.1016/j.najef.2012.06.004.
• Huang, Hung-Hsi & Wang, Ching-Ping, 2013, "Portfolio selection and portfolio frontier with background risk," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 177-196, DOI: 10.1016/j.najef.2013.09.001.
• Chia-Lin Chang & Allen, David & McAleer, Michael, 2013, "Recent developments in financial economics and econometrics: An overview," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 217-226, DOI: 10.1016/j.najef.2013.02.001.
• Caporin, Massimiliano & Lisi, Francesco, 2013, "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 236-249, DOI: 10.1016/j.najef.2013.02.003.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013, "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 250-265, DOI: 10.1016/j.najef.2013.02.004.
• Sin, Chor-Yiu (CY), 2013, "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 552-564, DOI: 10.1016/j.najef.2013.02.021.
• Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013, "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 586-601, DOI: 10.1016/j.najef.2013.02.023.
• Liao, Li-Chuan & Chou, Ray Yeutien & Chiu, Banghan, 2013, "Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 72-91, DOI: 10.1016/j.najef.2013.07.001.
• Jokung, Octave, 2013, "Monotonicity of asset price toward higher changes in risk," Economics Letters, Elsevier, volume 118, issue 1, pages 195-198, DOI: 10.1016/j.econlet.2012.09.018.
• Kudryavtsev, Andrey, 2013, "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, volume 118, issue 1, pages 203-205, DOI: 10.1016/j.econlet.2012.10.023.
• Corsini, Lorenzo & Spataro, Luca, 2013, "Savings for retirement under liquidity constraints: A note," Economics Letters, Elsevier, volume 118, issue 2, pages 258-261, DOI: 10.1016/j.econlet.2012.11.001.
• Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter, 2013, "Risk aversion in the large and in the small," Economics Letters, Elsevier, volume 118, issue 2, pages 310-313, DOI: 10.1016/j.econlet.2012.11.013.
• Candela, Guido & Castellani, Massimiliano & Pattitoni, Pierpaolo, 2013, "Reconsidering psychic return in art investments," Economics Letters, Elsevier, volume 118, issue 2, pages 351-354, DOI: 10.1016/j.econlet.2012.11.010.
• Beyer, Max & de Meza, David & Reyniers, Diane, 2013, "Do financial advisor commissions distort client choice?," Economics Letters, Elsevier, volume 119, issue 2, pages 117-119, DOI: 10.1016/j.econlet.2013.01.026.
• Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2013, "The impact of a sustainability constraint on the mean-tracking error efficient frontier," Economics Letters, Elsevier, volume 119, issue 3, pages 255-260, DOI: 10.1016/j.econlet.2013.03.020.
• Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013, "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, volume 121, issue 2, pages 174-178, DOI: 10.1016/j.econlet.2013.07.026.
• Guo, Xu & Zhu, Xuehu & Wong, Wing-Keung & Zhu, Lixing, 2013, "A note on almost stochastic dominance," Economics Letters, Elsevier, volume 121, issue 2, pages 252-256, DOI: 10.1016/j.econlet.2013.08.020.
• Pericoli, F.M. & Pierucci, E. & Ventura, L., 2013, "Cross-border equity portfolio choices and the diversification motive: A fractional regression approach," Economics Letters, Elsevier, volume 121, issue 2, pages 282-286, DOI: 10.1016/j.econlet.2013.08.026.
• Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013, "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 233-249, DOI: 10.1016/j.jeconom.2013.04.010.
• Drees, Burkhard & Eckwert, Bernhard & Várdy, Felix, 2013, "Cheap money and risk taking: Opacity versus fundamental risk," European Economic Review, Elsevier, volume 62, issue C, pages 114-129, DOI: 10.1016/j.euroecorev.2013.05.002.
• Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013, "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, volume 230, issue 2, pages 412-421, DOI: 10.1016/j.ejor.2013.04.021.
• Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013, "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, volume 15, issue C, pages 211-232, DOI: 10.1016/j.ememar.2013.02.003.
• Eterovic, Nicolas A. & Eterovic, Dalibor S., 2013, "Separating the wheat from the chaff: Understanding portfolio returns in an emerging market," Emerging Markets Review, Elsevier, volume 16, issue C, pages 145-169, DOI: 10.1016/j.ememar.2013.05.001.
• Blitz, David & Pang, Juan & van Vliet, Pim, 2013, "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, volume 16, issue C, pages 31-45, DOI: 10.1016/j.ememar.2013.02.004.
• Pungulescu, Crina, 2013, "Measuring financial market integration in the European Union: EU15 vs. New Member States," Emerging Markets Review, Elsevier, volume 17, issue C, pages 106-124, DOI: 10.1016/j.ememar.2013.08.006.
• Varneskov, Rasmus & Voev, Valeri, 2013, "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 83-95, DOI: 10.1016/j.jempfin.2012.11.002.
• Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013, "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 96-101, DOI: 10.1016/j.jempfin.2012.11.001.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013, "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 195-213, DOI: 10.1016/j.jempfin.2013.01.003.
• Wagner, Niklas & Winter, Elisabeth, 2013, "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 69-85, DOI: 10.1016/j.jempfin.2012.12.005.
• Cuthbertson, Keith & Nitzsche, Dirk, 2013, "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 86-101, DOI: 10.1016/j.jempfin.2012.12.002.
• Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke, 2013, "Stakeholder relations and stock returns: On errors in investors' expectations and learning," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 159-175, DOI: 10.1016/j.jempfin.2013.04.003.
• Post, Thierry & Kopa, Miloš, 2013, "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 187-190, DOI: 10.1016/j.jempfin.2013.06.003.
• Lambert, M. & Hübner, G., 2013, "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 191-205, DOI: 10.1016/j.jempfin.2013.07.001.
• Clements, A. & Silvennoinen, A., 2013, "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 108-115, DOI: 10.1016/j.jempfin.2013.09.004.
• Reboredo, Juan C., 2013, "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, volume 36, issue C, pages 471-480, DOI: 10.1016/j.eneco.2012.10.004.
• Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013, "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, volume 36, issue C, pages 625-636, DOI: 10.1016/j.eneco.2012.11.012.
• Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013, "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, volume 37, issue C, pages 40-51, DOI: 10.1016/j.eneco.2013.01.006.
• Cifarelli, Giulio, 2013, "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, volume 38, issue C, pages 160-167, DOI: 10.1016/j.eneco.2013.03.006.
• Tong, Bin & Wu, Chongfeng & Zhou, Chunyang, 2013, "Modeling the co-movements between crude oil and refined petroleum markets," Energy Economics, Elsevier, volume 40, issue C, pages 882-897, DOI: 10.1016/j.eneco.2013.10.008.
• Detert, Neal & Kotani, Koji, 2013, "Real options approach to renewable energy investments in Mongolia," Energy Policy, Elsevier, volume 56, issue C, pages 136-150, DOI: 10.1016/j.enpol.2012.12.003.
• Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013, "Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants," Energy Policy, Elsevier, volume 59, issue C, pages 143-160, DOI: 10.1016/j.enpol.2013.03.006.