Research classified by Journal of Economic Literature (JEL) codes

2012

• Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012, "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 523-541, DOI: 10.1016/j.jfineco.2012.04.006.
• Kapadia, Nikunj & Pu, Xiaoling, 2012, "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 542-564, DOI: 10.1016/j.jfineco.2011.10.014.
• Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
• Dangl, Thomas & Halling, Michael, 2012, "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 157-181, DOI: 10.1016/j.jfineco.2012.04.003.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012, "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 331-348, DOI: 10.1016/j.jfineco.2012.05.013.
• Chernov, Mikhail & Mueller, Philippe, 2012, "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 367-394, DOI: 10.1016/j.jfineco.2012.06.004.
• Dezső, Cristian L. & Ross, David Gaddis, 2012, "Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 395-410, DOI: 10.1016/j.jfineco.2012.06.002.
• Paye, Bradley S., 2012, "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 527-546, DOI: 10.1016/j.jfineco.2012.06.005.
• García, Diego & Norli, Øyvind, 2012, "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 547-565, DOI: 10.1016/j.jfineco.2012.06.007.
• Golez, Benjamin & Jackwerth, Jens Carsten, 2012, "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 566-585, DOI: 10.1016/j.jfineco.2012.06.010.
• Maio, Paulo & Santa-Clara, Pedro, 2012, "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 586-613, DOI: 10.1016/j.jfineco.2012.07.001.
• Savor, Pavel G., 2012, "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 635-659, DOI: 10.1016/j.jfineco.2012.06.011.
• Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012, "Currency momentum strategies," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 660-684, DOI: 10.1016/j.jfineco.2012.06.009.
• Takáts, Előd, 2012, "Aging and house prices," Journal of Housing Economics, Elsevier, volume 21, issue 2, pages 131-141, DOI: 10.1016/j.jhe.2012.04.001.
• Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012, "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, volume 31, issue 1, pages 80-101, DOI: 10.1016/j.jimonfin.2011.11.004.
• Jongen, R. & Muller, A. & Verschoor, W.F.C., 2012, "Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 148-169, DOI: 10.1016/j.jimonfin.2011.10.002.
• Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012, "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 267-291, DOI: 10.1016/j.jimonfin.2011.11.010.
• Resnick, Bruce G., 2012, "Investor yield and gross underwriting spread comparisons among U.S. dollar domestic, Yankee, Eurodollar, and global bonds," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 445-463, DOI: 10.1016/j.jimonfin.2011.12.005.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2012, "The Greek financial crisis: Growing imbalances and sovereign spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 498-516, DOI: 10.1016/j.jimonfin.2011.10.009.
• Bernoth, Kerstin & Erdogan, Burcu, 2012, "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 639-656, DOI: 10.1016/j.jimonfin.2011.10.006.
• Maltritz, Dominik, 2012, "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 657-672, DOI: 10.1016/j.jimonfin.2011.10.010.
• Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012, "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 743-765, DOI: 10.1016/j.jimonfin.2012.01.002.
• Moore, Michael J. & Roche, Maurice J., 2012, "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 865-879, DOI: 10.1016/j.jimonfin.2012.01.005.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012, "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 975-995, DOI: 10.1016/j.jimonfin.2011.12.006.
• Kroencke, Tim A. & Schindler, Felix, 2012, "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1851-1866, DOI: 10.1016/j.jimonfin.2012.05.018.
• Glick, Reuven & Leduc, Sylvain, 2012, "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Journal of International Money and Finance, Elsevier, volume 31, issue 8, pages 2078-2101, DOI: 10.1016/j.jimonfin.2012.05.009.
• Bowden, Mark P., 2012, "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 553-566, DOI: 10.1016/j.jmacro.2012.01.003.
• Lindenberg, Nannette & Westermann, Frank, 2012, "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1125-1140, DOI: 10.1016/j.jmacro.2012.06.006.
• Siddiqi, Hammad, 2012, "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, volume 33, issue 1, pages 19-29, DOI: 10.1016/j.joep.2011.08.008.
• Tilton, John E. & Humphreys, David & Radetzki, Marian, 2012, "Investor demand and spot commodity prices: Reply," Resources Policy, Elsevier, volume 37, issue 3, pages 397-399, DOI: 10.1016/j.resourpol.2012.02.003.
• Tilton, John E. & Humphreys, David & Radetzki, Marian, 2012, "Investor demand and spot commodity prices: Reply 2," Resources Policy, Elsevier, volume 37, issue 3, pages 403-404, DOI: 10.1016/j.resourpol.2012.03.003.
• Harding, John P. & Rosenblatt, Eric & Yao, Vincent W., 2012, "The foreclosure discount: Myth or reality?," Journal of Urban Economics, Elsevier, volume 71, issue 2, pages 204-218, DOI: 10.1016/j.jue.2011.09.005.
• Edmond, Chris & Weill, Pierre-Olivier, 2012, "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, volume 59, issue 4, pages 319-335, DOI: 10.1016/j.jmoneco.2012.03.006.
• van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012, "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, volume 59, issue 7, pages 634-648, DOI: 10.1016/j.jmoneco.2012.09.002.
• Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012, "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, volume 22, issue 5, pages 193-211, DOI: 10.1016/j.mulfin.2012.06.008.
• Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012, "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 198-227, DOI: 10.1016/j.pacfin.2011.09.001.
• Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012, "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 416-437, DOI: 10.1016/j.pacfin.2011.12.008.
• Bohl, Martin T. & Essid, Badye & Siklos, Pierre L., 2012, "Do short selling restrictions destabilize stock markets? Lessons from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 198-206, DOI: 10.1016/j.qref.2012.02.001.
• Mabrouk, Samir & Saadi, Samir, 2012, "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 3, pages 305-321, DOI: 10.1016/j.qref.2012.04.006.
• Kao, Erin H. & Fung, Hung-Gay, 2012, "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 195-209, DOI: 10.1016/j.iref.2011.06.003.
• Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012, "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 261-271, DOI: 10.1016/j.iref.2011.07.004.
• Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012, "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 11-24, DOI: 10.1016/j.iref.2011.08.006.
• Chen, Sichong, 2012, "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 284-304, DOI: 10.1016/j.iref.2011.10.009.
• Gong, Fuzhou & Liu, Hong, 2012, "Inside trading, public disclosure and imperfect competition," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 200-223, DOI: 10.1016/j.iref.2012.03.003.
• Wei, Peihwang & Yang, Xiaolou, 2012, "Do investors value REITs and Non-REITs differently?," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 295-302, DOI: 10.1016/j.iref.2012.04.005.
• Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012, "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 315-326, DOI: 10.1016/j.iref.2012.04.002.
• Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012, "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 62-70, DOI: 10.1016/j.iref.2011.12.001.
• Walkshäusl, Christian & Lobe, Sebastian, 2012, "Islamic investing," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 53-62, DOI: 10.1016/j.rfe.2012.03.002.
• Stotz, Olaf & Georgi, Dominik, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 159-167, DOI: 10.1016/j.rfe.2012.04.001.
• Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012, "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 168-174, DOI: 10.1016/j.rfe.2012.06.001.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 3, pages 78-99.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_17, Nov.
• Leo Krippner, 2012, "Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-05, Feb.
• Leo Krippner, 2012, "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-11, Mar.
• M Boschi & S d'Addona & A Goenka, 2012, "Testing external habits in an asset pricing model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-20, May.
• Leo Krippner, 2012, "Measuring the stance of monetary policy in zero lower bound environments," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-35, Jul.
• Omer ISKENDEROGLU, 2012, "Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 1, pages 69-78.
• Umut UYAR & Sinem Guler KANGALLI, 2012, "Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 2, pages 183-192.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119044, Jul.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Liquidity and asset returns under asymmetric information and imperfect competition," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119045, Jul.
• Chabakauri, Georgy, 2012, "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119046, Jul.
• Mueller, Philippe & Vedolin, Andrea & Yen, Yu-Min, 2012, "Bond variance risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119053, Jan.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian & Wang, Yihui, 2012, "Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119197, Feb.
• De Paoli, Bianca & Zabczyk, Pawel, 2012, "Cyclical risk aversion, precautionary saving and Monetary Policy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121767, Mar.
• Vedolin, Andrea, 2012, "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43091, Nov.
• De Paoli, Bianca & Zabczyk, Pawel, 2012, "Policy design in a model with swings in risk appetite," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 51517.
• Daniel Detzer, 2012, "New instruments for banking regulation and monetary policy after the crisis," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 9, issue 2, pages 233-254.
• Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012, "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 2, pages 143-162, April, DOI: 10.1108/20441391211215824.
• Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012, "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, volume 15, issue 1, pages 81-97, April, DOI: 10.1007/s11147-011-9070-9.
• Nikunj Kapadia & Gregory Willette, 2012, "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, volume 15, issue 2, pages 129-156, July, DOI: 10.1007/s11147-011-9072-7.
• Alain Monfort & Olivier Féron, 2012, "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, volume 15, issue 3, pages 217-256, October, DOI: 10.1007/s11147-012-9075-z.
• Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012, "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 1, pages 109-129, January, DOI: 10.1007/s11156-011-0249-9.
• David Morelli, 2012, "Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 1, pages 47-60, January, DOI: 10.1007/s11156-010-0218-8.
• Chuang-Chang Chang & Miao-Ying Chen, 2012, "Re-examining the investment-uncertainty relationship in a real options model," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 2, pages 241-255, February, DOI: 10.1007/s11156-011-0227-2.
• Ahmed Hachicha & Fatma Hachicha & Afif Masmoudi, 2012, "A comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 4, pages 479-493, May, DOI: 10.1007/s11156-011-0236-1.
• Guohua Jiang & Donglin Li & Gang Li, 2012, "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 2, pages 165-188, August, DOI: 10.1007/s11156-011-0250-3.
• Yuan Gao & Derek Oler, 2012, "Rumors and pre-announcement trading: why sell target stocks before acquisition announcements?," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 4, pages 485-508, November, DOI: 10.1007/s11156-011-0262-z.
• Richard Ashley, 2012, "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, volume 28, pages 5-25.
• Young Sik Kim & Manjong Lee, 2012, "Recognizability and Liquidity of Assets," Korean Economic Review, Korean Economic Association, volume 28, pages 241-259.
• Shah Khalid & Wali Ullah & Fazli Rabbi, 2012, "Impact of Financial Reforms on Stock Price Index of Karachi Stock Exchange: An ARDL Cointegration Approach," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 4, issue 1-2, pages 46-52, March-Jun.
• Enrico G. De Giorgi & Thierry Post & Atakan Yalcin, 2012, "A Concave Security Market Line," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1211, May.
• Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012, "Testing for Predictability in a Noninvertible ARMA Model," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1225, Sep.
• Michael McAleer & Shawkat Hammoudeh, 2012, "Risk Management and Financial Derivatives:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 816, Apr.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012, "Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China," KIER Working Papers, Kyoto University, Institute of Economic Research, number 820, Jun.
• Masayuki Susai & Yushi Yoshida, 2012, "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers, Kyushu Sangyo University, Faculty of Economics, number 56, Jul.
• Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012, "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2012-04.
• Werner Kristjanpoller & Víctor Caballero, 2012, "Volume and Skewness Analysis in the Major Latin American Stock Markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 119-141.
• Wojciech Charemza & Imran Hussain Shah, 2012, "Stability Price Index, Core Inflation and Output Volatility," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 12/21, Oct.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers, LERNA, University of Toulouse, number 12.28.385, Nov.
• Fabian Irek & Thorsten Lehnert & Nicolas Martelin, 2012, "Noise Trading and the Cross-Section of Index Option Prices," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-1.
• Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-6.
• Theoharry Grammatikos & Robert Vermeulen, 2012, "The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-8.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2012, "Sentiment Trades and Option Prices," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-9.
• Frank Schmielewski, 2012, "Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008," Working Paper Series in Economics, University of Lüneburg, Institute of Economics, number 229, Jan.
• Frank Schmielewski & Thomas Wein, 2012, "Are private banks the better banks? An insight into the principal-agent structure and risk-taking behavior of German banks," Working Paper Series in Economics, University of Lüneburg, Institute of Economics, number 236, Apr.
• Michael Donadelli & Lorenzo Prosperi, 2012, "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1201.
• Georges Dionne & Jingyuan Li & Cedric Okou, 2012, "An Extension of the Consumption-based CAPM Model," Cahiers de recherche, CIRPEE, number 1214.
• Michele Berardi, 2012, "Endogenous time-varying risk aversion and asset return," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 168.
• Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2012, "Central Bank Communication and Correlation between Financial Markets: Canada and the United States," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201201.
• Janick Christian Mollet & Andreas Ziegler, 2012, "Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201228.
• James D. Hamilton & Jing Cynthia Wu, 2012, "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue , pages 3-46, February, DOI: j.1538-4616.2011.00477.x.
• William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012, "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 48, issue 3, pages 4-30, May.
• György Pulai & Zoltán Reppa, 2012, "The design and implementation of the MNB’s euro sale programme introduced in relation to early repayments," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 7, issue 2, pages 31-40, June.
• Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2012, "Stock Market Volatility and Learning," Working Papers, University of Mannheim, Department of Economics, number 12-06.
• Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012, "The dollar squeeze of the financial crisis," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12009, Feb.
• Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012, "Trading and rational security pricing bubbles," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12010, Feb.
• Sonja Brangewitz & Gaël Giraud, 2012, "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12062, Sep.
• Sonja Brangewitz & Gaël Giraud, 2012, "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12062r, Sep, revised Oct 2013.
• Varvara Isyuk, 2012, "Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12071, May.
• RUGE-MURCIA, Francisco J., 2012, "Skewness Risk and Bond Prices," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2012-14.
• Francisco Ruge-Murcia, 2012, "Skewness Risk and Bond Prices," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2012.
• Francesco Cesarini, 2012, "Price volatility and the basic economic functions of the Stock Ex- change," Banca Impresa Società, Società editrice il Mulino, issue 1, pages 3-10.
• Weihong HUANG & Wanying Wang, 2012, "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1209, Sep.
• Weihong HUANG & Zhenxi CHEN, 2012, "Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1211, Nov.
• Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012, "Risk, uncertainty and monetary policy," Working Paper Research, National Bank of Belgium, number 229, Oct.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012, "Flights to Safety," Working Paper Research, National Bank of Belgium, number 230, Oct.
• Zhiguo He & Arvind Krishnamurthy, 2012, "A macroeconomic framework for quantifying systemic risk," Working Paper Research, National Bank of Belgium, number 233, Oct.
• Hans Dewachter & Raf Wouters, 2012, "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Working Paper Research, National Bank of Belgium, number 235, Oct.
• Markus K. Brunnermeier & Yuliy Sannikov, 2012, "A macroeconomic model with a financial sector," Working Paper Research, National Bank of Belgium, number 236, Oct.
• Bartosz Gębka & Dobromił Serwa, 2012, "Liquidity needs, private information, feedback trading: verifying motives to trade," NBP Working Papers, Narodowy Bank Polski, number 119.
• Mark Carey & Anil Kashyap & Raghuram Rajan & René Stulz, 2012, "Market Institutions and Financial Market Risk," NBER Books, National Bureau of Economic Research, Inc, number care10-1, December.
• John Geanakoplos & Lasse Heje Pedersen, 2012, "Monitoring Leverage," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
• Todd Sinai, 2012, "House Price Moments in Boom-Bust Cycles," NBER Chapters, National Bureau of Economic Research, Inc, "Housing and the Financial Crisis".
• Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012, "International Capital Flows and House Prices: Theory and Evidence," NBER Chapters, National Bureau of Economic Research, Inc, "Housing and the Financial Crisis".
• Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang, 2012, "An Equilibrium Asset Pricing Model with Labor Market Search," NBER Working Papers, National Bureau of Economic Research, Inc, number 17742, Jan.
• Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012, "International Capital Flows and House Prices: Theory and Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 17751, Jan.
• Juan Carlos Gozzi & Ross Levine & Maria Soledad Martinez Peria & Sergio L. Schmukler, 2012, "How Firms Use Domestic and International Corporate Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17763, Jan.
• James D. Hamilton & Jing Cynthia Wu, 2012, "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17772, Jan.
• Leonid Kogan & Dimitris Papanikolaou, 2012, "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 17795, Jan.
• Andrew Ang & Marie Brière & Ombretta Signori, 2012, "Inflation and Individual Equities," NBER Working Papers, National Bureau of Economic Research, Inc, number 17798, Feb.
• Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012, "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17848, Feb.
• Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012, "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17921, Mar.
• Leonid Kogan & Dimitris Papanikolaou, 2012, "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 17975, Apr.
• Shang-Jin Wei & Xiaobo Zhang & Yin Liu, 2012, "Status Competition and Housing Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18000, Apr.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 18046, May.
• Tarek Alexander Hassan, 2012, "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18057, May.
• Todd M. Sinai, 2012, "House Price Moments in Boom-Bust Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 18059, May.
• Robert Novy-Marx, 2012, "Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars," NBER Working Papers, National Bureau of Economic Research, Inc, number 18063, May.
• Mark Huggett & Greg Kaplan, 2012, "The Money Value of a Man," NBER Working Papers, National Bureau of Economic Research, Inc, number 18066, May.
• Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2012, "Volatility, the Macroeconomy and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18104, May.
• Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012, "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18128, Jun.
• Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012, "Tail Risk in Momentum Strategy Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18169, Jun.
• Yuriy Kitsul & Jonathan H. Wright, 2012, "The Economics of Options-Implied Inflation Probability Density Functions," NBER Working Papers, National Bureau of Economic Research, Inc, number 18195, Jun.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012, "The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18231, Jul.
• Kenneth D. West, 2012, "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 18247, Jul.
• Dimitri Vayanos & Jiang Wang, 2012, "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18251, Jul.
• Lauren Cohen & Karl B. Diether & Christopher Malloy, 2012, "Legislating Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18291, Aug.
• Jeffrey Brown & Chichun Fang & Francisco Gomes, 2012, "Risk and Returns to Education," NBER Working Papers, National Bureau of Economic Research, Inc, number 18300, Aug.
• Ravi Bansal & Dana Kiku & Amir Yaron, 2012, "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18305, Aug.
• Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent Yao, 2012, "Foreclosure externalities: Some new evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18353, Sep.
• Zhiguo He & Konstantin Milbradt, 2012, "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 18408, Sep.
• John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012, "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 18411, Sep.
• Kewei Hou & Chen Xue & Lu Zhang, 2012, "Digesting Anomalies: An Investment Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 18435, Oct.
• Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012, "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers, National Bureau of Economic Research, Inc, number 18450, Oct.
• Pierre Collin-Dufresne & Vyacheslav Fos, 2012, "Insider Trading, Stochastic Liquidity and Equilibrium Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18451, Oct.
• Pierre Collin-Dufresne & Vyacheslav Fos, 2012, "Do prices reveal the presence of informed trading?," NBER Working Papers, National Bureau of Economic Research, Inc, number 18452, Oct.
• Martin L. Weitzman, 2012, "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 18496, Oct.
• Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu, 2012, "Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 18541, Nov.
• Harrison Hong & David Sraer, 2012, "Quiet Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 18547, Nov.
• Harrison Hong & David Sraer, 2012, "Speculative Betas," NBER Working Papers, National Bureau of Economic Research, Inc, number 18548, Nov.
• Stefan Nagel, 2012, "Empirical Cross-Sectional Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 18554, Nov.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012, "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers, National Bureau of Economic Research, Inc, number 18555, Nov.
• Andrea Frazzini & Lasse H. Pedersen, 2012, "Embedded Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 18558, Nov.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012, "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 18560, Nov.
• Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012, "Valuation Risk and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 18617, Dec.
• Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba, 2012, "Disagreement and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18619, Dec.
• Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2012, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," NBER Working Papers, National Bureau of Economic Research, Inc, number 18647, Dec.
• Otavio Ribeiro de Medeiros and Vitor Leone, 2012, "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2012/02, Apr.
• Semyon Malamud & Marzena Rostek, 2012, "Decentralized Exchange," Working Papers, NET Institute, number 12-18, Sep.
• Beeler, Jason & Campbell, John Y., 2012, "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, volume 1, issue 1, pages 141-182, January, DOI: 10.1561/104.00000004.
• Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2012, "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," Critical Finance Review, now publishers, volume 1, issue 1, pages 183-221, January, DOI: 10.1561/104.00000005.
• Luca Gelsomini, 2012, "Public Disclosure by ‘Small’ Traders," Working papers, National Bank of Serbia, number 25, Nov.
• Bjørnar Karlsen Kivedal, 2012, "Testing for rational bubbles in the housing market," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 13312, Aug.
• Todd Sarver, 2012, "Optimal Reference Points and Anticipation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1566, Jun.
• Leo Krippner, 2012, "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2012/02, Mar.
• Leo Krippner, 2012, "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2012/04, Oct.
• Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012, "A Survey of Systemic Risk Analytics," Working Papers, Office of Financial Research, US Department of the Treasury, number 12-01, Jan.
• Caus Vasile Aurel, 2012, "Underground Economy, Gdp And Stock Market," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 279-283, July.
• CIOBANU Gheorghe & SECHEL Ioana-Cristina, 2012, "A Study On Financial Derivative Worldwide Transactions -Futures Contracts," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 35-40, July.
• Dedu Vasile & Turcan Ciprian Sebastian & Turcan Radu, 2012, "Speculative Bubbles - A Behavioral Approach," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 798-802, July.
• David S. Lee & Alexandre Mas, 2012, "Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961--1999," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 127, issue 1, pages 333-378.
• Xavier Gabaix, 2012, "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 127, issue 2, pages 645-700.
• Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2012, "Does Mutual Fund Size Matter? The Relationship Between Size and Performance," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 1, pages 31-55.
• Malcolm Baker & Jeffrey Wurgler, 2012, "Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 1, pages 57-87.
• Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2012, "The World Price of Credit Risk," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 2, pages 112-152.
• Jing-Zhi Huang & Ming Huang, 2012, "How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 2, pages 153-202.
• Pierluigi Balduzzi & I-Hsuan Ethan Chiang, 2012, "A Simple Test of the Affine Class of Term Structure Models," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 2, pages 203-244.
• Giovanni Cespa & Xavier Vives, 2012, "Dynamic Trading and Asset Prices: Keynes vs. Hayek," The Review of Economic Studies, Review of Economic Studies Ltd, volume 79, issue 2, pages 539-580.
• Zhigu He & Arvind Krishnamurthy, 2012, "A Model of Capital and Crises," The Review of Economic Studies, Review of Economic Studies Ltd, volume 79, issue 2, pages 735-777.
• Christian Julliard & Anisha Ghosh, 2012, "Can Rare Events Explain the Equity Premium Puzzle?," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 10, pages 3037-3076.
• Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012, "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 12, pages 3711-3751.