Research classified by Journal of Economic Literature (JEL) codes

2012

• George Constantinides, 2012, "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers, Society for Economic Dynamics, number 1197.
• Jonathan Wright & Yuriy Kitsul, 2012, "The Economics of Options-Implied Inflation Probability Density Functions," 2012 Meeting Papers, Society for Economic Dynamics, number 174.
• Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2012, "Foreign Ownership of U.S. Safe Assets: Good or Bad?," 2012 Meeting Papers, Society for Economic Dynamics, number 297.
• Vivian Yue, 2012, "Sovereign Risk and Financial Risk," 2012 Meeting Papers, Society for Economic Dynamics, number 318.
• Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2012, "A theory of asset prices based on heterogeneous information," 2012 Meeting Papers, Society for Economic Dynamics, number 394.
• Yuliy Sannikov & Markus Brunnermeier, 2012, "A Macroeconomic Model with a Financial Sector," 2012 Meeting Papers, Society for Economic Dynamics, number 507.
• Karl Schmedders & Felix Kubler, 2012, "Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices," 2012 Meeting Papers, Society for Economic Dynamics, number 536.
• Berardino Palazzo & Gian Luca Clementi, 2012, "Investment and the Cross-Section of Equity Returns," 2012 Meeting Papers, Society for Economic Dynamics, number 543.
• Jack Favilukis & Xiaoji Lin, 2012, "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," 2012 Meeting Papers, Society for Economic Dynamics, number 589.
• Martin Schneider & Johannes Stroebel & Monika Piazzesi, 2012, "Segmented Housing Search," 2012 Meeting Papers, Society for Economic Dynamics, number 670.
• Nikolai Roussanov & Robert Ready, 2012, "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers, Society for Economic Dynamics, number 817.
• Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012, "International Correlation Risk," 2012 Meeting Papers, Society for Economic Dynamics, number 818.
• Konstantin Milbradt & Zhiguo He, 2012, "Endogenous liquidity and defaultable bonds," 2012 Meeting Papers, Society for Economic Dynamics, number 86.
• Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012, "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers, Society for Economic Dynamics, number 922.
• Nawazish Mirza & Ayesha Afzal, 2012, "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 55-86, June.
• Jacinto Marabel Romo, 2012, "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 20, issue 2, pages 111-134, Autumn.
• Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2012, "Measuring Market Liquidity: An Introductory Survey," Working Paper series, Rimini Centre for Economic Analysis, number 02_12, Jan.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012, "Currency Momentum Strategies," Working Paper series, Rimini Centre for Economic Analysis, number 09_12, Mar.
• Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia, 2012, "Effective Trade Execution," Working Paper series, Rimini Centre for Economic Analysis, number 41_12, Jun.
• Cem Çakmakli, 2012, "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper series, Rimini Centre for Economic Analysis, number 59_12, Aug, revised Sep 2012.
• Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012, "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series, Rimini Centre for Economic Analysis, number 65_12, Nov.
• A. Noy Siackhachanh, 2012, "Strengthening the Financial System and Mobilizing Savings to Support More Balanced Growth in ASEAN+3," Working Papers on Regional Economic Integration, Asian Development Bank, number 94, Apr.
• Tuncer Caliskan, 2012, "Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 4, pages 1-43.
• Francesco Rossi, 2012, "UK cross-sectional equity data: The case for robust investability filters," European Economic Letters, European Economics Letters Group, volume 1, issue 1, pages 6-13.
• Ozcan Ceylan, 2012, "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center, number 12-4, Sep.
• Qi Tang & Haidar Haidar & Bernard Minsky & Rishi Thapar, 2012, "A Risk Measure for S-Shaped Assets and Prediction of Investment Performance," Journal of Financial Transformation, Capco Institute, volume 34, pages 175-181.
• Francisca Beer & Mohamad Watfa & Mohamed Zouaoui, 2012, "Do investors care about noise trader risk?," Journal of Financial Transformation, Capco Institute, volume 35, pages 49-56.
• Rahul Verma & Gökçe Soydemir, 2012, "Are investor sentiments priced by the CAPM?," Journal of Financial Transformation, Capco Institute, volume 35, pages 57-70.
• Jiyoun An & Cheolbeom Park, 2012, "Election Cycles and Stock Market Reaction: International Evidence," Working Papers, Korea Institute for International Economic Policy, number 12-4, Dec, DOI: 10.2139/ssrn.2319727.
• Sebastian Rathner, 2012, "The Performance of Socially Responsible Investment Funds: A Meta-Analysis," Working Papers in Economics, University of Salzburg, number 2012-3, Mar.
• Guochen Pan & Seng-Sung Chen & Tsangyao Chang, 2012, "Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 56-67, December.
• Luigi Marattin & Paolo Paesani & Simone Salotti, 2012, "Assessing the Pre-Crisis Advantages of the EMU for Sovereign Debt Issuers: A Panel VAR Analysis," Rivista di Politica Economica, SIPI Spa, issue 1, pages 7-22, January-M.
• Nadia Cosentino & Fabiola Montalto & Carmela Donato & Alessia Via, 2012, "Gender Diversity in the Corporate Boardroom: Do Women Affect Risk?," Rivista di Politica Economica, SIPI Spa, issue 2, pages 73-95, April-Jun.
• Emilio Bisetti, 2012, "The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff," Rivista di Politica Economica, SIPI Spa, issue 4, pages 79-119, October-D.
• Florin Dan PIELEANU, 2012, "The APT Model and its Applicability in Romania’s Case," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 3, pages 103-112, September.
• Cameron Truong, 2013, "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 31-48, April, DOI: 10.1177/0312896212440267.
• Mohamed Z. M. Aazim & N. S. Cooray, 2012, "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , volume 1, issue 1, pages 25-56, June, DOI: 10.1177/227797871200100104.
• Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012, "The Cross-Section of German Stock Returns: New Data and New Evidence," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 64, issue 1, pages 20-43, January.
• Cruz Aranda, Fernando & Colla de Robertis, Esteban & Cabrera Llanos, Agustín Ignacio, 2012, "Riesgo crédito: un análisis empírico de dos bancos en México / Credit Risk: Two mexican banks empiric analysis," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 2, issue 2, pages 85-100, julio-dic.
• Ken Kasa & Todd Walker & Charles Whiteman, 2012, "Heterogenous Beliefs and Tests of Present Value Models," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-06, Apr.
• Ravi Singla & J. S. Pasricha, 2012, "Asset Pricing In The Indian Capital Market: A Study Of Positive And Negative Return Periods," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 1 (March), pages 90-101.
• Amarjit Saini & Ravi Singla, 2012, "Impact Of Mergers On Corporate Performance: A Sample Study Of Indian Textile Industry," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 3 (Decemb, pages 284-292.
• Gabrisch, Hurbert & Orlowski, Lucjan & Pusch, Toralf, 2012, "Sovereign Default Risk in the Euro-Periphery and the Euro-Candidate Countries," Working Papers, Sacred Heart University, John F. Welch College of Business, number 2012002, Aug.
• Stephen G. Donald & Yu-Chin Hsu, 2012, "Improving the Power of Tests of Stochastic Dominance," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 12-A015, Dec, revised Jun 2013.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, School of Economics, number 03-2012, Jan.
• Qiankun Zhou & Jun Yu, 2012, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 11-2012, Jan.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2012, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, School of Economics, number 12-2012, Jan.
• Yong Li & Tao Zeng & Jun Yu, 2012, "Robust Deviance Information Criterion for Latent Variable Models," Working Papers, Singapore Management University, School of Economics, number 30-2012, Aug.
• Matthew S. Yiu & Jun Yu & Lu Jin, 2012, "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers, Singapore Management University, School of Economics, number 31-2012, Aug.
• Shouwei Liu & Yiu-Kuen Tse, 2012, "Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2012, Feb.
• Matthew S. Yiu & Jun Yu & Lu Jin, 2012, "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-03-2012, May.
• Christian Hott & Terhi Jokipii, 2012, "Housing Bubbles and Interest Rates," Working Papers, Swiss National Bank, number 2012-07.
• Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012, "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-003, Jan.
• Bruno Cara Giovannetti, 2012, "Asset Pricing under Quantile Utility Maximization," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_16, Sep.
• Bruno Cara Giovannetti & Guilherme B. Martins, 2012, "Do Margin Requirements Affect Asset Prices?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_17, Sep.
• Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti, 2012, "Testing the Effects of Short-Selling Restrictions on Asset Prices," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_18, Sep.
• Gregory Gagnon, 2012, "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 35, issue 1, pages 29-58, May, DOI: 10.1007/s10203-011-0113-3.
• Zhiguang Wang & Prasad Bidarkota, 2012, "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, volume 42, issue 1, pages 21-51, February, DOI: 10.1007/s00181-010-0427-y.
• Sami Alpanda, 2012, "Taxation, collateral use of land, and Japanese asset prices," Empirical Economics, Springer, volume 43, issue 2, pages 819-850, October, DOI: 10.1007/s00181-011-0498-4.
• Josep Puigvert-Gutiérrez & Rupert Vincent-Humphreys, 2012, "A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 2, issue 1, pages 1-31, June, DOI: 10.14208/BF03353830.
• Lars Hansen & José Scheinkman, 2012, "Pricing growth-rate risk," Finance and Stochastics, Springer, volume 16, issue 1, pages 1-15, January, DOI: 10.1007/s00780-010-0141-9.
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Lévy market models," Finance and Stochastics, Springer, volume 16, issue 1, pages 63-104, January, DOI: 10.1007/s00780-011-0158-8.
• Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012, "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, volume 16, issue 2, pages 249-274, April, DOI: 10.1007/s00780-011-0166-8.
• Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012, "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, volume 16, issue 3, pages 513-535, July, DOI: 10.1007/s00780-011-0170-z.
• Michał Barski & Jerzy Zabczyk, 2012, "Forward rate models with linear volatilities," Finance and Stochastics, Springer, volume 16, issue 3, pages 537-560, July, DOI: 10.1007/s00780-011-0163-y.
• Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
• Christopher Lorenz & Alexander Schied, 2013, "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, volume 17, issue 4, pages 743-770, October, DOI: 10.1007/s00780-013-0211-x.
• Guan Wang & Pierre Yourougou & Yue Wang, 2012, "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 93-105, January, DOI: 10.1007/s12197-009-9114-2.
• M. Berument & Nukhet Dogan, 2012, "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 282-302, April, DOI: 10.1007/s12197-009-9118-y.
• Mary Robinson & Richard Robinson, 2012, "Dutch-auction IPOs: institutional development and underpricing performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 521-554, July, DOI: 10.1007/s12197-010-9166-3.
• Joe Brocato & Kenneth Smith, 2012, "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 712-727, July, DOI: 10.1007/s12197-010-9147-6.
• Joel Barber & Mark Copper, 2012, "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 750-765, July, DOI: 10.1007/s12197-010-9142-y.
• Deniz Igan & Marcelo Pinheiro, 2012, "Incentive to manipulate earnings and its connection to analysts’ forecasts, trading, and corporate governance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 781-821, October, DOI: 10.1007/s12197-010-9131-1.
• Eleftherios Thalassinos & Dimitrios Maditinos & Athanasios Paschalidis, 2012, "Observing evidence of insider trading in the Athens Stock Exchange," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 1, issue 1, pages 1-26, December, DOI: 10.1186/2193-2409-1-8.
• Andrés Carvajal & Marek Weretka, 2012, "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 50, issue 1, pages 223-268, May, DOI: 10.1007/s00199-010-0567-5.
• Roberto Dieci & Frank Westerhoff, 2012, "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, volume 22, issue 2, pages 303-329, April, DOI: 10.1007/s00191-011-0259-8.
• Mariana Mazzucato & Massimiliano Tancioni, 2012, "R&D, patents and stock return volatility," Journal of Evolutionary Economics, Springer, volume 22, issue 4, pages 811-832, September, DOI: 10.1007/s00191-012-0289-x.
• Linna Shi & Huai Zhang, 2012, "Can the earnings fixation hypothesis explain the accrual anomaly?," Review of Accounting Studies, Springer, volume 17, issue 1, pages 1-21, March, DOI: 10.1007/s11142-011-9171-6.
• Judson Caskey & John Hughes & Jing Liu, 2012, "Leverage, excess leverage, and future returns," Review of Accounting Studies, Springer, volume 17, issue 2, pages 443-471, June, DOI: 10.1007/s11142-011-9176-1.
• Maria Correia & Scott Richardson & İrem Tuna, 2012, "Value investing in credit markets," Review of Accounting Studies, Springer, volume 17, issue 3, pages 572-609, September, DOI: 10.1007/s11142-012-9191-x.
• Merle Erickson & Shiing-Wu Wang & X. Frank Zhang, 2012, "The change in information uncertainty and acquirer wealth losses," Review of Accounting Studies, Springer, volume 17, issue 4, pages 913-943, December, DOI: 10.1007/s11142-012-9184-9.
• Urbański, Stanisław, 2012, "Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM," Economic Systems, Elsevier, volume 36, issue 4, pages 552-570, DOI: 10.1016/j.ecosys.2012.03.002.
• Pozzi, Lorenzo & Wolswijk, Guido, 2012, "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, volume 56, issue 1, pages 36-53, DOI: 10.1016/j.euroecorev.2011.05.006.
• Comelli, Fabio, 2012, "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 598-625, DOI: 10.1016/j.ememar.2012.09.002.
• Wang, Zhenyu & Zhang, Xiaoyan, 2012, "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 65-78, DOI: 10.1016/j.jempfin.2011.11.001.
• Hobbs, Jeffrey & Kovacs, Tunde & Sharma, Vivek, 2012, "The investment value of the frequency of analyst recommendation changes for the ordinary investor," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 94-108, DOI: 10.1016/j.jempfin.2011.09.006.
• Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012, "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 217-240, DOI: 10.1016/j.jempfin.2012.01.002.
• Engsted, Tom & Pedersen, Thomas Q., 2012, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 241-253, DOI: 10.1016/j.jempfin.2012.01.003.
• Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2012, "Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 309-318, DOI: 10.1016/j.jempfin.2011.12.005.
• Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha, 2012, "Global style momentum," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 319-333, DOI: 10.1016/j.jempfin.2012.02.001.
• Turtle, H.J. & Zhang, Chengping, 2012, "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 334-348, DOI: 10.1016/j.jempfin.2012.03.003.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012, "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 454-464, DOI: 10.1016/j.jempfin.2012.04.005.
• Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming, 2012, "Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 483-496, DOI: 10.1016/j.jempfin.2012.04.011.
• McCulloch, James, 2012, "Fractal market time," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 686-701, DOI: 10.1016/j.jempfin.2012.08.001.
• van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012, "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 819-830, DOI: 10.1016/j.jempfin.2012.07.002.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, volume 34, issue 1, pages 256-269, DOI: 10.1016/j.eneco.2011.10.008.
• Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012, "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, volume 34, issue 2, pages 611-617, DOI: 10.1016/j.eneco.2011.08.009.
• Cotter, John & Hanly, Jim, 2012, "A utility based approach to energy hedging," Energy Economics, Elsevier, volume 34, issue 3, pages 817-827, DOI: 10.1016/j.eneco.2011.07.009.
• Scholtens, Bert & Yurtsever, Cenk, 2012, "Oil price shocks and European industries," Energy Economics, Elsevier, volume 34, issue 4, pages 1187-1195, DOI: 10.1016/j.eneco.2011.10.012.
• Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung, 2012, "Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries," Energy Economics, Elsevier, volume 34, issue 5, pages 1284-1300, DOI: 10.1016/j.eneco.2012.06.004.
• Hintermann, Beat, 2012, "Pricing emission permits in the absence of abatement," Energy Economics, Elsevier, volume 34, issue 5, pages 1329-1340, DOI: 10.1016/j.eneco.2012.06.005.
• Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012, "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, volume 34, issue 6, pages 1888-1895, DOI: 10.1016/j.eneco.2012.08.008.
• Campbell, Gareth & Turner, John D. & Walker, Clive B., 2012, "The role of the media in a bubble," Explorations in Economic History, Elsevier, volume 49, issue 4, pages 461-481, DOI: 10.1016/j.eeh.2012.07.002.
• Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J., 2012, "An analysis of intraday market behaviour before takeover announcements," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 23-32, DOI: 10.1016/j.irfa.2011.05.005.
• Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou, 2012, "Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence," International Review of Financial Analysis, Elsevier, volume 22, issue C, pages 38-47, DOI: 10.1016/j.irfa.2012.03.001.
• Loncarski, Igor & Szilagyi, Peter G., 2012, "Empirical analysis of credit spread changes of US corporate bonds," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 12-19, DOI: 10.1016/j.irfa.2012.06.011.
• Juneja, Januj, 2012, "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 48-56, DOI: 10.1016/j.irfa.2012.07.004.
• Majumder, Debasish, 2012, "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 84-92, DOI: 10.1016/j.irfa.2012.08.003.
• Choudhry, Taufiq & Jayasekera, Ranadeva, 2012, "Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 106-116, DOI: 10.1016/j.irfa.2012.09.002.
• LeBaron, Blake, 2012, "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, volume 9, issue 1, pages 21-28, DOI: 10.1016/j.frl.2011.09.001.
• Shan, Liwei & Gong, Stephen X., 2012, "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, volume 9, issue 1, pages 36-47, DOI: 10.1016/j.frl.2011.07.002.
• Jarrow, Robert & Protter, Philip, 2012, "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, volume 9, issue 2, pages 58-62, DOI: 10.1016/j.frl.2012.03.002.
• Hjalmarsson, Erik, 2012, "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, volume 9, issue 2, pages 81-91, DOI: 10.1016/j.frl.2011.10.001.
• Pu, Xiaoling & Zhang, Jianing, 2012, "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, volume 9, issue 3, pages 157-166, DOI: 10.1016/j.frl.2012.01.001.
• Dzielinski, Michal, 2012, "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, volume 9, issue 3, pages 167-175, DOI: 10.1016/j.frl.2011.10.003.
• Renneboog, Luc & Spaenjers, Christophe, 2012, "Hard assets: The returns on rare diamonds and gems," Finance Research Letters, Elsevier, volume 9, issue 4, pages 220-230, DOI: 10.1016/j.frl.2012.07.003.
• Flynn, Sean Masaki, 2012, "Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 108-125, DOI: 10.1016/j.finmar.2011.06.001.
• Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012, "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 29-46, DOI: 10.1016/j.finmar.2011.08.005.
• Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012, "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 47-80, DOI: 10.1016/j.finmar.2011.08.003.
• Boehme, Rodney & Çolak, Gönül, 2012, "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 286-327, DOI: 10.1016/j.finmar.2011.11.001.
• Borio, Claudio & Zhu, Haibin, 2012, "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, volume 8, issue 4, pages 236-251, DOI: 10.1016/j.jfs.2011.12.003.
• Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012, "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, volume 23, issue 1, pages 1-15, DOI: 10.1016/j.gfj.2012.01.001.
• Ahčan, Aleš, 2012, "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 131-138, DOI: 10.1016/j.insmatheco.2011.10.005.
• Antell, Jan & Vaihekoski, Mika, 2012, "Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 120-136, DOI: 10.1016/j.intfin.2011.08.002.
• Du, Ding & Hu, Ou, 2012, "Exchange rate risk in the US stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 137-150, DOI: 10.1016/j.intfin.2011.08.003.
• Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012, "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 305-328, DOI: 10.1016/j.intfin.2011.10.001.
• Bley, Jorg & Saad, Mohsen, 2012, "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 538-554, DOI: 10.1016/j.intfin.2012.01.004.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 555-574, DOI: 10.1016/j.intfin.2011.12.001.
• Arghyrou, Michael G. & Kontonikas, Alexandros, 2012, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 658-677, DOI: 10.1016/j.intfin.2012.03.003.
• Koutmos, Dimitrios, 2012, "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1176-1187, DOI: 10.1016/j.intfin.2012.05.007.
• Jorgensen, Bjorn & Li, Jing & Sadka, Gil, 2012, "Earnings dispersion and aggregate stock returns," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2011.06.001.
• Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012, "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, volume 53, issue 3, pages 504-526, DOI: 10.1016/j.jacceco.2011.12.001.
• Goswami, Gautam & Tan, Sinan, 2012, "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2742-2756, DOI: 10.1016/j.jbankfin.2012.02.013.
• Yao, Yaqiong, 2012, "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2757-2769, DOI: 10.1016/j.jbankfin.2011.12.004.
• He, Hui & Yang, Jiawen, 2012, "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2795-2803, DOI: 10.1016/j.jbankfin.2012.06.016.
• Nejadmalayeri, Ali & Singh, Manohar, 2012, "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2900-2916, DOI: 10.1016/j.jbankfin.2011.07.021.
• Yamamoto, Ryuichi, 2012, "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3033-3047, DOI: 10.1016/j.jbankfin.2012.07.006.
• Jank, Stephan, 2012, "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3060-3070, DOI: 10.1016/j.jbankfin.2012.07.004.
• Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012, "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3071-3079, DOI: 10.1016/j.jbankfin.2012.07.002.
• Fukuda, Shin-ichi, 2012, "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3185-3196, DOI: 10.1016/j.jbankfin.2012.01.003.
• Liang, Samuel Xin & Wei, John K.C., 2012, "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3274-3288, DOI: 10.1016/j.jbankfin.2012.07.021.
• Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012, "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3382-3398, DOI: 10.1016/j.jbankfin.2012.07.020.
• Floros, Ioannis V. & Sapp, Travis R.A., 2012, "Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3469-3481, DOI: 10.1016/j.jbankfin.2012.08.001.
• Szafarz, Ariane, 2012, "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 105-111, DOI: 10.1016/j.jbankfin.2011.06.008.
• Yallup, Peter J., 2012, "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 121-135, DOI: 10.1016/j.jbankfin.2011.06.010.
• Blau, Benjamin M. & Wade, Chip, 2012, "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 14-25, DOI: 10.1016/j.jbankfin.2011.06.001.
• Beliaeva, Natalia & Nawalkha, Sanjay, 2012, "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 151-163, DOI: 10.1016/j.jbankfin.2011.06.012.
• Zhang, Andrew Jianzhong, 2012, "Distress risk premia in expected stock and bond returns," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 225-238, DOI: 10.1016/j.jbankfin.2011.07.007.
• Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012, "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 239-248, DOI: 10.1016/j.jbankfin.2011.07.006.
• Li, Junye, 2012, "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 249-260, DOI: 10.1016/j.jbankfin.2011.07.005.
• Xing, Haipeng & Sun, Ning & Chen, Ying, 2012, "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 78-89, DOI: 10.1016/j.jbankfin.2011.06.005.
• de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012, "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 371-382, DOI: 10.1016/j.jbankfin.2011.07.015.
• Yan, Yuxing & Zhang, Shaojun, 2012, "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 454-467, DOI: 10.1016/j.jbankfin.2011.08.003.
• Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012, "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 575-583, DOI: 10.1016/j.jbankfin.2011.09.002.
• Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen, 2012, "Order flow, bid–ask spread and trading density in foreign exchange markets," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 597-612, DOI: 10.1016/j.jbankfin.2011.09.006.
• Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012, "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 786-802, DOI: 10.1016/j.jbankfin.2011.09.012.
• Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012, "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 835-845, DOI: 10.1016/j.jbankfin.2011.09.014.
• Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S., 2012, "Short selling of ADRs and foreign market short-sale constraints," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 886-897, DOI: 10.1016/j.jbankfin.2011.10.004.
• Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012, "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 913-922, DOI: 10.1016/j.jbankfin.2011.10.002.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1057-1066, DOI: 10.1016/j.jbankfin.2011.10.018.
• Berger, Dave & Turtle, H.J., 2012, "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1107-1121, DOI: 10.1016/j.jbankfin.2011.11.001.
• Clark, Ephraim & Kassimatis, Konstantinos, 2012, "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1144-1151, DOI: 10.1016/j.jbankfin.2011.11.006.
• Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012, "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1152-1163, DOI: 10.1016/j.jbankfin.2011.11.005.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012, "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 934-956, DOI: 10.1016/j.jbankfin.2011.10.010.
• Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A., 2012, "Earnings conference calls and stock returns: The incremental informativeness of textual tone," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 992-1011, DOI: 10.1016/j.jbankfin.2011.10.013.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
• Bhootra, Ajay & Hur, Jungshik, 2012, "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1266-1275, DOI: 10.1016/j.jbankfin.2011.11.021.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012, "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1381-1391, DOI: 10.1016/j.jbankfin.2011.12.003.
• Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012, "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1414-1423, DOI: 10.1016/j.jbankfin.2011.12.007.
• Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012, "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1492-1502, DOI: 10.1016/j.jbankfin.2011.12.014.
• Min, Byoung-Kyu & Kim, Tong Suk, 2012, "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1528-1535, DOI: 10.1016/j.jbankfin.2011.12.017.
• Forte, Santiago & Lovreta, Lidija, 2012, "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1639-1652, DOI: 10.1016/j.jbankfin.2012.01.010.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Monfort, Alain & Pegoraro, Fulvio, 2012, "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1678-1687, DOI: 10.1016/j.jbankfin.2012.01.014.
• Vlastakis, Nikolaos & Markellos, Raphael N., 2012, "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1808-1821, DOI: 10.1016/j.jbankfin.2012.02.007.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An alternative three-factor model for international markets: Evidence from the European Monetary Union," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1857-1864, DOI: 10.1016/j.jbankfin.2012.02.001.
• Chrétien, Stéphane, 2012, "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1943-1962, DOI: 10.1016/j.jbankfin.2012.03.002.
• Levy, Tamir & Yagil, Joseph, 2012, "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1963-1974, DOI: 10.1016/j.jbankfin.2012.03.004.
• Chen, Yifan & Zhao, Huainan, 2012, "Informed trading, information uncertainty, and price momentum," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2095-2109, DOI: 10.1016/j.jbankfin.2012.03.016.
• Petrasek, Lubomir, 2012, "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2110-2121, DOI: 10.1016/j.jbankfin.2012.03.015.
• Anthonisz, Sean A., 2012, "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2122-2135, DOI: 10.1016/j.jbankfin.2012.03.017.
• Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2012, "Institutional ownership, analyst following, and share prices," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2175-2189, DOI: 10.1016/j.jbankfin.2012.03.026.
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012, "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2216-2232, DOI: 10.1016/j.jbankfin.2012.04.001.
• Choy, Siu Kai & Wei, Jason, 2012, "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2299-2322, DOI: 10.1016/j.jbankfin.2012.04.010.
• Galsband, Victoria, 2012, "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2379-2388, DOI: 10.1016/j.jbankfin.2012.04.019.
• Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying, 2012, "What explains the investment growth anomaly?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2532-2542, DOI: 10.1016/j.jbankfin.2012.05.010.
• Han, Yufeng, 2012, "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2575-2592, DOI: 10.1016/j.jbankfin.2012.05.016.
• Westerlund, Joakim & Narayan, Paresh Kumar, 2012, "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2632-2640, DOI: 10.1016/j.jbankfin.2012.06.005.
• Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012, "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2660-2671, DOI: 10.1016/j.jbankfin.2012.06.003.
• Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012, "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, volume 81, issue 1, pages 82-96, DOI: 10.1016/j.jebo.2011.09.006.
• Madsen, Jakob B., 2012, "A behavioral model of house prices," Journal of Economic Behavior & Organization, Elsevier, volume 82, issue 1, pages 21-38, DOI: 10.1016/j.jebo.2011.12.010.
• Huang, Weihong & Zheng, Huanhuan, 2012, "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, volume 82, issue 2, pages 445-461, DOI: 10.1016/j.jebo.2012.02.008.
• LeBaron, Blake, 2012, "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 424-445, DOI: 10.1016/j.jebo.2012.03.003.
• Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
• Lansing, Kevin J., 2012, "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 461-483, DOI: 10.1016/j.jebo.2012.02.011.
• Scotti, Massimo, 2012, "Delegated portfolio management with career concerns," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 3, pages 829-839, DOI: 10.1016/j.jebo.2012.10.001.