Research classified by Journal of Economic Literature (JEL) codes

2012

• Desmoulins-Lebeault, François & Kharoubi-Rakotomalala, Cécile, 2012, "Non-Gaussian diversification: When size matters," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1987-1996, DOI: 10.1016/j.jbankfin.2012.03.006.
• Marekwica, Marcel, 2012, "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2048-2063, DOI: 10.1016/j.jbankfin.2012.03.011.
• Schuhmacher, Frank & Eling, Martin, 2012, "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2077-2082, DOI: 10.1016/j.jbankfin.2012.03.013.
• Kim, Sangbae & In, Francis, 2012, "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2083-2094, DOI: 10.1016/j.jbankfin.2012.03.014.
• de Dreu, Jan & Bikker, Jacob A., 2012, "Investor sophistication and risk taking," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2145-2156, DOI: 10.1016/j.jbankfin.2012.03.023.
• Homm, Ulrich & Pigorsch, Christian, 2012, "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2274-2284, DOI: 10.1016/j.jbankfin.2012.04.005.
• Kaustia, Markku & Rantapuska, Elias, 2012, "Rational and behavioral motives to trade: Evidence from reinvestment of dividends and tender offer proceeds," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2366-2378, DOI: 10.1016/j.jbankfin.2012.04.015.
• Galsband, Victoria, 2012, "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2379-2388, DOI: 10.1016/j.jbankfin.2012.04.019.
• Mahayni, Antje & Schneider, Judith C., 2012, "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2417-2428, DOI: 10.1016/j.jbankfin.2012.04.024.
• Belousova, Julia & Dorfleitner, Gregor, 2012, "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2455-2472, DOI: 10.1016/j.jbankfin.2012.05.003.
• Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012, "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2522-2531, DOI: 10.1016/j.jbankfin.2012.05.005.
• Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012, "Rehabilitating the role of active management for pension funds," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2565-2574, DOI: 10.1016/j.jbankfin.2012.05.017.
• Palomba, Giulio & Riccetti, Luca, 2012, "Portfolio frontiers with restrictions to tracking error volatility and value at risk," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2604-2615, DOI: 10.1016/j.jbankfin.2012.05.014.
• Charness, Gary & Gneezy, Uri, 2012, "Strong Evidence for Gender Differences in Risk Taking," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 1, pages 50-58, DOI: 10.1016/j.jebo.2011.06.007.
• Halko, Marja-Liisa & Kaustia, Markku & Alanko, Elias, 2012, "The gender effect in risky asset holdings," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 1, pages 66-81, DOI: 10.1016/j.jebo.2011.06.011.
• Scotti, Massimo, 2012, "Delegated portfolio management with career concerns," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 3, pages 829-839, DOI: 10.1016/j.jebo.2012.10.001.
• Fostel, Ana & Geanakoplos, John, 2012, "Why does bad news increase volatility and decrease leverage?," Journal of Economic Theory, Elsevier, volume 147, issue 2, pages 501-525, DOI: 10.1016/j.jet.2011.07.001.
• Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012, "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 1035-1063, DOI: 10.1016/j.jet.2012.01.007.
• Dybvig, Philip H. & Wang, Yajun, 2012, "Increases in risk aversion and the distribution of portfolio payoffs," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 1222-1246, DOI: 10.1016/j.jet.2011.11.009.
• Meyer, Margaret & Strulovici, Bruno, 2012, "Increasing interdependence of multivariate distributions," Journal of Economic Theory, Elsevier, volume 147, issue 4, pages 1460-1489, DOI: 10.1016/j.jet.2011.09.001.
• Hugonnier, Julien, 2012, "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, volume 147, issue 6, pages 2260-2302, DOI: 10.1016/j.jet.2012.05.003.
• Hong, Harrison & Kostovetsky, Leonard, 2012, "Red and blue investing: Values and finance," Journal of Financial Economics, Elsevier, volume 103, issue 1, pages 1-19, DOI: 10.1016/j.jfineco.2011.01.006.
• Basak, Suleyman & Makarov, Dmitry, 2012, "Difference in interim performance and risk taking with short-sale constraints," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 377-392, DOI: 10.1016/j.jfineco.2011.09.008.
• Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal, 2012, "Do arbitrageurs amplify economic shocks?," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 454-470, DOI: 10.1016/j.jfineco.2011.10.007.
• Cocco, João F. & Gomes, Francisco J., 2012, "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 507-529, DOI: 10.1016/j.jfineco.2011.10.002.
• Barberis, Nicholas & Xiong, Wei, 2012, "Realization utility," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 251-271, DOI: 10.1016/j.jfineco.2011.10.005.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
• Kaustia, Markku & Knüpfer, Samuli, 2012, "Peer performance and stock market entry," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 321-338, DOI: 10.1016/j.jfineco.2011.01.010.
• Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012, "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 339-362, DOI: 10.1016/j.jfineco.2011.05.016.
• Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012, "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 363-382, DOI: 10.1016/j.jfineco.2010.08.018.
• Cohen, Lauren & Lou, Dong, 2012, "Complicated firms," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 383-400, DOI: 10.1016/j.jfineco.2011.08.006.
• Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012, "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 491-518, DOI: 10.1016/j.jfineco.2011.05.011.
• Shanken, Jay & Tamayo, Ane, 2012, "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 131-152, DOI: 10.1016/j.jfineco.2011.12.002.
• Aragon, George O. & Spencer Martin, J., 2012, "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 436-456, DOI: 10.1016/j.jfineco.2012.02.004.
• Burlacu, Radu & Fontaine, Patrice & Jimenez-Garcès, Sonia & Seasholes, Mark S., 2012, "Risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 511-522, DOI: 10.1016/j.jfineco.2012.03.008.
• Betermier, Sebastien & Jansson, Thomas & Parlour, Christine & Walden, Johan, 2012, "Hedging labor income risk," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 622-639, DOI: 10.1016/j.jfineco.2012.05.001.
• Wang, Chong & Wang, Neng & Yang, Jinqiang, 2012, "A unified model of entrepreneurship dynamics," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2012.05.002.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012, "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 114-131, DOI: 10.1016/j.jfineco.2012.05.005.
• Kim, Chansog (Francis) & Pantzalis, Christos & Chul Park, Jung, 2012, "Political geography and stock returns: The value and risk implications of proximity to political power," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 196-228, DOI: 10.1016/j.jfineco.2012.05.007.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Caggese, Andrea, 2012, "Entrepreneurial risk, investment, and innovation," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 287-307, DOI: 10.1016/j.jfineco.2012.05.009.
• Bajgrowicz, Pierre & Scaillet, Olivier, 2012, "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 473-491, DOI: 10.1016/j.jfineco.2012.06.001.
• García, Diego & Norli, Øyvind, 2012, "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 547-565, DOI: 10.1016/j.jfineco.2012.06.007.
• Golez, Benjamin & Jackwerth, Jens Carsten, 2012, "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 566-585, DOI: 10.1016/j.jfineco.2012.06.010.
• Maio, Paulo & Santa-Clara, Pedro, 2012, "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 586-613, DOI: 10.1016/j.jfineco.2012.07.001.
• Altı, Aydoğan & Kaniel, Ron & Yoeli, Uzi, 2012, "Why do institutional investors chase return trends?," Journal of Financial Intermediation, Elsevier, volume 21, issue 4, pages 694-721, DOI: 10.1016/j.jfi.2012.05.002.
• Thapa, Chandra & Poshakwale, Sunil S., 2012, "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 189-211, DOI: 10.1016/j.jimonfin.2011.10.011.
• Eichler, Stefan, 2012, "Equity home bias and corporate disclosure," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1008-1032, DOI: 10.1016/j.jimonfin.2011.12.008.
• Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012, "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1249-1278, DOI: 10.1016/j.jimonfin.2012.01.015.
• Vieira, Fabrício A.C. & Holland, Márcio & Resende, Marco F., 2012, "Financial dollarization and systemic risks: New empirical evidence," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1695-1714, DOI: 10.1016/j.jimonfin.2012.03.007.
• Kroencke, Tim A. & Schindler, Felix, 2012, "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1851-1866, DOI: 10.1016/j.jimonfin.2012.05.018.
• Bond, Shaun A. & Chang, Qingqing, 2012, "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1890-1910, DOI: 10.1016/j.jimonfin.2012.05.020.
• Didier, Tatiana & Lowenkron, Alexandre, 2012, "The current account as a dynamic portfolio choice problem," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 4, pages 518-541, DOI: 10.1016/j.jjie.2012.08.005.
• Xanthopoulos, Apostolos, 2012, "The Entrenched Kurtosis in Current Portfolio Returns," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 2, pages 77-97, DOI: 10.1016/j.jeca.2012.02.005.
• Siddiqi, Hammad, 2012, "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, volume 33, issue 1, pages 19-29, DOI: 10.1016/j.joep.2011.08.008.
• Abreu, Margarida & Mendes, Victor, 2012, "Information, overconfidence and trading: Do the sources of information matter?," Journal of Economic Psychology, Elsevier, volume 33, issue 4, pages 868-881, DOI: 10.1016/j.joep.2012.04.003.
• Schoenberg, Eric J. & Haruvy, Ernan, 2012, "Relative performance information in asset markets: An experimental approach," Journal of Economic Psychology, Elsevier, volume 33, issue 6, pages 1143-1155, DOI: 10.1016/j.joep.2012.08.008.
• Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012, "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, volume 48, issue 6, pages 386-395, DOI: 10.1016/j.jmateco.2012.08.006.
• Bonaparte, Yosef & Cooper, Russell & Zhu, Guozhong, 2012, "Consumption smoothing and portfolio rebalancing: The effects of adjustment costs," Journal of Monetary Economics, Elsevier, volume 59, issue 8, pages 751-768, DOI: 10.1016/j.jmoneco.2012.10.012.
• Sarwar, Ghulam, 2012, "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, volume 22, issue 3, pages 55-65, DOI: 10.1016/j.mulfin.2012.01.003.
• Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012, "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 416-437, DOI: 10.1016/j.pacfin.2011.12.008.
• Steinorth, Petra, 2012, "The demand for enhanced annuities," Journal of Public Economics, Elsevier, volume 96, issue 11, pages 973-980, DOI: 10.1016/j.jpubeco.2012.07.007.
• Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012, "Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 1, pages 1-14, DOI: 10.1016/j.qref.2011.10.001.
• Shieh, Shwu-Jane & Lin, Chih-Yung & Ho, Po-Hsin, 2012, "Large changes in stock prices: Market, liquidity, and momentum effect," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 183-197, DOI: 10.1016/j.qref.2012.02.003.
• Mabrouk, Samir & Saadi, Samir, 2012, "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 3, pages 305-321, DOI: 10.1016/j.qref.2012.04.006.
• Alwathainani, Abdulaziz M., 2012, "Consistent winners and losers," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 210-220, DOI: 10.1016/j.iref.2011.05.009.
• Tsai, Jeng-Yan & Chang, Chuen-Ping, 2012, "Call-pricing equity returns and default risks of entry mode with brand perception in retail banking," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 29-41, DOI: 10.1016/j.iref.2011.04.001.
• Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012, "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 112-128, DOI: 10.1016/j.iref.2011.09.004.
• Liu, Yu-hong & Jiang, I-ming, 2012, "Influence of investor subjective judgments in investment decision-making," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 129-142, DOI: 10.1016/j.iref.2012.01.002.
• Walkshäusl, Christian & Lobe, Sebastian, 2012, "Islamic investing," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 53-62, DOI: 10.1016/j.rfe.2012.03.002.
• Lu, Tsung-Hsun & Shiu, Yung-Ming & Liu, Tsung-Chi, 2012, "Profitable candlestick trading strategies—The evidence from a new perspective," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 63-68, DOI: 10.1016/j.rfe.2012.02.001.
• Stotz, Olaf & Georgi, Dominik, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 159-167, DOI: 10.1016/j.rfe.2012.04.001.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012, "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 021, Nov.
• Guillermo Moloche, 2012, "Introducción Al Cálculo De Malliavin Para Las Finanzas Con Aplicación A La Elección Dinámica De Portafolio," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2012-347.
• Maftei Daniel, 2012, "A New Approach For Energy Security – The Efficient Management Of Funds For Investment In Infrastructure For Green Energy," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, volume 5, issue 1, pages 254-261, June.
• N. Geetha & M. Ramesh, 2012, "A study on relevance of demographic factors in investment decisions," Perspectives of Innovation in Economics and Business (PIEB), Prague Development Center, volume 10, issue 1, pages 14-27, May.
• Radoslaw Kurach, 2012, "Stocks, Commodities And Business Cycle Fluctuations – Seeking The Diversification Benefits," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 7, issue 4, pages 101-116, December, DOI: 10.12775/EQUIL.2012.029.
• Artur A. Trzebinski, 2012, "Performance Of Polish Real Estate Mutual Funds In The Period Of 2005-2011," Oeconomia Copernicana, Institute of Economic Research, volume 3, issue 4, pages 59-71, December, DOI: 10.12775/OeC.2012.023.
• Sorin Claudiu Radu, 2012, "Evolution of The Romanian Capital Market in The Last Four Years," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 3, pages 215-222.
• Béres, Dániel & Huzdik, Katalin, 2012, "Financial Literacy and Macro-economics," Public Finance Quarterly, Corvinus University of Budapest, volume 57, issue 3, pages 298-312.
• Gonçalo Faria & João Correia-da-Silva, 2012, "Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 472, Oct.
• Sergeeva, Irina & Nikiforova, Vera, 2012, "The development of the portfolio management for the unit investment funds," MPRA Paper, University Library of Munich, Germany, number 35461, Jan.
• Muhammad, Irfan, 2012, "Non-standardized form of CAPM and stock returns," MPRA Paper, University Library of Munich, Germany, number 35604, Jan.
• Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012, "Revisiting Mutual Fund Performance Evaluation," MPRA Paper, University Library of Munich, Germany, number 36644, Feb.
• Bruder, Benjamin & Roncalli, Thierry, 2012, "Managing risk exposures using the risk budgeting approach," MPRA Paper, University Library of Munich, Germany, number 37246, Jan.
• Dimitriou, Dimitrios & Kenourgios, Dimitris, 2012, "Opportunities for international portfolio diversification in the balkans’ markets," MPRA Paper, University Library of Munich, Germany, number 37479, Feb.
• Cai, Zongwu & Liu, Xuan & Yang, Fang, 2012, "Reexamining the Empirical Relevance of Habit Formation Preferences," MPRA Paper, University Library of Munich, Germany, number 37817, Apr.
• Kemp-Benedict, Eric, 2012, "The national bioenergy investment model: Technical documentation," MPRA Paper, University Library of Munich, Germany, number 37835.
• Peeters, Marga & Sabri, Nidal Rachid, 2012, "International financial integration of Mediterranean economies : A bird’s-eye view," MPRA Paper, University Library of Munich, Germany, number 38081, Mar.
• Corsini, Lorenzo & Spataro, Luca, 2012, "Savings for retirement under liquidity constraints: a note," MPRA Paper, University Library of Munich, Germany, number 38668, May.
• Zvezdov, Ivelin, 2012, "Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques," MPRA Paper, University Library of Munich, Germany, number 38953, Feb.
• Estrada, Fernando, 2012, "Asymmetric information and financial markets," MPRA Paper, University Library of Munich, Germany, number 39025.
• Pfau, Wade Donald & Kariastanto, Bayu, 2012, "An international perspective on “safe” savings rates for retirement," MPRA Paper, University Library of Munich, Germany, number 39066, May.
• Pfau, Wade Donald, 2012, "Choosing a retirement income strategy: a new evaluation framework," MPRA Paper, University Library of Munich, Germany, number 39169, Jun.
• Kuhnen, Camelia M., 2012, "Asymmetric learning from financial information," MPRA Paper, University Library of Munich, Germany, number 39412, Jun.
• Krieger, Kevin & Fodor, Andy & Mauck, Nathan & Stevenson, Greg, 2012, "Predicting Extreme Returns and Portfolio Management Implications," MPRA Paper, University Library of Munich, Germany, number 39845, May.
• Sinha, Pankaj & Goyal, Lavleen, 2012, "Algorithm for construction of portfolio of stocks using Treynor’s ratio," MPRA Paper, University Library of Munich, Germany, number 40134, Jul.
• Gyarmati, Ákos & Lublóy, Ágnes & Váradi, Kata, 2012, "The Budapest liquidity measure and the price impact function," MPRA Paper, University Library of Munich, Germany, number 40339.
• 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.