Research classified by Journal of Economic Literature (JEL) codes

2013

• Shiryaev, Albert N. & Zhitlukhin, M. V. & Ziemba, William T., 2013, "When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60966, Nov.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T. & Wang, Yihui, 2013, "Mark-to-market accounting and systemic risk: evidence from the insurance industry," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60968, Oct.
• Palacios Huerta, Ignacio & Pérez Kakabadse, Alonso, 2013, "Consumption and portfolio rules whit stochastic hyperbolic discounting," IKERLANAK, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I, number http://www-fae1-eao1-ehu-, Sep.
• Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013, "‘Lucas’ In The Laboratory," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1314, revised May 2013.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013, "Time Varying Risk Aversion," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1322, revised Sep 2013.
• Dimitris Vas. Seremetis & Anastasios P. Pappas, 2013, "Government bond yield spreads determination: a matter of fundamentals or market overreaction? Evidence from over-borrowed European countries," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 10, issue 3, pages 342-358, December.
• Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado, 2013, "Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 177-205., January-J.
• Zhenmin Fang & Xin Jiang, 2013, "Effects of differences of opinions and short‐sale constraints on the dual listed Chinese shares," China Finance Review International, Emerald Group Publishing Limited, volume 3, issue 1, pages 61-89, January, DOI: 10.1108/20441391311290785.
• Farmer, Roger & Nourry, Carine & Venditti, Alain, 2013, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," CEPR Discussion Papers, Centre for Economic Policy Research, number 9283, Jan.
• Hellwig, Christian & Tsyvinski, Aleh & Albagli, Elias, 2013, "A Theory of Asset Prices based on Heterogeneous Information," CEPR Discussion Papers, Centre for Economic Policy Research, number 9291, Jan.
• Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013, "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 9349, Feb.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Distilling the Macroeconomic News Flow," CEPR Discussion Papers, Centre for Economic Policy Research, number 9360, Feb.
• Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013, "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers, Centre for Economic Policy Research, number 9377, Mar.
• Wright, Jonathan & Gürkaynak, Refet, 2013, "Identification and Inference Using Event Studies," CEPR Discussion Papers, Centre for Economic Policy Research, number 9388, Mar.
• Vayanos, Dimitri & Guibaud, Stéphane & Nosbusch, Yves, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 9407, Mar.
• Uppal, Raman & Bhamra, Harjoat Singh, 2013, "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 9459, May.
• Dumas, Bernard & Buss, Adrian, 2013, "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," CEPR Discussion Papers, Centre for Economic Policy Research, number 9524, Jun.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Economic Cycles and Expected Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 9528, Jun.
• Koskinen, Yrjö & Albuquerque, Rui & Zhang, Chendi, 2013, "Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 9533, Jul.
• Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013, "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 9538, Jul.
• Sarno, Lucio & Della Corte, Pasquale, 2013, "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers, Centre for Economic Policy Research, number 9549, Jul.
• Padula, Mario & Pettinicchi, Yuri, 2013, "Providing financial education: a general equilibrium approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 9556, Jul.
• Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2013, "Time Varying Risk Aversion," CEPR Discussion Papers, Centre for Economic Policy Research, number 9589, Aug.
• Nagel, Stefan & Korteweg, Arthur, 2013, "Risk-Adjusting the Returns to Venture Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 9610, Aug.
• Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013, "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers, Centre for Economic Policy Research, number 9611, Aug.
• Voth, Hans-Joachim & Giusti, Giovanni & Noussair, Charles, 2013, "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," CEPR Discussion Papers, Centre for Economic Policy Research, number 9652, Sep.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2013, "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 9659, Sep.
• Ghysels, Eric & Marcellino, Massimiliano, 2013, "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 9698, Oct.
• Bianchi, Francesco, 2013, "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 9705, Oct.
• Nimark, Kristoffer P & Barillas, Francisco, 2013, "Speculation, Risk Premia and Expectations in the Yield Curve," CEPR Discussion Papers, Centre for Economic Policy Research, number 9755, Nov.
• Pedersen, Lasse Heje & Frazzini, Andrea & Kabiller, David, 2013, "Buffett?s Alpha," CEPR Discussion Papers, Centre for Economic Policy Research, number 9769, Dec.
• Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 9771, Dec.
• Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013, "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers, Centre for Economic Policy Research, number 9778, Dec.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-1.
• Thorsten Lehnert & Yuehao Lin & Nicolas Martelin, 2013, "Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-11.
• Tibor Neugebauer & Sascha Füllbrunn, 2013, "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-14.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 138, Dec.
• Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013, "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers, Center for Research in Economics and Statistics, number 2013-03, Jan.
• Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013, "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers, Center for Research in Economics and Statistics, number 2013-06, Feb.
• Gildas Lamé, 2013, "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers, Center for Research in Economics and Statistics, number 2013-07, Mar.
• Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013, "Regime Switching and Bond Pricing," Working Papers, Center for Research in Economics and Statistics, number 2013-48, Jun.
• Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara, 2013, "Asymmetry in government bond returns," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 1301.
• Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez, 2013, "La estructura temporal de los tipos de interés: conceptos y procedimientos de estimación," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 36, issue 101, pages 53-63, Agosto.
• Xiangbo Liu & Zijun Liu & Zhigang Qiu, 2013, "Stock Market Manipulation in the Presence of Fund Flows," Annals of Economics and Finance, Society for AEF, volume 14, issue 2, pages 483-491, November.
• Jizheng Huang & Heng-fu Zou, 2013, "Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy," Annals of Economics and Finance, Society for AEF, volume 14, issue 2, pages 367-384, November.
• Lanne, Markku & Saikkonen, Pentti, 2013, "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 447-481, June.
• Lynch, Anthony W. & Wachter, Jessica A., 2013, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 1, pages 277-307, February.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1813-1845, December.
• Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2013, "Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue , pages 16-34, February.
• Chen, Xi & Funke, Michael, 2013, "Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue , pages 39-48, February.
• Ana Fostel & John Geanakoplos, 2013, "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1903, Jul.
• Ana Fostel & John Geanakoplos, 2013, "Financial Innovation, Collateral and Investment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1903R, Jul, revised Mar 2015.
• Ana Fostel & John Geanakoplos, 2013, "Reviewing the Leverage Cycle," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1918, Sep.
• Monfort, Alain (ed.), 2013, "Regime switching in bond yield and spread dynamics," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13651.
• Hong Lan & Alexander Meyer-Gohde, 2013, "Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 197, revised .
• Hans-Helmut Kotz & Dorothea Schäfer, 2013, "Rating-Agenturen: fehlbar und überfordert," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 82, issue 4, pages 135-162, DOI: 10.3790/vjh.82.4.135.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013, "Long Memory in the Ukrainian Stock Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1279.
• Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan, 2013, "Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1333.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2013, "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-11.
• Henri Audigé, 2013, "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-2.
• Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai, 2013, "The Impact of Hedge Funds on Asset Markets," Working Papers, Duke University, Department of Economics, number 13-27.
• Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013, "Asymmetry in Government Bond Returns," Finance Working Papers, East Asian Bureau of Economic Research, number 23399, Mar.
• Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013, "Asymmetry in Government Bond Returns," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23399, Mar.
• Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1314, Sep.
• Kratz , Marie, 2013, "There is a VaR Beyond Usual Approximations," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1317, Nov.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1321, Dec.
• Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013, "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series, HEC Paris, number 969, Jan.
• Morellec , Erwan & Valta , Philip & Zhdanov , Alexei, 2013, "Financing Investment: The Choice between Bonds and Bank Loans," HEC Research Papers Series, HEC Paris, number 1010, Dec.
• Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013, "The Price of Wine," HEC Research Papers Series, HEC Paris, number 1019, Dec.
• Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013, "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-07, Jan.
• Thiago De Oliveira Souza, 2013, "Discount Rates, Market Frictions and the Mystery of the Size Premium," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-43, Nov.
• Salines, Marion & Glöckler, Gabriel & Gade, Thomas & Strodthoff, Steffen, 2013, ""Loose lips sinking markets?": the impact of political communication on sovereign bond spreads," Occasional Paper Series, European Central Bank, number 150, Jul.
• Hiebert, Paul & Sydow, Matthias, 2009, "What drives returns to euro area housing? Evidence from a dynamic dividend-discount model," Working Paper Series, European Central Bank, number 1019, Mar.
• Werner, Thomas & Lemke, Wolfgang, 2009, "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series, European Central Bank, number 1045, Apr.
• Scheicher, Martin & Fender, Ingo, 2009, "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series, European Central Bank, number 1056, May.
• Ehrmann, Michael & Sondermann, David, 2009, "The reception of public signals in financial markets - what if central bank communication becomes stale?," Working Paper Series, European Central Bank, number 1077, Aug.
• Ejsing, Jacob & Sihvonen, Jukka, 2009, "Liquidity premia in German government bonds," Working Paper Series, European Central Bank, number 1081, Aug.
• Andersson, Magnus & Alexopoulou, Ioana & Georgescu, Oana-Maria, 2009, "An empirical study on the decoupling movements between corporate bond and CDS spreads," Working Paper Series, European Central Bank, number 1085, Aug.
• Alexopoulou, Ioana & Bunda, Irina & Ferrando, Annalisa, 2009, "Determinants of government bond spreads in new EU countries," Working Paper Series, European Central Bank, number 1093, Sep.
• Castrén, Olli & Kavonius, Ilja Kristian, 2009, "Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area," Working Paper Series, European Central Bank, number 1124, Dec.
• Attinasi, Maria Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009, "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series, European Central Bank, number 1131, Dec.
• Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010, "Government bond risk premiums in the EU revisited: the impact of the financial crisis," Working Paper Series, European Central Bank, number 1152, Feb.
• Garcí­a, Juan Angel & Werner, Thomas, 2010, "Inflation risks and inflation risk premia," Working Paper Series, European Central Bank, number 1162, Mar.
• Jaccard, Ivan, 2010, "Asset pricing, habit memory, and the labor market," Working Paper Series, European Central Bank, number 1163, Mar.
• Berg, Tobias, 2010, "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series, European Central Bank, number 1165, Mar.
• de Bondt, Gabe & Peltonen, Tuomas A. & Santabárbara, Daniel, 2010, "Booms and busts in China's stock market: Estimates based on fundamentals," Working Paper Series, European Central Bank, number 1190, May.
• Nyholm, Ken & Vidova-Koleva, Rositsa, 2010, "Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?," Working Paper Series, European Central Bank, number 1205, Jun.
• Darracq Pariès, Matthieu & Loublier, Alexis, 2010, "Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy," Working Paper Series, European Central Bank, number 1209, Jun.
• Petrasek, Lubomir, 2010, "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series, European Central Bank, number 1212, Jun.
• de Vincent-Humphreys, Rupert & Puigvert Gutiérrez, Josep Maria, 2010, "A quantitative mirror on the Euribor market using implied probability density functions," Working Paper Series, European Central Bank, number 1281, Dec.
• Marqués-Ibáñez, David & Carbó-Valverde, Santiago & Rodríguez Fernández, Francisco, 2011, "Securitization, bank lending and credit quality: the case of Spain," Working Paper Series, European Central Bank, number 1329, Apr.
• Ehrmann, Michael & Fratzscher, Marcel & Born, Benjamin, 2011, "Central bank communication on financial stability," Working Paper Series, European Central Bank, number 1332, Apr.
• Andersson, Magnus & D'Agostino, Antonello & de Bondt, Gabe & Roma, Moreno, 2011, "The predictive content of sectoral stock prices: a US-euro area comparison," Working Paper Series, European Central Bank, number 1343, May.
• Nyborg, Kjell G. & Fecht, Falko & Rocholl, Jörg, 2011, "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series, European Central Bank, number 1376, Sep.
• Nakov, Anton & Nuño, Galo, 2011, "Learning from experience in the stock market," Working Paper Series, European Central Bank, number 1396, Nov.
• Ehrmann, Michael & Jansen, David-Jan, 2012, "The pitch rather than the pit: investor inattention during FIFA world cup matches," Working Paper Series, European Central Bank, number 1424, Feb.
• Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012, "Liquidity and credit risk premia in government bond yields," Working Paper Series, European Central Bank, number 1440, Jun.
• Gourio, François, 2012, "Macroeconomic implications of time-varying risk premia," Working Paper Series, European Central Bank, number 1463, Aug.
• Colliard, Jean-Edouard, 2013, "Catching falling knives: speculating on market overreaction," Working Paper Series, European Central Bank, number 1545, May.
• Derviz, Alexis, 2013, "Bubbles, bank credit and macroprudential policies," Working Paper Series, European Central Bank, number 1551, Jun.
• Lo Duca, Marco & Hoerova, Marie & Bekaert, Geert, 2013, "Risk, uncertainty and monetary policy," Working Paper Series, European Central Bank, number 1565, Jul.
• Buss, Adrian, 2013, "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series, European Central Bank, number 1578, Aug.
• Duca, John & Muellbauer, John, 2013, "Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models," Working Paper Series, European Central Bank, number 1581, Aug.
• Schwaab, Bernd & Eser, Fabian, 2013, "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series, European Central Bank, number 1587, Sep.
• Jermann, Urban J. & Yue, Vivian Z., 2013, "Interest rate swaps and corporate default," Working Paper Series, European Central Bank, number 1590, Sep.
• Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2013, "Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis," Working Paper Series, European Central Bank, number 1595, Sep.
• Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013, "High frequency trading and price discovery," Working Paper Series, European Central Bank, number 1602, Nov.
• Fontana, Alessandro & Corradin, Stefano, 2013, "House price cycles in Europe," Working Paper Series, European Central Bank, number 1613, Nov.
• Grothe, Magdalena, 2013, "Market pricing of credit rating signals," Working Paper Series, European Central Bank, number 1623, Dec.
• Jordi Mondria & Climent Quintana‐Domeque, 2013, "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, volume 123, issue 568, pages 429-454, May.
• Brice Corgnet & Praveen Kujal & David Porter, 2013, "Reaction to Public Information in Markets: How much does Ambiguity Matter?," Economic Journal, Royal Economic Society, volume 123, issue 569, pages 699-737, June.
• Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana, 2013, "Brand Capital and Firm Value," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-04, Mar.
• Bao, Jack & Hou, Kewei, 2013, "Comovement of Corporate Bonds and Equities," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-11, Jul.
• Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013, "Tick Size Regulation and Sub-Penny Trading," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-14, Sep.
• Chen, Andrew Y., 2013, "External Habit in a Production Economy," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-16, Oct.
• Chabi-Yo, Fousseni & Colacito, Riccardo, 2013, "The Term Structures of Co-entropy in International Financial Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-17, Nov.
• Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013, "Sub-Penny and Queue-Jumping," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-18, Nov.
• Valenzuela, Patricio, 2013, "Rollover Risk and Corporate Bond Spreads," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 13-10.
• Christensen, Jens H. E. & Lopez, Jose A. & Rudebusch, Glenn D., 2013, "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 14-01, Dec.
• Ian Martin, 2013, "The Lucas Orchard," Econometrica, Econometric Society, volume 81, issue 1, pages 55-111, January, DOI: ECTA8446.
• Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013, "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, volume 4, issue 1, pages 39-83, March, DOI: QE97.
• Lucas Lucio Godeiro, 2013, "Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 2, pages 253-275.
• Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013, "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 591-601.
• Patricio Valenzuela, 2013, "Rollover risk and corporate bond spreads," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 300.
• Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013, "No Good Deals - No Bad Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-20.
• Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013, "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-47.
• Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013, "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-58.
• Diasakos, Theodoros M, 2013, "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-91.
• Diasakos, Theodoros M, 2013, "Comparative Statics of Asset Prices: the effect of other assets' risk," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-94.
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013, "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1305, Jan.
• Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013, "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 115-124, DOI: 10.1016/j.asieco.2013.04.005.
• Jiang, Wei & Stark, Andrew W., 2013, "Dividends, research and development expenditures, and the value relevance of book value for UK loss-making firms," The British Accounting Review, Elsevier, volume 45, issue 2, pages 112-124, DOI: 10.1016/j.bar.2013.03.003.
• Lin, Hui Ling & Pukthuanthong, Kuntara & Walker, Thomas John, 2013, "An international look at the lawsuit avoidance hypothesis of IPO underpricing," Journal of Corporate Finance, Elsevier, volume 19, issue C, pages 56-77, DOI: 10.1016/j.jcorpfin.2012.10.003.
• Byun, Hae-Young & Choi, Sunhwa & Hwang, Lee-Seok & Kim, Robert G., 2013, "Business group affiliation, ownership structure, and the cost of debt," Journal of Corporate Finance, Elsevier, volume 23, issue C, pages 311-331, DOI: 10.1016/j.jcorpfin.2013.09.003.
• Yamamoto, Ryuichi & Hirata, Hideaki, 2013, "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 10, pages 2010-2022, DOI: 10.1016/j.jedc.2013.05.006.
• Gagliardini, Patrick & Gouriéroux, Christian, 2013, "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2241-2269, DOI: 10.1016/j.jedc.2013.05.016.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013, "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2351-2370, DOI: 10.1016/j.jedc.2013.06.005.
• Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013, "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2417-2445, DOI: 10.1016/j.jedc.2013.07.003.
• Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013, "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2623-2642, DOI: 10.1016/j.jedc.2013.06.015.
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