Research classified by Journal of Economic Literature (JEL) codes

2013

• Green, T. Clifton & Jame, Russell, 2013, "Company name fluency, investor recognition, and firm value," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 813-834, DOI: 10.1016/j.jfineco.2013.04.007.
• Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013, "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 110-138, DOI: 10.1016/j.jfineco.2013.04.009.
• Bakshi, Gurdip & Panayotov, George, 2013, "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 139-163, DOI: 10.1016/j.jfineco.2013.04.010.
• Yang, Fan, 2013, "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 164-184, DOI: 10.1016/j.jfineco.2013.04.012.
• Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013, "The economics of hedge funds," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 300-323, DOI: 10.1016/j.jfineco.2013.05.004.
• Aharoni, Gil & Grundy, Bruce & Zeng, Qi, 2013, "Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 347-357, DOI: 10.1016/j.jfineco.2013.08.003.
• Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013, "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 358-386, DOI: 10.1016/j.jfineco.2013.08.002.
• Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013, "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 419-436, DOI: 10.1016/j.jfineco.2013.06.006.
• Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013, "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 457-477, DOI: 10.1016/j.jfineco.2013.07.006.
• van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013, "Equity yields," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 503-519, DOI: 10.1016/j.jfineco.2013.08.017.
• Pástor, Ľuboš & Veronesi, Pietro, 2013, "Political uncertainty and risk premia," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 520-545, DOI: 10.1016/j.jfineco.2013.08.007.
• Hong, Harrison & Sraer, David, 2013, "Quiet bubbles," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 596-606, DOI: 10.1016/j.jfineco.2013.07.002.
• Kitsul, Yuriy & Wright, Jonathan H., 2013, "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 696-711, DOI: 10.1016/j.jfineco.2013.08.013.
• Chang, Sanders S., 2013, "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 1079-1096, DOI: 10.1016/j.jimonfin.2012.09.002.
• De Moor, Lieven & Sercu, Piet, 2013, "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 129-155, DOI: 10.1016/j.jimonfin.2012.04.002.
• Dieckmann, Stephan & Gallmeyer, Michael, 2013, "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 163-187, DOI: 10.1016/j.jimonfin.2012.11.017.
• Acker, Daniella & Duck, Nigel W., 2013, "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 235-254, DOI: 10.1016/j.jimonfin.2012.11.018.
• Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013, "Spread the news: The impact of news on the European sovereign bond markets during the crisis," Journal of International Money and Finance, Elsevier, volume 34, issue C, pages 83-101, DOI: 10.1016/j.jimonfin.2012.11.005.
• Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013, "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 529-563, DOI: 10.1016/j.jimonfin.2013.07.003.
• ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013, "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 75-97, DOI: 10.1016/j.jimonfin.2013.06.001.
• King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013, "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, volume 38, issue C, pages 95-119, DOI: 10.1016/j.jimonfin.2013.05.004.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Journal of International Money and Finance, Elsevier, volume 39, issue C, pages 65-88, DOI: 10.1016/j.jimonfin.2013.06.019.
• Chen, Sichong, 2013, "How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s," Journal of the Japanese and International Economies, Elsevier, volume 30, issue C, pages 1-18, DOI: 10.1016/j.jjie.2013.07.003.
• Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013, "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, volume 36, issue C, pages 33-50, DOI: 10.1016/j.jmacro.2013.01.002.
• McMillan, David G., 2013, "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, volume 36, issue C, pages 76-88, DOI: 10.1016/j.jmacro.2013.01.007.
• Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013, "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, volume 37, issue C, pages 81-92, DOI: 10.1016/j.jmacro.2013.01.004.
• Kivedal, Bjørnar Karlsen, 2013, "Testing for rational bubbles in the US housing market," Journal of Macroeconomics, Elsevier, volume 38, issue PB, pages 369-381, DOI: 10.1016/j.jmacro.2013.08.021.
• Humphreys, Brad R. & Paul, Rodney J. & Weinbach, Andrew P., 2013, "Consumption benefits and gambling: Evidence from the NCAA basketball betting market," Journal of Economic Psychology, Elsevier, volume 39, issue C, pages 376-386, DOI: 10.1016/j.joep.2013.05.010.
• Majumder, Debasish, 2013, "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, volume 35, issue 4, pages 572-587, DOI: 10.1016/j.jpolmod.2011.08.016.
• Jouini, Jamel, 2013, "Return and volatility interaction between oil prices and stock markets in Saudi Arabia," Journal of Policy Modeling, Elsevier, volume 35, issue 6, pages 1124-1144, DOI: 10.1016/j.jpolmod.2013.08.003.
• Riedel, Frank & Herzberg, Frederik, 2013, "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, volume 49, issue 5, pages 398-404, DOI: 10.1016/j.jmateco.2013.07.001.
• Ang, Andrew & Longstaff, Francis A., 2013, "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, volume 60, issue 5, pages 493-510, DOI: 10.1016/j.jmoneco.2013.04.009.
• Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013, "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, volume 60, issue 7, pages 771-788, DOI: 10.1016/j.jmoneco.2013.06.003.
• Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013, "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, volume 23, issue 5, pages 394-414, DOI: 10.1016/j.mulfin.2013.08.001.
• Chae, Joon & Yang, Cheol-Won, 2013, "Commonality in individuals' trading: A systematic path between behavioral bias and expected returns," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1008-1023, DOI: 10.1016/j.pacfin.2012.07.003.
• Tswei, Keshin, 2013, "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1062-1078, DOI: 10.1016/j.pacfin.2012.08.001.
• Doukas, John A. & Wang, Liu, 2013, "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1116-1135, DOI: 10.1016/j.pacfin.2012.08.004.
• Nguyen, Nhut H. & Lo, Ka Hei, 2013, "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1175-1190, DOI: 10.1016/j.pacfin.2012.05.002.
• Pan, Li & Tang, Ya & Xu, Jianguo, 2013, "Weekly momentum by return interval ranking," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1191-1208, DOI: 10.1016/j.pacfin.2012.06.001.
• Wang, Jianxin, 2013, "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1209-1231, DOI: 10.1016/j.pacfin.2012.06.003.
• Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian, 2013, "The price of sin in the Pacific-Basin," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 899-913, DOI: 10.1016/j.pacfin.2012.06.005.
• Tsai, Shih-Chuan, 2013, "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 932-951, DOI: 10.1016/j.pacfin.2012.07.001.
• Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon, 2013, "An empirical study of credit spreads in an emerging market: The case of Korea," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 952-966, DOI: 10.1016/j.pacfin.2012.07.005.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013, "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 107-124, DOI: 10.1016/j.pacfin.2012.10.004.
• Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013, "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 69-87, DOI: 10.1016/j.pacfin.2012.10.002.
• Tang, Hui-wen & Chen, Anlin & Chang, Chong-Chuo, 2013, "Insider trading, accrual abuse, and corporate governance in emerging markets — Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 132-155, DOI: 10.1016/j.pacfin.2013.04.005.
• Shams, Syed M.M. & Gunasekarage, Abeyratna & Colombage, Sisira R.N., 2013, "Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 89-108, DOI: 10.1016/j.pacfin.2013.04.002.
• Nartea, Gilbert V. & Wu, Ji, 2013, "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 119-135, DOI: 10.1016/j.pacfin.2013.07.004.
• Inoguchi, Masahiro, 2013, "Interbank market, stock market, and bank performance in East Asia," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 136-156, DOI: 10.1016/j.pacfin.2013.08.006.
• Tseng, Yun-lan & Hu, Shing-yang, 2013, "Tax reform and the identity of marginal traders around ex-dividend days," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 181-199, DOI: 10.1016/j.pacfin.2013.08.009.
• Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013, "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 273-293, DOI: 10.1016/j.pacfin.2013.10.001.
• Eichler, Stefan & Hofmann, Michael, 2013, "Sovereign default risk and decentralization: Evidence for emerging markets," European Journal of Political Economy, Elsevier, volume 32, issue C, pages 113-134, DOI: 10.1016/j.ejpoleco.2013.06.009.
• Salaber, Julie, 2013, "Religion and returns in Europe," European Journal of Political Economy, Elsevier, volume 32, issue C, pages 149-160, DOI: 10.1016/j.ejpoleco.2013.07.002.
• Zeng, Zheng, 2013, "New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 125-139, DOI: 10.1016/j.qref.2013.02.005.
• Klein, Rudolf F. & Chow, Victor K., 2013, "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 175-187, DOI: 10.1016/j.qref.2013.02.003.
• Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013, "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 3, pages 238-256, DOI: 10.1016/j.qref.2013.05.005.
• Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013, "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 4, pages 476-485, DOI: 10.1016/j.qref.2013.05.002.
• Cheng, Che-Hui & Wu, Po-Chin, 2013, "Nonlinear earnings persistence," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 156-168, DOI: 10.1016/j.iref.2012.07.003.
• Hueng, C. James & Yau, Ruey, 2013, "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 326-337, DOI: 10.1016/j.iref.2012.07.014.
• Gebka, Bartosz & Wohar, Mark E., 2013, "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 144-159, DOI: 10.1016/j.iref.2012.09.009.
• Demirer, Rıza & Jategaonkar, Shrikant P., 2013, "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, volume 22, issue 3, pages 125-134, DOI: 10.1016/j.rfe.2013.04.004.
• Giovannetti, Bruno C., 2013, "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 169-179, DOI: 10.1016/j.rfe.2013.05.008.
• Walkshäusl, Christian, 2013, "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 180-186, DOI: 10.1016/j.rfe.2013.06.001.
• Lagoarde-Segot, Thomas, 2013, "Does stock market development always improve firm-level financing? Evidence from Tunisia," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 183-208, DOI: 10.1016/j.ribaf.2011.10.003.
• Brière, Marie & Signori, Ombretta, 2013, "Hedging inflation risk in a developing economy: The case of Brazil," Research in International Business and Finance, Elsevier, volume 27, issue 1, pages 209-222, DOI: 10.1016/j.ribaf.2012.04.003.
• Samson, Lucie, 2013, "Asset prices and exchange risk: Empirical evidence from Canada," Research in International Business and Finance, Elsevier, volume 28, issue C, pages 35-44, DOI: 10.1016/j.ribaf.2012.09.006.
• Vidal-García, Javier, 2013, "The persistence of European mutual fund performance," Research in International Business and Finance, Elsevier, volume 28, issue C, pages 45-67, DOI: 10.1016/j.ribaf.2012.09.004.
• Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013, "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, volume 29, issue C, pages 35-51, DOI: 10.1016/j.ribaf.2013.02.001.
• Khaled, Mohammed S. & Keef, Stephen P., 2013, "Seasonal affective disorder: onset and recovery," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 42, issue C, pages 136-139, DOI: 10.1016/j.socec.2012.11.018.
• Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura, 2013, "Asymmetry in Government Bond Returns," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-12, Feb.
• Alfonso Mendoza Velazquez & Peter N. Smith, 2013, "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-22, May.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2013, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-24, May.
• Vipin Arora & Shuping Shi, 2013, "A Heterogenous Agent Foundation for Tests of Asset Price Bubbles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-35, Jun.
• Leo Krippner, 2013, "A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-49, Aug.
• Leo Krippner, 2013, "Faster Solutions for Black Zero Lower Bound Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-66, Sep.
• Leo Krippner, 2013, "Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-77, Dec.
• Wulfrano Gómez & Leovardo Mata & Montserrat Reyna, 2013, "Hodrick-Prescott Filter: An Extreme-Sport Testing," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 7, issue 1, pages 1-13.
• Lou, Dong & Polk, Christopher, 2013, "Comomentum: inferring arbitrage activity from return correlations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119033, Apr.
• Gao, Pengjie & Lou, Dong, 2013, "Cross-market timing in security issuance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119036, Feb.
• Cella, Cristina & Ellul, Andrew & Giannetti, Mariassunta, 2013, "Investors' horizons and the amplification of market shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119037, Feb.
• Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013, "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, volume 17, issue 1, pages 35-105.
• Elyès Jouini & Clotilde Napp & Yannick Viossat, 2013, "Evolutionary Beliefs and Financial Markets," Review of Finance, European Finance Association, volume 17, issue 2, pages 727-766.
• Pavel Bandarchuk & Jens Hilscher, 2013, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, volume 17, issue 2, pages 809-845.
• James J. Choi & Li Jin & Hongjun Yan, 2013, "What Does Stock Ownership Breadth Measure?," Review of Finance, European Finance Association, volume 17, issue 4, pages 1239-1278.
• Avanidhar Subrahmanyam & Sheridan Titman, 2013, "Financial Market Shocks and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 11, pages 2687-2717.
• Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013, "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 12, pages 2985-3028.
• Ron Kaniel & Péter Kondor, 2013, "The Delegated Lucas Tree," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 4, pages 929-984.
• Alex Edmans & Vivian W. Fang & Emanuel Zur, 2013, "The Effect of Liquidity on Governance," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 6, pages 1443-1482.
• Cristina Cella & Andrew Ellul & Mariassunta Giannetti, 2013, "Investors' Horizons and the Amplification of Market Shocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 7, pages 1607-1648.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 8, pages 1914-1961.
• Nedelcu Monica Letitia, 2013, "The Liquidity of the Financial System and the Sovereign Debt Crisis in Europe – Is There a Solution?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 238-243, May.
• Asãvoaei Alexandru, 2013, "Keynesian Realism and the Present State of Economic Science," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 410-414, May.
• Kevin Hjortshøj O'Rourke & Richard S. Grossman & Madalina A. Ursu & Ronan Lyons, 2013, "A monthly stock exchange index for Ireland, 1864-1930," Oxford Economic and Social History Working Papers, University of Oxford, Department of Economics, number _120, Oct.
• Christopher Adam & David Bevan, 2002, "Fiscal Deficits and Growth in Developing Countries," Economics Series Working Papers, University of Oxford, Department of Economics, number 120, Oct.
• John Thanassoulis, 2013, "Short-Term Shareholders, Bubbles, And CEO Myopia," Economics Series Working Papers, University of Oxford, Department of Economics, number 663, Jul.
• Jerry Tsai, 2013, "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers, University of Oxford, Department of Economics, number 665, Jul.
• John Muellbauer, 2013, "Conditional Eurobonds and the Eurozone Sovereign Debt Crisis," Economics Series Working Papers, University of Oxford, Department of Economics, number 681, Oct.
• David Hou Author-Name: David Skeie, 2013, "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics, Palgrave Macmillan, chapter 1, in: Steven N. Durlauf & Lawrence E. Blume.
• Philippe Durand & Yalin Gündüz & Isabelle Thomazeau, 2013, "Estimating Endogenous Liquidity Using Transaction and Order Book Information," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner, "Advances in Financial Risk Management", DOI: 10.1057/9781137025098_8.
• Leszek Czapiewski, 2013, "Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange," Business and Economic Horizons (BEH), Prague Development Center, volume 9, issue 3, pages 79-86, October.
• Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013, "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-013, Feb.
• Rilina Basu & Ranjanendra Narayan Nag, 2013, "Money, the Stock Market and the Macroeconomy: A Theoretical Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 52, issue 3, pages 235-246.
• Mubin, Muhammad & Lal, Irfan & Hussain, Adnan, 2013, "Determinant of Return on Assets and Return on Equity and Its Industry Wise Effects: Evidence from KSE (Karachi Stock Exchange)," MPRA Paper, University Library of Munich, Germany, number 106801, Nov.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," MPRA Paper, University Library of Munich, Germany, number 43687, Jan.
• Borenstein, Eliezer & Elkayam, David, 2013, "The equity premium in a small open economy, and an application to Israel," MPRA Paper, University Library of Munich, Germany, number 43909, Jan.
• García Muñoz, Luis Manuel, 2013, "CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions," MPRA Paper, University Library of Munich, Germany, number 44252, Feb.
• Han, Meng & He, Yeqi & Zhang, Hu, 2013, "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper, University Library of Munich, Germany, number 44495, Feb.
• Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013, "Do ambiguity effects survive in experimental asset markets?," MPRA Paper, University Library of Munich, Germany, number 44700, Feb.
• Sun, David & Tsai, Shih-Chuan, 2013, "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper, University Library of Munich, Germany, number 44767, Dec, revised 09 Jan 2014.
• SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen, 2013, "US Corporate Bond Yield Spread: A default risk debate," MPRA Paper, University Library of Munich, Germany, number 44887, Mar.
• El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On option pricing in illiquid markets with random jumps," MPRA Paper, University Library of Munich, Germany, number 45172, Mar.
• Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013, "The drivers of downside equity tail risk," MPRA Paper, University Library of Munich, Germany, number 45591, Feb.
• Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013, "The cross-section of tail risks in stock returns," MPRA Paper, University Library of Munich, Germany, number 45592, Feb.
• Lamé, Gildas, 2013, "Was there a "Greenspan conundrum" in the Euro area ?," MPRA Paper, University Library of Munich, Germany, number 45870, Mar.
• Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013, "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper, University Library of Munich, Germany, number 46528, Apr.
• Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013, "Testing rational speculative bubbles in Central European stock markets," MPRA Paper, University Library of Munich, Germany, number 46582, Feb.
• Xiao, Tim, 2013, "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper, University Library of Munich, Germany, number 47104, May.
• Hannah, Lincoln, 2013, "Funding Cost and a New Capital Model," MPRA Paper, University Library of Munich, Germany, number 47111, May.
• Xiao, Tim, 2013, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper, University Library of Munich, Germany, number 47136, May.
• Pakos, Michal, 2013, "Long-Run Risk and Hidden Growth Persistence," MPRA Paper, University Library of Munich, Germany, number 47217, Apr.
• Xiao, Tim, 2013, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper, University Library of Munich, Germany, number 47366, May.
• Li, Minqiang & Mercurio, Fabio, 2013, "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper, University Library of Munich, Germany, number 47465.
• Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013, "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper, University Library of Munich, Germany, number 47572, Jun.
• Ivanov, Sergei, 2013, "Interest rate paradox," MPRA Paper, University Library of Munich, Germany, number 47723, Jun.
• Sinha, Pankaj & Mathur, Kritika, 2013, "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper, University Library of Munich, Germany, number 47864, Jun.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "A Generalization of Gray and Whaley's Option," MPRA Paper, University Library of Munich, Germany, number 47908, Jun, revised 30 Jun 2013.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "On the liquidity of CAC 40 index options Market," MPRA Paper, University Library of Munich, Germany, number 47921, Jun, revised 01 Jul 2013.
• Hearn, Bruce, 2013, "Size and liquidity effects in Nigeria: an industrial sector study," MPRA Paper, University Library of Munich, Germany, number 47975, Jan.
• Ndako, Umar Bida, 2013, "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper, University Library of Munich, Germany, number 48076, Jul.
• Siddiqi, Hammad, 2013, "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 48862, Jul.
• Cantillo, Andres, 2013, "Survey of Literature on Portfolio Theory," MPRA Paper, University Library of Munich, Germany, number 49772, Aug.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper, University Library of Munich, Germany, number 49921, Sep.
• Charlin, Ventura & Cifuentes, Arturo, 2013, "A new financial metric for the art market," MPRA Paper, University Library of Munich, Germany, number 50186, Sep.
• García Muñoz, Luis Manuel, 2013, "Interest rate modeling under multiple discounting curves," MPRA Paper, University Library of Munich, Germany, number 50357, Oct.
• Siddiqi, Hammad, 2013, "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper, University Library of Munich, Germany, number 50759, Aug.
• Alves, Paulo, 2013, "The Fama French Model or the capital asset pricing model: international evidence," MPRA Paper, University Library of Munich, Germany, number 51434, revised 2013.
• Nath, Golaka, 2013, "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper, University Library of Munich, Germany, number 51590, Nov.
• Nath, Golaka, 2013, "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper, University Library of Munich, Germany, number 51591, Oct.
• Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif, 2013, "Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate," MPRA Paper, University Library of Munich, Germany, number 51593, Nov, revised 04 Nov 2013.
• Nath, Golaka, 2013, "Liquidity Issues in Indian Sovereign Bond Market," MPRA Paper, University Library of Munich, Germany, number 51633, May.
• Ogundipe, Adeyemi & Ogundipe, Oluwatomisin, 2013, "Oil Price and Exchange Rate Volatility in Nigeria," MPRA Paper, University Library of Munich, Germany, number 51668, Nov.
• Jäckel, Christoph, 2013, "Model uncertainty and expected return proxies," MPRA Paper, University Library of Munich, Germany, number 51978, Dec.
• Jensen, Mark J & Maheu, John M, 2013, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper, University Library of Munich, Germany, number 52132, Dec.
• Lee, Y. & So, Leh-chyan, 2013, "Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches," MPRA Paper, University Library of Munich, Germany, number 52371.
• So, Leh-chyan, 2013, "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper, University Library of Munich, Germany, number 52493.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2013, "Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India," MPRA Paper, University Library of Munich, Germany, number 52581, Nov.
• Bai, Jushan & Ando, Tomohiro, 2013, "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper, University Library of Munich, Germany, number 52785, Jul, revised Dec 2013.
• Jarraya, Bilel & Bouri, Abdelfettah, 2013, "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper, University Library of Munich, Germany, number 53697, revised 2013.
• Jarraya, Bilel, 2013, "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper, University Library of Munich, Germany, number 53698, revised 2013.
• Shaikh, Salman, 2013, "Investment Decisions by Analysts: A Case Study of KSE," MPRA Paper, University Library of Munich, Germany, number 53802, Dec.
• Nauta, Bert-Jan, 2013, "Discounting Cashflows from Illiquid Assets on Bank Balance Sheets," MPRA Paper, University Library of Munich, Germany, number 54781, Apr, revised 22 Oct 2013.
• Tomić, Bojan, 2013, "The application of the capital asset pricing model on the Croatian capital market," MPRA Paper, University Library of Munich, Germany, number 55764, revised 2013.
• Liu, Xiaochun, 2013, "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 55801, Dec.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach," MPRA Paper, University Library of Munich, Germany, number 56406, Mar.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Transitional Dynamics of Oil Prices," MPRA Paper, University Library of Munich, Germany, number 56407, Apr.
• Avino, Davide & Cotter, John, 2013, "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper, University Library of Munich, Germany, number 56782, Jun.
• Onour, Ibrahim, 2013, "Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan," MPRA Paper, University Library of Munich, Germany, number 57082.
• Rizvi, Syed Aun & Masih, Mansur, 2013, "Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 57701, May.
• Caspi, Itamar, 2013, "Rtadf: Testing for Bubbles with EViews," MPRA Paper, University Library of Munich, Germany, number 58791, Aug, revised 06 Sep 2014.
• Karkowska, Renata, 2013, "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," MPRA Paper, University Library of Munich, Germany, number 58802, Oct.
• Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013, "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 58837, Aug.
• Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013, "Long memory in the ukrainian stock market and financial crises," MPRA Paper, University Library of Munich, Germany, number 59061, Oct.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper, University Library of Munich, Germany, number 61562, Jan.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Risk-adjusted pricing of bank’s assets based on cash flow matching matrix," MPRA Paper, University Library of Munich, Germany, number 61611, Dec.
• Genest, Benoit & Rego, David & Freon, Helene, 2013, "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper, University Library of Munich, Germany, number 62908, Aug.
• Breckenfelder, Johannes, 2013, "Competition between high-frequency traders, and market quality," MPRA Paper, University Library of Munich, Germany, number 66715, Mar, revised Dec 2013.
• Okur, Mustafa & Cevik, Emrah Ismail, 2013, "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper, University Library of Munich, Germany, number 71477, revised 2013.
• Ripamonti, Alexandre, 2013, "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper, University Library of Munich, Germany, number 79460.
• Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013, "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper, University Library of Munich, Germany, number 83500, revised 2013.
• Julian, Inchauspe & Helen, Cabalu, 2013, "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper, University Library of Munich, Germany, number 93049, Sep.
• Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak, 2013, "House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201309, Feb.
• Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013, "The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data," Working Papers, University of Pretoria, Department of Economics, number 201326, Jun.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013, "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201345, Aug.
• 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, University of Pretoria, Department of Economics, number 201351, Sep.
• Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2013, "Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests," Working Papers, University of Pretoria, Department of Economics, number 201358, Sep.
• Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013, "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201360, Oct.
• Robert G. Kuklik & Vladislav Vacek, 2013, "Volatility Asset Pricing Model as an Alternative Approach?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2013, issue 1, pages 39-66, DOI: 10.18267/j.efaj.95.
• Mark Huggett & Greg Kaplan, 2013, "The Money Value of a Man," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1474, Jul.
• Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2013, "New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 4-2013, Apr.
• Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013, "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper, Harvard University OpenScholar, number 106061, Jan.
• Gianni La Cava, 2013, "Liquidity Shocks and the US Housing Credit Crisis of 2007–2008," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2013-05, May.
• Ortiz, Marco, 2013, "Learning Through the Yield Curve," Working Papers, Banco Central de Reserva del Perú, number 2013-018, Dec.
• Charles Sutcliffe, 2013, "Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-06, Jul.
• Ogonna Nneji, 2013, "Liquidity Shocks and Stock Bubbles," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-07, Jul, revised Jan 2014.
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Online Appendix to "Brand Capital and Firm Value"," Online Appendices, Review of Economic Dynamics, number 12-71.
• Conny Olovsson, 2013, "Code and data files for "How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?"," Computer Codes, Review of Economic Dynamics, number 11-135, revised .
• Galina Vereshchagina, 2013, "Code files for "Preferences for Risk in Dynamic Models with Adjustment Costs Corresponding"," Computer Codes, Review of Economic Dynamics, number 11-155, revised .
• Doriana Ruffino, 2013, "Code and data files for "Resuscitating Businessman Risk: A Rationale for Familiarity-based Portfolios"," Computer Codes, Review of Economic Dynamics, number 11-295, revised .
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Code and data files for "Brand Capital and Firm Value"," Computer Codes, Review of Economic Dynamics, number 12-71, revised .
• Emil Iantchev, 2013, "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 16, issue 3, pages 497-510, July, DOI: 10.1010/j.red.2012.08.002.
• Eric Swanson, 2013, "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers, Society for Economic Dynamics, number 1137.
• Stefano Giglio & Ian Dew-Becker, 2013, "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers, Society for Economic Dynamics, number 1244.
• Raman Uppal & Harjoat Bhamra, 2013, "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers, Society for Economic Dynamics, number 1344.
• Robert Shimer & Veronica Guerrieri, 2013, "Markets with Multidimensional Private Information," 2013 Meeting Papers, Society for Economic Dynamics, number 210.
• Vivian Yue & Egon Zakrajsek & Simon Gilchrist, 2013, "Sovereign Risk and Financial Risk," 2013 Meeting Papers, Society for Economic Dynamics, number 289.