Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• Varvara Isyuk, 2012, "Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00755562, May.
• Christophe Spaenjers & Luc Renneboog, 2012, "Hard assets: The returns on rare diamonds and gems," Post-Print, HAL, number hal-00758542, Dec, DOI: 10.1016/j.frl.2012.07.003.
• Ivar Ekeland & Alfred Galichon & Marc Henry, 2012, "Comonotonic measures of multivariate risks," Post-Print, HAL, number hal-01053550, DOI: 10.1111/j.1467-9965.2010.00453.x.
• Fredj Jawadi & Sabrina Khanniche, 2012, "Modelling Hedge Fund Exposure to Risk Factors," Post-Print, HAL, number hal-01410552.
• Andrew Ang & Marie Brière & Ombretta Signori, 2012, "Inflation and Individual Equities," Post-Print, HAL, number hal-01494500, DOI: 10.2469/faj.v68.n4.3.
• Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012, "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print, HAL, number halshs-00488537, Jan, DOI: 10.1093/rof/rfr018.
• Sonja Brangewitz & Gaël Giraud, 2012, "Learning by Trading in Infinite Horizon Strategic Market Games with Default," Post-Print, HAL, number halshs-00747899, Sep.
• Elyès Jouini & Clotilde Napp & Yannick Viossat, 2012, "Evolutionary Beliefs and Financial Markets," Post-Print, HAL, number halshs-00778537, Mar.
• Ivar Ekeland & Alfred Galichon & Marc Henry, 2012, "Comonotonic measures of multivariate risks," Sciences Po Economics Publications (main), HAL, number hal-01053550, DOI: 10.1111/j.1467-9965.2010.00453.x.
• Edouard Challe & Chryssi Giannitsarou, 2012, "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers, HAL, number hal-00719956, Sep.
• Johan Hombert & Bruno Biais & Pierre-Olivier Weill, 2012, "Trading and liquidity with limited cognition," Working Papers, HAL, number hal-00760759, Dec.
• Laurence Lescourret, 2012, "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session," Working Papers, HAL, number hal-00772798, Dec.
• Bjuggren, Per-Olof & Eklund, Johan, 2012, "Property Rights and the Cost of Capital," Working Papers, Swedish Entrepreneurship Forum, number 2012:12, Sep.
• Aase, Knut K., 2012, "What Puzzles? New insights in asset pricing," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2012/13, Nov.
• Hara, Chiaki, 2012, "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 556, May.
• Hara, Chiaki, 2012, "Heterogeneous impatience and dynamic inconsistency," CIS Discussion paper series, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 557, May.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-3, Feb.
• Mark Huggett & Greg Kaplan, 2012, "The Money Value of a Man," Working Papers, Human Capital and Economic Opportunity Working Group, number 2012-009, Apr.
• Matthew S. Yiu & Lu Jin, 2012, "Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach," Working Papers, Hong Kong Institute for Monetary Research, number 012012, Jan.
• Warren Bailey & Lin Zheng & Yinggang Zhou, 2012, "What Makes the VIX Tick?," Working Papers, Hong Kong Institute for Monetary Research, number 222012, Sep.
• Mendel, Brock & Shleifer, Andrei, 2012, "Chasing Noise," Scholarly Articles, Harvard University Department of Economics, number 10859950.
• Beeler, Jason & Campbell, John Y., 2012, "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles, Harvard University Department of Economics, number 9887621.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-264, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-266, Dec.
• Sebastian Ofumbia Uremadu, 2012, "Bank Capital Structure, Liquidity and Profitability Evidence from the Nigerian Banking System," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 1, pages 98-113, January.
• Chikashi Tsuji, 2012, "How Do the Asian and the Asia-Pacific Equity Markets Covariate? The Linkage with Japan," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 2, pages 32-37, April.
• Ahmed Bensaida, 2012, "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 51-64, July.
• Hsiang-Tsai Chiang & Shu-Lin Lin, 2012, "Effect Of Auditor’S Judgment And Specialization On Their Differential Opinion Between Semiannual And Annual Financial Reports," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 1-22.
• Houda Hafsa & Dorra Hmaied, 2012, "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 65-81.
• Neeraj J. Gupta & Joseph Golec, 2012, "Do Investors Use Customer Metrics To Value High Growth Service Firms?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 1-19.
• Praveen Kumar Das & S. P. Uma Rao, 2012, "Is The Value Effect Seasonal? Evidence From Global Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 21-33.
• Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo, 2012, "Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 91-100.
• Pedro Martinez & Diego Prior & Josep Rialp, 2012, "The Price of Stocks in Latin American Financial Markets: En Empirical Application of the Ohlson Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 73-85.
• Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez, 2012, "Indicator Of Financial Health Proposal And Its Impact On Probability Of Default, Propuesta De Un Indicador De Salud Financiera Y Su Efecto En La Prediccion Del Fracaso Empresarial," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 5, issue 3, pages 19-40.
• Márcio Laurini, 2012, "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-01, Mar.
• Farhi, Emmanuel & Tirole, Jean, 2012, "Liquid Bundles," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 736, Jul, revised Oct 2013.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 752, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 754, Nov, revised Sep 2015.
• Pilar Abad & Antonio Díaz & M. Dolores Robles-Fernández, 2012, "Credit rating announcements, trading activity and yield spreads: the Spanish evidence," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, volume 5, issue 1, pages 38-63.
• Sven Steinkamp & Frank Westermann, 2012, "On Creditor Seniority and Sovereign Bond Prices in Europe," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 92, Aug, revised 25 Jul 2017.
• Chang-Jin Kim & Cheolbeom Park, 2012, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series, Institute of Economic Research, Korea University, number 1205.
• Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012, "An estimation of economic models with recursive preferences," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/12, Oct.
• Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012, "Put-Call Parity and Market Frictions," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 447.
• Massimo Guidolin & Stuart Hyde, 2012, "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 455.
• Macide ÇİÇEK, 2012, "Vadeli Finansal Piyasaların para politikası sürprizlerine tepkisi: Türkiye için bir T-GARCH uygulaması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 312, pages 85-120.
• Ulaş ÜNLÜ, 2012, "Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 313, pages 57-83.
• Brian Lucey & Charles Larkin, 2012, "London or New York: where and when does the gold price originate?," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp410, Sep.
• Richard Finlay & Sebastian Wende, 2012, "Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 2, pages 111-142, June.
• Michael Ehrmann & David Sondermann, 2012, "The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale?," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 3, pages 1-53, September.
• Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012, "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 4, pages 21-60, December.
• Kentaro Kikuchi & Kohei Shintani, 2012, "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-04, Apr.
• Kentaro Kikuchi, 2012, "Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-08, Jun.
• Kentaro Kikuchi & Kohei Shintani, 2012, "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 30, pages 75-122, November.
• Mr. Tigran Poghosyan, 2012, "Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies," IMF Working Papers, International Monetary Fund, number 2012/271, Nov.
• Guillermo Sierra Juárez, 2012, "El Modelo SABR y su Relación con la Geometría Diferencial: Valuación de Opciones de Compra de Dólares del Banco de México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 185-209, Julio-Dic.
• Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012, "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 211-231, Julio-Dic.
• Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012, "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, volume 58, issue 2, pages 253-272, February, DOI: 10.1287/mnsc.1110.1349.
• David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012, "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, volume 58, issue 2, pages 320-335, February, DOI: 10.1287/mnsc.1100.1289.
• Pineda-Saavedra, HUgo & Sierra-Juárez, Guillermo, 2012, "Opciones reales en la evaluación económica de activos minerales y energéticos," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 35, pages 67-83, tercer tr.
• Caberra-Llanos, Agustín Ignacio. & López-Gil, Samantha Sofía. & López-Herrera, Francisco., 2012, "Dependencia de largo plazo en los rendimientos de acciones mexicanas selectas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 14, pages 59-78, primer se.
• Peter Claeys & Borek Vašícek, 2012, "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201219, Nov, revised Nov 2012.
• Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012, "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 34990, Jan.
• Jordi Mondria & Climent Quintana Domeque, 2012, "Financial contagion and attention allocation," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-07, Feb.
• Pesaran, M. Hashem & Yamagata, Takashi, 2012, "Testing CAPM with a Large Number of Assets," IZA Discussion Papers, IZA Network @ LISER, number 6469, Apr.
• Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan, 2012, "To See Is To Believe: Common Expectations in Experimental Asset Markets," IZA Discussion Papers, IZA Network @ LISER, number 6922, Oct.
• Kuan-Min Wang & Yuan-Ming Lee & Chien-Chiang Lee, 2012, "Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 8, issue 1, pages 25-57, January.
• Gregory R. Duffee, 2012, "Bond pricing and the macroeconomy," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 598, Jun.
• Yuriy Kitsul & Jonathan H. Wright, 2012, "The Economics of Options-Implied Inflation Probability Density Functions," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 600, Jul.
• Auer Benjamin R., 2012, "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, HCAPM and CCAPM?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 5, pages 518-544, October, DOI: 10.1515/jbnst-2012-0503.
• Gelinde Fellner & Sebastian Krügel, 2012, "Judgmental Overconfidence and Trading Activity," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2012-057, Oct.
• Sascha Füllbrunn & Tibor Neugebauer, 2012, "Margin Trading Bans in Experimental Asset Markets," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2012-058, Oct.
• William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012, "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201215, Sep, revised Sep 2012.
• William Barnett & Yi Liu, 2012, "Beyond the Risk Neutral Utility Function," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201216, Sep, revised Sep 2012.
• William Barnett & Milka Kirova & Meenakshi Pasupathy & Piyu Yue, 2012, "Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201217, Sep, revised Sep 2012.
• William Barnett, 2012, "A Perspective on the Current State of Macroeconomic Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201218, Sep, revised Sep 2012.
• Marcel Blais & Philip Protter, 2012, "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, volume 8, issue 1, pages 1-13, February, DOI: 10.1007/s10436-011-0184-8.
• Erwan Quintin, 2012, "More punishment, less default?," Annals of Finance, Springer, volume 8, issue 4, pages 427-454, November, DOI: 10.1007/s10436-012-0203-4.
• Dilip Madan, 2012, "A two price theory of financial equilibrium with risk management implications," Annals of Finance, Springer, volume 8, issue 4, pages 489-505, November, DOI: 10.1007/s10436-012-0200-7.
• Rainer Andergassen & Luigi Sereno, 2012, "Valuation of N-stage Investments Under Jump-Diffusion Processes," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 3, pages 289-313, March, DOI: 10.1007/s10614-011-9273-z.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
• Fengler, Matthias R. & Okhrin, Ostap, 2012, "Realized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-034.
• Chen, Wenjuan & Velinov, Anton, 2012, "Do Japanese stock prices reflect macro fundamentals?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-037.
• Härdle, Wolfgang Karl & Majer, Piotr, 2012, "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-048.
• Tam, Pui Sun & Tam, Pui I., 2012, "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-052.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
• Schröder, David & Esterer, Florian, 2012, "A new measure of equity duration: The duration-based explanation of the value premium revisited," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62077.
• David R. Bell & Olivier Ledoit & Michael Wolf, 2012, "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers, Department of Economics - University of Zurich, number 079, May, revised Dec 2013.
• Guan Wang & Pierre Yourougou & Yue Wang, 2012, "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 93-105, January, DOI: 10.1007/s12197-009-9114-2.
• M. Berument & Nukhet Dogan, 2012, "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 282-302, April, DOI: 10.1007/s12197-009-9118-y.
• Mary Robinson & Richard Robinson, 2012, "Dutch-auction IPOs: institutional development and underpricing performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 521-554, July, DOI: 10.1007/s12197-010-9166-3.
• Joe Brocato & Kenneth Smith, 2012, "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 712-727, July, DOI: 10.1007/s12197-010-9147-6.
• Joel Barber & Mark Copper, 2012, "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 750-765, July, DOI: 10.1007/s12197-010-9142-y.
• Deniz Igan & Marcelo Pinheiro, 2012, "Incentive to manipulate earnings and its connection to analysts’ forecasts, trading, and corporate governance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 781-821, October, DOI: 10.1007/s12197-010-9131-1.
• Eleftherios Thalassinos & Dimitrios Maditinos & Athanasios Paschalidis, 2012, "Observing evidence of insider trading in the Athens Stock Exchange," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 1, issue 1, pages 1-26, December, DOI: 10.1186/2193-2409-1-8.
• Andrés Carvajal & Marek Weretka, 2012, "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 50, issue 1, pages 223-268, May, DOI: 10.1007/s00199-010-0567-5.
• Roberto Dieci & Frank Westerhoff, 2012, "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, volume 22, issue 2, pages 303-329, April, DOI: 10.1007/s00191-011-0259-8.
• Mariana Mazzucato & Massimiliano Tancioni, 2012, "R&D, patents and stock return volatility," Journal of Evolutionary Economics, Springer, volume 22, issue 4, pages 811-832, September, DOI: 10.1007/s00191-012-0289-x.
• Linna Shi & Huai Zhang, 2012, "Can the earnings fixation hypothesis explain the accrual anomaly?," Review of Accounting Studies, Springer, volume 17, issue 1, pages 1-21, March, DOI: 10.1007/s11142-011-9171-6.
• Judson Caskey & John Hughes & Jing Liu, 2012, "Leverage, excess leverage, and future returns," Review of Accounting Studies, Springer, volume 17, issue 2, pages 443-471, June, DOI: 10.1007/s11142-011-9176-1.
• Maria Correia & Scott Richardson & İrem Tuna, 2012, "Value investing in credit markets," Review of Accounting Studies, Springer, volume 17, issue 3, pages 572-609, September, DOI: 10.1007/s11142-012-9191-x.
• Merle Erickson & Shiing-Wu Wang & X. Frank Zhang, 2012, "The change in information uncertainty and acquirer wealth losses," Review of Accounting Studies, Springer, volume 17, issue 4, pages 913-943, December, DOI: 10.1007/s11142-012-9184-9.
• Thorsten Knauer & Christian Ledwig & Andreas Wömpener, 2012, "Zur Wertrelevanz freiwilliger Managementprognosen in Deutschland," Schmalenbach Journal of Business Research, Springer, volume 64, issue 2, pages 166-204, March, DOI: 10.1007/BF03372865.
• Timo Greggers & Peter Nippel, 2012, "Verwässerungsschutz bei Finanzierungsinstrumenten mit Optionselementen am Beispiel von Wandelanleihen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 5, pages 494-521, August, DOI: 10.1007/BF03373699.
• B. Matemilola & A. Bany-Ariffin & W. Azman-Saini, 2012, "Financial Leverage and Shareholder’s Required Returns: Evidence from South Africa Corporate Sector," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 18, issue 3, pages 601-612, March, DOI: 10.1007/s11300-012-0214-x.
• Christian Conrad, 2012, "Wirkungen der Abgeltungsteuer auf die Kapitalallokation — Anregungen für eine Reform," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 92, issue 6, pages 399-405, June, DOI: 10.1007/s10273-012-1395-y.
• David C Broadstock & Hong Cao & Dayong Zhang, 2012, "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 137, Jun.
• Nigel Stapledon, 2012, "Historical Housing-related Statistics for Australia 1881-2011 – A Short Note," Discussion Papers, School of Economics, The University of New South Wales, number 2012-52, Dec.
• Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan, 2012, "To See Is To Believe: Common Expectations In Experimental Asset Markets," Working Papers, University of Sydney, School of Economics, number 2012-10, May.
• Cheung, Stephen L. & Coleman, Andrew, 2012, "League-Table Incentives and Price Bubbles in Experimental Asset Markets," Working Papers, University of Sydney, School of Economics, number 2012-13, Nov.
• 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, Stellenbosch University, Department of Economics, number 17/2012.
• Burkhard Heer & Alfred Maußner, 2012, "Log-normal approximation of the equity premium in the production model," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 5, pages 407-412, March, DOI: 10.1080/13504851.2011.581201.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2012, "Volatility in EMU sovereign bond yields: permanent and transitory components," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 17, pages 1453-1464, September, DOI: 10.1080/09603107.2012.661397.
• Chiara Peroni, 2012, "Testing linearity in term structures," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 8, pages 651-666, April, DOI: 10.1080/09603107.2011.621882.
• D Büttner & B. Hayo, 2012, "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, volume 44, issue 31, pages 4037-4053, November, DOI: 10.1080/00036846.2011.587775.
• John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• Bruno Feunou & Roméo Tédongap, 2012, "A Stochastic Volatility Model With Conditional Skewness," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 4, pages 576-591, July, DOI: 10.1080/07350015.2012.715958.
• Michael Frömmel & Robinson Kruse, 2012, "Testing for a rational bubble under long memory," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 11, pages 1723-1732, November, DOI: 10.1080/14697688.2011.578151.
• Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012, "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 5, pages 695-707, February, DOI: 10.1080/14697688.2012.674301.
• S�bastien Lleo & William T. Ziemba, 2012, "Stock market crashes in 2007--2009: were we able to predict them?," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 8, pages 1161-1187, July, DOI: 10.1080/14697688.2012.709791.
• Murat Duran & Doruk Kucuksarac, 2012, "Are Swap and Bond Markets Alternatives to Each Other in Turkey?," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1223.
• Doruk Kucuksarac & Ozgur Ozel, 2012, "Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1232.
• Laura Raisa MILOS, 2012, "Is the Romanian financial market prepared to support pension system reform?," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 295-299, May.
• Ian W. Marsh & Wolf Wagner, 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-033/IV/DSF33, Apr.
• Marsch, I. & Wagner, W.B., 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-006.
• Renneboog, L.D.R. & Spaenjers, C., 2012, "Hard assets : The return on rare diamonds and gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 32990d12-ac98-4f42-bad5-9.
• Flavio Bazzana & Luigi Mittone & Luciano Andreozzi, 2012, "The freeze-out bond exchange offer. An experimental approach," CEEL Working Papers, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia, number 1204.
• Farhi, Emmanuel & Tirole, Jean, 2012, "Liquid Bundles," TSE Working Papers, Toulouse School of Economics (TSE), number 12-328, Jul, revised Oct 2013.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," TSE Working Papers, Toulouse School of Economics (TSE), number 12-354, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers, Toulouse School of Economics (TSE), number 12-361, Nov, revised Sep 2015.
• Marcelo Bianconi & Joe A. Yoshino, 2012, "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0765.
• Fabio C. Bagliano & Claudio Morana, 2012, "Determinants of US financial fragility conditions," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 011, Sep.
• Azra Zaimovic, 2012, "Systematic Risk Assesment Using Ols Method - The Case Of The Capital Market Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 10, issue 1, pages 13-23.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Thomas Conlon & John Cotter, 2012, "Downside risk and the energy hedger's horizon," Working Papers, Geary Institute, University College Dublin, number 201219, Sep.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-08, 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-13, Jun.
• Pilar Abad Romero & María Dolores Robles Fernández, 2012, "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-17, Jul.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, volume 120, issue 4, pages 740-781, DOI: 10.1086/667987.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2012, "Liquidity and the Threat of Fraudulent Assets," Journal of Political Economy, University of Chicago Press, volume 120, issue 5, pages 000, DOI: 10.1086/668864.
• Andreas Fuster & Benjamin Hebert & David Laibson, 2012, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, volume 26, issue 1, pages 1-48, DOI: 10.1086/663989.
• YiLi Chien & Kanda Naknoi, 2012, "The Risk Premium and Long-Run Global Imbalances," Working papers, University of Connecticut, Department of Economics, number 2012-41, Nov.
• Hasan Cömert, 2012, "Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp295.
• Mary E. Barth & Javier Gomez-Biscarri & Ron Kasznik & Germán López-Espinosa, 2012, "Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 05/12, Oct.
• Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012, "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 23/12, Dec.
• Óscar Arce & Sergio Mayordomo, 2012, "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 25/12, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012, "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers, Moscow State University, Faculty of Economics, number 0001, May.
• Francisco Barillas & Kristoffer Nimark, 2012, "Speculation, risk premia and expectations in the yield curve," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1337, Aug, revised Nov 2013.
• Fengler, Matthias & Okhrin, Ostap, 2012, "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1214, May.
• Mirkov, Nikola, 2012, "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance, University of St. Gallen, School of Finance, number 1201, Jan.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union," Working Papers on Finance, University of St. Gallen, School of Finance, number 1202, Aug.
• Mirkov, Nikola & Sutter, Barbara, 2012, "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance, University of St. Gallen, School of Finance, number 1208, Oct.
• Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 301, Mar.
• Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 303, Mar.
• Susanne Griebsch & Kay Pilz, 2012, "A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 309, Jul.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012, "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 315, Oct.
• Xue-Zhong He, 2012, "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 316, Oct.
• Leonhard KNOLL & Jan HOCKER, 2012, "The Equity Risk Premium in Developed Capital Markets: Starting Signal for a New Modesty?," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 7, issue 1, pages 4-31.
• Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012, "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_09.
• Eugenio Peluso & Alain Trannoy, 2012, "The Cake-eating problem: Non-linear sharing rules," Working Papers, University of Verona, Department of Economics, number 26/2012, Sep.
• Radulescu, Andrei, 2012, "The Public Debt Of Countries From Euro Zone. The Snowball Effect," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 16, issue 3, pages 95-103.
• Volodymyr Lugovskyy & Daniela Puzzello, & Steven Tucker & Arlington Williams, 2012, "Can Concentration Control Policies Eliminate Bubbles?," Working Papers in Economics, University of Waikato, number 12/13, Nov.
• Gozzi, Juan Carlos & Levine, Ross & Peria, Maria Soledad Martinez & Schmukler, Sergio L., 2012, "How firms use domestic and international corporate bond markets," Policy Research Working Paper Series, The World Bank, number 6209, Sep.
• Vilimir Yordanov, 2012, "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1032, Mar.
• Tom Engsted & Bent Nielsen, 2012, "Testing for rational bubbles in a coexplosive vector autoregression," Econometrics Journal, Royal Economic Society, volume 15, issue 2, pages 226-254, June.
• Hans Dewachter & Priscilla Toffano, 2012, "Fiscal activism and the cost of debt financing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 14-22, January.