Research classified by Journal of Economic Literature (JEL) codes

2012

• Gaowang Wang & Heng-fu Zou, 2012, "Economic Globalization, Mercantilism and Economic Growth," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 548.
• Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012, "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 339-357, August.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012, "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1155-1185, December.
• Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012, "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1279-1301, December.
• Storchmann, Karl, 2012, "Wine Economics," Journal of Wine Economics, Cambridge University Press, volume 7, issue 1, pages 1-33, May.
• Ana Fostel & John Geanakoplos, 2012, "Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877, Sep.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R, Sep, revised Jul 2013.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R2, Sep, revised Aug 2014.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R3, Sep, revised Mar 2015.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 57576, Apr.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77437, Apr.
• Casta, Jean-François (ed.), 2012, "De l’évaluation des stock options en « juste valeur » : apport de l’approche comportementale," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10710.
• Campi, Luciano & Mancino, Maria Elvira (ed.), 2012, "Information asymmetry and equilibrium models in behavioral finance," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9075.
• Cristina BUNEA-BONTAS, 2012, "The Assessment of Hedge Effectiveness," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 57-62.
• Christophe Revelli & Jean-Laurent Viviani, 2012, "Performance financière de l’investissement socialement responsable (ISR):une méta-analyse - Financial Performance of Socially Responsible Investment (SRI):A meta-analysis," Revue Finance Contrôle Stratégie, revues.org, volume 15, issue 4, pages 21-46, December.
• Kornelia Hagen, 2012, "Dokumentation der Diskussionsbeiträge auf dem Workshop des DIW Berlin zum Thema "Riester-Rente - Grundlegende Reform dringend geboten!?": [Online-Artikel]," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 81, issue 2, pages 280-311, DOI: 10.3790/vjh.81.2.280.
• Peter Schwark, 2012, "Die Riester-Kritik: Fachlich fundiert oder politisch motiviert?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 81, issue 2, pages 71-90, DOI: 10.3790/vjh.81.2.71.
• Frank M. Fossen, 2012, "Risk Attitudes and Private Business Equity," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1209.
• Ansgar Belke & Christian Dreger & Richard Ochmann, 2012, "Do Wealthier Households Save More?: The Impact of the Demographic Factor," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1211.
• Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012, "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, volume 23, issue 1, pages 34-47, DOI: 10.1016/j.gfj.2012.01.003.
• Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012, "Capital structure and abnormal returns," International Business Review, Elsevier, volume 21, issue 3, pages 328-341, DOI: 10.1016/j.ibusrev.2011.03.007.
• Fratzscher, Marcel, 2012, "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, volume 88, issue 2, pages 341-356, DOI: 10.1016/j.jinteco.2012.05.003.
• Raddatz, Claudio & Schmukler, Sergio L., 2012, "On the international transmission of shocks: Micro-evidence from mutual fund portfolios," Journal of International Economics, Elsevier, volume 88, issue 2, pages 357-374, DOI: 10.1016/j.jinteco.2012.05.006.
• Faust, Roger & Schmeiser, Hato & Zemp, Alexandra, 2012, "A performance analysis of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 158-171, DOI: 10.1016/j.insmatheco.2012.03.004.
• Han, Nan-wei & Hung, Mao-wei, 2012, "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 172-181, DOI: 10.1016/j.insmatheco.2012.03.003.
• Dhaene, Jan & Goovaerts, Marc & Vanmaele, Michèle & Van Weert, Koen, 2012, "Convex order approximations in the case of cash flows of mixed signs," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 249-256, DOI: 10.1016/j.insmatheco.2012.04.003.
• Lim, Andrew E.B. & Watewai, Thaisiri, 2012, "Optimal investment and consumption when regime transitions cause price shocks," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 551-566, DOI: 10.1016/j.insmatheco.2012.07.011.
• Jung, Eun Ju & Kim, Jai Heui, 2012, "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 667-673, DOI: 10.1016/j.insmatheco.2012.09.009.
• Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012, "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 305-328, DOI: 10.1016/j.intfin.2011.10.001.
• Broussard, John Paul & Vaihekoski, Mika, 2012, "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1188-1201, DOI: 10.1016/j.intfin.2012.06.002.
• Narulita, Wista A. & Parwada, Jerry T., 2012, "Evolution of a mutual fund market: Empirical analysis of simultaneous growth and decline by fund category in Indonesia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1217-1236, DOI: 10.1016/j.intfin.2012.05.012.
• Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012, "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1292-1306, DOI: 10.1016/j.intfin.2012.07.005.
• Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012, "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2693-2716, DOI: 10.1016/j.jbankfin.2011.08.002.
• Navone, Marco, 2012, "Reprint of Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2729-2741, DOI: 10.1016/j.jbankfin.2012.06.001.
• Nejadmalayeri, Ali & Singh, Manohar, 2012, "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2900-2916, DOI: 10.1016/j.jbankfin.2011.07.021.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012, "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2974-2987, DOI: 10.1016/j.jbankfin.2012.06.008.
• Jank, Stephan, 2012, "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3060-3070, DOI: 10.1016/j.jbankfin.2012.07.004.
• Varotto, Simone, 2012, "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3133-3149, DOI: 10.1016/j.jbankfin.2011.10.001.
• Shi, Zhen & Werker, Bas J.M., 2012, "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3227-3238, DOI: 10.1016/j.jbankfin.2012.04.009.
• Liang, Samuel Xin & Wei, John K.C., 2012, "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3274-3288, DOI: 10.1016/j.jbankfin.2012.07.021.
• Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012, "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3302-3317, DOI: 10.1016/j.jbankfin.2012.07.018.
• Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012, "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3382-3398, DOI: 10.1016/j.jbankfin.2012.07.020.
• Bönte, Werner & Filipiak, Ute, 2012, "Financial literacy, information flows, and caste affiliation: Empirical evidence from India," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3399-3414, DOI: 10.1016/j.jbankfin.2012.07.028.
• Cullen, Grant & Gasbarro, Dominic & Monroe, Gary S. & Zumwalt, J. Kenton, 2012, "Changes to mutual fund risk: Intentional or mean reverting?," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 112-120, DOI: 10.1016/j.jbankfin.2011.06.011.
• de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012, "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 371-382, DOI: 10.1016/j.jbankfin.2011.07.015.
• Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012, "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 410-417, DOI: 10.1016/j.jbankfin.2011.07.018.
• Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012, "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 418-427, DOI: 10.1016/j.jbankfin.2011.07.017.
• Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012, "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 575-583, DOI: 10.1016/j.jbankfin.2011.09.002.
• Guidolin, Massimo & Hyde, Stuart, 2012, "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 695-716, DOI: 10.1016/j.jbankfin.2011.10.011.
• Xue, Yi & Gençay, Ramazan, 2012, "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 760-773, DOI: 10.1016/j.jbankfin.2011.09.008.
• Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012, "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 786-802, DOI: 10.1016/j.jbankfin.2011.09.012.
• Darolles, Serge & Vaissié, Mathieu, 2012, "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1067-1078, DOI: 10.1016/j.jbankfin.2011.10.021.
• Berger, Dave & Turtle, H.J., 2012, "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1107-1121, DOI: 10.1016/j.jbankfin.2011.11.001.
• Clark, Ephraim & Kassimatis, Konstantinos, 2012, "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1144-1151, DOI: 10.1016/j.jbankfin.2011.11.006.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012, "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 934-956, DOI: 10.1016/j.jbankfin.2011.10.010.
• Baptista, Alexandre M., 2012, "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 968-980, DOI: 10.1016/j.jbankfin.2011.10.015.
• Navone, Marco, 2012, "Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1291-1303, DOI: 10.1016/j.jbankfin.2011.11.018.
• Kassberger, Stefan & Liebmann, Thomas, 2012, "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1304-1310, DOI: 10.1016/j.jbankfin.2011.11.017.
• Atella, Vincenzo & Brunetti, Marianna & Maestas, Nicole, 2012, "Household portfolio choices, health status and health care systems: A cross-country analysis based on SHARE," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1320-1335, DOI: 10.1016/j.jbankfin.2011.11.025.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012, "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1354-1361, DOI: 10.1016/j.jbankfin.2011.11.023.
• Hjalmarsson, Erik & Manchev, Petar, 2012, "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1392-1401, DOI: 10.1016/j.jbankfin.2011.12.002.
• Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012, "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1414-1423, DOI: 10.1016/j.jbankfin.2011.12.007.
• Jordan, Bradford D. & Liu, Mark H. & Wu, Qun, 2012, "Do investment banks listen to their own analysts?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1452-1463, DOI: 10.1016/j.jbankfin.2011.12.010.
• Gourieroux, C. & Jasiak, J., 2012, "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1464-1477, DOI: 10.1016/j.jbankfin.2011.12.013.
• Iscoe, Ian & Kreinin, Alexander & Mausser, Helmut & Romanko, Oleksandr, 2012, "Portfolio credit-risk optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1604-1615, DOI: 10.1016/j.jbankfin.2012.01.013.
• McQueen, Grant & Stenkrona, Anders, 2012, "The home-institution bias," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1627-1638, DOI: 10.1016/j.jbankfin.2012.01.011.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Huang, Alex YiHou, 2012, "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1839-1855, DOI: 10.1016/j.jbankfin.2012.02.005.
• Branger, Nicole & Hansis, Alexandra, 2012, "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1865-1882, DOI: 10.1016/j.jbankfin.2012.02.009.
• Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012, "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1928-1942, DOI: 10.1016/j.jbankfin.2012.03.001.
• Desmoulins-Lebeault, François & Kharoubi-Rakotomalala, Cécile, 2012, "Non-Gaussian diversification: When size matters," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1987-1996, DOI: 10.1016/j.jbankfin.2012.03.006.
• Marekwica, Marcel, 2012, "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2048-2063, DOI: 10.1016/j.jbankfin.2012.03.011.
• Schuhmacher, Frank & Eling, Martin, 2012, "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2077-2082, DOI: 10.1016/j.jbankfin.2012.03.013.
• Kim, Sangbae & In, Francis, 2012, "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2083-2094, DOI: 10.1016/j.jbankfin.2012.03.014.
• de Dreu, Jan & Bikker, Jacob A., 2012, "Investor sophistication and risk taking," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2145-2156, DOI: 10.1016/j.jbankfin.2012.03.023.
• Homm, Ulrich & Pigorsch, Christian, 2012, "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2274-2284, DOI: 10.1016/j.jbankfin.2012.04.005.
• Kaustia, Markku & Rantapuska, Elias, 2012, "Rational and behavioral motives to trade: Evidence from reinvestment of dividends and tender offer proceeds," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2366-2378, DOI: 10.1016/j.jbankfin.2012.04.015.
• Galsband, Victoria, 2012, "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2379-2388, DOI: 10.1016/j.jbankfin.2012.04.019.
• Mahayni, Antje & Schneider, Judith C., 2012, "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2417-2428, DOI: 10.1016/j.jbankfin.2012.04.024.
• Belousova, Julia & Dorfleitner, Gregor, 2012, "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2455-2472, DOI: 10.1016/j.jbankfin.2012.05.003.
• Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012, "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2522-2531, DOI: 10.1016/j.jbankfin.2012.05.005.
• Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012, "Rehabilitating the role of active management for pension funds," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2565-2574, DOI: 10.1016/j.jbankfin.2012.05.017.
• Palomba, Giulio & Riccetti, Luca, 2012, "Portfolio frontiers with restrictions to tracking error volatility and value at risk," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2604-2615, DOI: 10.1016/j.jbankfin.2012.05.014.
• Charness, Gary & Gneezy, Uri, 2012, "Strong Evidence for Gender Differences in Risk Taking," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 1, pages 50-58, DOI: 10.1016/j.jebo.2011.06.007.
• Halko, Marja-Liisa & Kaustia, Markku & Alanko, Elias, 2012, "The gender effect in risky asset holdings," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 1, pages 66-81, DOI: 10.1016/j.jebo.2011.06.011.
• Scotti, Massimo, 2012, "Delegated portfolio management with career concerns," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 3, pages 829-839, DOI: 10.1016/j.jebo.2012.10.001.
• Fostel, Ana & Geanakoplos, John, 2012, "Why does bad news increase volatility and decrease leverage?," Journal of Economic Theory, Elsevier, volume 147, issue 2, pages 501-525, DOI: 10.1016/j.jet.2011.07.001.
• Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012, "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 1035-1063, DOI: 10.1016/j.jet.2012.01.007.
• Dybvig, Philip H. & Wang, Yajun, 2012, "Increases in risk aversion and the distribution of portfolio payoffs," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 1222-1246, DOI: 10.1016/j.jet.2011.11.009.
• Meyer, Margaret & Strulovici, Bruno, 2012, "Increasing interdependence of multivariate distributions," Journal of Economic Theory, Elsevier, volume 147, issue 4, pages 1460-1489, DOI: 10.1016/j.jet.2011.09.001.
• Hugonnier, Julien, 2012, "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, volume 147, issue 6, pages 2260-2302, DOI: 10.1016/j.jet.2012.05.003.
• Hong, Harrison & Kostovetsky, Leonard, 2012, "Red and blue investing: Values and finance," Journal of Financial Economics, Elsevier, volume 103, issue 1, pages 1-19, DOI: 10.1016/j.jfineco.2011.01.006.
• Basak, Suleyman & Makarov, Dmitry, 2012, "Difference in interim performance and risk taking with short-sale constraints," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 377-392, DOI: 10.1016/j.jfineco.2011.09.008.
• Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal, 2012, "Do arbitrageurs amplify economic shocks?," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 454-470, DOI: 10.1016/j.jfineco.2011.10.007.
• Cocco, João F. & Gomes, Francisco J., 2012, "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 507-529, DOI: 10.1016/j.jfineco.2011.10.002.
• Barberis, Nicholas & Xiong, Wei, 2012, "Realization utility," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 251-271, DOI: 10.1016/j.jfineco.2011.10.005.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
• Kaustia, Markku & Knüpfer, Samuli, 2012, "Peer performance and stock market entry," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 321-338, DOI: 10.1016/j.jfineco.2011.01.010.
• Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012, "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 339-362, DOI: 10.1016/j.jfineco.2011.05.016.
• Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012, "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 363-382, DOI: 10.1016/j.jfineco.2010.08.018.
• Cohen, Lauren & Lou, Dong, 2012, "Complicated firms," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 383-400, DOI: 10.1016/j.jfineco.2011.08.006.
• Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012, "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 491-518, DOI: 10.1016/j.jfineco.2011.05.011.
• Shanken, Jay & Tamayo, Ane, 2012, "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 131-152, DOI: 10.1016/j.jfineco.2011.12.002.
• Aragon, George O. & Spencer Martin, J., 2012, "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 436-456, DOI: 10.1016/j.jfineco.2012.02.004.
• Burlacu, Radu & Fontaine, Patrice & Jimenez-Garcès, Sonia & Seasholes, Mark S., 2012, "Risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 511-522, DOI: 10.1016/j.jfineco.2012.03.008.
• Betermier, Sebastien & Jansson, Thomas & Parlour, Christine & Walden, Johan, 2012, "Hedging labor income risk," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 622-639, DOI: 10.1016/j.jfineco.2012.05.001.
• Wang, Chong & Wang, Neng & Yang, Jinqiang, 2012, "A unified model of entrepreneurship dynamics," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2012.05.002.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012, "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 114-131, DOI: 10.1016/j.jfineco.2012.05.005.
• Kim, Chansog (Francis) & Pantzalis, Christos & Chul Park, Jung, 2012, "Political geography and stock returns: The value and risk implications of proximity to political power," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 196-228, DOI: 10.1016/j.jfineco.2012.05.007.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Caggese, Andrea, 2012, "Entrepreneurial risk, investment, and innovation," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 287-307, DOI: 10.1016/j.jfineco.2012.05.009.
• Bajgrowicz, Pierre & Scaillet, Olivier, 2012, "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 473-491, DOI: 10.1016/j.jfineco.2012.06.001.
• García, Diego & Norli, Øyvind, 2012, "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 547-565, DOI: 10.1016/j.jfineco.2012.06.007.
• Golez, Benjamin & Jackwerth, Jens Carsten, 2012, "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 566-585, DOI: 10.1016/j.jfineco.2012.06.010.
• Maio, Paulo & Santa-Clara, Pedro, 2012, "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 586-613, DOI: 10.1016/j.jfineco.2012.07.001.
• Altı, Aydoğan & Kaniel, Ron & Yoeli, Uzi, 2012, "Why do institutional investors chase return trends?," Journal of Financial Intermediation, Elsevier, volume 21, issue 4, pages 694-721, DOI: 10.1016/j.jfi.2012.05.002.
• Thapa, Chandra & Poshakwale, Sunil S., 2012, "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 189-211, DOI: 10.1016/j.jimonfin.2011.10.011.
• Eichler, Stefan, 2012, "Equity home bias and corporate disclosure," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1008-1032, DOI: 10.1016/j.jimonfin.2011.12.008.
• Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012, "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1249-1278, DOI: 10.1016/j.jimonfin.2012.01.015.
• Vieira, Fabrício A.C. & Holland, Márcio & Resende, Marco F., 2012, "Financial dollarization and systemic risks: New empirical evidence," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1695-1714, DOI: 10.1016/j.jimonfin.2012.03.007.
• Kroencke, Tim A. & Schindler, Felix, 2012, "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1851-1866, DOI: 10.1016/j.jimonfin.2012.05.018.
• Bond, Shaun A. & Chang, Qingqing, 2012, "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1890-1910, DOI: 10.1016/j.jimonfin.2012.05.020.
• Didier, Tatiana & Lowenkron, Alexandre, 2012, "The current account as a dynamic portfolio choice problem," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 4, pages 518-541, DOI: 10.1016/j.jjie.2012.08.005.
• Xanthopoulos, Apostolos, 2012, "The Entrenched Kurtosis in Current Portfolio Returns," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 2, pages 77-97, DOI: 10.1016/j.jeca.2012.02.005.
• Siddiqi, Hammad, 2012, "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, volume 33, issue 1, pages 19-29, DOI: 10.1016/j.joep.2011.08.008.
• Abreu, Margarida & Mendes, Victor, 2012, "Information, overconfidence and trading: Do the sources of information matter?," Journal of Economic Psychology, Elsevier, volume 33, issue 4, pages 868-881, DOI: 10.1016/j.joep.2012.04.003.
• Schoenberg, Eric J. & Haruvy, Ernan, 2012, "Relative performance information in asset markets: An experimental approach," Journal of Economic Psychology, Elsevier, volume 33, issue 6, pages 1143-1155, DOI: 10.1016/j.joep.2012.08.008.
• Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012, "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, volume 48, issue 6, pages 386-395, DOI: 10.1016/j.jmateco.2012.08.006.
• Bonaparte, Yosef & Cooper, Russell & Zhu, Guozhong, 2012, "Consumption smoothing and portfolio rebalancing: The effects of adjustment costs," Journal of Monetary Economics, Elsevier, volume 59, issue 8, pages 751-768, DOI: 10.1016/j.jmoneco.2012.10.012.
• Sarwar, Ghulam, 2012, "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, volume 22, issue 3, pages 55-65, DOI: 10.1016/j.mulfin.2012.01.003.
• Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012, "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 416-437, DOI: 10.1016/j.pacfin.2011.12.008.
• Steinorth, Petra, 2012, "The demand for enhanced annuities," Journal of Public Economics, Elsevier, volume 96, issue 11, pages 973-980, DOI: 10.1016/j.jpubeco.2012.07.007.
• Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012, "Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 1, pages 1-14, DOI: 10.1016/j.qref.2011.10.001.
• Shieh, Shwu-Jane & Lin, Chih-Yung & Ho, Po-Hsin, 2012, "Large changes in stock prices: Market, liquidity, and momentum effect," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 183-197, DOI: 10.1016/j.qref.2012.02.003.
• Mabrouk, Samir & Saadi, Samir, 2012, "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 3, pages 305-321, DOI: 10.1016/j.qref.2012.04.006.
• Alwathainani, Abdulaziz M., 2012, "Consistent winners and losers," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 210-220, DOI: 10.1016/j.iref.2011.05.009.
• Tsai, Jeng-Yan & Chang, Chuen-Ping, 2012, "Call-pricing equity returns and default risks of entry mode with brand perception in retail banking," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 29-41, DOI: 10.1016/j.iref.2011.04.001.
• Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012, "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 112-128, DOI: 10.1016/j.iref.2011.09.004.
• Liu, Yu-hong & Jiang, I-ming, 2012, "Influence of investor subjective judgments in investment decision-making," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 129-142, DOI: 10.1016/j.iref.2012.01.002.
• Walkshäusl, Christian & Lobe, Sebastian, 2012, "Islamic investing," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 53-62, DOI: 10.1016/j.rfe.2012.03.002.
• Lu, Tsung-Hsun & Shiu, Yung-Ming & Liu, Tsung-Chi, 2012, "Profitable candlestick trading strategies—The evidence from a new perspective," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 63-68, DOI: 10.1016/j.rfe.2012.02.001.
• Stotz, Olaf & Georgi, Dominik, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 159-167, DOI: 10.1016/j.rfe.2012.04.001.
• Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
• Hedesström, Martin & Andersson, Maria & Gärling, Tommy & Biel, Anders, 2012, "Stock investors’ preference for short-term vs. long-term bonuses," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 2, pages 137-142, DOI: 10.1016/j.socec.2011.12.010.
• Kliger, Doron & Gilad, Dalia, 2012, "Red light, green light: Color priming in financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 738-745, DOI: 10.1016/j.socec.2012.07.003.
• Sergio Mayordomo & María Rodríguez-Moreno & Juan Ignacio Peña, 2012, "Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 24/12, Dec.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012, "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 019, Jan, DOI: 10.26481/umamet.2012019.
• Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2012, "Money doctors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1355, Jun.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1213, Feb.
• Leonardo Fernandez, 2012, "Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2012, January-A.
• Dirk G Baur & Thomas K.J. McDermott, 2012, "Safe Haven Assets and Investor Behavior Under Uncertainty," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 173, Aug.
• Dirk G Baur & Kristoffer Glover, 2012, "The Destruction of a Safe Haven Asset?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 174, Sep.
• Simona E. Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2012, "Collateralized Borrowing and Risk Taking at Low Interest Rates?," University of Western Ontario, Economic Policy Research Institute Working Papers, University of Western Ontario, Economic Policy Research Institute, number 20121.
• Ioana Diana PAUN & Maria DIMITRIU, 2012, "Comparative Analysis of Options Valuation Methods," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 7, issue 2, pages 78-95.
• Francesco Bertoluzzo & Marco Corazza, 2012, "Reinforcement Learning for automatic financial trading: Introduction and some applications," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:33, revised 2012.
• Loriana Pelizzon & Massimiliano Caporin, 2012, "Market volatility, optimal portfolios and naive asset allocations," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_08.
• Monica Billio & Massimiliano Caporin & Michele Costola, 2012, "Backward/forward optimal combination of performance measures for equity screening," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_13.
• Diana Barro & Elio Canestrelli, 2012, "Downside risk in multiperiod tracking error models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_17.
• Diana Barro & Elio Canestrelli, 2012, "Dynamic tracking error with shortfall control using stochastic programming," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_18, revised 2012.
• Marcella Lucchetta & Michael Donadelli, 2012, "Emerging Stock Premia: Do Industries Matter?," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_22.
• Alessandro Bucciol & Raffaele Miniaci, 2012, "Financial Risk Aversion, Economic Crises and Past Risk Perception," Working Papers, University of Verona, Department of Economics, number 28/2012, Oct.
• Nicoleta Anca Matei & Claudio Zoli, 2012, "Restricted Finite Time Dominance," Working Papers, University of Verona, Department of Economics, number 30/2012, Nov.
• Elisa Cavezzali & Gloria Gardenal & Ugo Rigoni, 2012, "Risk taking, diversification behavior and financial literacy of individual investors," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 17, Sep.
• Piotr Arendarski, 2012, "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-01.
• Piotr Arendarski & Łukasz Postek, 2012, "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-02.
• Dailami, Mansoor & Kurlat, Sergio & Lim, Jamus Jerome, 2012, "Bilateral M&A activity from the global south," Policy Research Working Paper Series, The World Bank, number 5953, Jan.
• Raddatz, Claudio & Schmukler, Sergio L., 2012, "On the international transmission of shocks : micro-evidence from mutual fund portfolios," Policy Research Working Paper Series, The World Bank, number 6072, May.
• Sandra M. Leitner & Robert Stehrer, 2012, "Access to Finance and Composition of Funding during the Crisis: A firm-level analysis for Latin American countries," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 78, Feb.
• Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012, "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 3, pages 203-229, March.
• Martin Melecky, 2012, "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., volume 24, issue 2, pages 133-151, March.
• Olaf Stotz & Dominik Georgi, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 159-167, November, DOI: 10.1016/j.rfe.2012.04.001.
• Harry Markowitz, 2012, "Mean-Variance Approximations To The Geometric Mean," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-30, DOI: 10.1142/S2010495212500017.
• Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2012, "Stochastic Dominance And Behavior Towards Risk: The Market For Ishares," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-20, DOI: 10.1142/S2010495212500054.