Research classified by Journal of Economic Literature (JEL) codes

2013

• Raphael I. Udegbunam & Hassan E. Oaikhenan, 2012, "Interest Rate Risk of Stock Prices in Nigeria," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 11, issue 1, pages 93-113, April, DOI: 10.1177/097265271101100104.
• Nurjannah & Don U.A. Galagedera & Robert Brooks, 2012, "Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 11, issue 3, pages 271-300, December, DOI: 10.1177/0972652712466498.
• M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013, "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 2, pages 197-237, August, DOI: 10.1177/0972652713494046.
• A. Vinay Kumar & Shikha Jaiswal, 2013, "The Information Content of Alternate Implied Volatility Models: Case of Indian Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 3, pages 293-321, December, DOI: 10.1177/0972652713512915.
• Ron Alquist & Olivier Gervais, 2013, "The Role of Financial Speculation in Driving the Price of Crude Oil," The Energy Journal, , volume 34, issue 3, pages 35-54, July, DOI: 10.5547/01956574.34.3.3.
• Saumya Ranjan Dash & Jitendra Mahakud, 2013, "Investor Sentiment and Stock Return: Do Industries Matter?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 7, issue 3, pages 315-349, August, DOI: 10.1177/0973801013491530.
• Imlak Shaikh & Puja Padhi, 2013, "Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 7, issue 4, pages 417-442, November, DOI: 10.1177/0973801013500168.
• Jan Babecký & LuboÅ¡ Komárek & ZlatuÅ¡e Komárková, 2013, "Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue 1, pages 16-34, February.
• Xi Chen & Michael Funke, 2013, "Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue 1, pages 39-48, February.
• Muhammad Omer & Jakob de Haan & Bert Scholtens, 2013, "Does Uncovered Interest Rate Parity Hold After All?," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 57, Mar.
• Safia Shabbir, 2013, "Implications of Monetary Policy for Corporate Sector and Economic Growth in Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 61, May.
• Mario Padula & Yuri Pettinicchi, 2013, "Providing Financial Education: A General Equilibrium Approach," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 334, Jun.
• De la Torre Torres, Oscar Valdemar, 2013, "Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán /Estimation of Alpha in Defined Benefit Pension Funds with a t-Student O-GARCH Matrix : a tes," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 1, pages 39-72, enero-jun.
• Santillan Salgado, Roberto Joaquín & Fonseca Ramírez, Alejandro, 2013, "Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores / Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 2, pages 119-144, julio-dic.
• Abderrazak Dhaoui & Saad Bourouis & Melek Acar Boyacioglu, 2013, "The Impact Of Investor Psychology On Stock Markets: Evidence From France," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 35-59.
• Bokhtiar Hasan & A. F. M. Mainul Ahsan & Afzalur Rahaman, 2013, "Impact Of Hartal On Stock Return And Turnover: Evidence From Bangladesh," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 2 (Septem, pages 279-289.
• Divya Jindal & Ravi Singla, 2013, "The Effect Of 2008 Stock Market Crash On Underpricing Of Book-Built Ipos: A Study Of Indian Capital Market," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 3 (Decemb, pages 452-461.
• Linda S. Goldberg & Christian Grisse, 2013, "Time variation in asset price responses to macro announcements," Working Papers, Swiss National Bank, number 2013-11.
• Geraldine David & Kim Oosterlinck & Ariane Szafarz, 2013, "Art Market Inefficiency," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 13-011, Feb.
• Fernando D. Chague, 2013, "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2013_04, Apr.
• Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013, "Short-Sellers: Informed but Restricted," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2013_05, May.
• Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013, "Short Selling and Inside Information," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2013_06, May, revised 28 Jul 2016.
• Mariana Mazzucato & Massimiliano Tancioni, 2013, "R&D, Patents and Stock Return Volatility," Economic Complexity and Evolution, Springer, in: Andreas Pyka & Esben Sloth Andersen, "Long Term Economic Development", DOI: 10.1007/978-3-642-35125-9_15.
• Matthias Arnold & Sebastian Stahlberg & Dominik Wied, 2013, "Modeling different kinds of spatial dependence in stock returns," Empirical Economics, Springer, volume 44, issue 2, pages 761-774, April, DOI: 10.1007/s00181-011-0528-2.
• Antonio Díaz & Francisco Jareño, 2013, "Inflation news and stock returns: market direction and flow-through ability," Empirical Economics, Springer, volume 44, issue 2, pages 775-798, April, DOI: 10.1007/s00181-012-0555-7.
• Angelos Kanas, 2013, "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, volume 44, issue 3, pages 1291-1314, June, DOI: 10.1007/s00181-012-0639-4.
• K. Arin & Alexander Molchanov & Otto Reich, 2013, "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, volume 45, issue 1, pages 23-38, August, DOI: 10.1007/s00181-012-0601-5.
• Julien Chevallier, 2013, "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, volume 15, issue 2, pages 133-170, April, DOI: 10.1007/s10018-012-0045-3.
• Alex Gershkov & Flavio Toxvaerd, 2013, "On seller estimates and buyer returns," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 1, issue 1, pages 47-55, May, DOI: 10.1007/s40505-013-0008-2.

2012

• 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.
• Frederico Belo & Xiaoji Lin, 2012, "The Inventory Growth Spread," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 1, pages 278-313.
• Dimitri Vayanos & Jiang Wang, 2012, "Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1339-1365.
• Bryan Kelly & Alexander Ljungqvist, 2012, "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1366-1413.
• Rui Albuquerque, 2012, "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1630-1673.
• Stefan Nagel, 2012, "Evaporating Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2005-2039.
• Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012, "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2189-2224.
• Hui Chen & Scott Joslin, 2012, "Generalized Transform Analysis of Affine Processes and Applications in Finance," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2225-2256.
• Dumiter Florin Cornel & Halmi Mirela & David Delia, 2012, "Foreign Direct Investments and Their Impact Upon Exterior Commerce. The Case of Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1109-1113, Decembre.
• Filip Angela-Maria & Pochea Maria Miruna, 2012, "Romanian Investment Funds Risk-Adjusted Performance Evaluation," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1131-1135, Decembre.
• John Muellbauer & John Duca, 2012, "Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models," Economics Series Working Papers, University of Oxford, Department of Economics, number 622, Sep.
• M. Caporin & A. Lanzavecchia & V. Lippoli, 2012, "I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2012-EF01.
• Gabriel Rodríguez & Alfredo Vargas, 2012, "Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 35, issue 70, pages 190-223.
• Parviz Saeidi & Abolghasem Okhli, 2012, "Studying the effect of assets return rate on stock price of the companies accepted in Tehran stock exchange," Business and Economic Horizons (BEH), Prague Development Center, volume 8, issue 2, pages 12-22, December.
• Mark Huggett & Greg Kaplan, 2012, "The Money Value of a Man," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 12-014, Apr.
• Cristian Ionescu, 2012, "The Herd Behavior and the Financial Instability," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 1, pages 129-140.
• Cristian Ionescu, 2012, "Incomplete Markets and Financial Instability. The Role of Information," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 1, pages 141-150.
• Miroslav Škoda, 2012, "How Appraisers Develop Fair Value," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 2, pages 273-284.
• Kiss, Gábor Dávid & Kosztopulosz, Andreász, 2012, "The impact of the crisis on the monetary autonomy of Central and Eastern European countries," Public Finance Quarterly, Corvinus University of Budapest, volume 57, issue 1, pages 28-52.
• António Miguel Martins & Ana Paula Serra, 2012, "Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1203, May.
• Abel L. Costa Fernandes & Paulo R. Mota, 2012, "Triffin’s Dilemma Again and the Efficient Level of U.S. Government Debt," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 469, Sep.
• Muhammad, Irfan, 2012, "Non-standardized form of CAPM and stock returns," MPRA Paper, University Library of Munich, Germany, number 35604, Jan.
• Adesoye, A. Bolaji & Atanda, Akinwande AbdulMaliq, 2012, "Monetary Policy and Share Pricing Business in Nigeria," MPRA Paper, University Library of Munich, Germany, number 35846.
• Weber, Patrick, 2012, "Timing asset market peaks: the role of the liquidity risk cycle of the banking system," MPRA Paper, University Library of Munich, Germany, number 36061, Jan.
• Cayton, Peter Julian A. & Mapa, Dennis S., 2012, "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper, University Library of Munich, Germany, number 36206, Jan.
• Demir, Ishak, 2012, "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 36744, Feb.
• Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2012, "Testing for predictability in a noninvertible ARMA model," MPRA Paper, University Library of Munich, Germany, number 37151.
• Arru, Daniela & Iacovoni, Davide & Monteforte, Libero & Pericoli, Filippo Maria, 2012, "EMU sovereign spreads and macroeconomic news," MPRA Paper, University Library of Munich, Germany, number 37200, Mar.
• Bicchetti, David & Maystre, Nicolas, 2012, "The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data," MPRA Paper, University Library of Munich, Germany, number 37486, Mar.
• Sinha, Pankaj & Jayaraman, Prabha, 2012, "Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques," MPRA Paper, University Library of Munich, Germany, number 37662, Feb.
• Sakagami, Yoshitaka, 2012, "A note on the pricing of the perpetual American capped power put option," MPRA Paper, University Library of Munich, Germany, number 37727, Mar.
• Saumitra, Bhaduri, 2012, "A note on the empirical test of herding: a threshold regression approach," MPRA Paper, University Library of Munich, Germany, number 38037, Apr.
• Varadi, Vijay Kumar, 2012, "An evidence of speculation in Indian commodity markets," MPRA Paper, University Library of Munich, Germany, number 38337, Mar.
• Panait, Iulian & Slavescu, Ecaterina Oana, 2012, "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper, University Library of Munich, Germany, number 38751, May.
• Sirucek, Martin, 2012, "Macroeconomic variables and stock market: US review," MPRA Paper, University Library of Munich, Germany, number 39094, Aug.
• Nath, Golaka, 2012, "Estimating term structure changes using principal component analysis in Indian sovereign bond market," MPRA Paper, University Library of Munich, Germany, number 39229, Jun.
• Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo, 2012, "Effective Trade Execution," MPRA Paper, University Library of Munich, Germany, number 39619, Jun.
• Sinha, Pankaj & Goyal, Lavleen, 2012, "Algorithm for construction of portfolio of stocks using Treynor’s ratio," MPRA Paper, University Library of Munich, Germany, number 40134, Jul.
• De Koning, Kees, 2012, "The savings paradox or managing financial, economic or financial risks," MPRA Paper, University Library of Munich, Germany, number 40146, Jul.
• Sinha, Pankaj & Mathur, Kritika, 2012, "Evolution of security transaction tax in India," MPRA Paper, University Library of Munich, Germany, number 40165, Jun.
• Ács, Attila, 2012, "Liquidity and asset prices: a VECM approach," MPRA Paper, University Library of Munich, Germany, number 40331.
• Häseler, Sönke, 2012, "Individual versus Collective Enforcement Rights in Sovereign Bonds," MPRA Paper, University Library of Munich, Germany, number 40908, Aug.
• Malhotra, Madhuri Malhotra & M., Thenmozhi & Gopalaswamy, Arun Kumar, 2012, "Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India," MPRA Paper, University Library of Munich, Germany, number 41216, Sep.
• Yasmeen & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas, 2012, "The Capital Asset Pricing Model: Empirical Evidence from Pakistan," MPRA Paper, University Library of Munich, Germany, number 41961.
• Marco, Bianchetti & Mattia, Carlicchi, 2012, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper, University Library of Munich, Germany, number 42248, Mar.
• Luis Manuel, García Muñoz, 2012, "Collateral choice and the fundamental theorem of asset pricing," MPRA Paper, University Library of Munich, Germany, number 42451, Oct.
• Vanini, Paolo, 2012, "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper, University Library of Munich, Germany, number 42536, Nov.
• Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012, "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper, University Library of Munich, Germany, number 42566, Nov.
• Antonakakis, Nikolaos, 2012, "Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades," MPRA Paper, University Library of Munich, Germany, number 43013.
• Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George, 2012, "Why Do Financial Intermediaries Buy Put Options from Companies?," MPRA Paper, University Library of Munich, Germany, number 43149, Dec.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2012, "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper, University Library of Munich, Germany, number 43284, Dec.
• Rossi, Francesco, 2012, "U.K. cross-sectional equity data: The case for robust investability filters," MPRA Paper, University Library of Munich, Germany, number 43312, Nov, revised Nov 2012.
• Kitov, Ivan & Kitov, Oleg, 2012, "Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching," MPRA Paper, University Library of Munich, Germany, number 43392, Dec.
• Bianchetti, Marco & Carlicchi, Mattia, 2012, "Markets Evolution After the Credit Crunch," MPRA Paper, University Library of Munich, Germany, number 44023, Dec.
• Yun, Tack & Kim, Jinsook & Ko, Eunmi, 2012, "The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models," MPRA Paper, University Library of Munich, Germany, number 44212, Oct.
• Malik, Saif Ullah, 2012, "Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies," MPRA Paper, University Library of Munich, Germany, number 44475, Feb.
• Ntim, Collins G, 2012, "Why African Stock Markets Should Formally Harmonise and Integrate their Operations," MPRA Paper, University Library of Munich, Germany, number 45806, Dec.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2012, "Incentive-Compatible Sukuk Musharakah for Private Sector Funding," MPRA Paper, University Library of Munich, Germany, number 46009.
• Xiao, Tim, 2012, "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper, University Library of Munich, Germany, number 47105, May.
• Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2012, "Why are U.S. Stocks More Volatile?," MPRA Paper, University Library of Munich, Germany, number 47341.
• Xiao, Tim, 2012, "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper, University Library of Munich, Germany, number 47371, May.
• Pagel, Michaela, 2012, "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 47933, Dec.
• Huang, Huichou & MacDonald, Ronald, 2012, "Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia," MPRA Paper, University Library of Munich, Germany, number 47987, Jan, revised 28 Jan 2013.
• Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete, 2012, "Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
  [Initial Public Offer of stocks in Brazil: an analysis of returns from stocks with low Price/earnings ratio]," MPRA Paper, University Library of Munich, Germany, number 48106, Sep.
• Tola, Albi & Wälti, Sébastien, 2012, "Deciphering financial contagion in the euro area during the crisis," MPRA Paper, University Library of Munich, Germany, number 49251, Dec.
• Kozmenko, Serhiy & Plastun, Oleksiy, 2012, "Mutual influence of the exchange assets: practical aspects," MPRA Paper, University Library of Munich, Germany, number 50785, Feb.
• Guler, Halil & Talasli, Anil, 2012, "Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 51009, Dec.
• Cebula, Richard & Foley, Maggie, 2012, "Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S," MPRA Paper, University Library of Munich, Germany, number 53691, Sep.
• Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012, "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper, University Library of Munich, Germany, number 53745, Jul, revised 18 Nov 2013.
• Monostori, Zoltan, 2012, "Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója
  [Decomposition of the five-year Hungarian sovereign fixed income forint yields]," MPRA Paper, University Library of Munich, Germany, number 54253, Aug, revised Sep 2012.
• Asonuma, Tamon, 2012, "Serial default and debt renegotiation," MPRA Paper, University Library of Munich, Germany, number 55139, Apr.
• Erten, Irem & Okay, Nesrin, 2012, "Deciphering Liquidity Risk on the Istanbul Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 56148, revised 2012.
• Avino, Davide & Lazar, Emese & Varotto, Simone, 2012, "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper, University Library of Munich, Germany, number 56781, Apr.
• Buła, Rafał, 2012, "Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
  [Methodical aspects of estimating fractal dimension of financial time series]," MPRA Paper, University Library of Munich, Germany, number 59711.
• Kamal, Javed Bin, 2012, "Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model," MPRA Paper, University Library of Munich, Germany, number 60610, Sep.
• Vdovychenko, Artem, 2012, "Динамика Ликвидности На Рынке Первичных Публичных Размещений
  [Liquidity dynamics on initial public offerings market]," MPRA Paper, University Library of Munich, Germany, number 69428, Jun.
• Cevik, Emrah Ismail, 2012, "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme
  [The testing of efficient market hypothesis in the Istanbul Stock Exchange by using long memory models: a sector-specific," MPRA Paper, University Library of Munich, Germany, number 71484, revised 2012.
• Johansson, Bo, 2012, "A note on approximating bond returns allowing for both yield change and time passage," MPRA Paper, University Library of Munich, Germany, number 92607, Jul.
• Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012, "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers, University of Pretoria, Department of Economics, number 201204, Jan.
• Rangan Gupta & Roula Inglesi-Lotz, 2012, "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers, University of Pretoria, Department of Economics, number 201208, Feb.
• Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012, "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers, University of Pretoria, Department of Economics, number 201209, Mar.
• Jaroslav Brada, 2012, "Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT
  [Oceňování úrokových swapů pro účetní daňové účely]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2012, issue 1, pages 104-120, DOI: 10.18267/j.cfuc.306.
• Jaroslav Brada, 2012, "Callable and Puttable Bond Valuation and Embedded Call and Put Option on Bond Cash Flow
  [Oceňování svolatelných dluhopisů a dluhopisů s vnořenými call a put opcemi na toky plateb]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2012, issue 3, pages 52-60, DOI: 10.18267/j.cfuc.321.
• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 37-48.
• Philippe Danjou, 2012, "Normes comptables et création de valeur," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 205-225.
• Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari & Olaolu Richard Olayeni, 2012, "Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 3, pages 199-213, September.
• António Rua & João Pedro Pereira, 2012, "Asset pricing with a bank risk factor," Working Papers, Banco de Portugal, Economics and Research Department, number w201202.
• Maximiano Pinheiro, 2012, "Market perception of fiscal sustainability: An application to the largest euro area economies," Working Papers, Banco de Portugal, Economics and Research Department, number w201209.
• Martín Saldias, 2012, "Systemic Risk Analysis using Forward-Looking Distance-to-Default Series," Working Papers, Banco de Portugal, Economics and Research Department, number w201216.
• Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2012, "Energy cost modelling of new technology adoption for Russian regional power and heat generation," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 9-2012, Sep.
• Francis Breedon, 2012, "A Variance Decomposition of Index-Linked Bond Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 688, Jan.
• Emmanuel Farhi & Jean Tirole, , "Liquid Bundles," Working Paper, Harvard University OpenScholar, number 70971.
• Jean Cordier & Alexandre Gohin, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers SMART, INRAE UMR SMART, number 12-06.
• Choy, Marylin & Cerna, Jorge, 2012, "Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés," Working Papers, Banco Central de Reserva del Perú, number 2012-021, Nov.
• Peter Aling & Dr. Shakill Hassan, 2012, "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers, South African Reserve Bank, number 4946, Feb.
• Jacques Pézier & Johanna Scheller, 2012, "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-05, Jan.
• Jianfeng Yu, 2012, "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices, Review of Economic Dynamics, number 10-230, Apr.
• Jianfeng Yu, 2012, "Code and data files for "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Computer Codes, Review of Economic Dynamics, number 10-230, revised .
• Emil Iantchev, 2012, "Code and data files for "Asset-Pricing Implications of Biologically Based Non-Expected Utility"," Computer Codes, Review of Economic Dynamics, number 11-255, revised .
• Francisco Palomino, 2012, "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 1, pages 19-40, January, DOI: 10.1016/j.red.2010.05.003.
• Jianfeng Yu, 2012, "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 3, pages 317-335, October, DOI: 10.1016/j.red.2012.04.001.
• Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2012, "Trading and liquidity with limited cognition," 2012 Meeting Papers, Society for Economic Dynamics, number 118.
• Robert Shimer & Veronica Guerrieri, 2012, "Markets with Multidimensional Private Information," 2012 Meeting Papers, Society for Economic Dynamics, number 1192.
• 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.
• Alexander Ludwig & Alexander Zimper, 2012, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," ERSA Working Paper Series, Economic Research Southern Africa, number 296, Jun.
• 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.