Research classified by Journal of Economic Literature (JEL) codes

2013

• Kim, Jinyong & Kim, Yong-Cheol, 2013, "Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 682-694, DOI: 10.1016/j.jfs.2012.06.002.
• Sun, Changyou, 2013, "On the market risk of securitized timberlands," Journal of Forest Economics, Elsevier, volume 19, issue 2, pages 110-127, DOI: 10.1016/j.jfe.2012.11.002.
• Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013, "International risk cycles," Journal of International Economics, Elsevier, volume 89, issue 2, pages 471-484, DOI: 10.1016/j.jinteco.2011.10.001.
• Dahlquist, Magnus & Hasseltoft, Henrik, 2013, "International Bond Risk Premia," Journal of International Economics, Elsevier, volume 90, issue 1, pages 17-32, DOI: 10.1016/j.jinteco.2012.11.008.
• Pézier, Jacques & Scheller, Johanna, 2013, "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 263-274, DOI: 10.1016/j.insmatheco.2013.01.001.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013, "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 300-311, DOI: 10.1016/j.insmatheco.2013.01.004.
• Blackburn, Craig & Sherris, Michael, 2013, "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 64-73, DOI: 10.1016/j.insmatheco.2013.04.007.
• Magni, Carlo Alberto, 2013, "Generalized Makeham’s formula and economic profitability," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 747-756, DOI: 10.1016/j.insmatheco.2013.09.014.
• Thuraisamy, Kannan & Gannon, Gerard, 2013, "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 222-239, DOI: 10.1016/j.intfin.2012.08.002.
• Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2013, "Price impact of block trades in the Saudi stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 322-341, DOI: 10.1016/j.intfin.2012.11.003.
• Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu, 2013, "Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 379-401, DOI: 10.1016/j.intfin.2012.09.008.
• Gębka, Bartosz & Wohar, Mark E., 2013, "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 23, issue C, pages 55-84, DOI: 10.1016/j.intfin.2012.09.003.
• Gurun, Ayfer, 2013, "Business strategy and financial consequences: The case of antidumping filings," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 127-138, DOI: 10.1016/j.intfin.2012.11.006.
• Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013, "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 139-152, DOI: 10.1016/j.intfin.2012.11.011.
• Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon, 2013, "Saints versus Sinners. Does morality matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 166-183, DOI: 10.1016/j.intfin.2012.12.002.
• Papavassiliou, Vassilios G., 2013, "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 184-197, DOI: 10.1016/j.intfin.2012.12.003.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013, "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 119-143, DOI: 10.1016/j.intfin.2013.01.006.
• Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013, "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 33-48, DOI: 10.1016/j.intfin.2013.01.001.
• Li, Hong, 2013, "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 25, issue C, pages 88-105, DOI: 10.1016/j.intfin.2013.01.007.
• Smales, Lee A., 2013, "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 113-132, DOI: 10.1016/j.intfin.2013.05.006.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2013, "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 258-272, DOI: 10.1016/j.intfin.2013.06.004.
• Klein, Arne C., 2013, "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 291-304, DOI: 10.1016/j.intfin.2013.06.006.
• Levy, Tamir & Yagil, Joseph, 2013, "Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 26, issue C, pages 91-99, DOI: 10.1016/j.intfin.2013.04.001.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 1-12, DOI: 10.1016/j.intfin.2013.07.011.
• Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013, "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 113-136, DOI: 10.1016/j.intfin.2013.07.012.
• Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao, 2013, "Does idiosyncratic volatility matter in emerging markets? Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 137-160, DOI: 10.1016/j.intfin.2013.09.002.
• Philippas, Dionisis & Siriopoulos, Costas, 2013, "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 161-176, DOI: 10.1016/j.intfin.2013.09.008.
• Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei, 2013, "Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 47-58, DOI: 10.1016/j.intfin.2013.07.007.
• Morales-Arias, Leonardo & Moura, Guilherme V., 2013, "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, volume 29, issue 3, pages 493-509, DOI: 10.1016/j.ijforecast.2012.10.007.
• Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013, "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 148-167, DOI: 10.1016/j.jacceco.2013.01.005.
• Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R., 2013, "Cost of capital and earnings transparency," Journal of Accounting and Economics, Elsevier, volume 55, issue 2, pages 206-224, DOI: 10.1016/j.jacceco.2013.01.004.
• Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X., 2013, "Accounting restatements, governance and municipal debt financing," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 212-227, DOI: 10.1016/j.jacceco.2013.08.003.
• Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013, "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 251-266, DOI: 10.1016/j.jacceco.2013.08.002.
• Aono, Kohei & Iwaisako, Tokuo, 2013, "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, volume 25, issue , pages 39-51, DOI: 10.1016/j.japwor.2012.11.001.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013, "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, volume 9, issue 2, pages 185-215, May, DOI: 10.1007/s10436-012-0215-0.
• Thomas Lux, 2013, "Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach," Annals of Finance, Springer, volume 9, issue 2, pages 217-248, May, DOI: 10.1007/s10436-012-0219-9.
• Azamat Abdymomunov, 2013, "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, volume 9, issue 3, pages 455-470, August, DOI: 10.1007/s10436-012-0194-1.
• Alexander Ludwig & Alexander Zimper, 2013, "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, volume 9, issue 4, pages 625-665, November, DOI: 10.1007/s10436-012-0208-z.
• Marco Realdon, 2013, "Participation exemption and tax arbitrage: Italy’s case," European Journal of Law and Economics, Springer, volume 36, issue 1, pages 77-93, August, DOI: 10.1007/s10657-010-9207-6.
• Jing Wang & Xiaoneng Zhu, 2013, "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 1, pages 1-30, March, DOI: 10.1007/s11408-012-0204-3.
• Markus Buergi, 2013, "Pricing contingent convertibles: a general framework for application in practice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 1, pages 31-63, March, DOI: 10.1007/s11408-012-0203-4.
• Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013, "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 2, pages 127-148, June, DOI: 10.1007/s11408-013-0207-8.
• Erindi Allaj, 2013, "The Black–Litterman model: a consistent estimation of the parameter tau," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 2, pages 217-251, June, DOI: 10.1007/s11408-013-0205-x.
• Stephan Kessler & Bernd Scherer, 2013, "Momentum and macroeconomic state variables," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 4, pages 335-363, December, DOI: 10.1007/s11408-013-0215-8.
• Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013, "Central bank communication and correlation between financial markets: Canada and the United States," International Economics and Economic Policy, Springer, volume 10, issue 2, pages 277-296, June, DOI: 10.1007/s10368-012-0211-x.
• Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013, "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, volume 43, issue 1, pages 69-98, February, DOI: 10.1007/s10693-011-0125-8.
• Claudio Raddatz & Sergio Schmukler, 2013, "Deconstructing Herding: Evidence from Pension Fund Investment Behavior," Journal of Financial Services Research, Springer;Western Finance Association, volume 43, issue 1, pages 99-126, February, DOI: 10.1007/s10693-012-0155-x.
• Serguei Chervachidze & William Wheaton, 2013, "What Determined the Great Cap Rate Compression of 2000–2007, and the Dramatic Reversal During the 2008–2009 Financial Crisis?," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 2, pages 208-231, February, DOI: 10.1007/s11146-011-9334-z.
• Peter Chinloy & Zhonghua Wu, 2013, "The Inventory-Sales Ratio and Homebuilder Return Predictability," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 3, pages 397-423, April, DOI: 10.1007/s11146-011-9340-1.
• Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013, "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 4, pages 568-595, May, DOI: 10.1007/s11146-012-9376-x.
• Gwangheon Hong & Bong Lee, 2013, "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 1, pages 123-151, July, DOI: 10.1007/s11146-011-9353-9.
• Marcel Arsenault & Jim Clayton & Liang Peng, 2013, "Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 2, pages 243-265, August, DOI: 10.1007/s11146-012-9361-4.
• Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013, "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 4, pages 787-813, November, DOI: 10.1007/s11146-013-9431-2.
• Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, volume 24, issue 1, pages 5-32, February, DOI: 10.1007/s11079-012-9254-4.
• Michael Ehrmann & Marcel Fratzscher, 2013, "Dispersed communication by central bank committees and the predictability of monetary policy decisions," Public Choice, Springer, volume 157, issue 1, pages 223-244, October, DOI: 10.1007/s11127-012-9941-0.
• Florence Guillaume, 2013, "The αVG model for multivariate asset pricing: calibration and extension," Review of Derivatives Research, Springer, volume 16, issue 1, pages 25-52, April, DOI: 10.1007/s11147-012-9080-2.
• Andrey Itkin, 2013, "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, volume 16, issue 2, pages 111-134, July, DOI: 10.1007/s11147-012-9082-0.
• Gabriel Drimus & Walter Farkas, 2013, "Local volatility of volatility for the VIX market," Review of Derivatives Research, Springer, volume 16, issue 3, pages 267-293, October, DOI: 10.1007/s11147-012-9086-9.
• Valentina Galvani & Stuart Landon, 2013, "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 135-154, January, DOI: 10.1007/s11156-011-0267-7.
• Karel Hrazdil & Thomas Scott, 2013, "The role of industry classification in estimating discretionary accruals," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 15-39, January, DOI: 10.1007/s11156-011-0268-6.
• Frederik Lundtofte, 2013, "The quality of public information and the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 4, pages 715-740, May, DOI: 10.1007/s11156-012-0295-y.
• María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013, "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 1, pages 53-74, July, DOI: 10.1007/s11156-012-0300-5.
• Vivek Singh, 2013, "Did institutions herd during the internet bubble?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 513-534, October, DOI: 10.1007/s11156-012-0320-1.
• Benjamin Blau & Chip Wade, 2013, "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 567-583, October, DOI: 10.1007/s11156-013-0377-5.
• Carl Chen & Peter Lung & F. Wang, 2013, "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 631-650, November, DOI: 10.1007/s11156-012-0326-8.
• Jungshik Hur & Vivek Singh, 2013, "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 4, pages 753-767, November, DOI: 10.1007/s11156-012-0331-y.
• Norio Kitagawa & Shin' ya Okuda, 2013, "Management Forecasts, Idiosyncratic Risk, and Information Environment," Discussion Papers, Kobe University, Graduate School of Business Administration, number 2013-38, May, revised Jul 2013.
• Larry Bensimhon & Yuri Biondi, 2013, "Financial Bubbles, Common Knowledge and Alternative Accounting Regimes: An Experimental Analysis of Artificial Spot Security Markets," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, volume 3, pages 21-59, December.
• Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013, "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1303, Feb.
• Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013, "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1304, Feb.
• Banu Simmons-Sueer, 2013, "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 13-328, Jan, DOI: 10.3929/ethz-a-007611520.
• Chia-Lin Chang & David E Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 842, Jan.
• Robert J. Elliott & Katsumasa Nishide, 2013, "Pricing of Discount Bonds with a Markov Switching Regime　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 859, Apr.
• Chiaki Hara, 2013, "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 862, Apr.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 873, Jul.
• Yawen Hudson & Christopher J. Green, 2013, "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series, Department of Economics, Loughborough University, number 2013_13, Nov, revised Nov 2013.
• Antony Jackson & Daniel Ladley, 2013, "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/02, Jan.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2013, "Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/20, Sep.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 307-329.
• Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013, "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 330-355.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-1.
• Thorsten Lehnert & Yuehao Lin & Nicolas Martelin, 2013, "Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-11.
• Jean-Sébastien Michel & J. Ari Pandes, 2013, "Why Do Analysts Disagree ?," Cahiers de recherche, CIRPEE, number 1305.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• David Ardia & Kris Boudt, 2013, "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche, CIRPEE, number 1328.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 1, pages 1-36, February, DOI: j.1538-4616.2012.00560.x.
• Chang-Jin Kim & Cheolbeom Park, 2013, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 5, pages 933-952, August.
• Mohammad R. Jahan-Parvar & Xuan Liu & Philip Rothman, 2013, "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 6, pages 1117-1146, September.
• Shiba Suzuki, 2013, "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 22, Feb.
• David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013, "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 49, issue S3, pages 47-61, July.
• Dimitrios V Kousenidis & Christos Negakis, 2013, "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, volume 17, issue 1-2, pages 107-148, March - J.
• Claudio Morana, 2013, "The oil price-macroeconomy relationship since the mid-1980s: A global perspective," Working Papers, University of Milano-Bicocca, Department of Economics, number 223, Feb, revised Feb 2013.
• Fabio C. Bagliano & Claudio Morana, 2013, "Determinants of US Financial fragility conditions," Working Papers, University of Milano-Bicocca, Department of Economics, number 224, Feb, revised Feb 2013.
• Claudio Morana, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 225, Nov, revised Nov 2013.
• Ahmad Naimzada & Marina Pireddu, 2013, "Dynamic behavior of real and stock markets with a varying degree of interaction," Working Papers, University of Milano-Bicocca, Department of Economics, number 245, Jun, revised Jun 2013.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers, University of Milano-Bicocca, Department of Economics, number 264, Dec, revised Dec 2013.
• Szilárd Erhart & Imre Ligeti & Zoltán Molnár, 2013, "Reasons for the LIBOR review and its effects on international interbank reference rate quotations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 8, issue 1, pages 23-34, January.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Lisa Mattioli & Riccardo Ferretti, 2013, "La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0039, Aug.
• Shin-ichi Fukuda & Mariko Tanaka, 2013, "Financial Crises and Risk Premiums in International Interbank Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 1, pages 117-138, January.
• Seiichiro Iwasawa & Tomonori Uchiyama, 2013, "A Behavioral Economics Exploration into the "Volatility Anomaly" ``," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 457-490, September.
• Kozo Omori, 2013, "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 491-514, September.
• Toshiki Honda, 2013, "Risk and Return in Japanese Equity Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 515-530, September.
• Satoshi Sakamaki, 2013, "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 531-552, September.
• Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc, 2013, "Price Discontinuities in Energy Spot and Futures Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 33-13, Jul.
• Flavio Bazzana & Eleonora Broccardo, 2013, "The role of bondholder coordination in freeze-out exchange offers," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 67-84, January.
• Nadia Linciano & Luca Giordano & Paola Soccorso, 2013, "Sovereign risk premia in the Euro Area and the role of contagion," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 85-114, January.
• Dennis W. Jansen, 2013, "Understanding the Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight, Missouri Valley Economic Association, volume 39, issue 1, pages 65-72.
• Kristjanpoller Rodríguez Werner, 2013, "Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 37-62, enero-mar.
• Schauten Marc B. J., 2013, "Three discount methods for valuing projects and the required return on equity," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 63-85, enero-mar.
• De la Torre Torres Oscar Valdemar & Martínez Torre Enciso, María Isabel, 2013, "¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?," Contaduría y Administración, Accounting and Management, volume 58, issue 4, pages 223-252, octubre-d.
• Agnieszka Tułodziecka & Agnieszka Nierodka, 2013, "Activating the covered bonds market in Poland – the need for regulatory improvements," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 10, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013".
• Martin Lux & Petr Sunega, 2013, "Impact of the economic crisis on house prices in the Czech Republic measured on hedonic price index on bank data," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 17, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013".
• Rafał Sieradzki, 2013, "Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange," NBP Working Papers, Narodowy Bank Polski, number 139.
• Dariusz Gatarek & Juliusz Jabłecki, 2013, "A model for dependent defaults and pricing contingent claims with counterparty risk," NBP Working Papers, Narodowy Bank Polski, number 150.
• Edward L. Glaeser & Todd Sinai, 2013, "Housing and the Financial Crisis," NBER Books, National Bureau of Economic Research, Inc, number glae11-1, December.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Chapters, National Bureau of Economic Research, Inc, "The Economics of Food Price Volatility".
• Venky Venkateswaran & Randall Wright, 2013, "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".
• Martin Lettau & Sydney C. Ludvigson, 2013, "Shocks and Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".
• Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2013, "The Impact of Treasury Supply on Financial Sector Lending and Stability," NBER Chapters, National Bureau of Economic Research, Inc, "New Perspectives on Corporate Capital Structure".
• Jordi Galí & Luca Gambetti, 2013, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, National Bureau of Economic Research, Inc, "Lessons from the Financial Crisis for Monetary Policy".
• Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013, "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 18671, Jan.
• James J. Choi & Li Jin & Hongjun Yan, 2013, "Informed Trading and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18680, Jan.
• Robin Greenwood & Andrei Shleifer, 2013, "Expectations of Returns and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18686, Jan.
• Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013, "Salience and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18708, Jan.
• Gary B. Gorton & Guillermo Ordoñez, 2013, "The Supply and Demand for Safe Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 18732, Jan.
• Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013, "Measuring Sovereign Contagion in Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 18741, Jan.
• Robert J. Barro & Sanjay P. Misra, 2013, "Gold Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18759, Feb.
• John H. Cochrane, 2013, "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 18768, Feb.
• Urban Jermann, 2013, "A Production-Based Model for the Term Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 18774, Feb.
• Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013, "Growth Options and Firm Valuation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18836, Feb.
• Martin Lettau & Matteo Maggiori & Michael Weber, 2013, "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 18844, Feb.
• Wei Xiong, 2013, "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 18905, Mar.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 18922, Mar.
• Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013, "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers, National Bureau of Economic Research, Inc, number 18984, Apr.
• Geert Bekaert & Marie Hoerova, 2013, "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 18995, Apr.
• Venky Venkateswaran & Randall Wright, 2013, "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 19009, May.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2013, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Working Papers, National Bureau of Economic Research, Inc, number 19065, May.
• Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013, "'Lucas' In The Laboratory," NBER Working Papers, National Bureau of Economic Research, Inc, number 19068, May.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013, "Flights to Safety," NBER Working Papers, National Bureau of Economic Research, Inc, number 19095, May.
• Rajnish Mehra, 2013, "Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19146, Jun.
• Adrian Buss & Bernard Dumas, 2013, "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers, National Bureau of Economic Research, Inc, number 19155, Jun.
• Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013, "Commodity and Asset Pricing Models: An Integration," NBER Working Papers, National Bureau of Economic Research, Inc, number 19167, Jun.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2013, "X-CAPM: An Extrapolative Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 19189, Jun.
• Andrew Ang & Neil Nabar & Sam Wald, 2013, "Search for a Common Factor in Public and Private Real Estate Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 19194, Jul.
• Nicolas Petrosky-Nadeau & Lu Zhang, 2013, "Unemployment Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 19207, Jul.
• Robin Greenwood & Samuel Hanson, 2013, "Waves in Ship Prices and Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 19246, Jul.
• Robert J. Barro, 2013, "Environmental Protection, Rare Disasters, and Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 19258, Jul.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013, "Time Varying Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 19284, Aug.
• Yen-cheng Chang & Harrison Hong & Inessa Liskovich, 2013, "Regression Discontinuity and the Price Effects of Stock Market Indexing," NBER Working Papers, National Bureau of Economic Research, Inc, number 19290, Aug.
• Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013, "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 19309, Aug.
• Arthur Korteweg & Stefan Nagel, 2013, "Risk-Adjusting the Returns to Venture Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 19347, Aug.
• Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2013, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 19358, Aug.
• David Backus & Mikhail Chernov & Stanley E. Zin, 2013, "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 19360, Aug.
• Robert Ready & Nikolai Roussanov & Colin Ward, 2013, "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 19371, Aug.
• Bryan Kelly & Hao Jiang, 2013, "Tail Risk and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19375, Aug.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 19381, Aug.
• Avanidhar Subrahmanyam & Sheridan Titman, 2013, "Financial Market Shocks and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19383, Aug.
• Yuming Fu & Wenlan Qian & Bernard Yeung, 2013, "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 19400, Sep.
• Ian Dew-Becker & Stefano Giglio, 2013, "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers, National Bureau of Economic Research, Inc, number 19416, Sep.
• Lauren Cohen & Dong Lou & Christopher Malloy, 2013, "Playing Favorites: How Firms Prevent the Revelation of Bad News," NBER Working Papers, National Bureau of Economic Research, Inc, number 19429, Sep.
• Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013, "Portfolio Choice with Illiquid Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 19436, Sep.
• Andrew Ang & Richard C. Green & Yuhang Xing, 2013, "Advance Refundings of Municipal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 19459, Sep.
• Linda S. Goldberg & Christian Grisse, 2013, "Time Variation in Asset Price Responses to Macro Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 19523, Oct.
• Yacine Aït-Sahalia & Mehmet Saglam, 2013, "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers, National Bureau of Economic Research, Inc, number 19531, Oct.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013, "The Joint Cross Section of Stocks and Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19590, Oct.
• Sang Byung Seo & Jessica A. Wachter, 2013, "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 19611, Nov.
• Pierre Collin-Dufresne & Vyacheslav Fos, 2013, "Moral Hazard, Informed Trading, and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19619, Nov.
• Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013, "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 19623, Nov.
• Jakub W. Jurek & Erik Stafford, 2013, "The Cost of Capital for Alternative Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 19643, Nov.
• Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013, "Buffett's Alpha," NBER Working Papers, National Bureau of Economic Research, Inc, number 19681, Nov.
• Efstathios Avdis & Jessica A. Wachter, 2013, "Maximum likelihood estimation of the equity premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 19684, Nov.
• Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013, "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 19705, Dec.
• Marzena Rostek & Ji Hee Yoon, 2013, "Private Information in Markets: A Market Design Perspective," Working Papers, NET Institute, number 13-21, Sep.
• Petru CATAN & Viorica ŞEPTELICI, 2013, "Financial Stability Review Of The Microfinance Sector In Moldova," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 3, pages 89-95.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Working Papers, National Institute of Public Finance and Policy, number 13/124, Jun.
• G. Lamé, 2013, "Was there a « Greenspan Conundrum » in the Euro area?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2013-10.
• Luis Alberiko Gil-Alaña & Trilochan Tripathy, 2013, "Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 11/2013, Dec.
• Leo Krippner, 2013, "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2013/02, Jan.
• Łukasz Rawdanowicz & Romain Bouis & Shingo Watanabe, 2013, "The Benefits and Costs of Highly Expansionary Monetary Policy," OECD Economics Department Working Papers, OECD Publishing, number 1082, Aug, DOI: 10.1787/5k41zq8lwj9v-en.
• Stephan Barisitz, 2013, "Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 28-47.
• Stephan Barisitz, 2013, "Nonperforming Loans in CESEE – An Even Deeper Definitional Comparison," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 67-84.
• Martin Schneider, 2013, "Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 29-46.
• Thomas Breuer & Martin Summer & Hans-Joachim Vollbrecht, 2013, "Endogenous Leverage and Asset Pricing in Double Auctions," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 184, Jul.
• BAKO Elena Dana & SECHEL Ioana Cristina, 2013, "Technical And Fundamental Anomalies. Paradoxes Of Modern Stock Exchange Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 37-43, July.
• Copil Crina Angela, 2013, "Investment Funds In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 608-617, July.