Research classified by Journal of Economic Literature (JEL) codes

2013

• Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," Working Papers, HAL, number halshs-00796672, Feb.
• Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar, 2013, "US Corporate Bond Yield Spread: A default risk debate," Working Papers, HAL, number halshs-00798660, Mar.
• Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013, "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-517, Aug.
• Baetje, Fabian & Menkhoff, Lukas, 2013, "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-520, Oct.
• John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013, "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers, Harvard Business School, number 14-031, Sep, revised Aug 2018.
• Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013, "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Working Papers, Lund University, Department of Economics, number 2013:10, Apr, revised 11 Jun 2013.
• Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013, "Does Commonality in Illiquidity Matter to Investors?," Working Papers, Lund University, Department of Economics, number 2013:24, May.
• Yinxia G. Nielsen , Caren, 2013, "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/2, Jan.
• Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013, "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/14, Jun.
• Lundtofte, Frederik & Leoni, Patrick, 2013, "Growth Forecasts, Belief Manipulation and Capital Markets," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/15, Sep.
• Aase, Knut K., 2013, "Recursive utility and disappearing puzzles for continuous-time models," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2013/2, May.
• Aase, Knut K., 2013, "Recursive utility and the equity premium puzzle: A discrete-time approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2013/3, May, revised 25 Mar 2015.
• Baum, Christopher & Karpava, Margarita & Schäfer, Dorothea & Stephan, Andreas, 2013, "Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises," Ratio Working Papers, The Ratio Institute, number 224, Nov.
• Hull, Isaiah, 2013, "Predicting the Spread of Financial Innovations: An Epidemiological Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 279, Oct.
• Yury Dranev & Sofya Fomkina, 2013, "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia," HSE Working papers, National Research University Higher School of Economics, number WP BRP 12/FE/2013.
• Victor Lapshin & Marat Kurbangaleev, 2013, "A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data," HSE Working papers, National Research University Higher School of Economics, number WP BRP 13/FE/2013.
• Dranev Yury & Fomkina Sofya, 2013, "Colog asset pricing, evidence from emerging markets," HSE Working papers, National Research University Higher School of Economics, number WP BRP 26/FE/2013.
• Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu, 2013, "Aging and Real Estate Prices: Evidence from Japanese and US Regional Data," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 2, Dec.
• Bordalo, Pedro & Gennaioli, Nicola & Shleifer, Andrei, 2013, "Salience and Asset Prices," Scholarly Articles, Harvard University Department of Economics, number 11688793.
• Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013, "Hard Times," Scholarly Articles, Harvard University Department of Economics, number 12172786.
• Vichet Sum, 2013, "Employee Benefits And Stock Returns: A Look At Health Care Benefits," Accounting & Taxation, The Institute for Business and Finance Research, volume 5, issue 1, pages 1-8.
• Abdelmoneim Youssef & Giuseppe Galloppo, 2013, "The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa," Global Journal of Business Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 1-17.
• Sandip Mukherji & Youngho Lee, 2013, "Explanatory Factors for Market Multiples and Expected Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 1, pages 45-54.
• Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013, "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 2, pages 53-78.
• Paulo Alves, 2013, "The Fama French Model or the Capital Asset Pricing Model: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 2, pages 79-89.
• Guangdi Chang & Yi-Tsuo Chang, 2013, "Time-Varying Risk Premia for Size Effects on Equity REITS," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 13-28.
• Steve Fan & Linda Yu, 2013, "Accrual Anomaly and Idiosyncratic Risk: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 63-75.
• Stoyu I. Ivanov, 2013, "Analysis of the Effects of Pre Announcement of S&P 500 Index Changes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 5, pages 1-10.
• Xiaodong Qiu, 2013, "Corporate Philanthropic Disaster Response And Post Performance: Evidence From China," International Journal of Management and Marketing Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 39-51.
• Jelena Minovic & Vlastimir Vukovic, 2013, "Analysis of the Serbian Capital Market," Economic Analysis, Institute of Economic Sciences, volume 46, issue 1-2, pages 1-11.
• Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013, "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers), Inter-American Development Bank, number 4647, Oct, DOI: http://dx.doi.org/10.18235/0011507.
• Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh, 2013, "Sovereign bond market reactions to fiscal rules and no-bailout clauses – The Swiss experience," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/27.
• Christian A. L. Hilber & Wouter Vermeulen, 2013, "The impact of supply constraints on house prices in England," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/28.
• Heejoon Han & Dennis Kristensen, 2013, "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP18/13, May.
• Paolo Manasse & Luca Zavalloni, 2013, "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 471.
• Sabrina Buti & Barbara Rindi & Yuanji Wen & Ingrid M. Werner, 2013, "Tick Size Regulation and Sub-Penny Trading," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 492.
• Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 503.
• Andrew Hughes Hallett & Juan Carlos Martinez Oliva, 2013, "The Importance of Trade and Capital Imbalances in the European Debt Crisis," Working Paper Series, Peterson Institute for International Economics, number WP13-1, Jan.
• K. Ozgur DEMİRTAS & Yigit ATILGAN, 2013, "Reward-to-Risk Ratios in Turkish Financial Markets," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 323, pages 9-32.
• Belma ÖZTÜRKKAL, 2013, "Bireysel Yatırımcı Davranışı Analizi: Anket Çalışması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 326, pages 67-92.
• Işıl EROL & Adem İLERİ, 2013, "What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 331, pages 09-32.
• Abhilash S. Nair, 2013, "Existence Of Capital Market Equilibrium In The Presence Of Herding And Feedback Trading," Working papers, Indian Institute of Management Kozhikode, number 121.
• Alan M. Rai, 2013, "The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 1, pages 45-104, March.
• Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2013, "House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 2, pages 219-276, June.
• Mr. Raphael A Espinoza & Mr. Dimitrios P. Tsomocos, 2013, "Monetary Transaction Costs and the Term Premium," IMF Working Papers, International Monetary Fund, number 2013/085, Apr.
• Ila Patnaik & Ajay Shah, 2013, "The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market," IMF Working Papers, International Monetary Fund, number 2013/090, Apr.
• Mr. Luis Brandão-Marques & Mr. Gaston Gelos & Ms. Natalia Melgar, 2013, "Country Transparency and the Global Transmission of Financial Shocks," IMF Working Papers, International Monetary Fund, number 2013/156, Jul.
• Mirko Abbritti & Mr. Salvatore Dell'Erba & Mr. Antonio Moreno & Mr. Sergio Sola, 2013, "Global Factors in the Term Structure of Interest Rates," IMF Working Papers, International Monetary Fund, number 2013/223, Nov.
• Rossi, S & Tinn, K, 2012, "Man or Machine? Rational trading without information about fundamentals," Working Papers, Imperial College, London, Imperial College Business School, number 12194, Dec.
• Esther Guadalupe Carmona Vega, 2013, "Ajuste a la Calificación del Riesgo del Mercado de las Acciones más Volátiles que Conforman el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores, con la Implementación de una Red Neuronal Artificial," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 8, issue 1, pages 25-51, Enero-Jun.
• María Isabel Martínez Torre-Enciso & Oscar V. De la Torre Torres, 2013, "¿Son los Índices IPC Mexicano e IBEX35 Español una Adecuada Definición de Cartera de Mercado? Una Revisión de este Supuesto Empleando el Estadístico de Kandel y Stambugh en un Contexto Muestral," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 8, issue 2, pages 227-247, Julio-Dic.
• Natasha Agarwal et al, 2013, "A Systematic approach to identify systemically important firms," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2013-021, Oct.
• Thomas Stöckl, 2013, "Price efficiency and trading behavior in limit order markets with competing insiders," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2013-11, May.
• Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013, "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2013-004, Sep.
• Eduardo Schwartz, 2013, "The Real Options Approach to Valuation: Challenges and Opportunities," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 50, issue 2, pages 163-177, November.
• Jaime Casassus & Freddy Higuera, 2013, "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 433.
• Alen Bobetko & Mirna Dumicic & Josip Funda, 2013, "Fiscal determinants of government borrowing costs: do we have only ourselves to blame?," Financial Theory and Practice, Institute of Public Finance, volume 37, issue 2, pages 135-159.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School, number 2013-20, Jan.
• Morales-Pelagio, Ricardo Cristhian & López-Herrera, Francisco & Cabrera-Llanos, Agustín Ignacio, 2013, "Eficiencia de las principales acciones de la bolsa mexicana de valores: 2001-2012," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 37, pages 55-75, primer tr.
• Peter Claeys & Borek Vašícek, 2013, "“How systemic is Spain for Europe?”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201301, Feb, revised Feb 2013.
• António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas, 2013, "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2013/05, Feb.
• Serguey Khovansky & Zhylyevskyy, Oleksandr, 2013, "Impact of idiosyncratic volatility on stock returns: A cross-sectional study," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 35915, Jun.
• Andrew Y. Chen, 2013, "External Habit in a Production Economy," 2013 Papers, Job Market Papers, number pch1244, Oct.
• Thiago de Oliveira Souza, 2013, "Discount rates, market frictions and the mystery of the size premium," 2013 Papers, Job Market Papers, number pde868, Nov.
• Wang, Hao & Zhou, Hao & Zhou, Yi, 2013, "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3733-3746, DOI: 10.1016/j.jbankfin.2013.02.021.
• Easton, Steve & Pinder, Sean & Uylangco, Katherine, 2013, "A case study of short-sale constraints and limits to arbitrage," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3924-3929, DOI: 10.1016/j.jbankfin.2013.07.012.
• Jiang, Danling, 2013, "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3974-3992, DOI: 10.1016/j.jbankfin.2013.06.011.
• Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013, "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4107-4119, DOI: 10.1016/j.jbankfin.2013.07.018.
• Zhu, Xiaoneng & Zhu, Jie, 2013, "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4120-4133, DOI: 10.1016/j.jbankfin.2013.07.016.
• Uhrig-Homburg, Marliese, 2013, "Sovereign credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4217-4225, DOI: 10.1016/j.jbankfin.2013.07.002.
• Stivers, Chris & Sun, Licheng, 2013, "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4226-4240, DOI: 10.1016/j.jbankfin.2013.07.030.
• Lundtofte, Frederik & Wilhelmsson, Anders, 2013, "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4256-4264, DOI: 10.1016/j.jbankfin.2013.07.035.
• Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio, 2013, "Financial contagion in the laboratory: The cross-market rebalancing channel," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4310-4326, DOI: 10.1016/j.jbankfin.2013.06.005.
• Slavutskaya, Anna, 2013, "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4404-4431, DOI: 10.1016/j.jbankfin.2013.07.034.
• Lin, Yueh-Neng, 2013, "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4432-4446, DOI: 10.1016/j.jbankfin.2013.03.006.
• Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4449-4464, DOI: 10.1016/j.jbankfin.2012.12.018.
• Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013, "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4465-4475, DOI: 10.1016/j.jbankfin.2012.08.015.
• Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013, "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4476-4487, DOI: 10.1016/j.jbankfin.2013.01.029.
• Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013, "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4650-4664, DOI: 10.1016/j.jbankfin.2013.07.025.
• Qin, Zhenjiang, 2013, "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4675-4694, DOI: 10.1016/j.jbankfin.2013.07.045.
• Drienko, Jozef & Sault, Stephen J., 2013, "The intraday impact of company responses to exchange queries," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4810-4819, DOI: 10.1016/j.jbankfin.2013.08.011.
• Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013, "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4920-4930, DOI: 10.1016/j.jbankfin.2013.08.027.
• Dyakov, Teodor & Verbeek, Marno, 2013, "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4931-4942, DOI: 10.1016/j.jbankfin.2013.08.013.
• Maio, Paulo, 2013, "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4958-4972, DOI: 10.1016/j.jbankfin.2013.08.021.
• Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013, "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4973-4988, DOI: 10.1016/j.jbankfin.2013.09.004.
• Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R., 2013, "Did capital infusions enhance bank recovery from the great recession?," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5048-5061, DOI: 10.1016/j.jbankfin.2013.09.008.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013, "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5073-5087, DOI: 10.1016/j.jbankfin.2013.09.010.
• Gourieroux, C. & Heam, J.C. & Monfort, A., 2013, "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5261-5274, DOI: 10.1016/j.jbankfin.2013.04.016.
• Maltritz, Dominik & Molchanov, Alexander, 2013, "Analyzing determinants of bond yield spreads with Bayesian Model Averaging," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5275-5284, DOI: 10.1016/j.jbankfin.2013.07.007.
• Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5285-5299, DOI: 10.1016/j.jbankfin.2013.08.005.
• Abudy, Menachem & Benninga, Simon, 2013, "Non-marketability and the value of employee stock options," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5500-5510, DOI: 10.1016/j.jbankfin.2013.03.022.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 11-20, DOI: 10.1016/j.jbankfin.2012.08.013.
• Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013, "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 132-138, DOI: 10.1016/j.jbankfin.2012.08.018.
• Harris, Richard D.F. & Mazibas, Murat, 2013, "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 139-149, DOI: 10.1016/j.jbankfin.2012.08.017.
• Morana, Claudio, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 206-226, DOI: 10.1016/j.jbankfin.2012.08.027.
• Golbeck, Steven & Linetsky, Vadim, 2013, "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 43-59, DOI: 10.1016/j.jbankfin.2012.08.010.
• Liu, Zhuoshi & Spencer, Peter, 2013, "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 241-256, DOI: 10.1016/j.jbankfin.2012.08.012.
• Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013, "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 378-388, DOI: 10.1016/j.jbankfin.2012.09.005.
• Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013, "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 389-402, DOI: 10.1016/j.jbankfin.2012.09.003.
• Berrada, Tony & Hugonnier, Julien, 2013, "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 448-462, DOI: 10.1016/j.jbankfin.2012.09.004.
• Driessen, Joost & Maenhout, Pascal, 2013, "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 518-536, DOI: 10.1016/j.jbankfin.2012.09.008.
• Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui, 2013, "Does foreign institutional ownership increase return volatility? Evidence from China," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 660-669, DOI: 10.1016/j.jbankfin.2012.10.006.
• Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013, "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1018-1028, DOI: 10.1016/j.jbankfin.2012.11.009.
• Shang, Hua, 2013, "Inference in asset pricing models with a low-variance factor," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1046-1060, DOI: 10.1016/j.jbankfin.2012.11.007.
• Zakamulin, Valeriy, 2013, "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1061-1072, DOI: 10.1016/j.jbankfin.2012.11.006.
• Jitmaneeroj, Boonlert & Wood, Andrew, 2013, "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1084-1092, DOI: 10.1016/j.jbankfin.2012.11.013.
• Schaub, Nic & Schmid, Markus, 2013, "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 671-692, DOI: 10.1016/j.jbankfin.2012.09.019.
• ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013, "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 824-836, DOI: 10.1016/j.jbankfin.2012.10.025.
• Dutt, Tanuj & Humphery-Jenner, Mark, 2013, "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 999-1017, DOI: 10.1016/j.jbankfin.2012.11.001.
• Levy, Ariel & Lieberman, Offer, 2013, "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1412-1421, DOI: 10.1016/j.jbankfin.2012.03.024.
• Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013, "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1759-1776, DOI: 10.1016/j.jbankfin.2013.01.006.
• Wang, Kent & Liu, Junwei & Liu, Zhi, 2013, "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1777-1786, DOI: 10.1016/j.jbankfin.2013.01.024.
• Gropper, Daniel M. & Jahera, John S. & Park, Jung Chul, 2013, "Does it help to have friends in high places? Bank stock performance and congressional committee chairmanships," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 1986-1999, DOI: 10.1016/j.jbankfin.2013.01.003.
• Fiordelisi, Franco & Marqués-Ibañez, David, 2013, "Is bank default risk systematic?," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2000-2010, DOI: 10.1016/j.jbankfin.2013.01.004.
• Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw, 2013, "The impact of credit rating announcements on credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2011-2030, DOI: 10.1016/j.jbankfin.2013.01.028.
• Chevapatrakul, Thanaset, 2013, "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2342-2353, DOI: 10.1016/j.jbankfin.2013.01.033.
• Hwang, Soosung & Rubesam, Alexandre, 2013, "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2367-2377, DOI: 10.1016/j.jbankfin.2013.01.030.
• Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013, "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2392-2407, DOI: 10.1016/j.jbankfin.2013.01.038.
• Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju, 2013, "Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2434-2456, DOI: 10.1016/j.jbankfin.2013.02.011.
• Alles, Lakshman & Murray, Louis, 2013, "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2501-2509, DOI: 10.1016/j.jbankfin.2013.02.006.
• Chen, Yunling & Liu, Ming & Su, Jun, 2013, "Greasing the wheels of bank lending: Evidence from private firms in China," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2533-2545, DOI: 10.1016/j.jbankfin.2013.02.002.
• Yao, Jing & Li, Duan, 2013, "Prospect theory and trading patterns," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2793-2805, DOI: 10.1016/j.jbankfin.2013.04.001.
• Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013, "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2991-3006, DOI: 10.1016/j.jbankfin.2013.04.013.
• Khovansky, Serguey & Zhylyevskyy, Oleksandr, 2013, "Impact of idiosyncratic volatility on stock returns: A cross-sectional study," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3064-3075, DOI: 10.1016/j.jbankfin.2013.02.034.
• Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013, "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3181-3191, DOI: 10.1016/j.jbankfin.2013.02.026.
• Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013, "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3204-3217, DOI: 10.1016/j.jbankfin.2013.03.009.
• Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013, "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3218-3226, DOI: 10.1016/j.jbankfin.2013.03.002.
• Weiß, Gregor N.F. & Supper, Hendrik, 2013, "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3334-3350, DOI: 10.1016/j.jbankfin.2013.05.013.
• Ederington, Louis H. & Guan, Wei, 2013, "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3388-3400, DOI: 10.1016/j.jbankfin.2013.04.017.
• Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013, "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3401-3411, DOI: 10.1016/j.jbankfin.2013.05.015.
• Kuo, Wei-Yu & Lin, Tse-Chun, 2013, "Overconfident individual day traders: Evidence from the Taiwan futures market," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3548-3561, DOI: 10.1016/j.jbankfin.2013.04.036.
• Jiang, Li & Kim, Jeong-Bon & Pang, Lei, 2013, "Insiders’ incentives for asymmetric disclosure and firm-specific information flows," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3562-3576, DOI: 10.1016/j.jbankfin.2013.05.001.
• Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013, "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3704-3715, DOI: 10.1016/j.jbankfin.2013.04.034.
• Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013, "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, volume 41, issue 4, pages 1220-1239, DOI: 10.1016/j.jce.2012.12.004.
• Calice, Giovanni & Chen, Jing & Williams, Julian, 2013, "Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 122-143, DOI: 10.1016/j.jebo.2011.10.013.
• Ebrahim, M. Shahid & Mathur, Ike, 2013, "On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 286-305, DOI: 10.1016/j.jebo.2012.02.015.
• McAlvanah, Patrick & Moul, Charles C., 2013, "The house doesn’t always win: Evidence of anchoring among Australian bookies," Journal of Economic Behavior & Organization, Elsevier, volume 90, issue C, pages 87-99, DOI: 10.1016/j.jebo.2013.03.009.
• Hüsler, A. & Sornette, D. & Hommes, C.H., 2013, "Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price," Journal of Economic Behavior & Organization, Elsevier, volume 92, issue C, pages 304-316, DOI: 10.1016/j.jebo.2013.06.005.
• Bayar, Onur, 2013, "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, volume 66, issue C, pages 98-124, DOI: 10.1016/j.jeconbus.2013.01.001.
• Hammami, Yacine & Lindahl, Anna, 2013, "Estimating and testing beta pricing models on industries," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 45-63, DOI: 10.1016/j.jeconbus.2013.05.003.
• Oberndorfer, Ulrich & Schmidt, Peter & Wagner, Marcus & Ziegler, Andreas, 2013, "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms," Journal of Environmental Economics and Management, Elsevier, volume 66, issue 3, pages 497-509, DOI: 10.1016/j.jeem.2013.04.005.
• Loewenstein, Mark & Willard, Gregory A., 2013, "Consumption and bubbles," Journal of Economic Theory, Elsevier, volume 148, issue 2, pages 563-600, DOI: 10.1016/j.jet.2012.07.001.
• Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013, "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, volume 148, issue 6, pages 2483-2519, DOI: 10.1016/j.jet.2013.10.003.
• Wahal, Sunil & Yavuz, M. Deniz, 2013, "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 136-154, DOI: 10.1016/j.jfineco.2012.08.005.
• Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A., 2013, "The market for borrowing corporate bonds," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 155-182, DOI: 10.1016/j.jfineco.2012.08.007.
• Shive, Sophie & Yun, Hayong, 2013, "Are mutual funds sitting ducks?," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 220-237, DOI: 10.1016/j.jfineco.2012.08.012.
• Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013, "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 46-68, DOI: 10.1016/j.jfineco.2012.07.002.
• Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013, "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 284-304, DOI: 10.1016/j.jfineco.2012.08.015.
• Belo, Frederico & Gala, Vito D. & Li, Jun, 2013, "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 305-324, DOI: 10.1016/j.jfineco.2012.08.016.
• Ai, Hengjie & Kiku, Dana, 2013, "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 325-349, DOI: 10.1016/j.jfineco.2012.08.009.
• Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013, "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 350-385, DOI: 10.1016/j.jfineco.2012.08.017.
• Ramadorai, Tarun, 2013, "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 401-416, DOI: 10.1016/j.jfineco.2012.08.020.
• Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013, "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 537-556, DOI: 10.1016/j.jfineco.2012.09.006.
• Polkovnichenko, Valery & Zhao, Feng, 2013, "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 580-609, DOI: 10.1016/j.jfineco.2012.09.008.
• Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013, "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 632-654, DOI: 10.1016/j.jfineco.2012.09.011.
• Li, Yan & Yang, Liyan, 2013, "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 715-739, DOI: 10.1016/j.jfineco.2012.11.002.
• Favilukis, Jack, 2013, "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 740-759, DOI: 10.1016/j.jfineco.2012.10.008.
• Bonaparte, Yosef & Kumar, Alok, 2013, "Political activism, information costs, and stock market participation," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 760-786, DOI: 10.1016/j.jfineco.2012.09.012.
• Novy-Marx, Robert, 2013, "The other side of value: The gross profitability premium," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 1-28, DOI: 10.1016/j.jfineco.2013.01.003.
• Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013, "Anomalies and financial distress," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 139-159, DOI: 10.1016/j.jfineco.2012.10.005.
• Cao, Jie & Han, Bing, 2013, "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 231-249, DOI: 10.1016/j.jfineco.2012.11.010.
• Israel, Ronen & Moskowitz, Tobias J., 2013, "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 275-301, DOI: 10.1016/j.jfineco.2012.11.005.
• Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013, "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 302-322, DOI: 10.1016/j.jfineco.2012.12.006.
• Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013, "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 323-348, DOI: 10.1016/j.jfineco.2012.10.004.
• Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013, "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 409-424, DOI: 10.1016/j.jfineco.2013.01.002.
• D’Amico, Stefania & King, Thomas B., 2013, "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 425-448, DOI: 10.1016/j.jfineco.2012.11.007.
• Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013, "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 529-563, DOI: 10.1016/j.jfineco.2012.12.002.
• Strebulaev, Ilya A. & Yang, Baozhong, 2013, "The mystery of zero-leverage firms," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2013.02.001.
• Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013, "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 224-249, DOI: 10.1016/j.jfineco.2013.02.018.
• Jermann, Urban J., 2013, "A production-based model for the term structure," Journal of Financial Economics, Elsevier, volume 109, issue 2, pages 293-306, DOI: 10.1016/j.jfineco.2013.03.001.
• Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013, "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 604-622, DOI: 10.1016/j.jfineco.2013.04.004.
• Hartzmark, Samuel M. & Solomon, David H., 2013, "The dividend month premium," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 640-660, DOI: 10.1016/j.jfineco.2013.02.015.
• Filipović, Damir & Trolle, Anders B., 2013, "The term structure of interbank risk," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 707-733, DOI: 10.1016/j.jfineco.2013.03.014.
• Edelman, Daniel & Fung, William & Hsieh, David A., 2013, "Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 734-758, DOI: 10.1016/j.jfineco.2013.04.003.