Research classified by Journal of Economic Literature (JEL) codes

2012

• Warren Bailey & Lin Zheng & Yinggang Zhou, 2012, "What Makes the VIX Tick?," Working Papers, Hong Kong Institute for Monetary Research, number 222012, Sep.
• Beshears, John Leonard & Choi, James J. & Laibson, David I. & Madrian, Brigitte C., 2012, "Simplification and Saving," Scholarly Articles, Harvard University Department of Economics, number 9925399, Nov.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-269, Dec.
• Karen C. Castro-González, 2012, "Portrait Of A Company: Defined Benefit Pension Plan Sponsors," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 43-52.
• Santosh Kumar & Tavishi & Raju G & Ashish Khatua, 2012, "Behavioral Modeling Of Foreign Institutional Investor’S In Indian Equity Market," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 1-8.
• Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012, "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 23-34.
• Kangrong Tan & Meifen Chu, 2012, "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 97-107.
• Deqing Diane Li & YingChou Lin & John Jin, 2012, "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 41-51.
• William J. Trainor, 2012, "Volatility and Compounding Effects on Beta and Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 1-11.
• Gulser Meric & Christine Lentz & Wayne Smeltz & Ilhan Meric, 2012, "International Evidence on Market Linkages After the 2008 Stock Market Crash," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 45-57.
• Márcio Laurini, 2012, "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-03, Mar.
• D'Albis, Hippolyte & Thibault, Emmanuel, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 731, Jul.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 752, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 754, Nov, revised Sep 2015.
• Baixauli-Soler, J. Samuel & Alfaro-Cid, Eva & Fernández-Blanco, Matilde O., 2012, "A Naïve Approach To Speed Up Portfolio Optimization Problem Using A Multiobjective Genetic Algorithm / Una Aproximación Ingenua Para Acelerar El Programa De Optimización De Carteras Usando Un Algoritm," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 18, issue 2, pages 126-131.
• James Banks & Rowena Crawford & Thomas Crossley & Carl Emmerson, 2012, "The effect of the financial crisis on older households in England," IFS Working Papers, Institute for Fiscal Studies, number W12/09, Apr.
• Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2012, "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 432.
• Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012, "Money Doctors," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 464.
• Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2012, "Capital Income Taxation and Risk Taking under Prospect Theory," Economics Series, Institute for Advanced Studies, number 283, Feb.
• Fortin, Ines & Hlouskova, Jaroslava, 2012, "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series, Institute for Advanced Studies, number 291, Sep.
• Ulaş ÜNLÜ, 2012, "Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 313, pages 57-83.
• Orhan ERDEM & Belma ÖZTÜRKKAL, 2012, "A tournament analysis of mutual funds in Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 321, pages 39-56.
• Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012, "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 211-231, Julio-Dic.
• Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012, "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, volume 58, issue 2, pages 253-272, February, DOI: 10.1287/mnsc.1110.1349.
• David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012, "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, volume 58, issue 2, pages 320-335, February, DOI: 10.1287/mnsc.1100.1289.
• Teresa Simões & Margarida Abreu, 2012, "O Efeito Disposição nos Investidores Individuais Portugueses," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2012/40, Nov.
• Unal H. Ozden & Ozlem Deniz Basar & Seda Bagdatli Kalkan, 2012, "Imkb’de Islem Goren Cimento Sektorundeki Sirketlerin Finansal Performanslarinin VIKOR Yontemi Ile Siralanmasi," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 17, issue 1, pages 23-44, November.
• Neal Detert & Koji Kotani, 2012, "Real options approach to renewable energy investments in Mongolia," Working Papers, Research Institute, International University of Japan, number EMS_2012_10, Aug.
• Jordi Mondria & Climent Quintana Domeque, 2012, "Financial contagion and attention allocation," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-07, Feb.
• Pesaran, M. Hashem & Yamagata, Takashi, 2012, "Testing CAPM with a Large Number of Assets," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6469, Apr.
• Belke, Ansgar H. & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? The Impact of the Demographic Factor," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6567, May.
• Bertocchi, Graziella & Brunetti, Marianna & Torricelli, Costanza, 2012, "Is It Money or Brains? The Determinants of Intra-Family Decision Power," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6648, Jun.
• Conniffe, Denis & O'Neill, Donal, 2012, "An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6877, Sep.
• Fort, Margherita & Manaresi, Francesco & Trucchi, Serena, 2012, "Banks Information Policies, Financial Literacy and Household Wealth," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6989, Nov.
• Auer Benjamin R., 2012, "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 5, pages 518-544, October, DOI: 10.1515/jbnst-2012-0503.
• Jules Sadefo Kamdem, 2012, "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, volume 8, issue 1, pages 123-150, February, DOI: 10.1007/s10436-009-0138-6.
• Ba Chu, 2012, "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, volume 8, issue 1, pages 97-122, February, DOI: 10.1007/s10436-011-0182-x.
• Lan Zhang, 2012, "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, volume 8, issue 2, pages 259-275, May, DOI: 10.1007/s10436-010-0168-0.
• Giovanna Menardi & Francesco Lisi, 2012, "Are performance measures equally stable?," Annals of Finance, Springer, volume 8, issue 4, pages 553-570, November, DOI: 10.1007/s10436-012-0189-y.
• Ba Chu, 2012, "Approximation of Asymmetric Multivariate Return Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 19, issue 3, pages 293-318, September, DOI: 10.1007/s10690-011-9150-8.
• Frank Jong, 2012, "Portfolio Implications of Cointegration Between Labor Income and Dividends," De Economist, Springer, volume 160, issue 4, pages 397-412, December, DOI: 10.1007/s10645-012-9195-8.
• Zbigniew Kominek, 2012, "Regulatory induced herding? Evidence from Polish pension funds," Economic Change and Restructuring, Springer, volume 45, issue 1, pages 97-119, February, DOI: 10.1007/s10644-011-9111-2.
• Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012, "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 109-141, March, DOI: 10.1007/s11408-011-0179-5.
• Daniel Edelman & William Fung & David Hsieh & Narayan Naik, 2012, "Funds of hedge funds: performance, risk and capital formation 2005 to 2010," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 87-108, March, DOI: 10.1007/s11408-011-0180-z.
• Thorsten Poddig & Albina Unger, 2012, "On the robustness of risk-based asset allocations," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 3, pages 369-401, September, DOI: 10.1007/s11408-012-0190-5.
• Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012, "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 405-428, December, DOI: 10.1007/s11408-012-0196-z.
• Mark Schaub, 2012, "International equities listed on the New York stock exchange: does type of issue or date of issue matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 429-447, December, DOI: 10.1007/s11408-012-0197-y.
• Mohammed Bouaddi & Abderrahim Taamouti, 2012, "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 469-494, December, DOI: 10.1007/s11408-012-0199-9.
• Peter O. Christensen & Zhenjiang Qin, 2012, "Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-22, 04.
• Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
• Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
• Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
• Michael Kirchler & Jurgen Huber & Thomas Stockl, 2012, "Thar She Bursts: Reducing Confusion Reduces Bubbles," American Economic Review, American Economic Association, volume 102, issue 2, pages 865-883, April.
• Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2012, "Durable Consumption and Asset Management with Transaction and Observation Costs," American Economic Review, American Economic Association, volume 102, issue 5, pages 2272-2300, August.
• Liran Einav & Amy Finkelstein & Iuliana Pascu & Mark R. Cullen, 2012, "How General Are Risk Preferences? Choices under Uncertainty in Different Domains," American Economic Review, American Economic Association, volume 102, issue 6, pages 2606-2638, October.
• Pierpaolo Benigno & Salvatore Nisticò, 2012, "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 144-189, January.
• Sarbapriya Ray, 2012, "Evaluating the Impact of Working Capital Management Components on Corporate Profitability: Evidence from Indian Manufacturing Firms," International Journal of Economic Practices and Theories, Academy of Economic Studies - Bucharest, Romania, volume 2, issue 3, pages 127-136, July.
• Derya TURFAN & Cagdas Hakan ALADAG & Ozgur YENIAY, 2012, "A New Genetic Algorithm To Solve Knapsack Problems," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 1, issue 2, pages 40-47, DECEMBER.
• Georges Prat, 2012, "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers, Association Française de Cliométrie (AFC), number 12-06.
• Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012, "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124387, DOI: 10.22004/ag.econ.124387.
• Dobes, Leo, 2012, "Adaptation to Climate Change: Formulating Policy under Uncertainty," Working Papers, Australian National University, Centre for Climate Economics & Policy, number 249390, Jan, DOI: 10.22004/ag.econ.249390.
• Ritter, Matthias & Musshoff, Oliver & Odening, Martin, , "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists, number 122527, DOI: 10.22004/ag.econ.122527.
• Kocsis, Márió & Zakár, Tivadar, 2012, "Pénz- És Tőkepiaci Stratégiák Rendszerezése, És A Kiválasztási Szempontok Közötti Összefüggések Feltárása," Acta Carolus Robertus, Karoly Robert University College, volume 2, issue 01, pages 1-10, DOI: 10.22004/ag.econ.173632.
• Kriszt, Katalin & Zakár, Tivadar, 2012, "A Vállalatok Pénzügyi Típusjelenségeinek Többváltozós Analízise," Acta Carolus Robertus, Karoly Robert University College, volume 2, issue 01, pages 1-10, DOI: 10.22004/ag.econ.173634.
• Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012, "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-19, August, DOI: 10.22004/ag.econ.130273.
• Arthur, Bruno R. & Katchova, Ani L., 2012, "Accruals Anomaly in Agriculture Financial Economics," 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama, Southern Agricultural Economics Association, number 119822, Feb, DOI: 10.22004/ag.econ.119822.
• Kusdhianto SETIAWAN, 2012, "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
• Rabeh Khalfaoui & Mohammed Boutahar, 2012, "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1208, Mar.
• Henry T.C. Hu, 2012, "Efficient Markets and the Law: A Predictable Past and an Uncertain Future," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 179-214, October.
• Andrew Ang & Allan Timmermann, 2012, "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 313-337, October.
• Rajnish Mehra, 2012, "Consumption-Based Asset Pricing Models," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 385-409, October.
• Robert M. Dammon & Chester S. Spatt, 2012, "Taxes and Investment Choice," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 411-429, October.
• Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012, "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, volume 4, issue 1, pages 111-129, July.
• Fred Espen Benth & Jukka Lempa, 2012, "Optimal portfolios in commodity futures markets," Papers, arXiv.org, number 1204.2667, Apr.
• St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012, "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers, arXiv.org, number 1205.4089, May.
• Nils Chr. Framstad, 2012, "On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes," Papers, arXiv.org, number 1206.5756, Jun, revised Jun 2012.
• Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer, 2012, "Stability analysis of financial contagion due to overlapping portfolios," Papers, arXiv.org, number 1210.5987, Oct.
• Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012, "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers, arXiv.org, number 1211.5502, Nov.
• Dominic Ho & Michael Sherris, 2012, "Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201203, May.
• Loretti Dobrescu & Dimitris Christelis & Alberto Motta, 2012, "Early Life Conditions and Financial Risk-taking in Older Age," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201208, Mar.
• Ekaterini Panopoulou & Sarantis Kalyvitis, 2012, "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers, Athens University of Economics and Business, number 1216, Jun.
• Alen Host & Igor Cvecic & Vinko Zaninovic, 2012, "Credit Rating Agencies And Their Impact On Spreading The Financial Crisis On The Eurozone," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 21, issue 2, pages 639-662, december.
• Caterina Lucarelli & Simona Maggi, 2012, "Wealth and individual behaviors among financial need, bias and misbelief," BANCARIA, Bancaria Editrice, volume 4, pages 21-34, April.
• Caterina Lucarelli & Simona Maggi, 2012, "Wealth management industry in search of new demand-driven models," BANCARIA, Bancaria Editrice, volume 6, pages 22-33, June.
• Vittorio Conti, 2012, "Consumer protection and investment services: towards a new regulatory approach," BANCARIA, Bancaria Editrice, volume 9, pages 14-22, September.
• Alberto Burchi & Maria Debora Braga, 2012, "Italian Hedge funds’ performance and contractual arrangements," BANCARIA, Bancaria Editrice, volume 11, pages 54-63, November.
• ?enol Emir & Hasan Din?er & Mehpare Timor, 2012, "A Stock Selection Model Based on Fundamental and Technical Analysis Variables by Using Artificial Neural Networks and Support Vector Machines," Review of Economics & Finance, Better Advances Press, Canada, volume 2, pages 106-122, August.
• Jordi Esteve Comas & Manuel Fernandez Lopez, 2012, "The mean-variance model from the inverse of the variance-covariance matrix," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 271.
• Albert de-Paz & Jesus Marin-Solano & Jorge Navas & Oriol Roch, 2012, "Consumption, investment and life insurance strategies with heterogeneous discounting," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 277.
• Cornelia Pop & Dragos Bozdog & Adina Calugaru, 2012, "A Frontier Market Case: Does Bucharest Stock Exchange Have A Leading Domestic Index?," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Amela Hubic, 2012, "A Financial Social Accounting Matrix (SAM) for Luxembourg," BCL working papers, Central Bank of Luxembourg, number 72, Mar.
• Antonio Scalia & Benjamin Sahel, 2012, "Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 840, Jan.
• Giuseppe Cappelletti, 2012, "Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 845, Jan.
• Riccardo Bonci, 2012, "Monetary policy and the flow of funds in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 861, Mar.
• Simon Dubecq & Christian Gourieroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers, Banque de France, number 368.
• Yaroslav Ivanenko & Bertrand Munier, 2012, "Price as a choice under nonstochastic randomness in finance," Working papers, Banque de France, number 381.
• Masselier, K. & Calleja, R., 2012, "Ce que détiennent les OPCVM français," Bulletin de la Banque de France, Banque de France, issue 188, pages 61-76.
• K. Masselier. & R. Calleja., 2012, "Holdings of French investment funds," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 26, pages 5-24, Summer.
• Ajantha Sisira Kumara & Wade Pfau, 2012, "Reforming Pension Funds In Sri Lanka: International Diversification And The Employees' Provident Fund," Australian Economic Papers, Wiley Blackwell, volume 51, issue 1, pages 23-37, March, DOI: j.1467-8454.2012.00420.x.
• Avinash Dixit, 2012, "An Option Value Problem From Seinfeld," Economic Inquiry, Western Economic Association International, volume 50, issue 2, pages 563-565, April, DOI: j.1465-7295.2011.00377.x.
• Massimiliano Caporin & Michael McAleer, 2012, "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, volume 26, issue 4, pages 736-751, September, DOI: j.1467-6419.2011.00683.x.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, volume 67, issue 2, pages 431-478, April, DOI: j.1540-6261.2012.01722.x.
• Tarun Ramadorai, 2012, "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, volume 67, issue 2, pages 479-512, April, DOI: j.1540-6261.2012.01723.x.
• Ron Kaniel & Shuming Liu & Gideon Saar & Sheridan Titman, 2012, "Individual Investor Trading and Return Patterns around Earnings Announcements," Journal of Finance, American Finance Association, volume 67, issue 2, pages 639-680, April, DOI: j.1540-6261.2012.01727.x.
• Vasia Panousi & Dimitris Papanikolaou, 2012, "Investment, Idiosyncratic Risk, and Ownership," Journal of Finance, American Finance Association, volume 67, issue 3, pages 1113-1148, June, DOI: 10.1111/j.1540-6261.2012.01743.x.
• Clemens Sialm & Laura Starks, 2012, "Mutual Fund Tax Clienteles," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1397-1422, August, DOI: j.1540-6261.2012.01751.x.
• Bernard Dumas & Andrew Lyasoff, 2012, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, volume 67, issue 5, pages 1897-1941, October, DOI: j.1540-6261.2012.01775.x.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012, "U.S. International Equity Investment," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 50, issue 5, pages 1109-1139, December, DOI: 10.1111/j.1475-679X.2012.00464.x.
• Darius Lakdawalla & George Zanjani, 2012, "Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk Transfer," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 79, issue 2, pages 449-476, June, DOI: j.1539-6975.2011.01425.x.
• Neville Zivanayi Mandimika & Zivanemoyo Chinzara, 2012, "Risk–Return Trade-Off And Behaviour Of Volatility On The South African Stock Market: Evidence From Both Aggregate And Disaggregate Data," South African Journal of Economics, Economic Society of South Africa, volume 80, issue 3, pages 345-366, September, DOI: j.1813-6982.2012.01328.x.
• ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan, 2012, "Market Correlation, Market Returns And Portfolio Implication," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 0, issue 1, pages 3-8.
• M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012, "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 12010, Aug.
• Shun Kobayashi, 2012, "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series, Bank of Japan, number 12-E-13, Dec.
• M. Fort & F. Manaresi & S. Trucchi, 2012, "Banks Information Policies, Financial Literacy and Household Wealth," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp852, Nov.
• Bekir Elmas, 2012, "Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 49, pages 39-58.
• Hryshko Dmytro & Luengo-Prado Maria & Sorensen Bent E., 2012, "The Effect of Education on Equity Holdings," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 12, issue 1, pages 1-41, March, DOI: 10.1515/1935-1682.2911.
• Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012, "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 317-335.
• André Alves Portela Santos & Cristina Tessari, 2012, "Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 369-393.
• Marcelo Cabus Klotzle & Leonardo Lima Gomes & Luiz Eduardo Teixeira Brandão & Antonio Carlos Figueiredo Pinto, 2012, "Development of a Behavioral Performance Measure," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 395-416.
• Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012, "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 4, pages 529-550.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2012, "The Appeal of Information Transactions," Working Papers, Brown University, Department of Economics, number 2012-13.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Revue économique, Presses de Sciences-Po, volume 63, issue 3, pages 591-600.
• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 37-48.
• Lamia Jaidane-Mazigh, 2012, "La gestion alternative des fonds souverains altérée par les crises ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 327-341.
• Jonathan Peillex & Loredana Ureche-Rangau, 2012, "Création d'un indice boursier islamique sur la place financière de Paris : méthodologie et performance," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 289-314.
• Dominique Namur, 2012, "Quelles ressources mondiales pour financer l'investissement à long terme ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 37-56.
• Luc Arrondel & Vladimir Borgy & Frédérique Savignac, 2012, "L'épargnant au bord de la crise," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 69-90.
• Éric Bouyé, 2012, "Allocation stratégique des actifs et gestion de l'investissement à long terme par les investisseurs institutionnels," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 117-132.
• Didier Janci, 2012, "Pourquoi des politiques d'incitation à l'investissement de long terme ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 151-168.
• Pierre Jaillet, 2012, "Investissement à long terme : enjeux pour la croissance, la stabilité monétaire et financière," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 169-188.
• Pesaran, M. H. & Yamagata, T., 2012, "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1210, Feb.
• Baddeley, M. & Burke, C. & Schultz, W. & Tobler, P., 2012, "Herding in Financial Behaviour: A Behavioural and Neuroeconomic Analysis of Individual Differences," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1225, May.
• Koc, R. & Kazantzis, N.K. & Nuttall, W.J. & Ma, Y.H, 2012, "Economic Rationale for Safety Investment in Integrated Gasification Combined-Cycle Gas Turbine Membrane Reactor Modules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1226, May.
• Allen, D. & Lizieri, C. & Satchell, S., 2012, "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1244, Oct.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/10, Apr.
• G. Bertocchi & M. Brunetti & C. Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA, number 2.
• Doriana Ruffino, 2012, "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 252.
• Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012, "Optimal life-cycle portfolios for heterogeneous workers," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 266, revised 2013.
• Claudio Campanale & Carolina Fugazza & Francisco Gomes, 2012, "Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 269.
• Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012, "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 272.
• Agnese Romiti & Mariacristina Rossi, 2012, "Housing wealth decumulation, portfolio composition and financial literacy among the European elderly," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 289.
• René TAPSOBA, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," Working Papers, CERDI, number 201203.
• Philippe Bracke & Christian Hilber & Olmo Silva, 2012, "Homeownerhip and Entrepreneurship," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0103, Apr.
• Karel Janda & Barbora Svarovska, 2012, "Suitability of Microfinance as an Investment Option," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp470, Oct.
• Christian Gollier, 2012, "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," CESifo Working Paper Series, CESifo, number 4052.
• Victor Augusto Mendes dos Santos, 2012, "The investor in warrants," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2012_19.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-164, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-171, Sep.
• Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-178, Oct.
• Abdul Hakim & Michael McAleer, 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-179, Oct.
• Claudio Raddatz & Sergio L. Schmukler, 2012, "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile, Central Bank of Chile, number 668, Jun.
• Jacopo Cimadomo & Sebastian Hauptmeier & Tom Zimmermann, 2012, "Fiscal Consolidations and Banking Stability," Working Papers, CEPII research center, number 2012-32, Nov.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012, "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers, CEMFI, number wp2012_1201, Feb.
• A. Khalifa & S. Hammoudeh & E. Otranto, 2012, "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201209.
• M. Cadoni & R. Melis & A. Trudda, 2012, "Financial crisis: a new measure for risk of pension funds assets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201231.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10656, Nov.
• Javier Orlando Pantoja Robayo & Juan Fernando Rend�n Garc�a & Alfredo Trespalacios Carrasquilla, 2012, "Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10665, Nov.
• Alfredo Trespalacios Carrasquilla & Juan Fernando Rend�n & Javier Orlando Pantoja Robayo, 2012, "Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10666, Nov.
• María Isabel Restrepo E., 2012, "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92.
• Werner Kristjanpoller Rodriguez & Víctor Caballero Ugarte, 2012, "Volumen y asimetría en los principales mercados accionarios latinoamericanos," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Luís Ángel Meneses Cerón & Ronald Alejandro Macuac� Otero, 2012, "Contagio financiero entre economías: un análisis exploratorio a través de la econometría. Caso Colombia - Estados Unidos," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 4, issue 2, pages 51-62.
• Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini, 2012, "Interval and fuzzy Average Internal Rate of Return for investment appraisal," Proyecciones Financieras y Valoración, Master Consultores, number 9641, Jun.
• Carlo Alberto Magni, 2012, "The AIRR Approach for Investment Performance Measurement," Proyecciones Financieras y Valoración, Master Consultores, number 9652, Jun.
• Carlo Alberto Magni, 2012, "The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration," Proyecciones Financieras y Valoración, Master Consultores, number 10084, Nov.
• Pedro Fabi√°n Castilla √Åvila Ignacio Velez-Pareja & Pedro F. Castilla, 2012, "Optimal Portfolio Selection: A Note with a VBA Solution," Proyecciones Financieras y Valoración, Master Consultores, number 10723, Oct.
• José Gabriel Astaiza Gómez, 2012, "El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano," Revista Ad-Minister, Universidad EAFIT.
• John Jairo Forero Romero & Carlos Alberto Orozco Hurtado, 2012, "Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia," Revista Ad-Minister, Universidad EAFIT.
• Söderlind, Paul & Dahlquist, Magnus & Martinez, José Vicente, 2012, "Individual Investor Activity and Performance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8744, Jan.
• Rey, Hélène & Coeurdacier, Nicolas, 2012, "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8746, Jan.
• Kaniel, Ron & Alt, Aydogan & Yoeli, Uzi, 2012, "Why Do Institutional Investors Chase Return Trends?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8773, Jan.
• Broer, Tobias, 2012, "The home bias of the poor: Terms of trade effects and portfolios across the wealth distribution," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8811, Feb.
• Hau, Harald & Lai, Sandy, 2012, "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8819, Feb.
• Hau, Harald & Lai, Sandy, 2012, "Real Effects of Stock Underpricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8820, Feb.
• Koedijk, Kees & Pownall, Rachel A J & Statman, Meir, 2012, "Aspirations, Well-being, Risk-Aversion and Loss-Aversion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8904, Mar.
• Torricelli, Costanza & Bertocchi, Graziella & Brunetti, Marianna, 2012, "Is it money or brains? The determinants of intra-family decision power," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9017, Jun.
• Veldkamp, Laura & Kacperczyk, Marcin & Van Nieuwerburgh, Stijn, 2012, "Time-Varying Fund Manager Skill," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9025, Jul.
• Schmukler, Sergio & Raddatz, Claudio, 2012, "On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9070, Aug.
• Fratzscher, Marcel & Straub, Roland & Lo Duca, Marco, 2012, "A global monetary tsunami? On the spillovers of US Quantitative Easing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9195, Oct.
• Fougère, Denis & Poulhès, Mathilde, 2012, "The Effect of Housing on Portfolio Choice: A Reappraisal Using French Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9213, Nov.
• Haliassos, Michael & Georgarakos, Dimitris & Pasini, Giacomo, 2012, "Household Debt and Social Interactions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9238, Dec.
• Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012, "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2412, Jun.
• Marc Boissaux & Jang Schiltz, 2012, "Conditioned Higher Moment Portfolio Optimisation Using Optimal Control," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-2.
• Maela Giofré, 2012, "Financial education, investor protection and international portfolio diversification," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 130, Oct.
• Simon Dubecq & Christian Gouriéroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers, Center for Research in Economics and Statistics, number 2012-03, Feb.
• Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2012, "The Appeal of Information Transactions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1224, Sep.
• Beatriz de Blas & Ana Hidalgo-Cabrillana, 2012, "Portfolio choice and private information: A note," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 55-67, Agosto.
• David Peón & Manel Antelo, 2012, "Are normative models in Finance realistic?," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 89-99, Agosto.
• Raymond Kan & Guofu Zhou, 2012, "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 139-187, May.