Research classified by Journal of Economic Literature (JEL) codes

2012

• Ito, Yutaka & Managi, Shunsuke & Matsuda, Akimi, 2012, "Performances of Socially Responsible Investment and Environmentally Friendly Funds," MPRA Paper, University Library of Munich, Germany, number 40654, Aug.
• Chia, Rui Ming Daryl & Lim, Kai Jie Shawn, 2012, "The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market," MPRA Paper, University Library of Munich, Germany, number 41455, Sep.
• Khalfaoui, R & Boutahar, M, 2012, "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper, University Library of Munich, Germany, number 41624, Sep.
• Sefiane, Slimane & Benbouziane, Mohamed, 2012, "Portfolio Selection Using Genetic Algorithm," MPRA Paper, University Library of Munich, Germany, number 41783.
• Ardliansyah, Rifqi, 2012, "Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets," MPRA Paper, University Library of Munich, Germany, number 41958, Aug.
• Cimadomo, Jacopo & Hauptmeier, Sebastian & Zimmermann, Tom, 2012, "Fiscal consolidations and banking stability," MPRA Paper, University Library of Munich, Germany, number 42229, Oct.
• Shaikh, Salman, 2012, "Analysis of Islamic Mutual Funds Operations in Pakistan," MPRA Paper, University Library of Munich, Germany, number 42495, Jul.
• Shaikh, Salman, 2012, "Consumption & Savings Behavior in Pakistan," MPRA Paper, University Library of Munich, Germany, number 42496, Nov.
• Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012, "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper, University Library of Munich, Germany, number 42676, Nov.
• Pashchenko, Svetlana, 2012, "Accounting for non-annuitization," MPRA Paper, University Library of Munich, Germany, number 42792, Nov.
• Dimitriou, Dimitrios & Simos, Theodore, 2012, "International portfolio diversification: An ICAPM approach with currency risk," MPRA Paper, University Library of Munich, Germany, number 42825, Nov.
• Avino, Davide & Lazar, Emese, 2012, "Rethinking Capital Structure Arbitrage," MPRA Paper, University Library of Munich, Germany, number 42850, Nov.
• Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2012, "Swapping Headline for Core Inflation: An Asset Liability Management Approach," MPRA Paper, University Library of Munich, Germany, number 42853, Aug, revised 16 Nov 2012.
• Fulli-Lemaire, Nicolas, 2012, "Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics," MPRA Paper, University Library of Munich, Germany, number 42854, Nov.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2012, "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper, University Library of Munich, Germany, number 43284, Dec.
• Rossi, Francesco, 2012, "U.K. cross-sectional equity data: The case for robust investability filters," MPRA Paper, University Library of Munich, Germany, number 43312, Nov, revised Nov 2012.
• Chalabi, Yohan & Wuertz, Diethelm, 2012, "Portfolio optimization based on divergence measures," MPRA Paper, University Library of Munich, Germany, number 43332, Nov.
• Igan, Deniz & Pinheiro, Marcelo, 2012, "The effects of relative performance objectives on financial markets," MPRA Paper, University Library of Munich, Germany, number 43452, Oct.
• Lof, Matthijs, 2012, "Rational Speculators, Contrarians and Excess Volatility," MPRA Paper, University Library of Munich, Germany, number 43490, Nov.
• Zhang, Zhichao & Chau, Frankie & Xie, Li, 2012, "Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach," MPRA Paper, University Library of Munich, Germany, number 43654, Dec.
• Roncalli, Thierry & Weisang, Guillaume, 2012, "Risk Parity Portfolios with Risk Factors," MPRA Paper, University Library of Munich, Germany, number 44017, Sep.
• Yun, Tack & Kim, Jinsook & Ko, Eunmi, 2012, "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," MPRA Paper, University Library of Munich, Germany, number 44212, Oct.
• Panait, Iulian & Diaconescu, Tiberiu, 2012, "Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București
  [Particularities of applying Modern Portfolio Theory on the Romanian capital market]," MPRA Paper, University Library of Munich, Germany, number 44248, Dec.
• Bundala, Ntogwa, 2012, "Do Economic Growth, Human Development and Political Stability favour sovereign Creditworthiness of a Country? A Cross Country Survey on Developed and Developing Countries," MPRA Paper, University Library of Munich, Germany, number 47626, Nov.
• Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012, "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
  [Opposite strategy and liquidity effect: an econometric analysis]," MPRA Paper, University Library of Munich, Germany, number 48104, Jul.
• Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete, 2012, "Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
  [Initial Public Offer of stocks in Brazil: an analysis of returns from stocks with low Price/earnings ratio]," MPRA Paper, University Library of Munich, Germany, number 48106, Sep.
• Miele, Maria Grazia, 2012, "The financial crisis and the credit rating agencies: the failure of reputation," MPRA Paper, University Library of Munich, Germany, number 48159, Dec.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2012, "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper, University Library of Munich, Germany, number 48710.
• Muteba Mwamba, John, 2012, "On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model," MPRA Paper, University Library of Munich, Germany, number 50323, May.
• Pop, Raluca Elena, 2012, "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper, University Library of Munich, Germany, number 51595, Jun.
• Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012, "Do Asset Regulations Impede Portfolio Diversification? Evidence from European Life Insurance Funds," MPRA Paper, University Library of Munich, Germany, number 54265, Oct.
• Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012, "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي
  [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper, University Library of Munich, Germany, number 54470, revised 2012.
• Kamal, Javed Bin, 2012, "Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model," MPRA Paper, University Library of Munich, Germany, number 60610, Sep.
• Qureshi, Salman Ali & Rehman, Kashif ur & Hunjra, Ahmed Imran, 2012, "Factors Affecting Investment Decision Making of Equity Fund Managers," MPRA Paper, University Library of Munich, Germany, number 60783, Oct.
• Jan Budík, 2012, "Advanced investment strategies in environment of financial markets," Ekonomika a Management, Prague University of Economics and Business, volume 2012, issue 3, pages 82-92.
• Soo-Wah Low, 2012, "Market Timing and Selectivity Performance: A Cross-Sectional Analysis of Malaysian Unit Trust Funds," Prague Economic Papers, Prague University of Economics and Business, volume 2012, issue 2, pages 205-219, DOI: 10.18267/j.pep.419.
• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 37-48.
• Lamia Jaidane-Mazigh, 2012, "La gestion alternative des fonds souverains altérée par les crises ?," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 327-341.
• Alberto Niccoli & Francesco Marchionne, 2012, "The supreme subprime myth: the role of bad loans in the 2007-2009 financial crisis," PSL Quarterly Review, Economia civile, volume 65, issue 260, pages 52-77.
• Chris GROSE & Theodoros KARGIDIS, 2012, "Persistence In Performance For Mutual Funds In Periods Of Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 11, issue 1, pages 85-98.
• Anastasios KONSTANTINIDIS & Androniki KATARACHIA & George BOROVAS & Maria Eleni VOUTSA, 2012, "From Efficient Market Hypothesis To Behavioural Finance: Can Behavioural Finance Be The New Dominant Model For Investing?," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 11, issue 2, pages 16-26.
• Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012, "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series, National Centre for Econometric Research, number 80, Feb.
• Michael D. Hurd & Susann Rohwedder, 2012, "Stock Price Expectations and Stock Trading," Working Papers, RAND Corporation, number WR-938, Jul.
• Jacques Pézier & Johanna Scheller, 2012, "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-05, Jan.
• Filippo Coro & Alfonso Dufour & Simone Varotto, 2012, "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-06, Feb.
• Carol Alexander & Dimitris Korovilas, 2012, "Diversification of Equity with VIX Futures: Personal Views and Skewness Preference," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-07, Mar.
• Chris Brooks & Keith Anderson, 2012, "Speculative Bubbles and the Cross-Sectional Variation in Stock Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-01, Nov, revised Nov 2013.
• Andrea Caggese & Vicente Cunat, 2012, "Code and data files for "Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate Productivity"," Computer Codes, Review of Economic Dynamics, number 11-37, revised .
• Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012, "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 1, pages 108-126, January, DOI: 10.1016/j.red.2011.01.002.
• Orazio Attanasio & Renata Bottazzi & Hamish Low & Lars Nesheim & Matthew Wakefield, 2012, "Modelling the Demand for Housing over the Lifecycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 1, pages 1-18, January.
• Dirk Krueger, 2012, "Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises," 2012 Meeting Papers, Society for Economic Dynamics, number 102.
• Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2012, "Foreign Ownership of U.S. Safe Assets: Good or Bad?," 2012 Meeting Papers, Society for Economic Dynamics, number 297.
• Yuliy Sannikov & Markus Brunnermeier, 2012, "The I Theory of Money," 2012 Meeting Papers, Society for Economic Dynamics, number 411.
• Karl Schmedders & Felix Kubler, 2012, "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," 2012 Meeting Papers, Society for Economic Dynamics, number 536.
• Kurt Mitman, 2012, "Macroeconomic Effects of Bankruptcy and Foreclosure Policies," 2012 Meeting Papers, Society for Economic Dynamics, number 563.
• Laura Veldkamp, 2012, "Time-varying fund manager skill," 2012 Meeting Papers, Society for Economic Dynamics, number 68.
• Luigi Guiso & Charles Gottlieb & Andreas Fagereng, 2012, "Asset Market Participation and Portfolio Choice over the Life-Cycle," 2012 Meeting Papers, Society for Economic Dynamics, number 783.
• Piotr Szymański, 2012, "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 137-162, June.
• Piotr Szymański, 2012, "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 153-178, June.
• Elvina Frolova & Dean Fantazzini, 2012, "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 25, issue 1, pages 3-24.
• Anton Semushin & Petr Parshakov, 2012, "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 25, issue 1, pages 95-114.
• Vladimir Habrov, 2012, "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 28, issue 4, pages 35-62.
• Ilhan Meric & Joe H. Kim & Linguo Gong & Gulser Meric, 2012, "Co-movements of and Linkages between Asian Stock Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 1, pages 1-1.
• Muhammad Aftab & Zulfiqar Ali Shah & Rauf A. Sheikh, 2012, "Holding Periods, Illiquidity and Disposition Effect in a Developing Economy," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 1, pages 1-17.
• Tuncer Caliskan, 2012, "Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 4, pages 1-43.
• Georges Dionne, 2012, "The empirical measure of information problems with emphasis on insurance fraud and dynamic data," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 12-10, Sep.
• Francesco Rossi, 2012, "UK cross-sectional equity data: The case for robust investability filters," European Economic Letters, European Economics Letters Group, volume 1, issue 1, pages 6-13.
• Andreas Palzer & Günther Westner & Reinhard Madlener, 2012, "Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 2/2012, Mar.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente:caso colombiano 1999-2007," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 17, issue 33, pages 38-47.
• Rocco Ciciretti & Raffaele Corvino, 2012, "How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk," Journal of Financial Transformation, Capco Institute, volume 34, pages 195-210.
• Francisca Beer & Mohamad Watfa & Mohamed Zouaoui, 2012, "Do investors care about noise trader risk?," Journal of Financial Transformation, Capco Institute, volume 35, pages 49-56.
• Rahul Verma & Gökçe Soydemir, 2012, "Are investor sentiments priced by the CAPM?," Journal of Financial Transformation, Capco Institute, volume 35, pages 57-70.
• Amelia Pais & Philip A. Stork, 2012, "Short-selling bans and contagion risk," Journal of Financial Transformation, Capco Institute, volume 35, pages 109-122.
• Chris Adcock & Nelson Areal & Manuel Armada & Maria Ceu Cortez & Benilde Oliveira & Florinda Silva, 2012, "Tests of the correlation between portfolio performance measures," Journal of Financial Transformation, Capco Institute, volume 35, pages 123-132.
• Siwei Gao & Michael R. Powers & Zaneta A. Chapman, 2012, "A risk-based risk finance paradigm," Journal of Financial Transformation, Capco Institute, volume 35, pages 173-178.
• Jiyoun An & Cheolbeom Park, 2012, "Election Cycles and Stock Market Reaction: International Evidence," Working Papers, Korea Institute for International Economic Policy, number 12-4, Dec, DOI: 10.2139/ssrn.2319727.
• Dimitris P. Sotiropoulos, 2012, "Revisiting the 1992-93 EMS crisis in the context of international political economy," Economics Discussion Papers, School of Economics, Kingston University London, number 2012-7, Oct.
• Julio Carmona & Ángel León & Antoni Vaello-Sebastià, 2012, "Executive Stock Options and Time Diversification," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 12-16, Nov.
• Zion Guo & Hsin-Yi Huang, 2012, "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 104-116, December.
• Dajcman, Silvio & Festic, Mejra, 2012, "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 163-180, December.
• Ansgar Belke & Christian Dreger & Richard Ochmann, 2012, "Do Wealthier Households Save More? The Impact of the Demographic Factor," ROME Working Papers, ROME Network, number 201203, May.
• Ghada Ali TIMRAZ & Faris Nasif AL-SHUBIRI, 2012, "The Impact Of Stock Options Trading On The Market Value Of Companies Listed In Kuwait Stock Exchange," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 2, issue 3, pages 63-76, September.
• Maria CARACOTA DIMITRIU & Ioana – Diana PAUN, 2012, "Short Term Hedging Using Futures Contracts," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 15, issue 2, pages 436-445, December.
• Emilio Bisetti, 2012, "The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff," Rivista di Politica Economica, SIPI Spa, issue 4, pages 79-119, October-D.
• Bert Willems & Joris Morbee, 2012, "Risk Spillovers and Hedging: Why Do Firms Invest Too Much in Systemic Risk?," RSCAS Working Papers, European University Institute, number 2012/35, Jun.
• V. I. Tinyakova, 2012, "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 247-255, Decembre.
• Madalina - Gabriela ANGHEL, 2012, "Statistical Indicators Used in the Analysis of Portfolios of Financial Instruments," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 4, pages 117-120, November.
• Madalina - Gabriela ANGHEL, 2012, "Theoretical Aspects Concerning the Use of the Markowitz Model in the Management of Financial Instruments Portfolios," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 4, pages 259-264, November.
• Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012, "A New Lp Model For Enhanced Indexation," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0168, Nov.
• Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," CEIS Research Paper, Tor Vergata University, CEIS, number 238, Jun, revised 15 Jun 2012.
• Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012, "Can Portfolio Diversification increase Systemic Risk? Evidence from the U.S and European Mutual Funds Market," CEIS Research Paper, Tor Vergata University, CEIS, number 240, Jul, revised 11 Jul 2012.
• Marianna Brunetti & Elena Giarda & Costanza Torricelli, 2012, "Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households," CEIS Research Paper, Tor Vergata University, CEIS, number 242, Jul, revised 18 Jul 2012.
• Cathy Ning & Loran Chollete, 2012, "Asymmetric Dependence between Aggregate Consumption and Financial Risk," Working Papers, Toronto Metropolitan University, Department of Economics, number 046, Oct.
• Alexander Ludwig & Alexander Zimper, 2012, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," ERSA Working Paper Series, Economic Research Southern Africa, number 296, Jun.
• Rados³aw Kurach, 2012, "Seeking The Diversification Benefits With Foreign Equities And Commodities – The Case Of Polish Investor," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 8, issue 3, pages 26-36, October.
• Cameron Truong, 2013, "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 31-48, April, DOI: 10.1177/0312896212440267.
• Barry Williams & Gulasekaran Rajaguru, 2013, "The chicken or the egg? The trade-off between bank fee income and net interest margins," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 99-123, April, DOI: 10.1177/0312896212440268.
• Nabamita Dutta, 2012, "Effect of the Political Regime on Asset Returns in Emerging Markets: An Empirical Investigation," South Asian Journal of Macroeconomics and Public Finance, , volume 1, issue 1, pages 135-156, June, DOI: 10.1177/227797871200100107.
• Aviral Kumar Tiwari, 2012, "Reassessment of Sustainability of Current Account Deficit in India," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 10, issue 1, pages 67-79.
• Rodríguez Benavides, Domingo & Ortíz Calisto, Edgar & López Herrera, Francisco, 2012, "¿Se desvanece el efecto-enero en las bolsas de valores del continente americano? / Does the January effect fade in the Americas´ stock markets?," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 2, issue 2, pages 101-121, julio-dic.
• Marcus Davidsson, 2012, "Trend Following Trading," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 1 (March), pages 51-68.
• Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012, "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-003, Jan.
• Michel Aglietta & Marie Briere & Sandra Rigot & Ombretta Signori, 2012, "Rehabilitating the Role of Active Management for Pension Funds," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-018, May.
• Jean-Marie De Corte & Marc Labie & Ludovic Urgeghe & Jean-Claude Vansnick, 2012, "Microfinance Investment Vehicles and Social Performance: Moving forward with the MACBETH Approach," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-025, Sep.
• Bruno Cara Giovannetti, 2012, "Asset Pricing under Quantile Utility Maximization," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_16, Sep.
• Dr. Anila MANÇKA, 2012, "The Impact of National Currency Instability and the World Financial Crisis in the Credit Risk. The Case of Albania," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 2, issue 1, pages 1-4, February.
• Manfred Gilli & Enrico Schumann, 2012, "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, volume 193, issue 1, pages 129-158, March, DOI: 10.1007/s10479-011-0862-y.
• Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, volume 201, issue 1, pages 325-343, December, DOI: 10.1007/s10479-012-1229-8.
• Ajamu Loving & Michael Finke & John Salter, 2012, "Explaining the 2004 Decrease in Minority Stock Ownership," The Review of Black Political Economy, Springer;National Economic Association, volume 39, issue 4, pages 403-425, December, DOI: 10.1007/s12114-012-9132-8.
• Yuichi Takano & Renata Sotirov, 2012, "A polynomial optimization approach to constant rebalanced portfolio selection," Computational Optimization and Applications, Springer, volume 52, issue 3, pages 645-666, July, DOI: 10.1007/s10589-011-9436-9.
• Sascha Desmettre, 2012, "Optimal investment for executive stockholders with exponential utility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 35, issue 2, pages 151-170, November, DOI: 10.1007/s10203-011-0119-x.
• Giorgia Callegaro & Monique Jeanblanc & Wolfgang Runggaldier, 2012, "Portfolio optimization in a defaultable market under incomplete information," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 35, issue 2, pages 91-111, November, DOI: 10.1007/s10203-011-0116-0.
• Douglas Hodgson & Aylin Seçkin, 2012, "Dynamic price dependence of Canadian and international art markets: an empirical analysis," Empirical Economics, Springer, volume 43, issue 2, pages 867-890, October, DOI: 10.1007/s00181-011-0502-z.
• Emmanuel Denis & Yuri Kabanov, 2012, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, volume 16, issue 1, pages 135-154, January, DOI: 10.1007/s00780-010-0144-6.
• Gordan Žitković, 2012, "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, volume 16, issue 2, pages 177-206, April, DOI: 10.1007/s00780-011-0161-0.
• Julien Grépat & Yuri Kabanov, 2012, "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, volume 16, issue 3, pages 357-368, July, DOI: 10.1007/s00780-011-0164-x.
• Jun Sekine, 2012, "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, volume 16, issue 3, pages 369-401, July, DOI: 10.1007/s00780-012-0175-2.
• Jérôme Detemple & Weidong Tian & Jie Xiong, 2012, "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, volume 16, issue 3, pages 423-448, July, DOI: 10.1007/s00780-012-0173-4.
• Christopher Lorenz & Alexander Schied, 2013, "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, volume 17, issue 4, pages 743-770, October, DOI: 10.1007/s00780-013-0211-x.
• Omar Esqueda & Dave Jackson, 2012, "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 691-711, July, DOI: 10.1007/s12197-010-9144-9.
• Joe Brocato & Kenneth Smith, 2012, "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 712-727, July, DOI: 10.1007/s12197-010-9147-6.
• Deniz Igan & Marcelo Pinheiro, 2012, "Incentive to manipulate earnings and its connection to analysts’ forecasts, trading, and corporate governance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 781-821, October, DOI: 10.1007/s12197-010-9131-1.
• Andrés Carvajal & Marek Weretka, 2012, "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 50, issue 1, pages 223-268, May, DOI: 10.1007/s00199-010-0567-5.
• Matthew Hoelle, 2012, "Transaction costs and planner intervention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 50, issue 3, pages 603-634, August, DOI: 10.1007/s00199-010-0583-5.
• Lieh-Ming Luo, 2012, "Optimal diversification for R&D project portfolios," Scientometrics, Springer;Akadémiai Kiadó, volume 91, issue 1, pages 219-229, April, DOI: 10.1007/s11192-011-0537-0.
• Franz W. Wagner & Michaela Ott, 2012, "Wie relevant sind Steuerwirkungen auf Investitionen noch? Zeit-, Bemessungsgrundlagen- und Tarif-Effekte der Unternehmensbesteuerung 1960–2010," Schmalenbach Journal of Business Research, Springer, volume 64, issue 4, pages 392-427, June, DOI: 10.1007/BF03373696.
• Slimane Sefiane & Mohamed Benbouziane, 2012, "Portfolio Selection Using Genetic Algorithm," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 2, issue 4, pages 1-9.
• 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.
• 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.
• Corradin, Stefano & Fillat, Jose L. & Vergara, Carles, 2012, "Optimal portfolio choice with predictability in house prices and transaction costs," IESE Research Papers, IESE Business School, number D/948, Feb.
• Forbes, Kristin & Fratzscher, Marcel & Kostka, Thomas & Straub, Roland, 2012, "Bubble thy neighbor: portfolio effects and externalities from capital controls," Working Paper Series, European Central Bank, number 1456, Aug.
• Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2012, "Does Aggregate Riskiness Predict Future Economic Downturns?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-09, May.
• Mitchell, Olivia S. & Utkus, Stephen P., 2012, "Target-Date Funds in 401(k) Retirement Plans," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 12-04, Mar.
• J. Hugonnier & S. Malamud & E. Trubowitz, 2012, "Endogenous Completeness of Diffusion Driven Equilibrium Markets," Econometrica, Econometric Society, volume 80, issue 3, pages 1249-1270, May, DOI: ECTA8783.
• Damjanovic, Tatiana & Damjanovic, Vladislav & Nolan, Charles, 2012, "Universal banking, competition and risk in a macro model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-19.
• Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012, "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, volume 18, issue 1, pages 166-178, DOI: 10.1016/j.jcorpfin.2011.11.006.
• Hung, Mao-Wei & Liu, Yu-Jane & Tsai, Chia-Fen, 2012, "Managerial personal diversification and portfolio equity incentives," Journal of Corporate Finance, Elsevier, volume 18, issue 1, pages 38-64, DOI: 10.1016/j.jcorpfin.2011.09.006.
• Humphrey, Jacquelyn E. & Lee, Darren D. & Shen, Yaokan, 2012, "Does it cost to be sustainable?," Journal of Corporate Finance, Elsevier, volume 18, issue 3, pages 626-639, DOI: 10.1016/j.jcorpfin.2012.03.002.
• Cashman, George D., 2012, "Convenience in the mutual fund industry," Journal of Corporate Finance, Elsevier, volume 18, issue 5, pages 1326-1336, DOI: 10.1016/j.jcorpfin.2012.09.003.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012, "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 1, pages 217-230, January.
• Dai, Min & Wang, Hefei & Yang, Zhou, 2012, "Leverage management in a bull–bear switching market," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 10, pages 1585-1599, DOI: 10.1016/j.jedc.2012.04.004.
• Bilbiie, Florin O. & Straub, Roland, 2012, "Changes in the output Euler equation and asset markets participation," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 11, pages 1659-1672, DOI: 10.1016/j.jedc.2012.03.018.
• Bajeux-Besnainou, Isabelle & Bandara, Wachindra & Bura, Efstathia, 2012, "A Krylov subspace approach to large portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 11, pages 1688-1699, DOI: 10.1016/j.jedc.2012.04.009.
• Zhou, Jie, 2012, "Life-cycle stock market participation in taxable and tax-deferred accounts," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 11, pages 1814-1829, DOI: 10.1016/j.jedc.2012.05.002.
• Evans, Martin D.D. & Hnatkovska, Viktoria, 2012, "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1909-1930, DOI: 10.1016/j.jedc.2012.05.010.
• Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012, "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1971-1991, DOI: 10.1016/j.jedc.2012.05.007.
• Boschi, Melisso & Goenka, Aditya, 2012, "Relative risk aversion and the transmission of financial crises," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 1, pages 85-99, DOI: 10.1016/j.jedc.2011.07.005.
• Larsen, Linda Sandris & Munk, Claus, 2012, "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 2, pages 266-293, DOI: 10.1016/j.jedc.2011.09.009.
• Wozabal, David & Hochreiter, Ronald, 2012, "A coupled Markov chain approach to credit risk modeling," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 3, pages 403-415, DOI: 10.1016/j.jedc.2011.09.011.
• Zimper, Alexander, 2012, "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 610-628, DOI: 10.1016/j.jedc.2011.11.006.
• Gabay, Daniel & Grasselli, Martino, 2012, "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 657-669, DOI: 10.1016/j.jedc.2011.12.002.
• De Giorgi, Enrico G. & Legg, Shane, 2012, "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 951-972, DOI: 10.1016/j.jedc.2012.01.010.
• Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012, "Excess covariance and dynamic instability in a multi-asset model," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1142-1161, DOI: 10.1016/j.jedc.2012.03.015.
• Xue, Yi & Gençay, Ramazan, 2012, "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 9, pages 1372-1401, DOI: 10.1016/j.jedc.2012.03.001.
• Wang, Jinan & Chen, Langnan, 2012, "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, volume 29, issue 2, pages 361-368, DOI: 10.1016/j.econmod.2011.11.007.
• Cai, Jun & Ge, Chenliang, 2012, "Multi-objective private wealth allocation without subportfolios," Economic Modelling, Elsevier, volume 29, issue 3, pages 900-907, DOI: 10.1016/j.econmod.2011.11.013.
• Li, Jie & Huang, Huaxia & Xiao, Xiao, 2012, "The sovereign property of foreign reserve investment in China: A CVaR approach," Economic Modelling, Elsevier, volume 29, issue 5, pages 1524-1536, DOI: 10.1016/j.econmod.2012.05.012.
• Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012, "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, volume 29, issue 6, pages 2392-2406, DOI: 10.1016/j.econmod.2012.06.023.
• Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012, "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, volume 29, issue 6, pages 2435-2443, DOI: 10.1016/j.econmod.2012.06.038.
• Dailami, Mansoor & Kurlat, Sergio & Lim, Jamus Jerome, 2012, "Bilateral M&A activity from the Global South," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 3, pages 345-364, DOI: 10.1016/j.najef.2012.03.006.
• Rieger, Marc Oliver, 2012, "Optimal financial investments for non-concave utility functions," Economics Letters, Elsevier, volume 114, issue 3, pages 239-240, DOI: 10.1016/j.econlet.2011.10.029.
• d’Albis, Hippolyte & Thibault, Emmanuel, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Economics Letters, Elsevier, volume 115, issue 2, pages 296-299, DOI: 10.1016/j.econlet.2011.12.045.
• Schuster, Martin & Auer, Benjamin R., 2012, "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, volume 116, issue 1, pages 124-128, DOI: 10.1016/j.econlet.2012.02.005.
• Benzion, Uri & Krupalnik, Lena & Rosenfeld, Ahron & Shahrabani, Shosh & Shavit, Tal, 2012, "The effect of short-term information on long-term investment: An experimental study," Economics Letters, Elsevier, volume 116, issue 1, pages 20-22, DOI: 10.1016/j.econlet.2012.01.003.
• Kim, Daehwan, 2012, "Is currency hedging necessary for emerging-market equity investment?," Economics Letters, Elsevier, volume 116, issue 1, pages 67-71, DOI: 10.1016/j.econlet.2012.01.008.
• Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012, "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, volume 116, issue 1, pages 72-74, DOI: 10.1016/j.econlet.2012.01.014.
• Dergiades, Theologos, 2012, "Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy," Economics Letters, Elsevier, volume 116, issue 3, pages 404-407, DOI: 10.1016/j.econlet.2012.04.018.
• Pikoulakis, Emmanuel V. & Wisniewski, Tomasz Piotr, 2012, "Another look at the uncovered interest rate parity: Have we missed the fundamentals?," Economics Letters, Elsevier, volume 116, issue 3, pages 476-479, DOI: 10.1016/j.econlet.2012.04.032.
• Liu, Desu, 2012, "Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level," Economics Letters, Elsevier, volume 117, issue 1, pages 250-252, DOI: 10.1016/j.econlet.2012.05.021.
• Gregory-Allen, Russell & Lu, Helen & Stork, Philip, 2012, "Asymmetric extreme tails and prospective utility of momentum returns," Economics Letters, Elsevier, volume 117, issue 1, pages 295-297, DOI: 10.1016/j.econlet.2012.05.040.
• Levaggi, Rosella & Menoncin, Francesco, 2012, "Tax audits, fines and optimal tax evasion in a dynamic context," Economics Letters, Elsevier, volume 117, issue 1, pages 318-321, DOI: 10.1016/j.econlet.2012.05.043.
• Yuan, Yue, 2012, "Optimal beliefs in the long run: An overlapping generations perspective," Economics Letters, Elsevier, volume 117, issue 2, pages 525-527, DOI: 10.1016/j.econlet.2012.06.052.
• Koo, Byung Lim & Koo, Hyeng Keun & Koo, Jung Lim & Hyun, ChongSeok, 2012, "A generalization of Dybvig’s result on portfolio selection with intolerance for decline in consumption," Economics Letters, Elsevier, volume 117, issue 3, pages 646-649, DOI: 10.1016/j.econlet.2012.08.027.
• Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012, "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 301-309, DOI: 10.1016/j.jeconom.2012.01.019.
• Peñaranda, Francisco & Sentana, Enrique, 2012, "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 303-324, DOI: 10.1016/j.jeconom.2012.05.007.