Research classified by Journal of Economic Literature (JEL) codes

2012

• Antonio Scalia & Benjamin Sahel, 2012, "Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 840, Jan.
• Giuseppe Cappelletti, 2012, "Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 845, Jan.
• Riccardo Bonci, 2012, "Monetary policy and the flow of funds in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 861, Mar.
• Simon Dubecq & Christian Gourieroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers, Banque de France, number 368.
• Yaroslav Ivanenko & Bertrand Munier, 2012, "Price as a choice under nonstochastic randomness in finance," Working papers, Banque de France, number 381.
• Masselier, K. & Calleja, R., 2012, "Ce que détiennent les OPCVM français," Bulletin de la Banque de France, Banque de France, issue 188, pages 61-76.
• K. Masselier. & R. Calleja., 2012, "Holdings of French investment funds," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 26, pages 5-24, Summer.
• Ajantha Sisira Kumara & Wade Pfau, 2012, "Reforming Pension Funds In Sri Lanka: International Diversification And The Employees' Provident Fund," Australian Economic Papers, Wiley Blackwell, volume 51, issue 1, pages 23-37, March, DOI: j.1467-8454.2012.00420.x.
• Avinash Dixit, 2012, "An Option Value Problem From Seinfeld," Economic Inquiry, Western Economic Association International, volume 50, issue 2, pages 563-565, April, DOI: j.1465-7295.2011.00377.x.
• Massimiliano Caporin & Michael McAleer, 2012, "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, volume 26, issue 4, pages 736-751, September, DOI: j.1467-6419.2011.00683.x.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, volume 67, issue 2, pages 431-478, April, DOI: j.1540-6261.2012.01722.x.
• Tarun Ramadorai, 2012, "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, volume 67, issue 2, pages 479-512, April, DOI: j.1540-6261.2012.01723.x.
• Ron Kaniel & Shuming Liu & Gideon Saar & Sheridan Titman, 2012, "Individual Investor Trading and Return Patterns around Earnings Announcements," Journal of Finance, American Finance Association, volume 67, issue 2, pages 639-680, April, DOI: j.1540-6261.2012.01727.x.
• Vasia Panousi & Dimitris Papanikolaou, 2012, "Investment, Idiosyncratic Risk, and Ownership," Journal of Finance, American Finance Association, volume 67, issue 3, pages 1113-1148, June, DOI: 10.1111/j.1540-6261.2012.01743.x.
• Clemens Sialm & Laura Starks, 2012, "Mutual Fund Tax Clienteles," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1397-1422, August, DOI: j.1540-6261.2012.01751.x.
• Bernard Dumas & Andrew Lyasoff, 2012, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, volume 67, issue 5, pages 1897-1941, October, DOI: j.1540-6261.2012.01775.x.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012, "U.S. International Equity Investment," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 50, issue 5, pages 1109-1139, December, DOI: 10.1111/j.1475-679X.2012.00464.x.
• Darius Lakdawalla & George Zanjani, 2012, "Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk Transfer," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 79, issue 2, pages 449-476, June, DOI: j.1539-6975.2011.01425.x.
• Neville Zivanayi Mandimika & Zivanemoyo Chinzara, 2012, "Risk–Return Trade-Off And Behaviour Of Volatility On The South African Stock Market: Evidence From Both Aggregate And Disaggregate Data," South African Journal of Economics, Economic Society of South Africa, volume 80, issue 3, pages 345-366, September, DOI: j.1813-6982.2012.01328.x.
• ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan, 2012, "Market Correlation, Market Returns And Portfolio Implication," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 0, issue 1, pages 3-8.
• M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012, "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 12010, Aug.
• Shun Kobayashi, 2012, "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series, Bank of Japan, number 12-E-13, Dec.
• M. Fort & F. Manaresi & S. Trucchi, 2012, "Banks Information Policies, Financial Literacy and Household Wealth," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp852, Nov.
• Bekir Elmas, 2012, "Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 49, pages 39-58.
• Hryshko Dmytro & Luengo-Prado Maria & Sorensen Bent E., 2012, "The Effect of Education on Equity Holdings," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 12, issue 1, pages 1-41, March, DOI: 10.1515/1935-1682.2911.
• Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012, "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 317-335.
• André Alves Portela Santos & Cristina Tessari, 2012, "Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 369-393.
• Marcelo Cabus Klotzle & Leonardo Lima Gomes & Luiz Eduardo Teixeira Brandão & Antonio Carlos Figueiredo Pinto, 2012, "Development of a Behavioral Performance Measure," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 395-416.
• Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012, "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 4, pages 529-550.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2012, "The Appeal of Information Transactions," Working Papers, Brown University, Department of Economics, number 2012-13.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Revue économique, Presses de Sciences-Po, volume 63, issue 3, pages 591-600.
• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 37-48.
• Lamia Jaidane-Mazigh, 2012, "La gestion alternative des fonds souverains altérée par les crises ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 327-341.
• Jonathan Peillex & Loredana Ureche-Rangau, 2012, "Création d'un indice boursier islamique sur la place financière de Paris : méthodologie et performance," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 289-314.
• Dominique Namur, 2012, "Quelles ressources mondiales pour financer l'investissement à long terme ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 37-56.
• Luc Arrondel & Vladimir Borgy & Frédérique Savignac, 2012, "L'épargnant au bord de la crise," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 69-90.
• Éric Bouyé, 2012, "Allocation stratégique des actifs et gestion de l'investissement à long terme par les investisseurs institutionnels," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 117-132.
• Didier Janci, 2012, "Pourquoi des politiques d'incitation à l'investissement de long terme ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 151-168.
• Pierre Jaillet, 2012, "Investissement à long terme : enjeux pour la croissance, la stabilité monétaire et financière," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 169-188.
• Pesaran, M. H. & Yamagata, T., 2012, "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1210, Feb.
• Baddeley, M. & Burke, C. & Schultz, W. & Tobler, P., 2012, "Herding in Financial Behaviour: A Behavioural and Neuroeconomic Analysis of Individual Differences," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1225, May.
• Koc, R. & Kazantzis, N.K. & Nuttall, W.J. & Ma, Y.H, 2012, "Economic Rationale for Safety Investment in Integrated Gasification Combined-Cycle Gas Turbine Membrane Reactor Modules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1226, May.
• Allen, D. & Lizieri, C. & Satchell, S., 2012, "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1244, Oct.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/10, Apr.
• G. Bertocchi & M. Brunetti & C. Torricelli, 2012, "Is it money or brains? The determinants of intra-family decision power," CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA, number 2.
• Doriana Ruffino, 2012, "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 252.
• Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012, "Optimal life-cycle portfolios for heterogeneous workers," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 266, revised 2013.
• Claudio Campanale & Carolina Fugazza & Francisco Gomes, 2012, "Life-Cycle Portfolio Choice with Liquid and Illiquid Financial Assets," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 269.
• Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012, "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 272.
• Agnese Romiti & Mariacristina Rossi, 2012, "Housing wealth decumulation, portfolio composition and financial literacy among the European elderly," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 289.
• René TAPSOBA, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," Working Papers, CERDI, number 201203.
• Philippe Bracke & Christian Hilber & Olmo Silva, 2012, "Homeownerhip and Entrepreneurship," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0103, Apr.
• Karel Janda & Barbora Svarovska, 2012, "Suitability of Microfinance as an Investment Option," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp470, Oct.
• Christian Gollier, 2012, "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," CESifo Working Paper Series, CESifo, number 4052.
• Victor Augusto Mendes dos Santos, 2012, "The investor in warrants," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2012_19.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-164, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-171, Sep.
• Abdul Hakim & Michael McAleer, 2009, "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-178, Oct.
• Abdul Hakim & Michael McAleer, 2009, "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-179, Oct.
• Claudio Raddatz & Sergio L. Schmukler, 2012, "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile, Central Bank of Chile, number 668, Jun.
• Jacopo Cimadomo & Sebastian Hauptmeier & Tom Zimmermann, 2012, "Fiscal Consolidations and Banking Stability," Working Papers, CEPII research center, number 2012-32, Nov.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012, "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers, CEMFI, number wp2012_1201, Feb.
• Khalifa & Hammoudeh & E. Otranto, 2012, "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201209.
• Cadoni & R. Melis & Trudda, 2012, "Financial crisis: a new measure for risk of pension funds assets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201231.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10656, Nov.
• Javier Orlando Pantoja Robayo & Juan Fernando Rend�n Garc�a & Alfredo Trespalacios Carrasquilla, 2012, "Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10665, Nov.
• Alfredo Trespalacios Carrasquilla & Juan Fernando Rend�n & Javier Orlando Pantoja Robayo, 2012, "Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10666, Nov.
• María Isabel Restrepo E., 2012, "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92.
• Werner Kristjanpoller Rodriguez & Víctor Caballero Ugarte, 2012, "Volumen y asimetría en los principales mercados accionarios latinoamericanos," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Luís Ángel Meneses Cerón & Ronald Alejandro Macuac� Otero, 2012, "Contagio financiero entre economías: un análisis exploratorio a través de la econometría. Caso Colombia - Estados Unidos," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 4, issue 2, pages 51-62.
• Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini, 2012, "Interval and fuzzy Average Internal Rate of Return for investment appraisal," Proyecciones Financieras y Valoración, Master Consultores, number 9641, Jun.
• Carlo Alberto Magni, 2012, "The AIRR Approach for Investment Performance Measurement," Proyecciones Financieras y Valoración, Master Consultores, number 9652, Jun.
• Carlo Alberto Magni, 2012, "The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration," Proyecciones Financieras y Valoración, Master Consultores, number 10084, Nov.
• Pedro Fabi√°n Castilla √Åvila Ignacio Velez-Pareja & Pedro F. Castilla, 2012, "Optimal Portfolio Selection: A Note with a VBA Solution," Proyecciones Financieras y Valoración, Master Consultores, number 10723, Oct.
• José Gabriel Astaiza Gómez, 2012, "El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano," Revista Ad-Minister, Universidad EAFIT.
• John Jairo Forero Romero & Carlos Alberto Orozco Hurtado, 2012, "Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia," Revista Ad-Minister, Universidad EAFIT.
• Söderlind, Paul & Dahlquist, Magnus & Martinez, José Vicente, 2012, "Individual Investor Activity and Performance," CEPR Discussion Papers, Centre for Economic Policy Research, number 8744, Jan.
• Rey, Hélène & Coeurdacier, Nicolas, 2012, "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers, Centre for Economic Policy Research, number 8746, Jan.
• Kaniel, Ron & Alt, Aydogan & Yoeli, Uzi, 2012, "Why Do Institutional Investors Chase Return Trends?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8773, Jan.
• Broer, Tobias, 2012, "The home bias of the poor: Terms of trade effects and portfolios across the wealth distribution," CEPR Discussion Papers, Centre for Economic Policy Research, number 8811, Feb.
• Hau, Harald & Lai, Sandy, 2012, "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8819, Feb.
• Hau, Harald & Lai, Sandy, 2012, "Real Effects of Stock Underpricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 8820, Feb.
• Koedijk, Kees & Pownall, Rachel A J & Statman, Meir, 2012, "Aspirations, Well-being, Risk-Aversion and Loss-Aversion," CEPR Discussion Papers, Centre for Economic Policy Research, number 8904, Mar.
• Torricelli, Costanza & Bertocchi, Graziella & Brunetti, Marianna, 2012, "Is it money or brains? The determinants of intra-family decision power," CEPR Discussion Papers, Centre for Economic Policy Research, number 9017, Jun.
• Veldkamp, Laura & Kacperczyk, Marcin & Van Nieuwerburgh, Stijn, 2012, "Time-Varying Fund Manager Skill," CEPR Discussion Papers, Centre for Economic Policy Research, number 9025, Jul.
• Schmukler, Sergio & Raddatz, Claudio, 2012, "On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 9070, Aug.
• Fratzscher, Marcel & Straub, Roland & Lo Duca, Marco, 2012, "A global monetary tsunami? On the spillovers of US Quantitative Easing," CEPR Discussion Papers, Centre for Economic Policy Research, number 9195, Oct.
• Fougère, Denis & Poulhès, Mathilde, 2012, "The Effect of Housing on Portfolio Choice: A Reappraisal Using French Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 9213, Nov.
• Haliassos, Michael & Georgarakos, Dimitris & Pasini, Giacomo, 2012, "Household Debt and Social Interactions," CEPR Discussion Papers, Centre for Economic Policy Research, number 9238, Dec.
• Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012, "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2412, Jun.
• Marc Boissaux & Jang Schiltz, 2012, "Conditioned Higher Moment Portfolio Optimisation Using Optimal Control," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-2.
• Maela Giofré, 2012, "Financial education, investor protection and international portfolio diversification," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 130, Oct.
• Simon Dubecq & Christian Gouriéroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers, Center for Research in Economics and Statistics, number 2012-03, Feb.
• Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2012, "The Appeal of Information Transactions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1224, Sep.
• Beatriz de Blas & Ana Hidalgo-Cabrillana, 2012, "Portfolio choice and private information: A note," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 55-67, Agosto.
• David Peón & Manel Antelo, 2012, "Are normative models in Finance realistic?," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 98, pages 89-99, Agosto.
• Raymond Kan & Guofu Zhou, 2012, "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 139-187, May.
• Gaowang Wang & Heng-fu Zou, 2012, "Economic Globalization, Mercantilism and Economic Growth," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 548.
• Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012, "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 339-357, August.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012, "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1155-1185, December.
• Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012, "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1279-1301, December.
• Storchmann, Karl, 2012, "Wine Economics," Journal of Wine Economics, Cambridge University Press, volume 7, issue 1, pages 1-33, May.
• Ana Fostel & John Geanakoplos, 2012, "Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877, Sep.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R, Sep, revised Jul 2013.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R2, Sep, revised Aug 2014.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R3, Sep, revised Mar 2015.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 57576, Apr.
• Fischer, Thomas, 2012, "Passive Investment Strategies and Financial Bubbles," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77437, Apr.
• Casta, Jean-François (ed.), 2012, "De l’évaluation des stock options en « juste valeur » : apport de l’approche comportementale," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10710.
• Campi, Luciano & Mancino, Maria Elvira (ed.), 2012, "Information asymmetry and equilibrium models in behavioral finance," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9075.
• Cristina BUNEA-BONTAS, 2012, "The Assessment of Hedge Effectiveness," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 57-62.
• Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2012, "Risk aversion under preference uncertainty," Finance Research Letters, Elsevier, volume 9, issue 1, pages 1-7, DOI: 10.1016/j.frl.2011.08.001.
• Shan, Liwei & Gong, Stephen X., 2012, "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, volume 9, issue 1, pages 36-47, DOI: 10.1016/j.frl.2011.07.002.
• Cai, Fang & Warnock, Francis E., 2012, "Foreign exposure through domestic equities," Finance Research Letters, Elsevier, volume 9, issue 1, pages 8-20, DOI: 10.1016/j.frl.2011.12.001.
• Rieger, Marc Oliver & Wang, Mei, 2012, "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, volume 9, issue 2, pages 63-72, DOI: 10.1016/j.frl.2012.02.001.
• Chong, Zhiwei, 2012, "Rational expectations equilibrium with transaction costs in financial markets," Finance Research Letters, Elsevier, volume 9, issue 2, pages 73-80, DOI: 10.1016/j.frl.2011.11.001.
• Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012, "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, volume 9, issue 3, pages 121-134, DOI: 10.1016/j.frl.2012.06.001.
• Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012, "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, volume 9, issue 3, pages 135-143, DOI: 10.1016/j.frl.2012.02.002.
• Hsu, Pao-Peng & Chen, Ying-Hsiu, 2012, "Barrier option pricing for exchange rates under the Levy–HJM processes," Finance Research Letters, Elsevier, volume 9, issue 3, pages 176-181, DOI: 10.1016/j.frl.2011.10.002.
• Renneboog, Luc & Spaenjers, Christophe, 2012, "Hard assets: The returns on rare diamonds and gems," Finance Research Letters, Elsevier, volume 9, issue 4, pages 220-230, DOI: 10.1016/j.frl.2012.07.003.
• Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012, "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, volume 23, issue 1, pages 34-47, DOI: 10.1016/j.gfj.2012.01.003.
• Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012, "Capital structure and abnormal returns," International Business Review, Elsevier, volume 21, issue 3, pages 328-341, DOI: 10.1016/j.ibusrev.2011.03.007.
• Fratzscher, Marcel, 2012, "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, volume 88, issue 2, pages 341-356, DOI: 10.1016/j.jinteco.2012.05.003.
• Raddatz, Claudio & Schmukler, Sergio L., 2012, "On the international transmission of shocks: Micro-evidence from mutual fund portfolios," Journal of International Economics, Elsevier, volume 88, issue 2, pages 357-374, DOI: 10.1016/j.jinteco.2012.05.006.
• Faust, Roger & Schmeiser, Hato & Zemp, Alexandra, 2012, "A performance analysis of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 158-171, DOI: 10.1016/j.insmatheco.2012.03.004.
• Han, Nan-wei & Hung, Mao-wei, 2012, "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 172-181, DOI: 10.1016/j.insmatheco.2012.03.003.
• Dhaene, Jan & Goovaerts, Marc & Vanmaele, Michèle & Van Weert, Koen, 2012, "Convex order approximations in the case of cash flows of mixed signs," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 249-256, DOI: 10.1016/j.insmatheco.2012.04.003.
• Lim, Andrew E.B. & Watewai, Thaisiri, 2012, "Optimal investment and consumption when regime transitions cause price shocks," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 551-566, DOI: 10.1016/j.insmatheco.2012.07.011.
• Jung, Eun Ju & Kim, Jai Heui, 2012, "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 667-673, DOI: 10.1016/j.insmatheco.2012.09.009.
• Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012, "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 305-328, DOI: 10.1016/j.intfin.2011.10.001.
• Broussard, John Paul & Vaihekoski, Mika, 2012, "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1188-1201, DOI: 10.1016/j.intfin.2012.06.002.
• Narulita, Wista A. & Parwada, Jerry T., 2012, "Evolution of a mutual fund market: Empirical analysis of simultaneous growth and decline by fund category in Indonesia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1217-1236, DOI: 10.1016/j.intfin.2012.05.012.
• Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012, "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1292-1306, DOI: 10.1016/j.intfin.2012.07.005.
• Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012, "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2693-2716, DOI: 10.1016/j.jbankfin.2011.08.002.
• Navone, Marco, 2012, "Reprint of Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2729-2741, DOI: 10.1016/j.jbankfin.2012.06.001.
• Nejadmalayeri, Ali & Singh, Manohar, 2012, "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2900-2916, DOI: 10.1016/j.jbankfin.2011.07.021.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012, "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2974-2987, DOI: 10.1016/j.jbankfin.2012.06.008.
• Jank, Stephan, 2012, "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3060-3070, DOI: 10.1016/j.jbankfin.2012.07.004.
• Varotto, Simone, 2012, "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3133-3149, DOI: 10.1016/j.jbankfin.2011.10.001.
• Shi, Zhen & Werker, Bas J.M., 2012, "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3227-3238, DOI: 10.1016/j.jbankfin.2012.04.009.
• Liang, Samuel Xin & Wei, John K.C., 2012, "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3274-3288, DOI: 10.1016/j.jbankfin.2012.07.021.
• Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012, "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3302-3317, DOI: 10.1016/j.jbankfin.2012.07.018.
• Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012, "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3382-3398, DOI: 10.1016/j.jbankfin.2012.07.020.
• Bönte, Werner & Filipiak, Ute, 2012, "Financial literacy, information flows, and caste affiliation: Empirical evidence from India," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3399-3414, DOI: 10.1016/j.jbankfin.2012.07.028.
• Cullen, Grant & Gasbarro, Dominic & Monroe, Gary S. & Zumwalt, J. Kenton, 2012, "Changes to mutual fund risk: Intentional or mean reverting?," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 112-120, DOI: 10.1016/j.jbankfin.2011.06.011.
• de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012, "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 371-382, DOI: 10.1016/j.jbankfin.2011.07.015.
• Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012, "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 410-417, DOI: 10.1016/j.jbankfin.2011.07.018.
• Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012, "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 418-427, DOI: 10.1016/j.jbankfin.2011.07.017.
• Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012, "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 575-583, DOI: 10.1016/j.jbankfin.2011.09.002.
• Guidolin, Massimo & Hyde, Stuart, 2012, "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 695-716, DOI: 10.1016/j.jbankfin.2011.10.011.
• Xue, Yi & Gençay, Ramazan, 2012, "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 760-773, DOI: 10.1016/j.jbankfin.2011.09.008.
• Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012, "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 786-802, DOI: 10.1016/j.jbankfin.2011.09.012.
• Darolles, Serge & Vaissié, Mathieu, 2012, "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1067-1078, DOI: 10.1016/j.jbankfin.2011.10.021.
• Berger, Dave & Turtle, H.J., 2012, "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1107-1121, DOI: 10.1016/j.jbankfin.2011.11.001.
• Clark, Ephraim & Kassimatis, Konstantinos, 2012, "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1144-1151, DOI: 10.1016/j.jbankfin.2011.11.006.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012, "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 934-956, DOI: 10.1016/j.jbankfin.2011.10.010.
• Baptista, Alexandre M., 2012, "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 968-980, DOI: 10.1016/j.jbankfin.2011.10.015.
• Navone, Marco, 2012, "Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1291-1303, DOI: 10.1016/j.jbankfin.2011.11.018.
• Kassberger, Stefan & Liebmann, Thomas, 2012, "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1304-1310, DOI: 10.1016/j.jbankfin.2011.11.017.
• Atella, Vincenzo & Brunetti, Marianna & Maestas, Nicole, 2012, "Household portfolio choices, health status and health care systems: A cross-country analysis based on SHARE," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1320-1335, DOI: 10.1016/j.jbankfin.2011.11.025.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012, "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1354-1361, DOI: 10.1016/j.jbankfin.2011.11.023.
• Hjalmarsson, Erik & Manchev, Petar, 2012, "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1392-1401, DOI: 10.1016/j.jbankfin.2011.12.002.
• Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012, "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1414-1423, DOI: 10.1016/j.jbankfin.2011.12.007.
• Jordan, Bradford D. & Liu, Mark H. & Wu, Qun, 2012, "Do investment banks listen to their own analysts?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1452-1463, DOI: 10.1016/j.jbankfin.2011.12.010.
• Gourieroux, C. & Jasiak, J., 2012, "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1464-1477, DOI: 10.1016/j.jbankfin.2011.12.013.
• Iscoe, Ian & Kreinin, Alexander & Mausser, Helmut & Romanko, Oleksandr, 2012, "Portfolio credit-risk optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1604-1615, DOI: 10.1016/j.jbankfin.2012.01.013.
• McQueen, Grant & Stenkrona, Anders, 2012, "The home-institution bias," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1627-1638, DOI: 10.1016/j.jbankfin.2012.01.011.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Huang, Alex YiHou, 2012, "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1839-1855, DOI: 10.1016/j.jbankfin.2012.02.005.
• Branger, Nicole & Hansis, Alexandra, 2012, "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1865-1882, DOI: 10.1016/j.jbankfin.2012.02.009.
• Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012, "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1928-1942, DOI: 10.1016/j.jbankfin.2012.03.001.