Research classified by Journal of Economic Literature (JEL) codes

2011

• Esti van Wyk de Vries & Rangan Gupta & Renee van Eyden, 2011, "Intertemporal portfolio allocation and hedging demand: An application to South Africa," Working Papers, University of Pretoria, Department of Economics, number 201133, Dec.
• Pavla Řehořová & Marcela Exnerová, 2011, "Photovoltaic Energy in the Czech Republic in the 21st Century. A Case Study of a Power Plant for a Family House
  [Fotovoltaická energie v České republice v 21. století. Případová studie elektrárny p," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2011, issue 4, pages 66-80, DOI: 10.18267/j.aop.341.
• Jiří Korbel & Petr Blaheta, 2011, "Valuation of equity capital markets using FED model
  [Ocenění akcií v průběhu finanční krize pohledem FED modelu]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2011, issue 1, pages 68-80, DOI: 10.18267/j.cfuc.98.
• Svend Reuse & Martin Svoboda, 2011, "Empirical Test of the Efficiency of Currency Investments," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 2, pages 99-119, DOI: 10.18267/j.pep.391.
• Thomas M. Eisenbach & Martin C. Schmalz, 2011, "Anxiety in the Face of Risk," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1371, Nov.
• Christian Walter, 2011, "Performation et surveillance du système financier," Revue d'Économie Financière, Programme National Persée, volume 101, issue 1, pages 105-116.
• Marc Auberger, 2011, "Les difficultés de la valorisation des entreprises par les marchés financiers," Revue d'Économie Financière, Programme National Persée, volume 104, issue 4, pages 209-215.
• Nathalie Oriol, 2011, "Investissement institutionnel et révision de la directive MIF," Revue d'Économie Financière, Programme National Persée, volume 104, issue 4, pages 217-235.
• Ricardo M. Sousa, 2011, "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers, Banco de Portugal, Economics and Research Department, number w201119.
• Alexei Kolokolov, 2011, "Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)," Quantile, Quantile, issue 9, pages 61-75, July.
• Isela Elizabeth Téllez León & Francisco Venegas-Martínez, 2011, "Efectos del tipo de cambio en las decisiones de consumo y portafolio. Un enfoque monetarista estocástico," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 27, pages 29-48, Enero-jun.
• Adam E Clements & Annastiina Silvennoinen, 2011, "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series, National Centre for Econometric Research, number 76, Oct.
• James Hansen, 2011, "Does Equity Mispricing Influence Household and Firm Decisions?," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2011-06, Dec.
• Bacchetta, Philippe & Tille, Cédric & Wincoop, Eric, 2011, "Self-Fulfilling Risk Panics," Working Papers, Banco Central de Reserva del Perú, number 2011-003, Feb.
• Simone Varotto, 2011, "Liquidity Risk, Credit Risk, Market Risk and Bank Capital," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-02, Jan.
• Vladimir Zdorovenin & Jacques Pézier, 2011, "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-03, Jan.
• Carol Alexander & Dimitris Korovilas, 2011, "The Hazards of Volatility Diversification," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-04, Feb.
• Jacques Pézier, 2011, "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-12, Jul.
• Jacques Pézier & Johanna Scheller, 2011, "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-15, Jun.
• Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011, "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices, Review of Economic Dynamics, number 10-11, Jan.
• Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011, "Code and data files for "Saving Rates and Portfolio Choice with Subsistence Consumption"," Computer Codes, Review of Economic Dynamics, number 10-11, revised .
• Orazio Attanasio & Renata Bottazzi & Hamish Low & Lars Nesheim & Matthew Wakefield, 2011, "Code and data files for "Modelling the Demand for Housing over the Lifecycle"," Computer Codes, Review of Economic Dynamics, number 10-53, revised .
• Claudio Campanale, 2011, "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 14, issue 2, pages 339-367, April, DOI: 10.1016/j.red.2009.09.002.
• Stavros Panageas & Janice C. Eberly & Andrew B. Abel, 2011, "Optimal Inattention to the Stock Market with Information Costs and Transactions Costs," 2011 Meeting Papers, Society for Economic Dynamics, number 102.
• Volker Wieland & Christos Koulovatianos, 2011, "Asset Pricing under Rational Learning about Rare Disasters," 2011 Meeting Papers, Society for Economic Dynamics, number 1417.
• Eric van Wincoop & Cédric Tille & Philippe Bacchetta, 2011, "Self-fulfilling risk panics," 2011 Meeting Papers, Society for Economic Dynamics, number 186.
• Vicente Cunat & Andrea Caggese, 2011, "Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate productivity," 2011 Meeting Papers, Society for Economic Dynamics, number 187.
• Péter Kondor & Ron Kaniel, 2011, "The delegated Lucas tree," 2011 Meeting Papers, Society for Economic Dynamics, number 580.
• Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S. J. Koijen, 2011, "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," 2011 Meeting Papers, Society for Economic Dynamics, number 633.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011, "Collateral Requirements and Asset Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 737.
• Ina Simonovska & Athanasios Geromichalos, 2011, "Asset Liquidity and International Portfolio Choice," 2011 Meeting Papers, Society for Economic Dynamics, number 756.
• Delia-Elena Diaconasu & Alexandru Asavoaei, 2011, "The Role of Investment Funds in Romania," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 39, pages 45-59, March.
• Diana Arjoca, 2011, "Direct investment strategies of Austrian companies in Romania.A comparative study," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 42, pages 227-246, December.
• Marian WIELEZINSKI, 2011, "L’entrepreneur et la loi de Say : les profits se paient d’avance THE ENTREPRENEUR AND SAY'S LAW: THE PROFITS ARE PAID IN ADVANCE," Working Papers, Laboratoire de Recherche sur l'Industrie et l'Innovation. ULCO / Research Unit on Industry and Innovation, number 246, Nov.
• Pierpaolo Pattitoni & Marco Savioli, 2011, "Investment Choices: Indivisible non-Marketable Assets and Bounded Rationality," Working Paper series, Rimini Centre for Economic Analysis, number 07_11, Jan.
• Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Paper series, Rimini Centre for Economic Analysis, number 52_11, Nov.
• Hyun-Hoon Lee & Hyeon-seung Huh & Donghyun Park, 2011, "Financial Integration in East Asia: An Empirical Investigation," ADB Economics Working Paper Series, Asian Development Bank, number 259, May.
• Bin Zhang, 2011, "Is It Desirable for Asian Economies to Hold More Asian Assets in Their Foreign Exchange Reserves?—The People’s Republic of China’s Answer," ADBI Working Papers, Asian Development Bank Institute, number 306, Aug.
• Valentina Galvani & Stuart Landon, 2011, "Riding the Yield Curve: A Spanning Analysis," Working Papers, University of Alberta, Department of Economics, number 2011-19, Nov.
• Ilhan Meric & Herbert E. Gishlick & Leonore S. Taga & Gulser Meric, 2011, "Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 1, pages 1-1.
• Ozlem Yorulmaz, 2011, "Robust Approach to Analysis of International Diversification Benefits between US, UK and Emerging Stock Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 4, pages 1-89.
• Antonieta Lima & Vasco Salazar Soares, 2011, "Multi Criteria Decision Making Models: An Overview On Electre Methods," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 21/2011, Sep.
• Sang Hoon Kang & Seong-Min Yoon, 2011, "The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia," East Asian Economic Review, Korea Institute for International Economic Policy, volume 15, issue 4, pages 49-72, DOI: 10.11644/KIEP.JEAI.2011.15.4.239.
• Brian Jacobsen, 2011, "Asset Allocation: Mass Production or Mass Customization?," Journal of Financial Transformation, Capco Institute, volume 31, pages 115-121.
• Angela Gallo, 2011, "Indexation as Primary Target for Pension Funds: Implication for Portfolio Management," Journal of Financial Transformation, Capco Institute, volume 31, pages 173-183.
• Thierry Roncalli & Guillaume Weisang, 2011, "Tracking Problems, Hedge Fund Replication, and Alternative Beta," Journal of Financial Transformation, Capco Institute, volume 31, pages 19-29.
• Pierre Clauss, 2011, "Hedge Funds Performance Ratios Adjusted to Market Liquidity Risk," Journal of Financial Transformation, Capco Institute, volume 31, pages 133-139.
• Ronald Ryan & Frank Fabozzi, 2011, "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, volume 33, pages 29-33.
• David Owyong, 2011, "Assessing Hedge Fund Risk in a New Era of Hedge Fund Transparency," Journal of Financial Transformation, Capco Institute, volume 33, pages 121-126.
• Julio Carmona & Angel León & Antoni Vaello-Sebastiá, 2011, "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 11-2, Nov.
• Dora Gicheva & Albert N. Link, 2011, "Leveraging Entrepreneurship through Private Investments: Does Gender Matter?," UNCG Economics Working Papers, University of North Carolina at Greensboro, Department of Economics, number 11-21, Nov.
• Todea, Alexandru & Zoicas Ienciu, Adrian, 2011, "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 175-192, March.
• Su, Chi Wei & Chang, Hsu Ling & Zhu, Meng Nan, 2011, "A Non-Linear Model of Causality Between the Stock and Real Estate Markets of European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 41-53, March.
• Mansor, Ibrahim H., 2011, "Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 79-89, December.
• Ion PLUMB & Andreea ZAMFIR, 2011, "Russian Federation’S Investments In Romania: The Case Of Lukoil," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, volume 3, issue 1, pages 13-26, March.
• Dragoi Violeta & Constantinescu Lucretia Mariana, 2011, "The Quality Services Vector - A Performance Source For The Banks In Romania," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 1, issue 1, pages 47-62, July.
• Rocco Ciciretti & Raffaele Corvino, 2011, "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper, Tor Vergata University, CEIS, number 204, Jul, revised 04 Jul 2011.
• Pawe³ Trippner, 2011, "Diversification of Investment Portfolios as an Instrument Used by Institutional Investors in the Capital Management Process," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 85-93, November.
• Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011, "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 31, issue 2, December.
• Dimitrios Christelis & Loreti I. Dobrescu & Alberto Motta, 2011, "Early Life Conditions and Financial Risk–Taking in Older Age," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 285, May.
• Francisco Delgado & Bernard Dumas & Giovanni W. Puopolo, 2011, "Hysteresis Bands and Transaction Costs," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 287, May, revised 10 Jul 2012.
• López Herrera, Francisco & Ortiz Calisto, Edgar & Gutiérrez, Raúl De Jesús, 2011, "Integración fraccionaria y valor en riesgo / Fractional Integration and Value at Risk," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 29-53, enero-jun.
• Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011, "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 55-71, enero-jun.
• Robert A. Jones & Mohammad Zanganeh, 2011, "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers, Department of Economics, Simon Fraser University, number dp11-03, Oct.
• Quoc-Anh Do & Bang Dang Nguyen & Yen-Teik Lee & Kieu-Trang Nguyen, 2011, "Out of Sight, Out of Mind:The Value of Political Connections in Social Networks," Working Papers, Singapore Management University, School of Economics, number 19-2011, Dec.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Massimiliano Caporin & Angelo Ranaldo, 2011, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers, Swiss National Bank, number 2011-11.
• Marie Briere & Ariane Szafarz, 2011, "Investment in Microfinance Equity: Risk, Return, and Diversification Benefits," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-050, Oct.
• Roy Mersland & Ludovic Urgeghe, 2011, "Performance and international investments in microfinance institutions," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-054, Nov.
• Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & Erik Wallerstein, 2011, "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-041, Sep.
• Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV, 2011, "Investigation of: "Shopping in the Market-beta Mall"," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 5, pages 1-9, August.
• Nicolai Bissantz & Verena Steinorth & Daniel Ziggel, 2011, "Stabilität von Diversifikationseffekten im Markowitz-Modell," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 2, pages 145-157, August, DOI: 10.1007/s11943-011-0101-7.
• Özge Alp & Ralf Korn, 2011, "Continuous-time mean-variance portfolio optimization in a jump-diffusion market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 1, pages 21-40, May, DOI: 10.1007/s10203-010-0106-7.
• Marcel Prokopczuk, 2011, "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 2, pages 141-168, November, DOI: 10.1007/s10203-011-0111-5.
• Claudia Ceci & Anna Gerardi, 2011, "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 2, pages 85-120, November, DOI: 10.1007/s10203-010-0107-6.
• Tamara Teplova & Evgeniya Shutova, 2011, "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 157-178, December, DOI: 10.14208/BF03353829.
• Kasper Larsen, 2011, "A note on the existence of the power investor’s optimizer," Finance and Stochastics, Springer, volume 15, issue 1, pages 183-190, January, DOI: 10.1007/s00780-009-0111-2.
• Marc Rieger, 2011, "Co-monotonicity of optimal investments and the design of structured financial products," Finance and Stochastics, Springer, volume 15, issue 1, pages 27-55, January, DOI: 10.1007/s00780-009-0117-9.
• Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011, "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, volume 15, issue 1, pages 85-115, January, DOI: 10.1007/s00780-010-0123-y.
• Henrik Hult & Filip Lindskog, 2011, "Ruin probabilities under general investments and heavy-tailed claims," Finance and Stochastics, Springer, volume 15, issue 2, pages 243-265, June, DOI: 10.1007/s00780-010-0135-7.
• Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011, "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, volume 15, issue 2, pages 297-342, June, DOI: 10.1007/s00780-010-0127-7.
• Sabrina Mulinacci, 2011, "The efficient hedging problem for American options," Finance and Stochastics, Springer, volume 15, issue 2, pages 365-397, June, DOI: 10.1007/s00780-010-0151-7.
• Salvatore Federico, 2011, "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, volume 15, issue 3, pages 421-459, September, DOI: 10.1007/s00780-010-0146-4.
• Luciano Campi & Mark Owen, 2011, "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, volume 15, issue 3, pages 461-499, September, DOI: 10.1007/s00780-010-0125-9.
• Nicholas Westray & Harry Zheng, 2011, "Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization," Finance and Stochastics, Springer, volume 15, issue 3, pages 501-512, September, DOI: 10.1007/s00780-010-0128-6.
• Frank Riedel & Xia Su, 2011, "On irreversible investment," Finance and Stochastics, Springer, volume 15, issue 4, pages 607-633, December, DOI: 10.1007/s00780-010-0131-y.
• Ying Jiao & Huyên Pham, 2011, "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, volume 15, issue 4, pages 725-753, December, DOI: 10.1007/s00780-010-0140-x.
• Erhan Bayraktar & Virginia Young, 2011, "Proving regularity of the minimal probability of ruin via a game of stopping and control," Finance and Stochastics, Springer, volume 15, issue 4, pages 785-818, December, DOI: 10.1007/s00780-011-0160-1.
• Bruno Bouchard & Ngoc-Minh Dang, 2013, "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, volume 17, issue 1, pages 31-72, January, DOI: 10.1007/s00780-012-0198-8.
• Christoph Czichowsky, 2013, "Time-consistent mean-variance portfolio selection in discrete and continuous time," Finance and Stochastics, Springer, volume 17, issue 2, pages 227-271, April, DOI: 10.1007/s00780-012-0189-9.
• Belkacem Berdjane & Serguei Pergamenshchikov, 2013, "Optimal consumption and investment for markets with random coefficients," Finance and Stochastics, Springer, volume 17, issue 2, pages 419-446, April, DOI: 10.1007/s00780-012-0193-0.
• Yan Dolinsky & Halil Soner, 2013, "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, volume 17, issue 3, pages 447-475, July, DOI: 10.1007/s00780-012-0192-1.
• Liao Wang & Johannes Wissel, 2013, "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, volume 17, issue 4, pages 641-683, October, DOI: 10.1007/s00780-013-0203-x.
• Vladimir Cherny & Jan Obłój, 2013, "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, volume 17, issue 4, pages 771-800, October, DOI: 10.1007/s00780-013-0209-4.
• Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013, "On the existence of shadow prices," Finance and Stochastics, Springer, volume 17, issue 4, pages 801-818, October, DOI: 10.1007/s00780-012-0201-4.
• Dmitry Rokhlin, 2013, "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Finance and Stochastics, Springer, volume 17, issue 4, pages 819-838, October, DOI: 10.1007/s00780-013-0206-7.
• Masaaki Fukasawa, 2014, "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, volume 18, issue 1, pages 175-208, January, DOI: 10.1007/s00780-013-0215-6.
• Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014, "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, volume 18, issue 1, pages 75-114, January, DOI: 10.1007/s00780-013-0216-5.
• Li Junjiang & Hou Lei & Zhang Jiarui, 2011, "Capital endowment, credit constraint and FDI: Analysis based on heterogeneous firms," Frontiers of Economics in China, Springer;Higher Education Press, volume 6, issue 1, pages 55-75, March, DOI: 10.1007/s11459-011-0122-8.
• Amanda King & John King, 2011, "Golden eggs versus plastic eggs: hyperbolic preferences and the persistence of debit," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 1, pages 93-103, January, DOI: 10.1007/s12197-009-9107-1.
• Peter Chinloy & Daniel Winkler, 2011, "Contracts, Labor Supply and Income Targeting," Journal of Labor Research, Springer, volume 32, issue 2, pages 113-135, June, DOI: 10.1007/s12122-011-9104-y.
• Douglas J. Skinner & Eugene Soltes, 2011, "What do dividends tell us about earnings quality?," Review of Accounting Studies, Springer, volume 16, issue 1, pages 1-28, March, DOI: 10.1007/s11142-009-9113-8.
• James M. Wahlen & Matthew M. Wieland, 2011, "Can financial statement analysis beat consensus analysts’ recommendations?," Review of Accounting Studies, Springer, volume 16, issue 1, pages 89-115, March, DOI: 10.1007/s11142-010-9124-5.
• Steven J. Monahan, 2011, "Discussion of “Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth”," Review of Accounting Studies, Springer, volume 16, issue 3, pages 458-463, September, DOI: 10.1007/s11142-011-9146-7.
• Ana González & Gonzalo Rubio, 2011, "Portfolio choice and the effects of liquidity," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 1, pages 53-74, March, DOI: 10.1007/s13209-010-0025-4.
• Peter Albrecht, 2011, "Zur Theorie des Value at Risk-minimalen Hedges," Schmalenbach Journal of Business Research, Springer, volume 63, issue 1, pages 2-18, February, DOI: 10.1007/BF03372842.
• Giulio Bottazzi & Pietro Dindo, 2011, "Selection in asset markets: the good, the bad, and the unknown," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2011/11, May.
• Wade Pfau, 2011, "An optimizing framework for the glide paths of life cycle asset allocation funds," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 1, pages 55-58, DOI: 10.1080/13504850903425124.
• Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011, "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 150-160, January, DOI: 10.1198/jbes.2010.07318.
• Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011, "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 2, pages 282-294, April, DOI: 10.1198/jbes.2010.07327.
• José Gonzalo Rangel & Robert F. Engle, 2011, "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, May, DOI: 10.1080/07350015.2012.643132.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011, "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 17, issue 3, pages 227-241, January, DOI: 10.1080/10835547.2011.12089906.
• Carlo Magni, 2011, "Addendum to “Average Internal Rate of Return and Investment Decisions: A New Perspective”," The Engineering Economist, Taylor & Francis Journals, volume 56, issue 2, pages 181-182, DOI: 10.1080/0013791X.2011.573658.
• Christos Grose, 2011, "The Determinants of Cash Flows in Greek Bond Mutual Funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 55-77, March.
• Antonios Athanassiadis, 2011, "Economic Returns and Risks to Investment in Education: An Application of the Multifactor CAPM," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 95-120, March.
• Marcin Wojtowicz, 2011, "CDOs and the Financial Crisis: Credit Ratings and Fair Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-022/2/DSF 8, Feb.
• Redouane Elkamhia & Denitsa Stefanova, 2011, "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-028/2/DSF10, Feb.
• Yvonne Adema & Jan Bonenkamp & Lex Meijdam, 2011, "Retirement Flexibility and Portfolio Choice in General Equilibrium," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-038/2/DSF13, Feb.
• Zhen Shi & Bas J.M. Werker, 2011, "Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-053/2/DSF17, Mar.
• Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011, "Retirement Flexibility and Portfolio Choice," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-077.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-056.
• Willems, Bert & Morbee, J., 2011, "Risk Spillovers and Hedging : Why Do Firms Invest Too Much in Systemic Risk?," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-057.
• Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011, "Retirement Flexibility and Portfolio Choice," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1c3af8c2-1351-4249-b296-9.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2312b4fe-233c-44a4-82a1-5.
• Willems, Bert & Morbee, J., 2011, "Risk Spillovers and Hedging : Why Do Firms Invest Too Much in Systemic Risk?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6b549d1a-062f-4595-bdb3-d.
• Mihir A Desai & Dhammika Dharmapala, 2011, "Dividend Taxes and International Portfolio Choice," The Review of Economics and Statistics, MIT Press, volume 93, issue 1, pages 266-284, February.
• John S. Greenlees & Robert McClelland, 2011, "New Evidence on Outlet Substitution Effects in Consumer Price Index Data," The Review of Economics and Statistics, MIT Press, volume 93, issue 2, pages 632-646, May.
• Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," TSE Working Papers, Toulouse School of Economics (TSE), number 11-222, Feb.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Working Papers, Geary Institute, University College Dublin, number 201131, Nov.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-02.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-09.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-33.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," Journal of Human Capital, University of Chicago Press, volume 5, issue 3, pages 255-301, DOI: 10.1086/662546.
• Roxana Halbleib & Valeri Voev, 2011, "Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/195065, Feb.
• Humberto Valencia Herrera, 2011, "Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 33-49.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Cohen, Lauren & Lou, Dong, 2011, "Complicated firms," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119066, Jun.
• Basak, Suleyman & Chabakauri, Georgy, 2011, "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119068, May.
• Mayraz, Guy, 2011, "Wishful thinking," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121942, Nov.
• Bustamante, Maria Cecilia, 2011, "Strategic investment, industry concentration and the cross section of returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37454, Jun.
• Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011, "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43096, Feb.
• Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011, "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011, EcoMod, number 3038, Jul.
• Reza Habibi, 2011, "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 14, issue 2, pages 127-136, Winter.
• Gerard Caprio, 2011, "Safe and Sound Banking: A Role for Countercyclical Regulatory Requirements?," Chapters, Edward Elgar Publishing, chapter 14, in: Sylvester Eijffinger & Donato Masciandaro, "Handbook of Central Banking, Financial Regulation and Supervision".
• Fabrice Barthelemy & Jean-Luc Prigent, 2011, "Real Estate Portfolio Management : Optimization under Risk Aversion," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2011-12.
• Denis Conniffe & Donal O'Neill, 2011, "Efficient Probit Estimation with Partially Missing Covariates," Advances in Econometrics, Emerald Group Publishing Limited, "Missing Data Methods: Cross-sectional Methods and Applications", DOI: 10.1108/S0731-9053(2011)000027A011.
• Simone Varotto, 2011, "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 2, pages 134-152, April, DOI: 10.1108/17439131111122139.
• Bruce Hearn, 2011, "Development strategy in offshore markets: evidence from the Channel Islands," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 1, pages 30-51, January, DOI: 10.1108/01443581111096132.
• Craig A. Depken & Harris Hollans & Steve Swidler, 2011, "Flips, flops and foreclosures: anatomy of a real estate bubble," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 1, pages 49-65, April, DOI: 10.1108/17576381111116759.
• Joseph J. French & Nazneen Ahmad, 2011, "Returns or valuation? Foreign equity investment in the United States," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 28, issue 3, pages 196-216, August, DOI: 10.1108/10867371111141963.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011, "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 131-154.
• Panayotis Artikis & Georgia Nifora, 2011, "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-26.
• Emmanouil Mavrakis, 2011, "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-70.
• Aleksandr Alekseev & Mikhail Sokolov, 2011, "A Note on Indices of Return," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2011/02, Feb, revised 21 Feb 2011.
• Di Clemente Annalisa, 2011, "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 104, pages 5-28.
• Borys, Magdalena Morgese Borys, 2011, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 118-139, June.
• Ayesha Afzal & Nawazish Mirza, 2011, "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 173-190, June.
• Karel Báta, 2011, "Equity Home Bias Among Czech Investors: Experimental Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/17, Aug, revised Aug 2011.
• Junjiang Li & Lei Hou & Jiarui Zhang, 2011, "Capital Endowment, Credit Constraint and FDI: Analysis Based on Heterogeneous Firms," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 6, issue 1, pages 55-75, March.
• Kenneth Högholm1, Johan Knif, Seppo Pynnönen, 2011, "Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 1-26, October.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes? Evidence from the foreclosure process," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-16.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes?: evidence from the foreclosure process," Public Policy Discussion Paper, Federal Reserve Bank of Boston, number 11-9.
• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Turan G. Bali & Hao Zhou, 2011, "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-45.
• Vasia Panousi & Dimitris Papanikolaou, 2011, "Investment, idiosyncratic risk, and ownership," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-54.
• Viral V. Acharya & Nada Mora, 2011, "Are banks passive liquidity backstops? deposit rates and flows during the 2007-2009 crisis," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 11-06.
• Christopher J. Neely & Paul A. Weller, 2011, "Lessons from the evolution of foreign exchange trading strategies," Working Papers, Federal Reserve Bank of St. Louis, number 2011-021, DOI: 10.20955/wp.2011.021.
• Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl, 2011, "Heterogeneity and risk sharing in village economies," Working Papers, Federal Reserve Bank of Minneapolis, number 683.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Working Papers, Federal Reserve Bank of Minneapolis, number 685.
• Matteo Del Vigna, 2011, "Ambiguity made easier," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-07, Apr.
• Matteo Del Vigna, 2011, "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-08, Sep.
• Matteo Del Vigna, 2011, "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-09, Apr.
• Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011, "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers, Financial Markets Group, number dp669, Feb.
• JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011, "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers, Financial Markets Group, number dp671, Feb.
• Suleyman Basak & Georgy Chabakauri, 2011, "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers, Financial Markets Group, number dp680, May.
• Andrea Caggese & Vincente Cunat, 2011, "Financing Constraints, Firm Dynamics, Export Decisions and Aggregate productivity," FMG Discussion Papers, Financial Markets Group, number dp685, Jun.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Marcel Marekwica & Raimond Maurer, 2011, "How unobservable Bond Positions in Retirement Accounts affect Asset Allocation," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 176.
• Isakov, Dusan & Marti, Didier, 2011, "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 421, Aug.
• Lyudmila Yu. Ryzhanovskaya & Vera E. Chistova, 2011, "Issues of the State Securities Market Liquidity," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 19-32, July.
• Giulio Cifarelli, 2011, "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2011_13.rdf.
• Richard Ruble, 2011, "Comparative risk aversion of different preferences," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 1119.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2011, "Regulating Asset Price Risk," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 02-2011, Jan.
• João Amaro de Matos & Nuno Silva, 2012, "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-01, Jan.