Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• 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.
• Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012, "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 2, pages 143-162, April, DOI: 10.1108/20441391211215824.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• Franses, Ph.H.B.F. & Knecht, W., 2012, "The Late 1970's Bubble in Dutch Collectible Postage Stamps," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-02, Feb.
• Andreas Merikas & Anna Merika & Nikiforos Laopodis & Anna Triantafyllou, 2012, "House Price Comovements in the Eurozone Economies," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 71-98.
• Pablo Fernandez, 2012, "Internet valuations: The case of Terra-Lycos," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 3-22.
• Gerlach, Petra & McCauley, Robert N. & Ueda, Kazuo, 2012, "Currency intervention and the global portfolio balance effect: Japanese lessons," Papers, Economic and Social Research Institute (ESRI), number WP442, Oct.
• Lucas Bretschger & Filippo Lechthaler, 2012, "Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 12/160, Apr.
• Vit Posta, 2012, "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 450-470, November.
• Tomas Adam & Sona Benecka & Ivo Jansky, 2012, "Time-Varying Betas of Banking Sectors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 6, pages 485-504, December.
• Mercedes Alda & Luis Ferruz, 2012, "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 6, pages 518-535, December.
• Martin Dózsa & Jakub Seidler, 2012, "Debt Contracts and Stochastic Default Barrier," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2012/17, Jun, revised Jun 2012.
• Sylvie Dvoráková & Jakub Seidler, 2012, "The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2012/22, Jul, revised Jul 2012.
• Tomáš Adam & Sona Benecká & Ivo Jánský, 2012, "Time-varying Betas of the Banking Sector," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2012/23, Jul, revised Jul 2012.
• Claudio Morana, 2012, "Real Oil Prices since the 1990s," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, January.
• Bahattin Büyüksahin & Michel A. Robe, 2012, "Does It Matter Who Trades Energy Derivatives?," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, March.
• Claudio Morana, 2012, "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Working Papers, Fondazione Eni Enrico Mattei, number 2012.07, Feb.
• Claudio Morana, 2012, "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers, Fondazione Eni Enrico Mattei, number 2012.28, May.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 66, issue 1, March.
• Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent W. Yao, 2012, "Foreclosure externalities: Some new evidence," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-11.
• Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent W. Yao, 2012, "Foreclosure externalities: some new evidence," Public Policy Discussion Paper, Federal Reserve Bank of Boston, number 12-5.
• Jim Dolmas, 2012, "Campbell and Cochrane meet Melino and Yang: reverse engineering the surplus ratio in a Mehra-Prescott economy," Working Papers, Federal Reserve Bank of Dallas, number 1205, DOI: 10.24149/wp1205.
• Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2012, "House prices, credit growth, and excess volatility: implications for monetary and macroprudential policy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-11.
• Anton Nakov, 2012, "Learning from experience in the stock market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-41.
• Samuel Hanson & Jeremy C. Stein, 2012, "Monetary policy and long-term real rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-46.
• Stefania D'Amico & William B. English & J. David López-Salido & Edward Nelson, 2012, "The Federal Reserve's large-scale asset purchase programs: rationale and effects," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-85.
• Juan M. Londono & Hao Zhou, 2012, "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1068.
• Jaroslav Borovicka & Lars Peter Hansen, 2012, "Examining macroeconomic models through the lens of asset pricing," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2012-01.
• François Gourio, 2012, "Credit risk and disaster risk," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2012-07.
• Andrea Ajello & Luca Benzoni & Olena Chyruk, 2012, "Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2014-11, Dec.
• YiLi Chien & Kanda Naknoi, 2012, "The risk premium and long-run global imbalances," Working Papers, Federal Reserve Bank of St. Louis, number 2012-009, DOI: 10.20955/wp.2012.009.
• Andre Kurmann & Christopher Otrok, 2012, "News shocks and the slope of the term structure of interest rates," Working Papers, Federal Reserve Bank of St. Louis, number 2012-011, DOI: 10.20955/wp.2012.011.
• Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2012, "Robust capital regulation," Current Issues in Economics and Finance, Federal Reserve Bank of New York, volume 18, issue May.
• Marco Cipriani & Ana Fostel & Daniel Houser, 2012, "Leverage and asset prices: an experiment," Staff Reports, Federal Reserve Bank of New York, number 548.
• Marco Cipriani & Antonio Guarino, 2012, "Estimating a structural model of herd behavior in financial markets," Staff Reports, Federal Reserve Bank of New York, number 561.
• Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012, "Decomposing real and nominal yield curves," Staff Reports, Federal Reserve Bank of New York, number 570.
• Nina Boyarchenko, 2012, "Information acquisition and financial intermediation," Staff Reports, Federal Reserve Bank of New York, number 571.
• Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012, "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports, Federal Reserve Bank of New York, number 581.
• Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012, "No good deals—no bad models," Staff Reports, Federal Reserve Bank of New York, number 589.
• Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012, "Liquidity and volatility in the U.S. treasury market," Staff Reports, Federal Reserve Bank of New York, number 590, Dec.
• Matteo Del Vigna, 2012, "A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-01, Jan.
• Flavia Barsotti, 2012, "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-02, Jan.
• Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012, "Bond Variance Risk Premia," FMG Discussion Papers, Financial Markets Group, number dp699, Jan.
• Dimitri Vayanos & Jiang Wang, 2012, "Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition," FMG Discussion Papers, Financial Markets Group, number dp708, Jul.
• Dimitri Vayanos & Jiang Wang, 2012, "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers, Financial Markets Group, number dp709, Jul.
• Rossen Trendafilov & Erick W Rengifo, 2012, "Regime Identification in Limit Order Books," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2012_04.
• Wallmeier, Martin & Tauscher, Kathrin, 2012, "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 433, Nov.
• Gmür, Markus & Gmür, Markus, 2012, "Bezahlte Freiwilligenarbeit - ein Widerspruch ?," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 434, Nov.
• Mark Huggett and Greg Kaplan, 2012, "The Money Value of a Man," Working Papers, Georgetown University, Department of Economics, number gueconwpa~12-12-02, Jan.
• Marco Cipriani & Ana Fostel & Daniel Houser, 2012, "Leverage and Asset Prices: An Experiment," Working Papers, George Mason University, Interdisciplinary Center for Economic Science, number 1033, Feb.
• Ana Fostel, 2012, "Leverage and Asset Prices: An Experiment," Working Papers, The George Washington University, Institute for International Economic Policy, number 2012-1, Jan.
• Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2012, "Securities market theory: Possession, repo and rehypothecation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00665629, Mar, DOI: 10.1016/j.jet.2010.11.004.
• Gunther Capelle-Blancard & S. Monjon, 2012, "Trends in the literature on socially responsible investment: Looking for the keys under the lamppost," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00733402, DOI: 10.1111/j.1467-8608.2012.01658.x.
• Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012, "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00611706, Apr.
• Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012, "The Dollar Squeeze of the Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673982, Feb.
• Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa, 2012, "Trading and rational security pricing bubbles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673995, Feb.
• Sonja Brangewitz & Gaël Giraud, 2012, "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00747899, Sep.