Research classified by Journal of Economic Literature (JEL) codes

2013

• Chauveau, Th. & Subbotin, A., 2013, "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1040-1065, DOI: 10.1016/j.jedc.2013.01.011.
• Malevergne, Y. & Saichev, A. & Sornette, D., 2013, "Zipf's law and maximum sustainable growth," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 6, pages 1195-1212, DOI: 10.1016/j.jedc.2013.02.004.
• Kurz, Mordecai & Piccillo, Giulia & Wu, Howei, 2013, "Modeling diverse expectations in an aggregated New Keynesian Model," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1403-1433, DOI: 10.1016/j.jedc.2013.01.016.
• Anufriev, Mikhail & Tuinstra, Jan, 2013, "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1523-1543, DOI: 10.1016/j.jedc.2013.04.015.
• Dunbar, Geoffrey, 2013, "Returns-to-scale and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1736-1754, DOI: 10.1016/j.jedc.2013.04.007.
• Pakoš, Michal, 2013, "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1911-1928, DOI: 10.1016/j.jedc.2013.04.005.
• Warusawitharana, Missaka, 2013, "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1929-1946, DOI: 10.1016/j.jedc.2013.04.003.
• Zhou, Jian, 2013, "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, volume 30, issue C, pages 196-204, DOI: 10.1016/j.econmod.2012.09.030.
• Yang, Chunpeng & Zhang, Rengui, 2013, "Sentiment asset pricing model with consumption," Economic Modelling, Elsevier, volume 30, issue C, pages 462-467, DOI: 10.1016/j.econmod.2012.11.004.
• Gupta, Rangan & Modise, Mampho P., 2013, "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, volume 30, issue C, pages 612-622, DOI: 10.1016/j.econmod.2012.10.015.
• Ahamada, Ibrahim & Jolivaldt, Philippe, 2013, "Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP," Economic Modelling, Elsevier, volume 31, issue C, pages 460-466, DOI: 10.1016/j.econmod.2012.12.007.
• Jouini, Jamel, 2013, "Stock markets in GCC countries and global factors: A further investigation," Economic Modelling, Elsevier, volume 31, issue C, pages 80-86, DOI: 10.1016/j.econmod.2012.11.039.
• Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R., 2013, "House price dynamics and their reaction to macroeconomic changes," Economic Modelling, Elsevier, volume 32, issue C, pages 172-178, DOI: 10.1016/j.econmod.2013.02.007.
• Mishra, Ashok K. & Moss, Charles B., 2013, "Modeling the effect of off-farm income on farmland values: A quantile regression approach," Economic Modelling, Elsevier, volume 32, issue C, pages 361-368, DOI: 10.1016/j.econmod.2013.02.022.
• Duran, Murat & Gülşen, Eda, 2013, "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, volume 32, issue C, pages 592-601, DOI: 10.1016/j.econmod.2013.02.036.
• Yang, Chunpeng & Zhang, Rengui, 2013, "Dynamic asset pricing model with heterogeneous sentiments," Economic Modelling, Elsevier, volume 33, issue C, pages 248-253, DOI: 10.1016/j.econmod.2013.03.026.
• Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013, "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, volume 33, issue C, pages 613-619, DOI: 10.1016/j.econmod.2013.03.018.
• Kiani, Khurshid M., 2013, "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, volume 33, issue C, pages 926-939, DOI: 10.1016/j.econmod.2013.06.005.
• Prat, Georges, 2013, "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, volume 34, issue C, pages 76-88, DOI: 10.1016/j.econmod.2012.12.004.
• Yang, Chunpeng & Yan, Wei & Zhang, Rengui, 2013, "Sentiment approach to negative expected return in the stock market," Economic Modelling, Elsevier, volume 35, issue C, pages 30-34, DOI: 10.1016/j.econmod.2013.06.018.
• Yang, Chunpeng & Li, Jinfang, 2013, "Investor sentiment, information and asset pricing model," Economic Modelling, Elsevier, volume 35, issue C, pages 436-442, DOI: 10.1016/j.econmod.2013.07.015.
• Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric, 2013, "Investor attention and stock market activity: Evidence from France," Economic Modelling, Elsevier, volume 35, issue C, pages 674-681, DOI: 10.1016/j.econmod.2013.08.034.
• Xie, Jun & Yang, Chunpeng, 2013, "Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking," Economic Modelling, Elsevier, volume 35, issue C, pages 682-688, DOI: 10.1016/j.econmod.2013.08.030.
• Shehzad, Choudhry Tanveer & De Haan, Jakob, 2013, "Was the 2007 crisis really a global banking crisis?," The North American Journal of Economics and Finance, Elsevier, volume 24, issue C, pages 113-124, DOI: 10.1016/j.najef.2012.04.002.
• Hammoudeh, Shawkat & McAleer, Michael, 2013, "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 109-115, DOI: 10.1016/j.najef.2012.06.014.
• Larsson, Carl F., 2013, "What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 22-39, DOI: 10.1016/j.najef.2013.01.001.
• Chia-Lin Chang & Allen, David & McAleer, Michael, 2013, "Recent developments in financial economics and econometrics: An overview," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 217-226, DOI: 10.1016/j.najef.2013.02.001.
• Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013, "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 53-71, DOI: 10.1016/j.najef.2013.06.001.
• Krippner, Leo, 2013, "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, volume 118, issue 1, pages 135-138, DOI: 10.1016/j.econlet.2012.10.011.
• Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter, 2013, "Risk aversion in the large and in the small," Economics Letters, Elsevier, volume 118, issue 2, pages 310-313, DOI: 10.1016/j.econlet.2012.11.013.
• Massacci, Daniele, 2013, "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, volume 119, issue 2, pages 199-203, DOI: 10.1016/j.econlet.2013.02.031.
• Branch, William A. & Evans, George W., 2013, "Bubbles, crashes and risk," Economics Letters, Elsevier, volume 120, issue 2, pages 254-258, DOI: 10.1016/j.econlet.2013.04.030.
• David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane, 2013, "Art market inefficiency," Economics Letters, Elsevier, volume 121, issue 1, pages 23-25, DOI: 10.1016/j.econlet.2013.06.033.
• Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013, "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, volume 121, issue 2, pages 174-178, DOI: 10.1016/j.econlet.2013.07.026.
• Kandrac, John, 2013, "Have Federal Reserve MBS purchases affected market functioning?," Economics Letters, Elsevier, volume 121, issue 2, pages 188-191, DOI: 10.1016/j.econlet.2013.08.011.
• Kandrac, John & Schlusche, Bernd, 2013, "Flow effects of large-scale asset purchases," Economics Letters, Elsevier, volume 121, issue 2, pages 330-335, DOI: 10.1016/j.econlet.2013.09.003.
• Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2013, "Stock exchange mergers and return co-movement: A flexible dynamic component correlations model," Economics Letters, Elsevier, volume 121, issue 3, pages 511-515, DOI: 10.1016/j.econlet.2013.10.001.
• Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013, "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 307-324, DOI: 10.1016/j.jeconom.2012.08.014.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013, "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 108-125, DOI: 10.1016/j.jeconom.2012.11.002.
• Bikbov, Ruslan & Chernov, Mikhail, 2013, "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, volume 174, issue 1, pages 27-43, DOI: 10.1016/j.jeconom.2013.01.002.
• Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013, "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 93-111, DOI: 10.1016/j.jeconom.2012.12.003.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013, "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, volume 58, issue C, pages 58-80, DOI: 10.1016/j.euroecorev.2012.11.005.
• Zervou, Anastasia S., 2013, "Financial market segmentation, stock market volatility and the role of monetary policy," European Economic Review, Elsevier, volume 63, issue C, pages 256-272, DOI: 10.1016/j.euroecorev.2013.06.005.
• Kinnunen, Jyri, 2013, "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, volume 15, issue C, pages 107-121, DOI: 10.1016/j.ememar.2012.12.001.
• Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013, "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, volume 15, issue C, pages 122-135, DOI: 10.1016/j.ememar.2013.01.002.
• Blitz, David & Pang, Juan & van Vliet, Pim, 2013, "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, volume 16, issue C, pages 31-45, DOI: 10.1016/j.ememar.2013.02.004.
• Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013, "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, volume 17, issue C, pages 209-223, DOI: 10.1016/j.ememar.2013.03.002.
• Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2013, "Aggregational Gaussianity and barely infinite variance in financial returns," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 102-108, DOI: 10.1016/j.jempfin.2012.11.003.
• Du, Ding, 2013, "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 130-146, DOI: 10.1016/j.jempfin.2012.12.001.
• Muñoz, Francisco, 2013, "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 18-29, DOI: 10.1016/j.jempfin.2012.10.001.
• Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013, "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2012.10.002.
• Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013, "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 96-101, DOI: 10.1016/j.jempfin.2012.11.001.
• Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013, "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 102-120, DOI: 10.1016/j.jempfin.2012.12.003.
• Blau, Benjamin M. & Pinegar, J. Michael, 2013, "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 142-155, DOI: 10.1016/j.jempfin.2013.01.005.
• Zinna, Gabriele, 2013, "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2012.12.006.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013, "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 195-213, DOI: 10.1016/j.jempfin.2013.01.003.
• Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013, "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 54-68, DOI: 10.1016/j.jempfin.2012.12.008.
• Wagner, Niklas & Winter, Elisabeth, 2013, "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 69-85, DOI: 10.1016/j.jempfin.2012.12.005.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2013, "What do the Fama–French factors add to C-CAPM?," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 113-127, DOI: 10.1016/j.jempfin.2013.04.002.
• Li, Minqiang, 2013, "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 128-139, DOI: 10.1016/j.jempfin.2013.04.004.
• Baele, Lieven & Londono, Juan M., 2013, "Understanding industry betas," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 30-51, DOI: 10.1016/j.jempfin.2013.02.003.
• Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013, "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 67-77, DOI: 10.1016/j.jempfin.2013.03.002.
• Kim, Hwagyun & Park, Hail, 2013, "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.03.003.
• Rossi, Eduardo & Santucci de Magistris, Paolo, 2013, "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 94-112, DOI: 10.1016/j.jempfin.2013.03.004.
• Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013, "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 1-15, DOI: 10.1016/j.jempfin.2013.04.001.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 16-32, DOI: 10.1016/j.jempfin.2013.04.006.
• Post, Thierry & Kopa, Miloš, 2013, "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 187-190, DOI: 10.1016/j.jempfin.2013.06.003.
• Lambert, M. & Hübner, G., 2013, "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 191-205, DOI: 10.1016/j.jempfin.2013.07.001.
• Romano, Joseph P. & Wolf, Michael, 2013, "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 93-116, DOI: 10.1016/j.jempfin.2013.05.001.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Gourieroux, C. & Monfort, A., 2013, "Linear-price term structure models," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 24-41, DOI: 10.1016/j.jempfin.2013.07.004.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
• Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2013, "Autocorrelation and partial price adjustment," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.08.003.
• Awartani, Basel & Maghyereh, Aktham Issa, 2013, "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, volume 36, issue C, pages 28-42, DOI: 10.1016/j.eneco.2012.11.024.
• Conlon, Thomas & Cotter, John, 2013, "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, volume 36, issue C, pages 371-379, DOI: 10.1016/j.eneco.2012.09.012.
• Koch, Nicolas & Bassen, Alexander, 2013, "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, volume 36, issue C, pages 431-443, DOI: 10.1016/j.eneco.2012.09.019.
• Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013, "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, volume 36, issue C, pages 491-502, DOI: 10.1016/j.eneco.2012.10.006.
• Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013, "Risk spillovers in oil-related CDS, stock and credit markets," Energy Economics, Elsevier, volume 36, issue C, pages 526-535, DOI: 10.1016/j.eneco.2012.10.010.
• Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013, "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, volume 36, issue C, pages 97-107, DOI: 10.1016/j.eneco.2012.12.004.
• Talbot, Edward & Artiach, Tracy & Faff, Robert, 2013, "What drives the commodity price beta of oil industry stocks?," Energy Economics, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.eneco.2013.01.004.
• Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013, "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, volume 37, issue C, pages 40-51, DOI: 10.1016/j.eneco.2013.01.006.
• Fink, Jason D. & Fink, Kristin E., 2013, "Hurricane forecast revisions and petroleum refiner equity returns," Energy Economics, Elsevier, volume 38, issue C, pages 1-11, DOI: 10.1016/j.eneco.2013.02.005.
• Cifarelli, Giulio, 2013, "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, volume 38, issue C, pages 160-167, DOI: 10.1016/j.eneco.2013.03.006.
• Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013, "The liquidity of energy stocks," Energy Economics, Elsevier, volume 38, issue C, pages 168-175, DOI: 10.1016/j.eneco.2013.02.015.
• Asteriou, Dimitrios & Bashmakova, Yuliya, 2013, "Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries," Energy Economics, Elsevier, volume 38, issue C, pages 204-211, DOI: 10.1016/j.eneco.2013.02.011.
• Chang, Kuang-Liang & Yu, Shih-Ti, 2013, "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, volume 39, issue C, pages 159-168, DOI: 10.1016/j.eneco.2013.05.008.
• Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013, "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, volume 40, issue C, pages 976-988, DOI: 10.1016/j.eneco.2013.05.020.
• Vivian, Andrew & Wohar, Mark E., 2013, "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, volume 26, issue C, pages 40-50, DOI: 10.1016/j.irfa.2012.05.002.
• Realdon, Marco, 2013, "Credit risk, valuation and fundamental analysis," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 77-90, DOI: 10.1016/j.irfa.2012.10.001.
• Verousis, Thanos & ap Gwilym, Owain, 2013, "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 91-102, DOI: 10.1016/j.irfa.2012.08.007.
• Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013, "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, volume 28, issue C, pages 166-173, DOI: 10.1016/j.irfa.2013.02.005.
• Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013, "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, volume 28, issue C, pages 174-181, DOI: 10.1016/j.irfa.2013.02.007.
• Baradarannia, M. Reza & Peat, Maurice, 2013, "Liquidity and expected returns—Evidence from 1926–2008," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 10-23, DOI: 10.1016/j.irfa.2013.03.007.
• Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013, "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 202-211, DOI: 10.1016/j.irfa.2012.12.001.
• Gębka, Bartosz & Wohar, Mark E., 2013, "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 51-61, DOI: 10.1016/j.irfa.2013.03.010.
• Cho, Sungjun, 2013, "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 87-106, DOI: 10.1016/j.irfa.2013.04.003.
• Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013, "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 121-130, DOI: 10.1016/j.irfa.2013.07.014.
• Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013, "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 141-148, DOI: 10.1016/j.irfa.2013.06.004.
• Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John, 2013, "Accruals quality, stock returns and asset pricing: Evidence from the UK," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 203-213, DOI: 10.1016/j.irfa.2013.08.006.
• Avino, Davide & Lazar, Emese & Varotto, Simone, 2013, "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 242-253, DOI: 10.1016/j.irfa.2013.08.002.
• Battaglia, Francesca & Gallo, Angela, 2013, "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 274-286, DOI: 10.1016/j.irfa.2013.03.002.
• Dorsman, André & Gounopoulos, Dimitrios, 2013, "European Sovereign Debt Crisis and the performance of Dutch IPOs," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 308-319, DOI: 10.1016/j.irfa.2013.07.003.
• Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013, "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 69-77, DOI: 10.1016/j.irfa.2013.06.001.
• Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013, "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 78-85, DOI: 10.1016/j.irfa.2013.05.007.
• Ludvigson, Sydney C., 2013, "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00012-3.
• Duffee, Gregory R., 2013, "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00013-5.
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2013, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2-a, March.
• G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2013, "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, number 2-b, March.
• Guthrie, Graeme, 2013, "A value premium without operating leverage," Finance Research Letters, Elsevier, volume 10, issue 1, pages 1-11, DOI: 10.1016/j.frl.2012.10.001.
• Golbabai, A. & Ballestra, L.V. & Ahmadian, D., 2013, "Superconvergence of the finite element solutions of the Black–Scholes equation," Finance Research Letters, Elsevier, volume 10, issue 1, pages 17-26, DOI: 10.1016/j.frl.2012.09.002.
• Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013, "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, volume 10, issue 1, pages 34-40, DOI: 10.1016/j.frl.2012.07.002.
• Chen, Rui & Du, Ke, 2013, "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, volume 10, issue 1, pages 41-48, DOI: 10.1016/j.frl.2012.07.001.
• Carmichael, Benoıˆt & Coën, Alain, 2013, "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, volume 10, issue 2, pages 50-57, DOI: 10.1016/j.frl.2013.01.001.
• Dev, Pritha, 2013, "Transfer of information by an informed trader," Finance Research Letters, Elsevier, volume 10, issue 2, pages 58-71, DOI: 10.1016/j.frl.2013.01.002.
• Smith, Godfrey, 2013, "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, volume 10, issue 2, pages 93-101, DOI: 10.1016/j.frl.2012.11.002.
• Galvani, Valentina & Gubellini, Stefano, 2013, "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, volume 10, issue 3, pages 142-150, DOI: 10.1016/j.frl.2013.05.005.
• Jarrow, Robert A., 2013, "The zero-lower bound on interest rates: Myth or reality?," Finance Research Letters, Elsevier, volume 10, issue 4, pages 151-156, DOI: 10.1016/j.frl.2013.08.003.
• Shafer, Michael & Yildirim, Yildiray, 2013, "Operational risk and equity prices," Finance Research Letters, Elsevier, volume 10, issue 4, pages 157-168, DOI: 10.1016/j.frl.2013.05.001.
• Bergeron, Claude, 2013, "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, volume 10, issue 4, pages 184-195, DOI: 10.1016/j.frl.2013.07.004.
• Obizhaeva, Anna A. & Wang, Jiang, 2013, "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 1-32, DOI: 10.1016/j.finmar.2012.09.001.
• Valseth, Siri, 2013, "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 127-151, DOI: 10.1016/j.finmar.2012.04.005.
• Li, Yuanzhi & Zhong, Zhaodong (Ken), 2013, "Investing in Chapter 11 stocks: Trading, value, and performance," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 33-60, DOI: 10.1016/j.finmar.2012.09.006.
• Gao, Feng & Song, Fengming & Wang, Jun, 2013, "Rational expectations equilibrium with uncertain proportion of informed traders," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 387-413, DOI: 10.1016/j.finmar.2012.04.001.
• Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013, "Short-term residual reversal," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 477-504, DOI: 10.1016/j.finmar.2012.10.005.
• Raviv, Alon & Sisli-Ciamarra, Elif, 2013, "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, volume 9, issue 1, pages 55-68, DOI: 10.1016/j.jfs.2012.12.003.
• Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013, "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, volume 9, issue 3, pages 337-346, DOI: 10.1016/j.jfs.2012.11.004.
• Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea, 2013, "Do investors care about credit ratings? An analysis through the cycle," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 545-555, DOI: 10.1016/j.jfs.2012.11.006.
• Kim, Jinyong & Kim, Yong-Cheol, 2013, "Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 682-694, DOI: 10.1016/j.jfs.2012.06.002.
• Sun, Changyou, 2013, "On the market risk of securitized timberlands," Journal of Forest Economics, Elsevier, volume 19, issue 2, pages 110-127, DOI: 10.1016/j.jfe.2012.11.002.
• Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013, "International risk cycles," Journal of International Economics, Elsevier, volume 89, issue 2, pages 471-484, DOI: 10.1016/j.jinteco.2011.10.001.
• Dahlquist, Magnus & Hasseltoft, Henrik, 2013, "International Bond Risk Premia," Journal of International Economics, Elsevier, volume 90, issue 1, pages 17-32, DOI: 10.1016/j.jinteco.2012.11.008.
• Pézier, Jacques & Scheller, Johanna, 2013, "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 263-274, DOI: 10.1016/j.insmatheco.2013.01.001.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013, "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 300-311, DOI: 10.1016/j.insmatheco.2013.01.004.
• Blackburn, Craig & Sherris, Michael, 2013, "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 64-73, DOI: 10.1016/j.insmatheco.2013.04.007.
• Magni, Carlo Alberto, 2013, "Generalized Makeham’s formula and economic profitability," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 747-756, DOI: 10.1016/j.insmatheco.2013.09.014.
• Thuraisamy, Kannan & Gannon, Gerard, 2013, "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 222-239, DOI: 10.1016/j.intfin.2012.08.002.
• Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2013, "Price impact of block trades in the Saudi stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 322-341, DOI: 10.1016/j.intfin.2012.11.003.
• Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu, 2013, "Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 379-401, DOI: 10.1016/j.intfin.2012.09.008.
• Gębka, Bartosz & Wohar, Mark E., 2013, "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 55-84, DOI: 10.1016/j.intfin.2012.09.003.
• Gurun, Ayfer, 2013, "Business strategy and financial consequences: The case of antidumping filings," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 127-138, DOI: 10.1016/j.intfin.2012.11.006.
• Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013, "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 139-152, DOI: 10.1016/j.intfin.2012.11.011.
• Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon, 2013, "Saints versus Sinners. Does morality matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 166-183, DOI: 10.1016/j.intfin.2012.12.002.
• Papavassiliou, Vassilios G., 2013, "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 184-197, DOI: 10.1016/j.intfin.2012.12.003.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013, "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 119-143, DOI: 10.1016/j.intfin.2013.01.006.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 33-48, DOI: 10.1016/j.intfin.2013.01.001.
• Li, Hong, 2013, "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 88-105, DOI: 10.1016/j.intfin.2013.01.007.
• Smales, Lee A., 2013, "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 113-132, DOI: 10.1016/j.intfin.2013.05.006.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2013, "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 258-272, DOI: 10.1016/j.intfin.2013.06.004.
• Klein, Arne C., 2013, "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 291-304, DOI: 10.1016/j.intfin.2013.06.006.
• Levy, Tamir & Yagil, Joseph, 2013, "Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 91-99, DOI: 10.1016/j.intfin.2013.04.001.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 1-12, DOI: 10.1016/j.intfin.2013.07.011.
• Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013, "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 113-136, DOI: 10.1016/j.intfin.2013.07.012.
• Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao, 2013, "Does idiosyncratic volatility matter in emerging markets? Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 137-160, DOI: 10.1016/j.intfin.2013.09.002.
• Philippas, Dionisis & Siriopoulos, Costas, 2013, "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 161-176, DOI: 10.1016/j.intfin.2013.09.008.
• Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei, 2013, "Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 47-58, DOI: 10.1016/j.intfin.2013.07.007.
• Morales-Arias, Leonardo & Moura, Guilherme V., 2013, "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, volume 29, issue 3, pages 493-509, DOI: 10.1016/j.ijforecast.2012.10.007.
• Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013, "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 148-167, DOI: 10.1016/j.jacceco.2013.01.005.
• Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R., 2013, "Cost of capital and earnings transparency," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 206-224, DOI: 10.1016/j.jacceco.2013.01.004.
• Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X., 2013, "Accounting restatements, governance and municipal debt financing," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 212-227, DOI: 10.1016/j.jacceco.2013.08.003.
• Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013, "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 251-266, DOI: 10.1016/j.jacceco.2013.08.002.
• Aono, Kohei & Iwaisako, Tokuo, 2013, "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, volume 25, issue , pages 39-51, DOI: 10.1016/j.japwor.2012.11.001.
• Wang, Hao & Zhou, Hao & Zhou, Yi, 2013, "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3733-3746, DOI: 10.1016/j.jbankfin.2013.02.021.
• Easton, Steve & Pinder, Sean & Uylangco, Katherine, 2013, "A case study of short-sale constraints and limits to arbitrage," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3924-3929, DOI: 10.1016/j.jbankfin.2013.07.012.
• Jiang, Danling, 2013, "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3974-3992, DOI: 10.1016/j.jbankfin.2013.06.011.
• Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013, "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4107-4119, DOI: 10.1016/j.jbankfin.2013.07.018.
• Zhu, Xiaoneng & Zhu, Jie, 2013, "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4120-4133, DOI: 10.1016/j.jbankfin.2013.07.016.
• Uhrig-Homburg, Marliese, 2013, "Sovereign credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4217-4225, DOI: 10.1016/j.jbankfin.2013.07.002.
• Stivers, Chris & Sun, Licheng, 2013, "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4226-4240, DOI: 10.1016/j.jbankfin.2013.07.030.
• Lundtofte, Frederik & Wilhelmsson, Anders, 2013, "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4256-4264, DOI: 10.1016/j.jbankfin.2013.07.035.
• Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio, 2013, "Financial contagion in the laboratory: The cross-market rebalancing channel," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4310-4326, DOI: 10.1016/j.jbankfin.2013.06.005.
• Slavutskaya, Anna, 2013, "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4404-4431, DOI: 10.1016/j.jbankfin.2013.07.034.
• Lin, Yueh-Neng, 2013, "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4432-4446, DOI: 10.1016/j.jbankfin.2013.03.006.
• Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4449-4464, DOI: 10.1016/j.jbankfin.2012.12.018.
• Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013, "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4465-4475, DOI: 10.1016/j.jbankfin.2012.08.015.
• Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013, "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4476-4487, DOI: 10.1016/j.jbankfin.2013.01.029.
• Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013, "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4650-4664, DOI: 10.1016/j.jbankfin.2013.07.025.
• Qin, Zhenjiang, 2013, "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4675-4694, DOI: 10.1016/j.jbankfin.2013.07.045.
• Drienko, Jozef & Sault, Stephen J., 2013, "The intraday impact of company responses to exchange queries," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4810-4819, DOI: 10.1016/j.jbankfin.2013.08.011.
• Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013, "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4920-4930, DOI: 10.1016/j.jbankfin.2013.08.027.
• Dyakov, Teodor & Verbeek, Marno, 2013, "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4931-4942, DOI: 10.1016/j.jbankfin.2013.08.013.
• Maio, Paulo, 2013, "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4958-4972, DOI: 10.1016/j.jbankfin.2013.08.021.
• Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013, "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4973-4988, DOI: 10.1016/j.jbankfin.2013.09.004.
• Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R., 2013, "Did capital infusions enhance bank recovery from the great recession?," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5048-5061, DOI: 10.1016/j.jbankfin.2013.09.008.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013, "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5073-5087, DOI: 10.1016/j.jbankfin.2013.09.010.
• Gourieroux, C. & Heam, J.C. & Monfort, A., 2013, "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5261-5274, DOI: 10.1016/j.jbankfin.2013.04.016.
• Maltritz, Dominik & Molchanov, Alexander, 2013, "Analyzing determinants of bond yield spreads with Bayesian Model Averaging," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5275-5284, DOI: 10.1016/j.jbankfin.2013.07.007.
• Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013, "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5285-5299, DOI: 10.1016/j.jbankfin.2013.08.005.
• Abudy, Menachem & Benninga, Simon, 2013, "Non-marketability and the value of employee stock options," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5500-5510, DOI: 10.1016/j.jbankfin.2013.03.022.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 11-20, DOI: 10.1016/j.jbankfin.2012.08.013.
• Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013, "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 132-138, DOI: 10.1016/j.jbankfin.2012.08.018.
• Harris, Richard D.F. & Mazibas, Murat, 2013, "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 139-149, DOI: 10.1016/j.jbankfin.2012.08.017.
• Morana, Claudio, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 206-226, DOI: 10.1016/j.jbankfin.2012.08.027.
• Golbeck, Steven & Linetsky, Vadim, 2013, "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 43-59, DOI: 10.1016/j.jbankfin.2012.08.010.
• Liu, Zhuoshi & Spencer, Peter, 2013, "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 241-256, DOI: 10.1016/j.jbankfin.2012.08.012.
• Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013, "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 378-388, DOI: 10.1016/j.jbankfin.2012.09.005.
• Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013, "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 389-402, DOI: 10.1016/j.jbankfin.2012.09.003.
• Berrada, Tony & Hugonnier, Julien, 2013, "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 448-462, DOI: 10.1016/j.jbankfin.2012.09.004.
• Driessen, Joost & Maenhout, Pascal, 2013, "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 518-536, DOI: 10.1016/j.jbankfin.2012.09.008.