Research classified by Journal of Economic Literature (JEL) codes

2012

• 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(0x536aa100), March.
• 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(0x5418d438), March.
• Matheus R Grasselli & Lane P Hughston (ed.), 2012, "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507, ISBN: ARRAY(0x5364d8a0), March.
• 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.
• Scholz, Peter, 2012, "Size matters! How position sizing determines risk and return of technical timing strategies," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 31.
• Fischer, Thomas, 2012, "Passive investment strategies and financial bubbles," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 212.
• Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012, "Individual Risk Attitudes and the Composition of Financial Portfolios: Evidence from German Household Portfolios," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 52, issue 1, pages 1-14.
• Krones, Julia & Cremers, Heinz, 2012, "Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 195.
• Fossen, Frank M., 2012, "Risk attitudes and private business equity," Discussion Papers, Free University Berlin, School of Business & Economics, number 2012/11.
• Lehmann, Sibylle H. & Hauber, Philipp & Opitz, Alexander, 2012, "Political rights, taxation, and firm valuation: Evidence from Saxony around 1900," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 59-2012.
• Candela, Guido & Castellani, Massimiliano & Mussoni, Maurizio, 2012, "Clashes and compromises: Investment policies in tourism destinations," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-11.
• Witte, Björn-Christopher, 2012, "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-20.
• Mili, Mehdi, 2012, "Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-33.
• Candela, Guido & Castellani, Massimiliano & Mussoni, Maurizio, 2012, "Clashes and compromises: Investment policies in tourism destinations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), volume 6, pages 1-25, DOI: 10.5018/economics-ejournal.ja.2012-.
• Witte, Björn-Christopher, 2012, "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), volume 6, pages 1-29, DOI: 10.5018/economics-ejournal.ja.2012-.
• Schmitz, Matthias & Voigtlänger, Michael, 2012, "Grenzüberschreitende Immobilien-Transaktionen: Umfang, Trends und Determinanten," IW-Trends – Vierteljahresschrift zur empirischen Wirtschaftsforschung, Institut der deutschen Wirtschaft (IW) / German Economic Institute, volume 39, issue 4, pages 75-87, DOI: 10.2373/1864-810X.12-04-05.
• Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 44, DOI: 10.5445/IR/1000029307.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
• Neuberger, Doris & Rissi, Roger, 2012, "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 124.
• Johansen, Kathrin & Singer, Nico, 2012, "Chasing rainbows: On the relationship between lottery tickets and common stocks," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 129.
• Belke, Ansgar & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? – The Impact of the Demographic Factor," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 338, DOI: 10.4419/86788390.
• Adam, Tim R. & Fernando, Chitru S. & Golubeva, Evgenia, 2012, "Managerial overconfidence and corporate risk management," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-018.
• Adam, Tim R. & Fernando, Chitru S. & Salas, Jesus M., 2012, "Why do firms engage in selective hedging?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-019.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Hirschberger, Markus & Steuer, Ralph E. & Utz, Sebastian & Wimmer, Maximilian, 2012, "Is socially responsible investing just screening? Evidence from mutual funds," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-025.
• Jurkatis, Simon & Kremer, Stephanie & Nautz, Dieter, 2012, "Correlated trades and herd behavior in the stock market," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-035.
• Mohr, Peter N. C. & Heekeren, Hauke R., 2012, "The aging investor: Insights from neuroeconomics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-038.
• Franck, Alexander & Walter, Andreas, 2012, "Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62015.
• Pelger, Ines, 2012, "Male vs. female business owners: Are there differences in investment behavior?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62016.
• Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012, "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62020.
• David R. Bell & Olivier Ledoit & Michael Wolf, 2012, "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers, Department of Economics - University of Zurich, number 079, May, revised Dec 2013.
• Panayiotis Artikis & Georgia Nifora, 2012, "Capital Structure, Macroeconomic Variables & Stock Returns. Evidence from Greece," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 18, issue 1, pages 87-101, February, DOI: 10.1007/s11294-011-9334-z.
• Jaroslava Hlouskova & Panagiotis Tsigaris, 2012, "Capital income taxation and risk taking under prospect theory," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 19, issue 4, pages 554-573, August, DOI: 10.1007/s10797-012-9224-1.
• Bart Frijns & Dimitris Margaritis & Maria Psillaki, 2012, "Firm efficiency and stock returns," Journal of Productivity Analysis, Springer, volume 37, issue 3, pages 295-306, June, DOI: 10.1007/s11123-011-0246-y.
• Camilo Serrano & Martin Hoesli, 2012, "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 3, pages 319-338, April, DOI: 10.1007/s11146-009-9231-x.
• Yang-pin Shen & Chiuling Lu & Zong-Han Lin, 2012, "International Real Estate Mutual Fund Performance: Diversification or Costly Information?," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 3, pages 394-413, April, DOI: 10.1007/s11146-010-9257-0.
• William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012, "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 1, pages 262-287, June, DOI: 10.1007/s11146-010-9259-y.
• Jian Yang & Yinggang Zhou & Wai Leung, 2012, "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 2, pages 491-521, August, DOI: 10.1007/s11146-010-9265-0.
• Soo Chew & Richard Ebstein & Songfa Zhong, 2012, "Ambiguity aversion and familiarity bias: Evidence from behavioral and gene association studies," Journal of Risk and Uncertainty, Springer, volume 44, issue 1, pages 1-18, February, DOI: 10.1007/s11166-011-9134-0.
• Maela Giofré, 2012, "Convergence of EMU Equity Portfolios," Open Economies Review, Springer, volume 23, issue 2, pages 381-419, April, DOI: 10.1007/s11079-011-9197-1.
• Roman Kraeussl & Christian Wiehenkamp, 2012, "A call on art investments," Review of Derivatives Research, Springer, volume 15, issue 1, pages 1-23, April, DOI: 10.1007/s11147-011-9061-x.
• Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012, "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, volume 15, issue 1, pages 81-97, April, DOI: 10.1007/s11147-011-9070-9.
• Hong Zou & Min-Ming Wen & Charles Yang & Mulong Wang, 2012, "Underwriting and investment risks in the property-liability insurance industry: evidence prior to the 9–11 event," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 1, pages 25-46, January, DOI: 10.1007/s11156-010-0217-9.
• Susana Yu, 2012, "New empirical evidence on the investment success of momentum strategies based on relative stock prices," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 1, pages 105-121, July, DOI: 10.1007/s11156-011-0242-3.
• Guohua Jiang & Donglin Li & Gang Li, 2012, "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 2, pages 165-188, August, DOI: 10.1007/s11156-011-0250-3.
• Yang-Cheng Lu & Hao Fang & Chien-Chung Nieh, 2012, "The price impact of foreign institutional herding on large-size stocks in the Taiwan stock market," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 2, pages 189-208, August, DOI: 10.1007/s11156-011-0244-1.
• Andrew Chen & Frank Fabozzi & Dashan Huang, 2012, "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 4, pages 509-526, November, DOI: 10.1007/s11156-012-0292-1.
• Stefan Zeisberger & Thomas Langer & Martin Weber, 2012, "Why does myopia decrease the willingness to invest? Is it myopic loss aversion or myopic loss probability aversion?," Theory and Decision, Springer, volume 72, issue 1, pages 35-50, January, DOI: 10.1007/s11238-010-9236-1.
• Elyès Jouini & Clotilde Napp, 2012, "Behavioral biases and the representative agent," Theory and Decision, Springer, volume 73, issue 1, pages 97-123, July, DOI: 10.1007/s11238-011-9274-3.
• Young Sik Kim & Manjong Lee, 2012, "Recognizability and Liquidity of Assets," Korean Economic Review, Korean Economic Association, volume 28, pages 241-259.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012, "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-34, Sep.
• George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012, "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-35, Sep.
• Christoph Basten & Andreas Fagereng & Kjetil Telle, 2012, "Saving and portfolio allocation before and after job loss," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 12-298, Feb, DOI: 10.3929/ethz-a-006999200.
• Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012, "Virtuális árhatás a Budapesti Értéktőzsdén
  [Virtual price effects on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 508-539.
• Michael McAleer & Shawkat Hammoudeh, 2012, "Risk Management and Financial Derivatives:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 816, Apr.
• David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012, "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers, Kyoto University, Institute of Economic Research, number 831, Nov.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 832, Nov.
• David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012, "Volatility spillovers from the US to Australia and China across the GFC," KIER Working Papers, Kyoto University, Institute of Economic Research, number 838, Dec.
• Patrick Roger, 2012, "Portfolio diversification dynamics of individual investors: a new measure of investor sentiment," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2012-01.
• Camille Magron & Maxime Merli, 2012, "Stocks repurchase and sophistication of individual investors," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2012-02.
• Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012, "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2012-04.
• Camille Magron, 2012, "Performance of individual investors and personal investment objectives," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2012-07.
• Werner Kristjanpoller & Víctor Caballero, 2012, "Volume and Skewness Analysis in the Major Latin American Stock Markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 119-141.
• Christophe BOUCHER & Benjamin HAMIDI & Patrick KOUONTCHOU & Bertrand MAILLET, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 1718.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers, LERNA, University of Toulouse, number 12.28.385, Nov.
• Marc Boissaux & Jang Schiltz, 2012, "Conditioned Higher Moment Portfolio Optimisation Using Optimal Control," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-2.
• Eric Fesselmeyer & Leonard J. Mirman & Marc Santugini, 2012, "A Reconsideration of Arrow-Lind: Risk Aversion, Risk Sharing, and Agent Choice," Cahiers de recherche, CIRPEE, number 1201.
• Georges Dionne, 2012, "The Empirical Measure of Information Problems with Emphasis on Insurance Fraud and Dynamic Data," Cahiers de recherche, CIRPEE, number 1233.
• Janick Christian Mollet & Andreas Ziegler, 2012, "Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201228.
• Theologos Dergiades, 2012, "Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy," Discussion Paper Series, Department of Economics, University of Macedonia, number 2012_05, Apr, revised Apr 2012.
• Nazrol Kamil Mustaffa Kamil & Obiyathulla Ismath Bacha & Abul Mansur Mohammed Masih, 2012, "Do ‘Sin Stocks’ Deprive Islamic Stock Portfolios of Diversification? Some Insights from the Use of MGARCH-DCC," Capital Markets Review, Malaysian Finance Association, volume 20, issue 1&2, pages 43-64.
• Robert Faff & Annette Nguyen & Bonnie H.I. Ip & Philip Gharghori, 2012, "Return-based Style Analysis in Australian Funds," Multinational Finance Journal, Multinational Finance Journal, volume 16, issue 3-4, pages 155-188, September.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012, "Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0685, Jun.
• Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0686, Jun.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 081, May.
• Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 083, Jun.
• Marianna Brunetti & Elena Giarda & Costanza Torricelli, 2012, "Is financial fragility a matter of illiquidity? An appraisal for Italian households," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0032, Jun.
• Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0033, Jun.
• Jingjing Chai & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2012, "Exchanging Delayed Social Security Benefits for Lump Sums: Could This Incentivize Longer Work Careers?," Working Papers, University of Michigan, Michigan Retirement Research Center, number wp266, Oct.
• Rania Hentati-Kaffel & Jean-Luc Prigent, 2012, "Structured portfolio analysis under SharpeOmega ratio," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12002, Jan.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12050, Jul.
• ATEWAMBA, Calvin & GAUDET, Gérard, 2012, "Prices of Durable Nonrenewable Natural Resources under Stochastic Investment Opportunities," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2012-01.
• Calvin Atewamba & Gérard Gaudet, 2012, "Prices of Durable Nonrenewable Natural Resources under Stochastic Investment Opportunities," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 02-2012.
• Alice A. Melkumian, 2012, "The Opportunity Cost of Holding a “Naive” Portfolio," Journal of Economic Insight, Missouri Valley Economic Association, volume 38, issue 1, pages 23-42.
• Tamrat W. Gashaw & Michael J. Ryan, 2012, "Why Do Banks Go Abroad? Evidence Using a Three-Way Error Component Model," Journal of Economic Insight, Missouri Valley Economic Association, volume 38, issue 2, pages 79-107.
• Philip Du Caju, 2012, "Asset formation by households during the financial crisis," Economic Review, National Bank of Belgium, issue i, pages 87-100, June.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012, "Flights to Safety," Working Paper Research, National Bank of Belgium, number 230, Oct.
• Robert Novy-Marx & Joshua D. Rauh, 2012, "Linking Benefits to Investment Performance in US Public Pension Systems," NBER Chapters, National Bureau of Economic Research, Inc, "Retirement Benefits for State and Local Employees: Designing Pension Plans for the Twenty-First Century".
• John Beshears & James Choi & David Laibson & Brigitte C. Madrian & Stephen P. Zeldes, 2012, "What Makes Annuitization More Appealing?," NBER Chapters, National Bureau of Economic Research, Inc, "Retirement Benefits for State and Local Employees: Designing Pension Plans for the Twenty-First Century".
• Andrew Ang & Marie Brière & Ombretta Signori, 2012, "Inflation and Individual Equities," NBER Working Papers, National Bureau of Economic Research, Inc, number 17798, Feb.
• Viral V. Acharya & Nada Mora, 2012, "Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 17838, Feb.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012, "U.S. International Equity Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 17839, Feb.
• Annamaria Lusardi & Olivia S. Mitchell & Vilsa Curto, 2012, "Financial Sophistication in the Older Population," NBER Working Papers, National Bureau of Economic Research, Inc, number 17863, Feb.
• Pierluigi Balduzzi & Jonathan Reuter, 2012, "Heterogeneity in Target-Date Funds: Optimal Risk-Taking or Risk Matching?," NBER Working Papers, National Bureau of Economic Research, Inc, number 17886, Mar.
• Paul R. Bergin & Ju Hyun Pyun, 2012, "International Portfolio Diversification and Multilateral Effects of Correlations," NBER Working Papers, National Bureau of Economic Research, Inc, number 17907, Mar.
• Olivia S. Mitchell & Stephen Utkus, 2012, "Target-Date Funds in 401(k) Retirement Plans," NBER Working Papers, National Bureau of Economic Research, Inc, number 17911, Mar.
• Sendhil Mullainathan & Markus Noeth & Antoinette Schoar, 2012, "The Market for Financial Advice: An Audit Study," NBER Working Papers, National Bureau of Economic Research, Inc, number 17929, Mar.
• Michael D. Hurd & Susann Rohwedder, 2012, "Stock Price Expectations and Stock Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 17973, Apr.
• Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2012, "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18050, May.
• Kristin Forbes & Marcel Fratzscher & Thomas Kostka & Roland Straub, 2012, "Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls," NBER Working Papers, National Bureau of Economic Research, Inc, number 18052, May.
• Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson, 2012, "Inflation Tracking Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 18135, Jun.
• André de Souza & Anthony W. Lynch, 2012, "Does Mutual Fund Performance Vary over the Business Cycle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 18137, Jun.
• John Chalmers & Jonathan Reuter, 2012, "Is Conflicted Investment Advice Better than No Advice?," NBER Working Papers, National Bureau of Economic Research, Inc, number 18158, Jun.
• Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012, "Tail Risk in Momentum Strategy Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18169, Jun.
• Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2012, "Money Doctors," NBER Working Papers, National Bureau of Economic Research, Inc, number 18174, Jun.
• Jonathan B. Berk & Jules H. van Binsbergen, 2012, "Measuring Managerial Skill in the Mutual Fund Industry," NBER Working Papers, National Bureau of Economic Research, Inc, number 18184, Jun.
• Leonardo Bursztyn & Florian Ederer & Bruno Ferman & Noam Yuchtman, 2012, "Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment," NBER Working Papers, National Bureau of Economic Research, Inc, number 18241, Jul.
• Dimitri Vayanos & Jiang Wang, 2012, "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18251, Jul.
• Florian Scheuer, 2012, "Adverse Selection In Credit Markets and Regressive Profit Taxation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18406, Sep.
• Justine S. Hastings & Brigitte C. Madrian & William L. Skimmyhorn, 2012, "Financial Literacy, Financial Education and Economic Outcomes," NBER Working Papers, National Bureau of Economic Research, Inc, number 18412, Sep.
• Robert Novy-Marx & Joshua D. Rauh, 2012, "Linking Benefits to Investment Performance in US Public Pension Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 18491, Oct.
• Martin L. Weitzman, 2012, "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 18496, Oct.
• Harrison Hong & David Sraer, 2012, "Speculative Betas," NBER Working Papers, National Bureau of Economic Research, Inc, number 18548, Nov.
• Cary Frydman & Nicholas Barberis & Colin Camerer & Peter Bossaerts & Antonio Rangel, 2012, "Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 18562, Nov.
• John Beshears & James J. Choi & David Laibson & Brigitte C. Madrian & Stephen P. Zeldes, 2012, "What Makes Annuitization More Appealing?," NBER Working Papers, National Bureau of Economic Research, Inc, number 18575, Nov.
• Fabian Duarte & Justine S. Hastings, 2012, "Fettered Consumers and Sophisticated Firms: Evidence from Mexico's Privatized Social Security Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 18582, Dec.
• Caroline M. Hoxby, 2012, "Endowment Management Based on a Positive Model of the University," NBER Working Papers, National Bureau of Economic Research, Inc, number 18626, Dec.
• Simeon Coleman Author name: Vitor Leone, 2012, "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2012/03, Jun.
• Semyon Malamud & Marzena Rostek, 2012, "Decentralized Exchange," Working Papers, NET Institute, number 12-18, Sep.