Research classified by Journal of Economic Literature (JEL) codes

2013

• Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui, 2013, "Does foreign institutional ownership increase return volatility? Evidence from China," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 660-669, DOI: 10.1016/j.jbankfin.2012.10.006.
• Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013, "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1018-1028, DOI: 10.1016/j.jbankfin.2012.11.009.
• Shang, Hua, 2013, "Inference in asset pricing models with a low-variance factor," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1046-1060, DOI: 10.1016/j.jbankfin.2012.11.007.
• Zakamulin, Valeriy, 2013, "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1061-1072, DOI: 10.1016/j.jbankfin.2012.11.006.
• Jitmaneeroj, Boonlert & Wood, Andrew, 2013, "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1084-1092, DOI: 10.1016/j.jbankfin.2012.11.013.
• Schaub, Nic & Schmid, Markus, 2013, "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 671-692, DOI: 10.1016/j.jbankfin.2012.09.019.
• ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013, "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 824-836, DOI: 10.1016/j.jbankfin.2012.10.025.
• Dutt, Tanuj & Humphery-Jenner, Mark, 2013, "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 999-1017, DOI: 10.1016/j.jbankfin.2012.11.001.
• Levy, Ariel & Lieberman, Offer, 2013, "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1412-1421, DOI: 10.1016/j.jbankfin.2012.03.024.
• Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013, "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1759-1776, DOI: 10.1016/j.jbankfin.2013.01.006.
• Wang, Kent & Liu, Junwei & Liu, Zhi, 2013, "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1777-1786, DOI: 10.1016/j.jbankfin.2013.01.024.
• Gropper, Daniel M. & Jahera, John S. & Park, Jung Chul, 2013, "Does it help to have friends in high places? Bank stock performance and congressional committee chairmanships," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 1986-1999, DOI: 10.1016/j.jbankfin.2013.01.003.
• Fiordelisi, Franco & Marqués-Ibañez, David, 2013, "Is bank default risk systematic?," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2000-2010, DOI: 10.1016/j.jbankfin.2013.01.004.
• Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw, 2013, "The impact of credit rating announcements on credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 6, pages 2011-2030, DOI: 10.1016/j.jbankfin.2013.01.028.
• Chevapatrakul, Thanaset, 2013, "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2342-2353, DOI: 10.1016/j.jbankfin.2013.01.033.
• Hwang, Soosung & Rubesam, Alexandre, 2013, "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2367-2377, DOI: 10.1016/j.jbankfin.2013.01.030.
• Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013, "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2392-2407, DOI: 10.1016/j.jbankfin.2013.01.038.
• Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju, 2013, "Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2434-2456, DOI: 10.1016/j.jbankfin.2013.02.011.
• Alles, Lakshman & Murray, Louis, 2013, "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2501-2509, DOI: 10.1016/j.jbankfin.2013.02.006.
• Chen, Yunling & Liu, Ming & Su, Jun, 2013, "Greasing the wheels of bank lending: Evidence from private firms in China," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2533-2545, DOI: 10.1016/j.jbankfin.2013.02.002.
• Yao, Jing & Li, Duan, 2013, "Prospect theory and trading patterns," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2793-2805, DOI: 10.1016/j.jbankfin.2013.04.001.
• Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013, "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2991-3006, DOI: 10.1016/j.jbankfin.2013.04.013.
• Khovansky, Serguey & Zhylyevskyy, Oleksandr, 2013, "Impact of idiosyncratic volatility on stock returns: A cross-sectional study," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3064-3075, DOI: 10.1016/j.jbankfin.2013.02.034.
• Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013, "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3181-3191, DOI: 10.1016/j.jbankfin.2013.02.026.
• Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013, "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3204-3217, DOI: 10.1016/j.jbankfin.2013.03.009.
• Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013, "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3218-3226, DOI: 10.1016/j.jbankfin.2013.03.002.
• Weiß, Gregor N.F. & Supper, Hendrik, 2013, "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3334-3350, DOI: 10.1016/j.jbankfin.2013.05.013.
• Ederington, Louis H. & Guan, Wei, 2013, "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3388-3400, DOI: 10.1016/j.jbankfin.2013.04.017.
• Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013, "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3401-3411, DOI: 10.1016/j.jbankfin.2013.05.015.
• Kuo, Wei-Yu & Lin, Tse-Chun, 2013, "Overconfident individual day traders: Evidence from the Taiwan futures market," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3548-3561, DOI: 10.1016/j.jbankfin.2013.04.036.
• Jiang, Li & Kim, Jeong-Bon & Pang, Lei, 2013, "Insiders’ incentives for asymmetric disclosure and firm-specific information flows," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3562-3576, DOI: 10.1016/j.jbankfin.2013.05.001.
• Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013, "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3704-3715, DOI: 10.1016/j.jbankfin.2013.04.034.
• Avanidhar Subrahmanyam & Sheridan Titman, 2013, "Financial Market Shocks and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 11, pages 2687-2717.
• Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013, "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 12, pages 2985-3028.
• Ron Kaniel & Péter Kondor, 2013, "The Delegated Lucas Tree," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 4, pages 929-984.
• Alex Edmans & Vivian W. Fang & Emanuel Zur, 2013, "The Effect of Liquidity on Governance," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 6, pages 1443-1482.
• Cristina Cella & Andrew Ellul & Mariassunta Giannetti, 2013, "Investors' Horizons and the Amplification of Market Shocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 7, pages 1607-1648.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 8, pages 1914-1961.
• Nedelcu Monica Letitia, 2013, "The Liquidity of the Financial System and the Sovereign Debt Crisis in Europe – Is There a Solution?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 238-243, May.
• Asãvoaei Alexandru, 2013, "Keynesian Realism and the Present State of Economic Science," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 410-414, May.
• Kevin Hjortshøj O'Rourke & Richard S. Grossman & Madalina A. Ursu & Ronan Lyons, 2013, "A monthly stock exchange index for Ireland, 1864-1930," Oxford Economic and Social History Working Papers, University of Oxford, Department of Economics, number _120, Oct.
• Christopher Adam & David Bevan, 2002, "Fiscal Deficits and Growth in Developing Countries," Economics Series Working Papers, University of Oxford, Department of Economics, number 120, Oct.
• John Thanassoulis, 2013, "Short-Term Shareholders, Bubbles, And CEO Myopia," Economics Series Working Papers, University of Oxford, Department of Economics, number 663, Jul.
• Jerry Tsai, 2013, "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers, University of Oxford, Department of Economics, number 665, Jul.
• John Muellbauer, 2013, "Conditional Eurobonds and the Eurozone Sovereign Debt Crisis," Economics Series Working Papers, University of Oxford, Department of Economics, number 681, Oct.
• David Hou Author-Name: David Skeie, 2013, "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics, Palgrave Macmillan, chapter 1, in: Steven N. Durlauf & Lawrence E. Blume.
• Philippe Durand & Yalin Gündüz & Isabelle Thomazeau, 2013, "Estimating Endogenous Liquidity Using Transaction and Order Book Information," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner, "Advances in Financial Risk Management", DOI: 10.1057/9781137025098_8.
• Leszek Czapiewski, 2013, "Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange," Business and Economic Horizons (BEH), Prague Development Center, volume 9, issue 3, pages 79-86, October.
• Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013, "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-013, Feb.
• Rilina Basu & Ranjanendra Narayan Nag, 2013, "Money, the Stock Market and the Macroeconomy: A Theoretical Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 52, issue 3, pages 235-246.
• Mubin, Muhammad & Lal, Irfan & Hussain, Adnan, 2013, "Determinant of Return on Assets and Return on Equity and Its Industry Wise Effects: Evidence from KSE (Karachi Stock Exchange)," MPRA Paper, University Library of Munich, Germany, number 106801, Nov.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," MPRA Paper, University Library of Munich, Germany, number 43687, Jan.
• Borenstein, Eliezer & Elkayam, David, 2013, "The equity premium in a small open economy, and an application to Israel," MPRA Paper, University Library of Munich, Germany, number 43909, Jan.
• García Muñoz, Luis Manuel, 2013, "CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions," MPRA Paper, University Library of Munich, Germany, number 44252, Feb.
• Han, Meng & He, Yeqi & Zhang, Hu, 2013, "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper, University Library of Munich, Germany, number 44495, Feb.
• Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013, "Do ambiguity effects survive in experimental asset markets?," MPRA Paper, University Library of Munich, Germany, number 44700, Feb.
• Sun, David & Tsai, Shih-Chuan, 2013, "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper, University Library of Munich, Germany, number 44767, Dec, revised 09 Jan 2014.
• SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen, 2013, "US Corporate Bond Yield Spread: A default risk debate," MPRA Paper, University Library of Munich, Germany, number 44887, Mar.
• El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On option pricing in illiquid markets with random jumps," MPRA Paper, University Library of Munich, Germany, number 45172, Mar.
• Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013, "The drivers of downside equity tail risk," MPRA Paper, University Library of Munich, Germany, number 45591, Feb.
• Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013, "The cross-section of tail risks in stock returns," MPRA Paper, University Library of Munich, Germany, number 45592, Feb.
• Lamé, Gildas, 2013, "Was there a "Greenspan conundrum" in the Euro area ?," MPRA Paper, University Library of Munich, Germany, number 45870, Mar.
• Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013, "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper, University Library of Munich, Germany, number 46528, Apr.
• Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013, "Testing rational speculative bubbles in Central European stock markets," MPRA Paper, University Library of Munich, Germany, number 46582, Feb.
• Xiao, Tim, 2013, "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper, University Library of Munich, Germany, number 47104, May.
• Hannah, Lincoln, 2013, "Funding Cost and a New Capital Model," MPRA Paper, University Library of Munich, Germany, number 47111, May.
• Xiao, Tim, 2013, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper, University Library of Munich, Germany, number 47136, May.
• Pakos, Michal, 2013, "Long-Run Risk and Hidden Growth Persistence," MPRA Paper, University Library of Munich, Germany, number 47217, Apr.
• Xiao, Tim, 2013, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper, University Library of Munich, Germany, number 47366, May.
• Li, Minqiang & Mercurio, Fabio, 2013, "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper, University Library of Munich, Germany, number 47465.
• Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013, "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper, University Library of Munich, Germany, number 47572, Jun.
• Ivanov, Sergei, 2013, "Interest rate paradox," MPRA Paper, University Library of Munich, Germany, number 47723, Jun.
• Sinha, Pankaj & Mathur, Kritika, 2013, "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper, University Library of Munich, Germany, number 47864, Jun.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "A Generalization of Gray and Whaley's Option," MPRA Paper, University Library of Munich, Germany, number 47908, Jun, revised 30 Jun 2013.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "On the liquidity of CAC 40 index options Market," MPRA Paper, University Library of Munich, Germany, number 47921, Jun, revised 01 Jul 2013.
• Hearn, Bruce, 2013, "Size and liquidity effects in Nigeria: an industrial sector study," MPRA Paper, University Library of Munich, Germany, number 47975, Jan.
• Ndako, Umar Bida, 2013, "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper, University Library of Munich, Germany, number 48076, Jul.
• Siddiqi, Hammad, 2013, "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 48862, Jul.
• Cantillo, Andres, 2013, "Survey of Literature on Portfolio Theory," MPRA Paper, University Library of Munich, Germany, number 49772, Aug.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper, University Library of Munich, Germany, number 49921, Sep.
• Charlin, Ventura & Cifuentes, Arturo, 2013, "A new financial metric for the art market," MPRA Paper, University Library of Munich, Germany, number 50186, Sep.
• García Muñoz, Luis Manuel, 2013, "Interest rate modeling under multiple discounting curves," MPRA Paper, University Library of Munich, Germany, number 50357, Oct.
• Siddiqi, Hammad, 2013, "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper, University Library of Munich, Germany, number 50759, Aug.
• Alves, Paulo, 2013, "The Fama French Model or the capital asset pricing model: international evidence," MPRA Paper, University Library of Munich, Germany, number 51434, revised 2013.
• Nath, Golaka, 2013, "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper, University Library of Munich, Germany, number 51590, Nov.
• Nath, Golaka, 2013, "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper, University Library of Munich, Germany, number 51591, Oct.
• Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif, 2013, "Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate," MPRA Paper, University Library of Munich, Germany, number 51593, Nov, revised 04 Nov 2013.
• Nath, Golaka, 2013, "Liquidity Issues in Indian Sovereign Bond Market," MPRA Paper, University Library of Munich, Germany, number 51633, May.
• Ogundipe, Adeyemi & Ogundipe, Oluwatomisin, 2013, "Oil Price and Exchange Rate Volatility in Nigeria," MPRA Paper, University Library of Munich, Germany, number 51668, Nov.
• Jäckel, Christoph, 2013, "Model uncertainty and expected return proxies," MPRA Paper, University Library of Munich, Germany, number 51978, Dec.
• Jensen, Mark J & Maheu, John M, 2013, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper, University Library of Munich, Germany, number 52132, Dec.
• Lee, Y. & So, Leh-chyan, 2013, "Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches," MPRA Paper, University Library of Munich, Germany, number 52371.
• So, Leh-chyan, 2013, "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper, University Library of Munich, Germany, number 52493.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2013, "Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India," MPRA Paper, University Library of Munich, Germany, number 52581, Nov.
• Bai, Jushan & Ando, Tomohiro, 2013, "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper, University Library of Munich, Germany, number 52785, Jul, revised Dec 2013.
• Jarraya, Bilel & Bouri, Abdelfettah, 2013, "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper, University Library of Munich, Germany, number 53697, revised 2013.
• Jarraya, Bilel, 2013, "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper, University Library of Munich, Germany, number 53698, revised 2013.
• Shaikh, Salman, 2013, "Investment Decisions by Analysts: A Case Study of KSE," MPRA Paper, University Library of Munich, Germany, number 53802, Dec.
• Nauta, Bert-Jan, 2013, "Discounting Cashflows from Illiquid Assets on Bank Balance Sheets," MPRA Paper, University Library of Munich, Germany, number 54781, Apr, revised 22 Oct 2013.
• Tomić, Bojan, 2013, "The application of the capital asset pricing model on the Croatian capital market," MPRA Paper, University Library of Munich, Germany, number 55764, revised 2013.
• Liu, Xiaochun, 2013, "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 55801, Dec.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach," MPRA Paper, University Library of Munich, Germany, number 56406, Mar.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013, "Transitional Dynamics of Oil Prices," MPRA Paper, University Library of Munich, Germany, number 56407, Apr.
• Avino, Davide & Cotter, John, 2013, "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper, University Library of Munich, Germany, number 56782, Jun.
• Onour, Ibrahim, 2013, "Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan," MPRA Paper, University Library of Munich, Germany, number 57082.
• Rizvi, Syed Aun & Masih, Mansur, 2013, "Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 57701, May.
• Caspi, Itamar, 2013, "Rtadf: Testing for Bubbles with EViews," MPRA Paper, University Library of Munich, Germany, number 58791, Aug, revised 06 Sep 2014.
• Karkowska, Renata, 2013, "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," MPRA Paper, University Library of Munich, Germany, number 58802, Oct.
• Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013, "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 58837, Aug.
• Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013, "Long memory in the ukrainian stock market and financial crises," MPRA Paper, University Library of Munich, Germany, number 59061, Oct.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper, University Library of Munich, Germany, number 61562, Jan.
• Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Risk-adjusted pricing of bank’s assets based on cash flow matching matrix," MPRA Paper, University Library of Munich, Germany, number 61611, Dec.
• Genest, Benoit & Rego, David & Freon, Helene, 2013, "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper, University Library of Munich, Germany, number 62908, Aug.
• Breckenfelder, Johannes, 2013, "Competition between high-frequency traders, and market quality," MPRA Paper, University Library of Munich, Germany, number 66715, Mar, revised Dec 2013.
• Okur, Mustafa & Cevik, Emrah Ismail, 2013, "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper, University Library of Munich, Germany, number 71477, revised 2013.
• Ripamonti, Alexandre, 2013, "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper, University Library of Munich, Germany, number 79460.
• Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013, "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper, University Library of Munich, Germany, number 83500, revised 2013.
• Julian, Inchauspe & Helen, Cabalu, 2013, "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper, University Library of Munich, Germany, number 93049, Sep.
• Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak, 2013, "House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201309, Feb.
• Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013, "The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data," Working Papers, University of Pretoria, Department of Economics, number 201326, Jun.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013, "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201345, Aug.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, University of Pretoria, Department of Economics, number 201351, Sep.
• Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2013, "Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests," Working Papers, University of Pretoria, Department of Economics, number 201358, Sep.
• Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013, "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201360, Oct.
• Robert G. Kuklik & Vladislav Vacek, 2013, "Volatility Asset Pricing Model as an Alternative Approach?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2013, issue 1, pages 39-66, DOI: 10.18267/j.efaj.95.
• Mark Huggett & Greg Kaplan, 2013, "The Money Value of a Man," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 1474, Jul.
• Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2013, "New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 4-2013, Apr.
• Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013, "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper, Harvard University OpenScholar, number 106061, Jan.
• Gianni La Cava, 2013, "Liquidity Shocks and the US Housing Credit Crisis of 2007–2008," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2013-05, May.
• Ortiz, Marco, 2013, "Learning Through the Yield Curve," Working Papers, Banco Central de Reserva del Perú, number 2013-018, Dec.
• Charles Sutcliffe, 2013, "Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-06, Jul.
• Ogonna Nneji, 2013, "Liquidity Shocks and Stock Bubbles," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-07, Jul, revised Jan 2014.
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Online Appendix to "Brand Capital and Firm Value"," Online Appendices, Review of Economic Dynamics, number 12-71.
• Conny Olovsson, 2013, "Code and data files for "How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?"," Computer Codes, Review of Economic Dynamics, number 11-135, revised .
• Galina Vereshchagina, 2013, "Code files for "Preferences for Risk in Dynamic Models with Adjustment Costs Corresponding"," Computer Codes, Review of Economic Dynamics, number 11-155, revised .
• Doriana Ruffino, 2013, "Code and data files for "Resuscitating Businessman Risk: A Rationale for Familiarity-based Portfolios"," Computer Codes, Review of Economic Dynamics, number 11-295, revised .
• Frederico Belo & Xiaoji Lin & Maria Ana Vitorino, 2013, "Code and data files for "Brand Capital and Firm Value"," Computer Codes, Review of Economic Dynamics, number 12-71, revised .
• Emil Iantchev, 2013, "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 16, issue 3, pages 497-510, July, DOI: 10.1010/j.red.2012.08.002.
• Eric Swanson, 2013, "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers, Society for Economic Dynamics, number 1137.
• Stefano Giglio & Ian Dew-Becker, 2013, "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers, Society for Economic Dynamics, number 1244.
• Raman Uppal & Harjoat Bhamra, 2013, "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers, Society for Economic Dynamics, number 1344.
• Robert Shimer & Veronica Guerrieri, 2013, "Markets with Multidimensional Private Information," 2013 Meeting Papers, Society for Economic Dynamics, number 210.
• Vivian Yue & Egon Zakrajsek & Simon Gilchrist, 2013, "Sovereign Risk and Financial Risk," 2013 Meeting Papers, Society for Economic Dynamics, number 289.
• Tack Yun & Eunmi Ko & Jinsook Kim, 2013, "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," 2013 Meeting Papers, Society for Economic Dynamics, number 527.
• Kanda Naknoi & YiLi Chien, 2013, "The Risk Premium and Long-Run Global Imbalances," 2013 Meeting Papers, Society for Economic Dynamics, number 55.
• Zhiguo He, 2013, "A Macroeconomic Framework for Quantifying Systemic Risk," 2013 Meeting Papers, Society for Economic Dynamics, number 58.
• Dongho Song & Amir Yaron & Frank Schorfheide, 2013, "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," 2013 Meeting Papers, Society for Economic Dynamics, number 580.
• Paolo Manasse & Luca Zavalloni, 2013, "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Paper series, Rimini Centre for Economic Analysis, number 08_13, Jan.
• Hao Liu & Winfried Pohlmeier, 2013, "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series, Rimini Centre for Economic Analysis, number 47_13, Aug.
• Iwan J. Azis & Sabyasachi Mitra & Anthony Baluga & Roselle Dime, 2013, "The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises," Working Papers on Regional Economic Integration, Asian Development Bank, number 106, Jan.
• Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013, "The impact of the French Tobin tax," AICCON Working Papers, Associazione Italiana per la Cultura della Cooperazione e del Non Profit, number 118-2013, Feb.
• Veysel Eraslan, 2013, "Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 4, issue 2, pages 1-11.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 13-4, Sep.
• Dionisios Chionis & Ioannis Pragidis & Panagiotis Schizas, 2013, "The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 6-2013, Dec.
• Khaled Guesmi & Zied Ftiti & Ilyes Abid, 2013, "Greece’s Stock Market Integration with Southeast Europe," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 28, pages 668-682.
• David Bicchetti & Nicolas Maystre Maystre, 2013, "The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data," Algorithmic Finance, IOS Press, volume 2, issue 3-4, pages 233-239.
• Aswath Damodaran, 2013, "Valuing Financial Service Firms," Journal of Financial Perspectives, EY Global FS Institute, volume 1, issue 1, pages 59-74.
• Doron Nissim, 2013, "Implied Cost of Equity Capital in the U.S. Insurance Industry," Journal of Financial Perspectives, EY Global FS Institute, volume 1, issue 1, pages 87-103.
• Blake LeBaron, 2013, "Estimating the Probability of a Lost Decade for U.S. and Global Equity," Journal of Financial Perspectives, EY Global FS Institute, volume 1, issue 2, pages 37-46.
• Nobel Prize Committee, 2013, "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-1, Oct.
• Nobel Prize Committee, 2013, "Trendspotting in Asset Markets," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-2, Oct.
• Robert J. Shiller, 2013, "Interview with 2013 Laureate in Economic Sciences Robert J. Shiller," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-3, Dec.
• Lars Peter Hansen, 2013, "Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-4, Dec.
• Eugene F. Fama, 2013, "Interview with 2013 Laureate in Economic Sciences Eugene F. Fama," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-5, Dec.
• Robert J. Shiller, 2013, "Speculative Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-6, Dec.
• Lars Peter Hansen, 2013, "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-7, Dec.
• Eugene F. Fama, 2013, "Two Pillars of Asset Pricing," Nobel Prize in Economics documents, Nobel Prize Committee, number 2013-8, Dec.
• Sebastian Rathner, 2013, "The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria," Working Papers in Economics, University of Salzburg, number 2013-1, Mar.
• Sebastian Rathner, 2013, "The Industry-Specific Relationships between Corporate Financial Performance and 11 Corporate Social Performance Dimensions: Taking a More Nuanced Perspective," Working Papers in Economics, University of Salzburg, number 2013-2, Jul.
• Lidija Dedi & Philippe Giraudon, 2013, "Valuation And Investment Profession," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 2, pages 93-100.
• Denis Dolinar, 2013, "Test Of The Fama-French Three-Factor Model In Croatia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 2, pages 101-112.
• Davor Zoricic & Marko Badurina, 2013, "Nelson-Siegel Yield Curve Model Estimation And The Yield Curve Trading In The Croatian Financial Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 2, pages 113-125.
• Davor Zoricic & Silvije Orsag, 2013, "Parametric Yield Curve Modeling In An Illiquid And Undeveloped Financial Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 3, pages 243-252.
• Duca, Ioana Andreea & Ruxanda, Gheorghe, 2013, "A View on the Risk-Neutral Density Forecasting of the Dax30 Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 101-114, June.
• Yang-Cheng Lu & Yu-Chen Wei, 2013, "The Chinese News Sentiment around Earnings Announcements," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 44-58, October.
• Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang, 2013, "Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 205-217, December.
• Li-Hung Wu, 2013, "Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 32-43, December.
• Joscha Beckmann & Ansgar Belke & Michael Kuehl, 2013, "Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run," ROME Working Papers, ROME Network, number 201307, Jul.
• Ramona Dagostino, 2013, "Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales," Rivista di Politica Economica, SIPI Spa, issue 4, pages 47-77, October-D.
• Madalina - Gabriela ANGHEL, 2013, "Technical Analysis versus Fundamental Analysis of Securities," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 61, issue 2, pages 257-262, May.
• Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013, "The impact of the French Tobin tax," CEIS Research Paper, Tor Vergata University, CEIS, number 266, Mar, revised 01 Mar 2013.
• Cheng Gao & Bruce Mizrach, 2013, "Market Quality Breakdowns in Equities," Departmental Working Papers, Rutgers University, Department of Economics, number 201318, Jul.
• Cheng Gao & Bruce Mizrach, 2013, "High Frequency Trading in the Equity Markets During U.S. Treasury POMO," Departmental Working Papers, Rutgers University, Department of Economics, number 201320, Jul.
• Andreff, Wladimir, 2013, "Une transition économique inattendue : vers le « cupidalisme » ?," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, volume 14.
• Michael Donadelli & Lorenzo Prosperi & Federica Romei & Federico Silvestri, 2013, "Movements and co-movements across the European asset classes: portfolio allocations and policy implications," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 1-2, May.
• Vijay A Murik, 2013, "Measuring monetary policy expectations," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 49-65, April, DOI: 10.1177/0312896212445521.
• Daniel Chai & Robert Faff & Philip Gharghori, 2013, "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, volume 38, issue 2, pages 375-400, August, DOI: 10.1177/0312896213489143.
• S. Maheswaran & G. Balasubramanian & C.A. Yoonus, 2011, "Post-colonial Finance," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 10, issue 2, pages 175-196, August, DOI: 10.1177/097265271101000202.
• Brenda González-Hermosillo & Heiko Hesse, 2011, "Global Market Conditions and Systemic Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 10, issue 2, pages 227-252, August, DOI: 10.1177/097265271101000204.
• Francesco Guidi & Rakesh Gupta & Suneel Maheshwari, 2011, "Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 10, issue 3, pages 337-389, December, DOI: 10.1177/097265271101000304.