Research classified by Journal of Economic Literature (JEL) codes

2013

• Phelim P. Boyle & Chenghu Ma, 2013, "Mean-Preserving-Spread Risk Aversion and The CAPM," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Chenghu Ma & Jiankang Zhang, 2013, "Aggregation in Incomplete Market with General Utility Functions," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Qian Han & Calum G. Turvey, 2013, "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Tihana Škrinjariæ, 2013, "Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 16, issue 1, pages 65-78, May.
• Barasinska, Nataliya & Schäfer, Dorothea, 2013, "Is the willingness to take financial risk a sex-linked trait? Evidence from national surveys of household finance," Discussion Papers, Deutsche Bundesbank, number 05/2013.
• Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013, "Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation," Discussion Papers, Deutsche Bundesbank, number 18/2013.
• Buch, Claudia M. & Koetter, Michael & Ohls, Jana, 2013, "Banks and sovereign risk: A granular view," Discussion Papers, Deutsche Bundesbank, number 29/2013.
• Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2013, "Collateral requirements and asset prices," Discussion Papers, Deutsche Bundesbank, number 44/2013.
• Dötz, Niko & Weth, Mark, 2013, "Cash holdings of German open-end equity funds: Does ownership matter?," Discussion Papers, Deutsche Bundesbank, number 47/2013.
• Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013, "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers, Deutsche Bundesbank, number 53/2013.
• Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2013, "Window dressing in mutual funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-07 [rev.2].
• Cici, Gjergji & Kempf, Alexander & Sorhage, Christoph, 2013, "Are financial advisors useful? Evidence from tax-motivated mutual fund flows," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-09 [rev.].
• Cici, Gjergji & Kempf, Alexander & Sorhage, Christoph, 2013, "Are financial advisors useful? Evidence from tax-motivated mutual fund flows," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-09 [rev.2].
• Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013, "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-05.
• Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013, "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-05 [rev.].
• Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013, "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-06.
• Cici, Gjergji & Gibson, Scott & Gunduz, Yalin & Merrick, John J., 2013, "Market transparency and the marking precision of bond mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-07.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013, "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-08.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2013, "Seasonal asset allocation: Evidence from mutual fund flows," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-09.
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013, "Which beta is best? On the information content of option-implied betas," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-11.
• Mittnik, Stefan, 2013, "VaR-implied tail-correlation matrices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/05.
• Hubener, Andreas & Maurer, Raimond & Mitchell, Olivia S., 2013, "How family status and social security claiming options shape optimal life cycle portfolios," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/07.
• Kim, Hugh H. & Maurer, Raimond & Mitchell, Olivia S., 2013, "Time is money: Life cycle rational inertia and delegation of investment management," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/08.
• Korteweg, Arthur & Kräussl, Roman & Verwijmeren, Patrick, 2013, "Does it pay to invest in art? A selection-corrected returns perspective," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/18.
• Mersland, Roy & Urgeghe, Ludovic, 2013, "International Debt Financing and Performance of Microfinance Institutions," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 22, issue 1-2, pages 17-29.
• Kohn, Wolfgang, 2013, "Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 83786, Oct.
• Kohn, Wolfgang, 2013, "Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 97147, Oct.
• Croonenbroeck, Carsten & Matkovskyy, Roman, 2013, "Is the market held by institutional investors? The disposition effect revisited," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 338.
• Odermann, Alexander & Cremers, Heinz, 2013, "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 204.
• Prehn, Sören & Glauben, Thomas & Pies, Ingo & Will, Matthias Georg & Loy, Jens-Peter, 2013, "Betreiben Indexfonds Agrarspekulation? Erläuterungen zum Geschäftsmodell und zum weiteren Forschungsbedarf
  [Do index funds speculate on agricultural futures markets? Explanatory notes on the business model and the additional need for research]," IAMO Discussion Papers, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 138.
• Fontana, Olimpia & Godin, Antoine, 2013, "Securitization, housing market and banking sector behavior in a stock-flow consistent model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2013-13.
• Bialowolski, Piotr & Weziak-Bialowolska, Dorota, 2013, "External factors affecting investment decisions of companies," Economics Discussion Papers, Kiel Institute for the World Economy, number 2013-44.
• Raddant, Matthias & Wagner, Friedrich, 2013, "Phase transition in the S&P stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1846.
• Cobb-Clark, Deborah A. & Kassenboehmer, Sonja C. & Sinning, Mathias G., 2013, "Locus of Control and Savings," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 455, DOI: 10.4419/86788514.
• Georgarakos, Dimitris & Haliassos, Michalis & Pasini, Giacomo, 2013, "Household debt and social interactions," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 1, revised 2013, DOI: 10.2139/ssrn.2208516.
• Calvet, Laurent E. & Sodini, Paolo, 2013, "Twin picks: Disentangling the determinants of risk-taking in household portfolios," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 13, DOI: 10.2139/ssrn.2244168.
• Ascheberg, Marius & Branger, Nicole & Kraft, Holger, 2013, "When do jumps matter for portfolio optimization?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 16, DOI: 10.2139/ssrn.2259630.
• Kaustia, Markku & Knüpfer, Samuli & Torstila, Sami, 2013, "Stock ownership and political behavior: Evidence from demutualization," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 2, DOI: 10.2139/ssrn.2209645.
• Corradin, Stefano & Gropp, Reint E. & Huizinga, Harry & Laeven, Luc, 2013, "Who invests in home equity to exempt wealth from bankruptcy?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 21, DOI: 10.2139/ssrn.2268926.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2013, "Partial information about contagion risk, self-exciting processes and portfolio optimization," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 28, DOI: 10.2139/ssrn.1633479.
• Kaustia, Markku & Lehtoranta, Antti & Puttonen, Vesa, 2013, "Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 3, DOI: 10.2139/ssrn.2209649.
• Kaustia, Markku & Rantapuska, Elias, 2013, "Does mood affect trading behavior?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 4, DOI: 10.2139/ssrn.2209665.
• Vilkovz, Grigory & Xiaox, Yan, 2013, "Option-implied information and predictability of extreme returns," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 5, DOI: 10.2139/ssrn.2209654.
• Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013, "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-014.
• Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "CDO surfaces dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-032.
• Boortz, Christopher & Jurkatis, Simon & Kremer, Stephanie & Nautz, Dieter, 2013, "Herding in financial markets: Bridging the gap between theory and evidence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-036.
• Boortz, Christopher K. & Jurkatis, Simon & Kremer, Stephanie & Nautz, Dieter, 2013, "The impact of information risk and market stress on institutional trading: New evidence through the lens of a simulated herd model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79728.
• Hellmann, Tobias & Riedel, Frank, 2013, "The Foster-Hart Measure of Riskiness for General Gambles," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79752.
• Straub, Roland & Forbes, Kristin & Fratzscher, Marcel & Kostka, Thomas, 2013, "Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79785.
• Bucher-Koenen, Tabea & Kluth, Sebastian, 2013, "Subjective Life Expectancy and Private Pensions," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79806.
• Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa, 2013, "Return and risk of human capital contracts," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-108.
• Finn Marten Körner & Hans-Michael Trautwein, 2013, "Sovereign Credit Ratings and the Transnationalization of Finance - Evidence from a Gravity Model of Portfolio Investment," ZenTra Working Papers in Transnational Studies, ZenTra - Center for Transnational Studies, number 20 / 2013, Oct, revised Feb 2014.

2012

• Christoph Basten & Andreas Fagereng & Kjetil Telle, 2012, "Saving and portfolio allocation before and after job loss," Discussion Papers, Statistics Norway, Research Department, number 672, Jan.
• A. Hoffmann, 2012, "Determinants of carry trades in Central and Eastern Europe," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 18, pages 1479-1490, September, DOI: 10.1080/09603107.2012.663470.
• Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012, "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 3-4, pages 333-349, May, DOI: 10.1080/1351847X.2011.587521.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• Laura Andreu & Laurens Swinkels, 2012, "Performance evaluation of balanced pension plans," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 5, pages 819-830, March, DOI: 10.1080/14697681003762289.
• S�bastien Lleo & William T. Ziemba, 2012, "Stock market crashes in 2007--2009: were we able to predict them?," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 8, pages 1161-1187, July, DOI: 10.1080/14697688.2012.709791.
• Solange M. Berstein & Rómulo A. Chumacero, 2012, "VaR limits for pension funds: an evaluation," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 9, pages 1315-1324, May, DOI: 10.1080/14697688.2010.491517.
• John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2012, "Emerging Local Currency Bond Markets," Financial Analysts Journal, Taylor & Francis Journals, volume 68, issue 4, pages 73-93, July, DOI: 10.2469/faj.v68.n4.4.
• Felicia Ramona Birău, 2012, "Stochastic Volatility Models For Financial Time Series Analysis," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 472-475, November.
• Felicia Ramona BIRAU, 2012, "The implications of chaos theory on Bucharest stock exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 36-41, May.
• Ishaq Hacini & Khadra Dahou & Mohamed Benbouziane, 2012, "Investment style of Jordanian mutual funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 2, pages 113-127, August.
• Andrey Kudryavtsev, 2012, "Short-Term Stock Price Reversals May Be Reversed," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 3, pages 129-146, December.
• Mahmoud Botshekan & Andre Lucas, 2012, "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-053/2/DSF34, May.
• Renneboog, L.D.R. & Spaenjers, C., 2012, "Hard assets : The return on rare diamonds and gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 32990d12-ac98-4f42-bad5-9.
• Stephen G. Dimmock, 2012, "Background Risk and University Endowment Funds," The Review of Economics and Statistics, MIT Press, volume 94, issue 3, pages 789-799, August.
• Olivier Brandouy & Jean-Paul Delahaye & Lin Ma & Hector Zenil, 2012, "Algorithmic Complexity of Financial Motions," ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit, number 1204.
• Sergio Galli Lazzeri, 2012, "The impact of financialization on the WTI market," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1204.
• D'Albis, Hippolyte & Thibault, Emmanuel, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," TSE Working Papers, Toulouse School of Economics (TSE), number 12-323, Jul.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," TSE Working Papers, Toulouse School of Economics (TSE), number 12-354, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers, Toulouse School of Economics (TSE), number 12-361, Nov, revised Sep 2015.
• Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012, "Optimal life-cycle portfolios for heterogeneous workers," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 012, Sep.
• Müller-Plantenberg, Nikolas, 2012, "Boom-and-bust cycles marked by capital inflows, current account deterioration and a rise and fall of the real exchange rate," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2012/10, Mar.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-07, revised Feb 2012.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-08, Apr.
• D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012, "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-24, Oct.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-26, revised Oct 2012.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012, "Volatility Spillovers from the US to Australia and China across the GFC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-30, Dec.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, volume 120, issue 4, pages 740-781, DOI: 10.1086/667987.
• Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012, "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/239873.
• 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.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 01, pages 1-15, DOI: 10.1142/S0219024911006553.
• Edwin J Elton & Martin J Gruber (ed.), 2010, "Investments and Portfolio Performance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8034, ISBN: ARRAY(0x771ab100), September.
• Francis In & Sangbae Kim, 2012, "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, ISBN: ARRAY(0x7531a980), September.
• Matheus R Grasselli & Lane P Hughston (ed.), 2012, "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507, ISBN: ARRAY(0x7544eda8), September.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hamed Amini & Rama Cont & Andreea Minca, 2012, "Stress Testing The Resilience Of Financial Networks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan, 2012, "Managing Corporate Liquidity: Strategies And Pricing Implications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari, 2012, "Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2012, "Information-Based Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Models As A Mathematical Framework For Dynamic Calibration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Patrick Cheridito & Michael Kupper, 2012, "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Giuseppe Di Graziano & Lorenzo Torricelli, 2012, "Target Volatility Option Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012, "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hans Föllmer & Irina Penner, 2012, "Monetary Valuation Of Cash Flows Under Knightian Uncertainty," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Emanuela Rosazza Gianin, 2012, "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Marco Maggis, 2012, "Conditional Certainty Equivalent," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Pavel V. Gapeev, 2012, "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012, "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Alexander Schied, 2012, "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Tai-Ho Wang, 2012, "The Heat-Kernel Most-Likely-Path Approximation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Glasserman & Qi Wu, 2012, "Forward And Future Implied Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Svante Janson & Sokhna M'Baye & Philip Protter, 2012, "Absolutely Continuous Compensators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dilip B. Madan & Wim Schoutens, 2012, "Conic Finance And The Corporate Balance Sheet," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Michael Monoyios & Andrew Ng, 2012, "Optimal Exercise Of An Executive Stock Option By An Insider," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• M. Musiela & T. Zariphopoulou, 2012, "Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jan Obłój & Frédérik Ulmer, 2012, "Performance Of Robust Hedges For Digital Double Barrier Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Thorsten Schmidt & Jerzy Zabczyk, 2012, "Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marianna BOTIKA, 2012, "Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 17, pages 96-118.
• M Hashem Pesaran & Takashi Yamagata, 2012, "Testing CAPM with a Large Number of Assets," Discussion Papers, Department of Economics, University of York, number 12/05, Feb.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers, Department of Economics, University of York, number 12/25, Sep.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
• Rünger, Silke, 2012, "The effect of Germany's repeal of the corporate capital gains tax: Evidence from the disposal of corporate minority holdings," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 126.
• Reichert, Michael, 2012, "Der Einfluss von Kosten auf die Vorteilhaftigkeit der Riester-Rente," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 129.
• Niemann, Rainer & Rünger, Silke, 2012, "Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 136.
• Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012, "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers), University of Bayreuth, Chair of Finance and Banking, number 2012-01.
• Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012, "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers, Deutsche Bundesbank, number 09/2012.
• Böninghausen, Benjamin & Köhler, Matthias, 2012, "Diversification and determinants of international credit portfolios: Evidence from German banks," Discussion Papers, Deutsche Bundesbank, number 28/2012.
• Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2012, "The cross-section of conditional mutual fund performance in European stock markets," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-03 [rev.].
• Kempf, Alexander & Merkle, Christoph & Niessen-Ruenzi, Alexandra, 2012, "Low risk and high return: Affective attitudes and stock market expectations," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-10 [rev.].
• Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2012, "Performance inconsistency in mutual funds: An investigation of window-dressing behavior," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-07 [rev.].
• Wermers, Russ, 2012, "Runs on money market mutual funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-05.
• Cici, Gjergji & Kempf, Alexander & Sorhage, Christoph, 2012, "Are financial advisors useful? Evidence from tax-motivated mutual fund flows," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-09.
• Georgarakos, Dimitris & Haliassos, Michael & Pasini, Giacomo, 2012, "Household debt and social interactions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/05.
• Kraft, Holger & Steffensen, Mogens, 2012, "A dynamic programming approach to constrained portfolios," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/07.
• Lusardi, Annamaria & Mitchell, Olivia S. & Curto, Vilsa, 2012, "Financial sophistication in the older population," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/08.
• Halko, Marja Liisa & Kaustia, Markku, 2012, "Are risk preferences dynamic? Within-subject variation in risk-taking as a function of background music," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/09.