Research classified by Journal of Economic Literature (JEL) codes

2014

• H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014, "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/14.
• Luca D'Agostino, 2014, "Life insurance profit testing in the Solvency II framework," Banca Impresa Società, Società editrice il Mulino, issue 1, pages 43-78.
• Joanna Olbry�, 2014, "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, volume 45, issue 6, pages 513�536-5.
• Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen, 2014, "Credit rating agency downgrades and the Eurozone sovereign debt crises," NBP Working Papers, Narodowy Bank Polski, number 177.
• Dariusz Gatarek & Juliusz Jabłecki, 2014, "Estimating the risk of joint defaults: an application to central bank collateralized lending operations," NBP Working Papers, Narodowy Bank Polski, number 181.
• Gonzalo Camba-Méndez & Dobromił Serwa, 2014, "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers, Narodowy Bank Polski, number 185.
• Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa, 2014, "Pricing sovereign credit risk of an emerging market," NBP Working Papers, Narodowy Bank Polski, number 189.
• Jonathan A. Parker & Michael Woodford, 2014, "NBER Macroeconomics Annual 2013, Volume 28," NBER Books, National Bureau of Economic Research, Inc, number park13-1.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2014, "Dynamic Dispersed Information and the Credit Spread Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 19788, Jan.
• Hyun-Soo Choi & Harrison Hong & Jeffrey Kubik & Jeffrey P. Thompson, 2014, "When Real Estate is the Only Game in Town," NBER Working Papers, National Bureau of Economic Research, Inc, number 19798, Jan.
• Bryan Kelly & Lubos Pastor & Pietro Veronesi, 2014, "The Price of Political Uncertainty: Theory and Evidence from the Option Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 19812, Jan.
• Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014, "Origins of Stock Market Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 19818, Jan.
• Alexander Ljungqvist & Wenlan Qian, 2014, "How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 19834, Jan.
• Fatih Guvenen & Greg Kaplan & Jae Song, 2014, "How Risky Are Recessions for Top Earners?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19864, Jan.
• Robert E. Hall, 2014, "High Discounts and High Unemployment," NBER Working Papers, National Bureau of Economic Research, Inc, number 19871, Jan.
• Mervyn King & David Low, 2014, "Measuring the ''World'' Real Interest Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 19887, Feb.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014, "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19917, Feb.
• Péter Kondor & Dimitri Vayanos, 2014, "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 19931, Feb.
• Peter Koudijs & Hans-Joachim Voth, 2014, "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 19957, Mar.
• Roger Farmer, 2014, "Asset Prices in a Lifecycle Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19958, Mar.
• Esben Hedegaard & Robert J. Hodrick, 2014, "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers, National Bureau of Economic Research, Inc, number 19969, Mar.
• Yehuda Izhakian & David Yermack, 2014, "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19975, Mar.
• Jordi Gali & Luca Gambetti, 2014, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 19981, Mar.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014, "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," NBER Working Papers, National Bureau of Economic Research, Inc, number 19985, Mar.
• Simon Gilchrist & Benoît Mojon, 2014, "Credit Risk in the Euro Area," NBER Working Papers, National Bureau of Economic Research, Inc, number 20041, Apr.
• Jess Benhabib & Pengfei Wang, 2014, "Private Information and Sunspots in Sequential Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20044, Apr.
• Jerry Tsai & Jessica A. Wachter, 2014, "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20062, Apr.
• John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014, "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 20070, Apr.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2014, "Do ETFs Increase Volatility?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20071, Apr.
• Robert F. Stambaugh, 2014, "Investment Noise and Trends," NBER Working Papers, National Bureau of Economic Research, Inc, number 20072, Apr.
• Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014, "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 20076, Apr.
• Lynn M. Fisher & Lauren Lambie-Hanson & Paul S. Willen, 2014, "The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums," NBER Working Papers, National Bureau of Economic Research, Inc, number 20080, Apr.
• George M. Constantinides & Anisha Ghosh, 2014, "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 20110, May.
• Drew D. Creal & Jing Cynthia Wu, 2014, "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 20115, May.
• Jing Cynthia Wu & Fan Dora Xia, 2014, "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," NBER Working Papers, National Bureau of Economic Research, Inc, number 20117, May.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014, "Very Long-Run Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 20133, May.
• Jonathan B. Berk & Jules H. van Binsbergen & Binying Liu, 2014, "Matching Capital and Labor," NBER Working Papers, National Bureau of Economic Research, Inc, number 20138, May.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014, "A Model of Monetary Policy and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 20141, May.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014, "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20154, May.
• Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014, "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 20187, Jun.
• Daniel Andrei & Bruce Carlin & Michael Hasler, 2014, "Model Disagreement and Economic Outlook," NBER Working Papers, National Bureau of Economic Research, Inc, number 20190, Jun.
• David le Bris & William N. Goetzmann & Sébastien Pouget, 2014, "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers, National Bureau of Economic Research, Inc, number 20199, Jun.
• Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014, "Misspecified Recovery," NBER Working Papers, National Bureau of Economic Research, Inc, number 20209, Jun.
• Frederico Belo & Xiaoji Lin & Fan Yang, 2014, "External Equity Financing Shocks, Financial Flows, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 20210, Jun.
• Esben Hedegaard & Robert J. Hodrick, 2014, "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers, National Bureau of Economic Research, Inc, number 20245, Jun.
• Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens, 2014, "Investor Sophistication and Capital Income Inequality," NBER Working Papers, National Bureau of Economic Research, Inc, number 20246, Jun.
• Stefan Nagel, 2014, "The Liquidity Premium of Near-Money Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20265, Jun.
• Itamar Drechsler & Qingyi Freda Drechsler, 2014, "The Shorting Premium and Asset Pricing Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 20282, Jul.
• Morris A. Davis & Stijn Van Nieuwerburgh, 2014, "Housing, Finance and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20287, Jul.
• Tarek A. Hassan & Rui C. Mano, 2014, "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers, National Bureau of Economic Research, Inc, number 20294, Jul.
• Alex Edmans & Lucius Li & Chendi Zhang, 2014, "Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World," NBER Working Papers, National Bureau of Economic Research, Inc, number 20300, Jul.
• Frank Schorfheide & Dongho Song & Amir Yaron, 2014, "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 20303, Jul.
• David Backus & Axelle Ferriere & Stanley Zin, 2014, "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 20319, Jul.
• YiLi Chien & Harold L. Cole & Hanno Lustig, 2014, "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20328, Jul.
• Peter Benczur & Cosmin L. Ilut, 2014, "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 20391, Aug.
• Lars Peter Hansen, 2014, "Uncertainty Outside and Inside Economic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 20394, Aug.
• Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014, "The Carry Trade: Risks and Drawdowns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20433, Aug.
• Jonathan B. Berk & Jules H. van Binsbergen, 2014, "Assessing Asset Pricing Models Using Revealed Preference," NBER Working Papers, National Bureau of Economic Research, Inc, number 20435, Aug.
• Lorenz Kueng, 2014, "Tax News: The Response of Household Spending to Changes in Expected Taxes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20437, Aug.
• Kent Daniel & Tobias J. Moskowitz, 2014, "Momentum Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20439, Aug.
• Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014, "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers, National Bureau of Economic Research, Inc, number 20459, Sep.
• Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014, "Asset Management Contracts and Equilibrium Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 20480, Sep.
• Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2014, "Strategic Trading in Informationally Complex Environments," NBER Working Papers, National Bureau of Economic Research, Inc, number 20516, Sep.
• Darrell Duffie & Piotr Dworczak, 2014, "Robust Benchmark Design," NBER Working Papers, National Bureau of Economic Research, Inc, number 20540, Oct.
• Francis Longstaff, 2014, "Valuing Thinly-Traded Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20589, Oct.
• Robert Novy-Marx, 2014, "Understanding Defensive Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 20591, Oct.
• Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014, ". . . and the Cross-Section of Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20592, Oct.
• Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014, "Competing for Order Flow in OTC Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20608, Oct.
• Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014, "Benchmarks in Search Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20620, Oct.
• Veronica Guerrieri & Robert Shimer, 2014, "Markets with Multidimensional Private Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 20623, Oct.
• Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2014, "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 20638, Oct.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014, "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20651, Oct.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014, "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20660, Nov.
• Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun, 2014, "The Power of the Street: Evidence from Egypt's Arab Spring," NBER Working Papers, National Bureau of Economic Research, Inc, number 20665, Nov.
• Anisha Ghosh & George M. Constantinides, 2014, "Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20678, Nov.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014, "Which Factors?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20682, Nov.
• Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20691, Nov.
• Don H. Kim & Jonathan H. Wright, 2014, "Jumps in Bond Yields at Known Times," NBER Working Papers, National Bureau of Economic Research, Inc, number 20711, Nov.
• Robert Novy-Marx & Mihail Velikov, 2014, "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20721, Dec.
• Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014, "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20744, Dec.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014, "Heterogeneity in Decentralized Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20746, Dec.
• Felix Gerding & Espen Henriksen & Ina Simonovska, 2014, "The Risky Capital of Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20769, Dec.
• Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014, "Option-Based Credit Spreads," NBER Working Papers, National Bureau of Economic Research, Inc, number 20776, Dec.
• Sergey Chernenko & Samuel G. Hanson & Adi Sunderam, 2014, "The Rise and Fall of Demand for Securitizations," NBER Working Papers, National Bureau of Economic Research, Inc, number 20777, Dec.
• Benjamin Golez & Peter Koudijs, 2014, "Four Centuries of Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 20814, Dec.
• Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2014, "Common Factors in Return Seasonalities," NBER Working Papers, National Bureau of Economic Research, Inc, number 20815, Dec.
• Rudi Georgiev, 2014, "Valuation Issues Related To The Mutual Funds Assets," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, volume 10, issue 1, pages 2-10.
• Adam Hayes, 2014, "What Factors Give Cryptocurrencies Their Value: An Empirical Analysis," Working Papers, New School for Social Research, Department of Economics, number 1406, Dec, revised Mar 2015.
• Roseli da Silva & Mario Augusto Bertella & Renan de Almeida Magner Pereira, 2014, "Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal précrise de 2008 [Brazilian stock market: An empirical investigation of its long-term relationships and 2008 pre-crisis temporal prece," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 24, issue 2, pages 317-336, May-Augus.
• Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014, "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, volume 8, issue 4, pages 263-365, December, DOI: 10.1561/0500000045.
• Secomandi, Nicola & Seppi, Duane J., 2014, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, volume 6, issue 3-4, pages 161-331, July, DOI: 10.1561/0200000024.
• Evgeniya Mikova & Tamara Teplova, 2014, "Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 25-42, October.
• Dimiter Nenkov, 2014, "The Recent Records on the US Stock Market – High Intrinsic Value or Just Another Bubble?," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 5-16, December.
• Maryam Sami & Sandro Brusco, 2014, "Reputational Concerns and Price Comovements," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 14-05.
• Anella Munro, 2014, "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2014/01, Jan.
• Sebastian Schich & Yesim Aydin, 2014, "Measurement and analysis of implicit guarantees for bank debt: OECD survey results," OECD Journal: Financial Market Trends, OECD Publishing, volume 2014, issue 1, pages 39-67, DOI: 10.1787/fmt-2014-5jxzbv3r9rf4.
• Sebastian Schich & Michiel Bijlsma & Remco Mocking, 2014, "Improving the monitoring of the value of implicit guarantees for bank debt," OECD Journal: Financial Market Trends, OECD Publishing, volume 2014, issue 1, pages 7-37, DOI: 10.1787/fmt-2014-5jxzmkgjnt9x.
• Eduardo Olaberría, 2014, "US Long Term Interest Rates and Capital Flows to Emerging Economies," OECD Economics Department Working Papers, OECD Publishing, number 1155, Jul, DOI: 10.1787/5jz0wh67l733-en.
• Fudulache Adina Elena, 2014, "Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 02, June.
• Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala, 2014, "Trade Credit and Cross-country Predictable Firm Returns," Staff Discussion Papers, Office of Financial Research, US Department of the Treasury, number 14-04, Nov.
• Teodor Hada & Teodora Maria Avram, 2014, "Aspects Concerning The Determination Of Bankruptcy Risk By Solvency And Liquidity Ratios In The Companies Listed On The Bucharest Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 632-640, July.
• Ciumas Cristina & Chis Diana-Maria, 2014, "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 864-873, July.
• Thomas Goda & Photis Lysandrou, 2014, "The contribution of wealth concentration to the subprime crisis: a quantitative estimation," Cambridge Journal of Economics, Cambridge Political Economy Society, volume 38, issue 2, pages 301-327.
• Richard S. Grossman & Ronan C. Lyons & Kevin Hjortshøj O'rourke & Madalina A. Ursu, 2014, "A monthly stock exchange index for Ireland, 1864–1930," European Review of Economic History, European Historical Economics Society, volume 18, issue 3, pages 248-276.
• Peter Carr & Liuren Wu, 2014, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 3-46.
• Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2014, "The Price Impact of Order Book Events," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 47-88.
• Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014, "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 237-277.
• Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion For Models With Distorted Beliefs," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 129, issue 4, pages 1753-1797.

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.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013, "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, volume 9, issue 2, pages 185-215, May, DOI: 10.1007/s10436-012-0215-0.
• Thomas Lux, 2013, "Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach," Annals of Finance, Springer, volume 9, issue 2, pages 217-248, May, DOI: 10.1007/s10436-012-0219-9.
• Azamat Abdymomunov, 2013, "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, volume 9, issue 3, pages 455-470, August, DOI: 10.1007/s10436-012-0194-1.
• Alexander Ludwig & Alexander Zimper, 2013, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, volume 9, issue 4, pages 625-665, November, DOI: 10.1007/s10436-012-0208-z.
• Marco Realdon, 2013, "Participation exemption and tax arbitrage: Italy’s case," European Journal of Law and Economics, Springer, volume 36, issue 1, pages 77-93, August, DOI: 10.1007/s10657-010-9207-6.
• Jing Wang & Xiaoneng Zhu, 2013, "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 1, pages 1-30, March, DOI: 10.1007/s11408-012-0204-3.
• Markus Buergi, 2013, "Pricing contingent convertibles: a general framework for application in practice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 1, pages 31-63, March, DOI: 10.1007/s11408-012-0203-4.
• Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013, "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 2, pages 127-148, June, DOI: 10.1007/s11408-013-0207-8.
• Erindi Allaj, 2013, "The Black–Litterman model: a consistent estimation of the parameter tau," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 2, pages 217-251, June, DOI: 10.1007/s11408-013-0205-x.
• Stephan Kessler & Bernd Scherer, 2013, "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 4, pages 335-363, December, DOI: 10.1007/s11408-013-0215-8.
• Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013, "Central bank communication and correlation between financial markets: Canada and the United States," International Economics and Economic Policy, Springer, volume 10, issue 2, pages 277-296, June, DOI: 10.1007/s10368-012-0211-x.
• Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013, "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, volume 43, issue 1, pages 69-98, February, DOI: 10.1007/s10693-011-0125-8.
• Claudio Raddatz & Sergio Schmukler, 2013, "Deconstructing Herding: Evidence from Pension Fund Investment Behavior," Journal of Financial Services Research, Springer;Western Finance Association, volume 43, issue 1, pages 99-126, February, DOI: 10.1007/s10693-012-0155-x.
• Serguei Chervachidze & William Wheaton, 2013, "What Determined the Great Cap Rate Compression of 2000–2007, and the Dramatic Reversal During the 2008–2009 Financial Crisis?," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 2, pages 208-231, February, DOI: 10.1007/s11146-011-9334-z.
• Peter Chinloy & Zhonghua Wu, 2013, "The Inventory-Sales Ratio and Homebuilder Return Predictability," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 3, pages 397-423, April, DOI: 10.1007/s11146-011-9340-1.
• Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013, "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 4, pages 568-595, May, DOI: 10.1007/s11146-012-9376-x.
• Gwangheon Hong & Bong Lee, 2013, "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 1, pages 123-151, July, DOI: 10.1007/s11146-011-9353-9.
• Marcel Arsenault & Jim Clayton & Liang Peng, 2013, "Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 2, pages 243-265, August, DOI: 10.1007/s11146-012-9361-4.
• Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013, "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 4, pages 787-813, November, DOI: 10.1007/s11146-013-9431-2.
• Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, volume 24, issue 1, pages 5-32, February, DOI: 10.1007/s11079-012-9254-4.
• Michael Ehrmann & Marcel Fratzscher, 2013, "Dispersed communication by central bank committees and the predictability of monetary policy decisions," Public Choice, Springer, volume 157, issue 1, pages 223-244, October, DOI: 10.1007/s11127-012-9941-0.
• Florence Guillaume, 2013, "The αVG model for multivariate asset pricing: calibration and extension," Review of Derivatives Research, Springer, volume 16, issue 1, pages 25-52, April, DOI: 10.1007/s11147-012-9080-2.
• Andrey Itkin, 2013, "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, volume 16, issue 2, pages 111-134, July, DOI: 10.1007/s11147-012-9082-0.
• Gabriel Drimus & Walter Farkas, 2013, "Local volatility of volatility for the VIX market," Review of Derivatives Research, Springer, volume 16, issue 3, pages 267-293, October, DOI: 10.1007/s11147-012-9086-9.
• Valentina Galvani & Stuart Landon, 2013, "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 135-154, January, DOI: 10.1007/s11156-011-0267-7.
• Karel Hrazdil & Thomas Scott, 2013, "The role of industry classification in estimating discretionary accruals," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 15-39, January, DOI: 10.1007/s11156-011-0268-6.
• Frederik Lundtofte, 2013, "The quality of public information and the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 4, pages 715-740, May, DOI: 10.1007/s11156-012-0295-y.
• María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013, "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 1, pages 53-74, July, DOI: 10.1007/s11156-012-0300-5.
• Vivek Singh, 2013, "Did institutions herd during the internet bubble?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 513-534, October, DOI: 10.1007/s11156-012-0320-1.
• Benjamin Blau & Chip Wade, 2013, "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 567-583, October, DOI: 10.1007/s11156-013-0377-5.
• Carl Chen & Peter Lung & F. Wang, 2013, "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 631-650, November, DOI: 10.1007/s11156-012-0326-8.
• Jungshik Hur & Vivek Singh, 2013, "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 753-767, November, DOI: 10.1007/s11156-012-0331-y.
• Norio Kitagawa & Shin' ya Okuda, 2013, "Management Forecasts, Idiosyncratic Risk, and Information Environment," Discussion Papers, Kobe University, Graduate School of Business Administration, number 2013-38, May, revised Jul 2013.
• Larry Bensimhon & Yuri Biondi, 2013, "Financial Bubbles, Common Knowledge and Alternative Accounting Regimes: An Experimental Analysis of Artificial Spot Security Markets," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, volume 3, pages 21-59, December.
• Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013, "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1303, Feb.
• Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013, "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1304, Feb.
• Banu Simmons-Sueer, 2013, "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 13-328, Jan, DOI: 10.3929/ethz-a-007611520.
• Chia-Lin Chang & David E Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 842, Jan.
• Robert J. Elliott & Katsumasa Nishide, 2013, "Pricing of Discount Bonds with a Markov Switching Regime　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 859, Apr.
• Chiaki Hara, 2013, "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 862, Apr.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 873, Jul.
• Yawen Hudson & Christopher J. Green, 2013, "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series, Department of Economics, Loughborough University, number 2013_13, Nov, revised Nov 2013.
• Antony Jackson & Daniel Ladley, 2013, "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/02, Jan.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2013, "Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/20, Sep.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 307-329.
• Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013, "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 330-355.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-1.
• Thorsten Lehnert & Yuehao Lin & Nicolas Martelin, 2013, "Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-11.
• Jean-Sébastien Michel & J. Ari Pandes, 2013, "Why Do Analysts Disagree ?," Cahiers de recherche, CIRPEE, number 1305.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• David Ardia & Kris Boudt, 2013, "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche, CIRPEE, number 1328.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 1, pages 1-36, February, DOI: j.1538-4616.2012.00560.x.
• Chang-Jin Kim & Cheolbeom Park, 2013, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 5, pages 933-952, August.
• Mohammad R. Jahan-Parvar & Xuan Liu & Philip Rothman, 2013, "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 6, pages 1117-1146, September.
• Shiba Suzuki, 2013, "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 22, Feb.
• David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013, "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 49, issue S3, pages 47-61, July.
• Dimitrios V Kousenidis & Christos Negakis, 2013, "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, volume 17, issue 1-2, pages 107-148, March - J.
• Claudio Morana, 2013, "The oil price-macroeconomy relationship since the mid-1980s: A global perspective," Working Papers, University of Milano-Bicocca, Department of Economics, number 223, Feb, revised Feb 2013.
• Fabio C. Bagliano & Claudio Morana, 2013, "Determinants of US Financial fragility conditions," Working Papers, University of Milano-Bicocca, Department of Economics, number 224, Feb, revised Feb 2013.
• Claudio Morana, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 225, Nov, revised Nov 2013.
• Ahmad Naimzada & Marina Pireddu, 2013, "Dynamic behavior of real and stock markets with a varying degree of interaction," Working Papers, University of Milano-Bicocca, Department of Economics, number 245, Jun, revised Jun 2013.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers, University of Milano-Bicocca, Department of Economics, number 264, Dec, revised Dec 2013.
• Szilárd Erhart & Imre Ligeti & Zoltán Molnár, 2013, "Reasons for the LIBOR review and its effects on international interbank reference rate quotations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 8, issue 1, pages 23-34, January.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Lisa Mattioli & Riccardo Ferretti, 2013, "La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0039, Aug.
• Shin-ichi Fukuda & Mariko Tanaka, 2013, "Financial Crises and Risk Premiums in International Interbank Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 1, pages 117-138, January.
• Seiichiro Iwasawa & Tomonori Uchiyama, 2013, "A Behavioral Economics Exploration into the "Volatility Anomaly" ``," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 457-490, September.
• Kozo Omori, 2013, "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 491-514, September.
• Toshiki Honda, 2013, "Risk and Return in Japanese Equity Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 515-530, September.
• Satoshi Sakamaki, 2013, "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 531-552, September.
• Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc, 2013, "Price Discontinuities in Energy Spot and Futures Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 33-13, Jul.
• Flavio Bazzana & Eleonora Broccardo, 2013, "The role of bondholder coordination in freeze-out exchange offers," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 67-84, January.
• Nadia Linciano & Luca Giordano & Paola Soccorso, 2013, "Sovereign risk premia in the Euro Area and the role of contagion," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 85-114, January.
• Dennis W. Jansen, 2013, "Understanding the Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight, Missouri Valley Economic Association, volume 39, issue 1, pages 65-72.
• Kristjanpoller Rodríguez Werner, 2013, "Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 37-62, enero-mar.