Research classified by Journal of Economic Literature (JEL) codes

2012

• Zhiguang Wang & Prasad Bidarkota, 2012, "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, volume 42, issue 1, pages 21-51, February, DOI: 10.1007/s00181-010-0427-y.
• Sami Alpanda, 2012, "Taxation, collateral use of land, and Japanese asset prices," Empirical Economics, Springer, volume 43, issue 2, pages 819-850, October, DOI: 10.1007/s00181-011-0498-4.
• Josep Puigvert-Gutiérrez & Rupert Vincent-Humphreys, 2012, "A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 2, issue 1, pages 1-31, June, DOI: 10.14208/BF03353830.
• Lars Hansen & José Scheinkman, 2012, "Pricing growth-rate risk," Finance and Stochastics, Springer, volume 16, issue 1, pages 1-15, January, DOI: 10.1007/s00780-010-0141-9.
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Lévy market models," Finance and Stochastics, Springer, volume 16, issue 1, pages 63-104, January, DOI: 10.1007/s00780-011-0158-8.
• Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012, "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, volume 16, issue 2, pages 249-274, April, DOI: 10.1007/s00780-011-0166-8.
• Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012, "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, volume 16, issue 3, pages 513-535, July, DOI: 10.1007/s00780-011-0170-z.
• Michał Barski & Jerzy Zabczyk, 2012, "Forward rate models with linear volatilities," Finance and Stochastics, Springer, volume 16, issue 3, pages 537-560, July, DOI: 10.1007/s00780-011-0163-y.
• Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
• Christopher Lorenz & Alexander Schied, 2013, "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, volume 17, issue 4, pages 743-770, October, DOI: 10.1007/s00780-013-0211-x.
• Flavio Bazzana & Marco Palmieri, 2012, "How to increase the efficiency of bond covenants: a proposal for the Italian corporate market," European Journal of Law and Economics, Springer, volume 34, issue 2, pages 327-346, October, DOI: 10.1007/s10657-010-9210-y.
• David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012, "The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 39, issue 1, pages 19-44, February, DOI: 10.1007/s10663-010-9153-0.
• Christian Aßmann & Jens Boysen-Hogrefe, 2012, "Determinants of government bond spreads in the euro area: in good times as in bad," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 39, issue 3, pages 341-356, August, DOI: 10.1007/s10663-011-9171-6.
• Stephen Cheung & Stefan Palan, 2012, "Two heads are less bubbly than one: team decision-making in an experimental asset market," Experimental Economics, Springer;Economic Science Association, volume 15, issue 3, pages 373-397, September, DOI: 10.1007/s10683-011-9304-6.
• M. Levati & Jianying Qiu & Prashanth Mahagaonkar, 2012, "Testing the Modigliani-Miller theorem directly in the lab," Experimental Economics, Springer;Economic Science Association, volume 15, issue 4, pages 693-716, December, DOI: 10.1007/s10683-012-9322-z.
• Amit Goyal, 2012, "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 3-38, March, DOI: 10.1007/s11408-011-0177-7.
• Daniel Edelman & William Fung & David Hsieh & Narayan Naik, 2012, "Funds of hedge funds: performance, risk and capital formation 2005 to 2010," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 87-108, March, DOI: 10.1007/s11408-011-0180-z.
• Stephan Süss, 2012, "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 2, pages 247-267, June, DOI: 10.1007/s11408-012-0183-4.
• Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012, "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 405-428, December, DOI: 10.1007/s11408-012-0196-z.
• Mark Schaub, 2012, "International equities listed on the New York stock exchange: does type of issue or date of issue matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 429-447, December, DOI: 10.1007/s11408-012-0197-y.
• Panayiotis Artikis & Georgia Nifora, 2012, "Capital Structure, Macroeconomic Variables & Stock Returns. Evidence from Greece," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 18, issue 1, pages 87-101, February, DOI: 10.1007/s11294-011-9334-z.
• Giovanni Calice & Christos Ioannidis & Julian Williams, 2012, "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, volume 42, issue 1, pages 85-107, October, DOI: 10.1007/s10693-011-0121-z.
• Bart Frijns & Dimitris Margaritis & Maria Psillaki, 2012, "Firm efficiency and stock returns," Journal of Productivity Analysis, Springer, volume 37, issue 3, pages 295-306, June, DOI: 10.1007/s11123-011-0246-y.
• Hoon Cho & Kyung-Hwan Kim & James Shilling, 2012, "Seemingly Irrational but Predictable Price Formation in Seoul’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 4, pages 526-542, May, DOI: 10.1007/s11146-011-9313-4.
• Zeno Adams & Roland Füss, 2012, "Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 4, pages 570-590, May, DOI: 10.1007/s11146-010-9250-7.
• William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012, "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 1, pages 262-287, June, DOI: 10.1007/s11146-010-9259-y.
• Robert Edelstein & Peng Liu & Fang Wu, 2012, "The Market for Real Estate Presales: A Theoretical Approach," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 1, pages 30-48, June, DOI: 10.1007/s11146-011-9318-z.
• Siu Wong & C. Yiu & K. Chau, 2012, "Liquidity and Information Asymmetry in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 1, pages 49-62, June, DOI: 10.1007/s11146-011-9326-z.
• Roger Koppl & William Luther, 2012, "Hayek, Keynes, and modern macroeconomics," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, volume 25, issue 3, pages 223-241, September, DOI: 10.1007/s11138-011-0161-5.
• 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, DOI: 10.1016/j.inteco.2013.04.003.
• 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, January.
• 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 Bach & Matt P. Dziubinski, 2012, "Commodity derivatives pricing with inventory effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-06, Feb.
• Peter O. Christensen & Zhenjiang Qin, 2012, "Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-22, 04.
• Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
• Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
• Heejoon Han & Dennis Kristensen, 2012, "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-25, May.
• Olaf Posch & Andreas Schrimpf, 2012, "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-32, Jul.
• Charlotte Christiansen, 2012, "Integration of European Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-33, Jul.
• Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
• Daniela Osterrieder & Peter C. Schotman, 2012, "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-35, Aug.
• Stig V. Møller & Jesper Rangvid, 2012, "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-42, Oct.
• Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012, "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-48, May.
• Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012, "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-49, May.
• Tim Bollerslev & Lai Xu & Hao Zhou, 2012, "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-51, Nov.
• Tom Engsted & Thomas Q. Pedersen, 2012, "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-58, Dec.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2012-03, May.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012, "Fear and Closed-End Fund Discounts," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2012-07, Oct.
• Stanislav Khrapov, 2012, "Risk Premia: Short and Long-term," Working Papers, New Economic School (NES), number w0169, Jan.
• Michael Kirchler & Jurgen Huber & Thomas Stockl, 2012, "Thar She Bursts: Reducing Confusion Reduces Bubbles," American Economic Review, American Economic Association, volume 102, issue 2, pages 865-883, April.
• Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012, "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, volume 102, issue 4, pages 1596-1618, June.
• Simon Gilchrist & Egon Zakrajsek, 2012, "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, volume 102, issue 4, pages 1692-1720, June.
• Satyajit Chatterjee & Burcu Eyigungor, 2012, "Maturity, Indebtedness, and Default Risk," American Economic Review, American Economic Association, volume 102, issue 6, pages 2674-2699, October.
• Francois Gourio, 2012, "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, volume 102, issue 6, pages 2734-2766, October.
• YiLi Chien & Harold Cole & Hanno Lustig, 2012, "Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?," American Economic Review, American Economic Association, volume 102, issue 6, pages 2859-2896, October.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012, "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, volume 102, issue 7, pages 3674-3700, December.
• Stephen Morris & Hyun Song Shin, 2012, "Contagious Adverse Selection," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 1-21, January.
• Ana Fostel & John Geanakoplos, 2012, "Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 190-225, January.
• Pengfei Wang & Yi Wen, 2012, "Speculative Bubbles and Financial Crises," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 3, pages 184-221, July, DOI: 10.1257/mac.4.3.184.
• Mikhail Anufriev & Cars Hommes, 2012, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, volume 4, issue 4, pages 35-64, November, DOI: 10.1257/mic.4.4.35.
• Yacine Aït-Sahalia & Jean Jacod, 2012, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, volume 50, issue 4, pages 1007-1050, December.
• Pithak Srisuksai, 2012, "Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 19, issue 2, pages 66-89, December.
• Georges Prat, 2012, "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers, Association Française de Cliométrie (AFC), number 12-06.
• Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012, "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124676, DOI: 10.22004/ag.econ.124676.
• Ng, David T.C., , "The International CAPM When Expected Returns Are Time-Varying," Working Papers, Cornell University, Department of Applied Economics and Management, number 127283, DOI: 10.22004/ag.econ.127283.
• Morana, Claudio, 2012, "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 121723, Feb, DOI: 10.22004/ag.econ.121723.
• Morana, Claudio, 2012, "The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 127423, May, DOI: 10.22004/ag.econ.127423.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 126877, DOI: 10.22004/ag.econ.126877.
• Cordier, Jean & Gohin, Alexandre, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 207989, DOI: 10.22004/ag.econ.207989.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-26, August, DOI: 10.22004/ag.econ.130280.
• Morana, Claudio, 2012, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Conference papers, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project, number 332210.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," Working Papers, Structure and Performance of Agriculture and Agri-products Industry (SPAA), number 126944, Jun, DOI: 10.22004/ag.econ.126944.
• Kusdhianto SETIAWAN, 2012, "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
• Maria-Miruna POCHEA & Angela-Maria FILIP, 2012, "Identifying arbitrage opportunities on SIBEX market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 14, pages 121-130, December.
• Felicia Ramona Birău, 2012, "The Implications Of Liquidity Crises In The Context Of Emerging Capital Market," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 18, pages 189-193, April.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012, "Nonparametric Estimation and Inference for Granger Causality Measures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012009, Jan.