Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012, "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, volume 81, issue 1, pages 82-96, DOI: 10.1016/j.jebo.2011.09.006.
• Madsen, Jakob B., 2012, "A behavioral model of house prices," Journal of Economic Behavior & Organization, Elsevier, volume 82, issue 1, pages 21-38, DOI: 10.1016/j.jebo.2011.12.010.
• Huang, Weihong & Zheng, Huanhuan, 2012, "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, volume 82, issue 2, pages 445-461, DOI: 10.1016/j.jebo.2012.02.008.
• LeBaron, Blake, 2012, "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 424-445, DOI: 10.1016/j.jebo.2012.03.003.
• Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
• Lansing, Kevin J., 2012, "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 461-483, DOI: 10.1016/j.jebo.2012.02.011.
• Scotti, Massimo, 2012, "Delegated portfolio management with career concerns," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 3, pages 829-839, DOI: 10.1016/j.jebo.2012.10.001.
• Valcarcel, Victor J., 2012, "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, volume 64, issue 2, pages 117-144, DOI: 10.1016/j.jeconbus.2011.11.002.
• Couch, Robert & Wu, Wei, 2012, "Private investment and public equity returns," Journal of Economics and Business, Elsevier, volume 64, issue 2, pages 160-184, DOI: 10.1016/j.jeconbus.2011.10.001.
• Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012, "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, volume 64, issue 4, pages 287-305, DOI: 10.1016/j.jeconbus.2012.03.001.
• Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012, "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, volume 64, issue 5, pages 323-337, DOI: 10.1016/j.jeconbus.2012.06.002.
• Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012, "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, volume 64, issue 5, pages 364-376, DOI: 10.1016/j.jeconbus.2012.06.001.
• Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R., 2012, "Securities market theory: Possession, repo and rehypothecation," Journal of Economic Theory, Elsevier, volume 147, issue 2, pages 477-500, DOI: 10.1016/j.jet.2010.11.004.
• Fostel, Ana & Geanakoplos, John, 2012, "Why does bad news increase volatility and decrease leverage?," Journal of Economic Theory, Elsevier, volume 147, issue 2, pages 501-525, DOI: 10.1016/j.jet.2011.07.001.
• Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012, "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 1035-1063, DOI: 10.1016/j.jet.2012.01.007.
• Makarov, Igor & Rytchkov, Oleg, 2012, "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 941-966, DOI: 10.1016/j.jet.2012.01.020.
• Hugonnier, Julien, 2012, "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, volume 147, issue 6, pages 2260-2302, DOI: 10.1016/j.jet.2012.05.003.
• Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012, "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, volume 103, issue 1, pages 204-220, DOI: 10.1016/j.jfineco.2011.08.011.
• Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012, "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 280-293, DOI: 10.1016/j.jfineco.2011.10.001.
• Lin, Xiaoji, 2012, "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 411-427, DOI: 10.1016/j.jfineco.2011.08.013.
• Novy-Marx, Robert, 2012, "Is momentum really momentum?," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 429-453, DOI: 10.1016/j.jfineco.2011.05.003.
• Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal, 2012, "Do arbitrageurs amplify economic shocks?," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 454-470, DOI: 10.1016/j.jfineco.2011.10.007.
• Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012, "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 471-492, DOI: 10.1016/j.jfineco.2011.10.009.
• Qiu, Jiaping & Yu, Fan, 2012, "Endogenous liquidity in credit derivatives," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 611-631, DOI: 10.1016/j.jfineco.2011.10.010.
• Palazzo, Berardino, 2012, "Cash holdings, risk, and expected returns," Journal of Financial Economics, Elsevier, volume 104, issue 1, pages 162-185, DOI: 10.1016/j.jfineco.2011.12.009.
• Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012, "Time series momentum," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 228-250, DOI: 10.1016/j.jfineco.2011.11.003.
• Barberis, Nicholas & Xiong, Wei, 2012, "Realization utility," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 251-271, DOI: 10.1016/j.jfineco.2011.10.005.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
• Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012, "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 288-302, DOI: 10.1016/j.jfineco.2011.12.001.
• Mendel, Brock & Shleifer, Andrei, 2012, "Chasing noise," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 303-320, DOI: 10.1016/j.jfineco.2011.02.018.
• Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012, "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 363-382, DOI: 10.1016/j.jfineco.2010.08.018.
• Li, Jun & Yu, Jianfeng, 2012, "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 401-419, DOI: 10.1016/j.jfineco.2011.04.003.
• Mitchell, Mark & Pulvino, Todd, 2012, "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 469-490, DOI: 10.1016/j.jfineco.2011.09.002.
• Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012, "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 491-518, DOI: 10.1016/j.jfineco.2011.05.011.
• Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012, "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 535-559, DOI: 10.1016/j.jfineco.2011.12.010.
• Shanken, Jay & Tamayo, Ane, 2012, "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 131-152, DOI: 10.1016/j.jfineco.2011.12.002.
• Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012, "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 18-36, DOI: 10.1016/j.jfineco.2012.02.001.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012, "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 191-208, DOI: 10.1016/j.jfineco.2012.01.003.
• Driessen, Joost & Van Hemert, Otto, 2012, "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 37-61, DOI: 10.1016/j.jfineco.2012.02.006.
• Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012, "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 82-112, DOI: 10.1016/j.jfineco.2011.12.008.
• Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012, "How are shorts informed?," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 260-278, DOI: 10.1016/j.jfineco.2012.03.001.
• Aragon, George O. & Spencer Martin, J., 2012, "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 436-456, DOI: 10.1016/j.jfineco.2012.02.004.
• Fama, Eugene F. & French, Kenneth R., 2012, "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 457-472, DOI: 10.1016/j.jfineco.2012.05.011.
• Hong, Harrison & Yogo, Motohiro, 2012, "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 473-490, DOI: 10.1016/j.jfineco.2012.04.005.
• Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros, 2012, "Displacement risk and asset returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 491-510, DOI: 10.1016/j.jfineco.2012.04.002.
• Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012, "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 523-541, DOI: 10.1016/j.jfineco.2012.04.006.
• Kapadia, Nikunj & Pu, Xiaoling, 2012, "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 542-564, DOI: 10.1016/j.jfineco.2011.10.014.
• Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
• Dangl, Thomas & Halling, Michael, 2012, "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 157-181, DOI: 10.1016/j.jfineco.2012.04.003.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012, "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 331-348, DOI: 10.1016/j.jfineco.2012.05.013.
• Chernov, Mikhail & Mueller, Philippe, 2012, "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 367-394, DOI: 10.1016/j.jfineco.2012.06.004.
• Dezső, Cristian L. & Ross, David Gaddis, 2012, "Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 395-410, DOI: 10.1016/j.jfineco.2012.06.002.
• Paye, Bradley S., 2012, "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 527-546, DOI: 10.1016/j.jfineco.2012.06.005.
• García, Diego & Norli, Øyvind, 2012, "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 547-565, DOI: 10.1016/j.jfineco.2012.06.007.
• Golez, Benjamin & Jackwerth, Jens Carsten, 2012, "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 566-585, DOI: 10.1016/j.jfineco.2012.06.010.
• Maio, Paulo & Santa-Clara, Pedro, 2012, "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 586-613, DOI: 10.1016/j.jfineco.2012.07.001.
• Savor, Pavel G., 2012, "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 635-659, DOI: 10.1016/j.jfineco.2012.06.011.
• Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012, "Currency momentum strategies," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 660-684, DOI: 10.1016/j.jfineco.2012.06.009.
• Takáts, Előd, 2012, "Aging and house prices," Journal of Housing Economics, Elsevier, volume 21, issue 2, pages 131-141, DOI: 10.1016/j.jhe.2012.04.001.
• Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012, "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, volume 31, issue 1, pages 80-101, DOI: 10.1016/j.jimonfin.2011.11.004.
• Jongen, R. & Muller, A. & Verschoor, W.F.C., 2012, "Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 148-169, DOI: 10.1016/j.jimonfin.2011.10.002.
• Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012, "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 267-291, DOI: 10.1016/j.jimonfin.2011.11.010.
• Resnick, Bruce G., 2012, "Investor yield and gross underwriting spread comparisons among U.S. dollar domestic, Yankee, Eurodollar, and global bonds," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 445-463, DOI: 10.1016/j.jimonfin.2011.12.005.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2012, "The Greek financial crisis: Growing imbalances and sovereign spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 498-516, DOI: 10.1016/j.jimonfin.2011.10.009.
• Bernoth, Kerstin & Erdogan, Burcu, 2012, "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 639-656, DOI: 10.1016/j.jimonfin.2011.10.006.
• Maltritz, Dominik, 2012, "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 657-672, DOI: 10.1016/j.jimonfin.2011.10.010.
• Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012, "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 743-765, DOI: 10.1016/j.jimonfin.2012.01.002.
• Moore, Michael J. & Roche, Maurice J., 2012, "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 865-879, DOI: 10.1016/j.jimonfin.2012.01.005.
• Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012, "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 975-995, DOI: 10.1016/j.jimonfin.2011.12.006.
• Kroencke, Tim A. & Schindler, Felix, 2012, "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, volume 31, issue 7, pages 1851-1866, DOI: 10.1016/j.jimonfin.2012.05.018.
• Glick, Reuven & Leduc, Sylvain, 2012, "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Journal of International Money and Finance, Elsevier, volume 31, issue 8, pages 2078-2101, DOI: 10.1016/j.jimonfin.2012.05.009.
• Bowden, Mark P., 2012, "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 553-566, DOI: 10.1016/j.jmacro.2012.01.003.
• Lindenberg, Nannette & Westermann, Frank, 2012, "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1125-1140, DOI: 10.1016/j.jmacro.2012.06.006.
• Siddiqi, Hammad, 2012, "The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study," Journal of Economic Psychology, Elsevier, volume 33, issue 1, pages 19-29, DOI: 10.1016/j.joep.2011.08.008.
• Tilton, John E. & Humphreys, David & Radetzki, Marian, 2012, "Investor demand and spot commodity prices: Reply," Resources Policy, Elsevier, volume 37, issue 3, pages 397-399, DOI: 10.1016/j.resourpol.2012.02.003.
• Tilton, John E. & Humphreys, David & Radetzki, Marian, 2012, "Investor demand and spot commodity prices: Reply 2," Resources Policy, Elsevier, volume 37, issue 3, pages 403-404, DOI: 10.1016/j.resourpol.2012.03.003.
• Harding, John P. & Rosenblatt, Eric & Yao, Vincent W., 2012, "The foreclosure discount: Myth or reality?," Journal of Urban Economics, Elsevier, volume 71, issue 2, pages 204-218, DOI: 10.1016/j.jue.2011.09.005.
• Edmond, Chris & Weill, Pierre-Olivier, 2012, "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, volume 59, issue 4, pages 319-335, DOI: 10.1016/j.jmoneco.2012.03.006.
• van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012, "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, volume 59, issue 7, pages 634-648, DOI: 10.1016/j.jmoneco.2012.09.002.
• Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012, "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, volume 22, issue 5, pages 193-211, DOI: 10.1016/j.mulfin.2012.06.008.
• Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012, "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 198-227, DOI: 10.1016/j.pacfin.2011.09.001.
• Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012, "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 416-437, DOI: 10.1016/j.pacfin.2011.12.008.
• Bohl, Martin T. & Essid, Badye & Siklos, Pierre L., 2012, "Do short selling restrictions destabilize stock markets? Lessons from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 198-206, DOI: 10.1016/j.qref.2012.02.001.
• Mabrouk, Samir & Saadi, Samir, 2012, "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 3, pages 305-321, DOI: 10.1016/j.qref.2012.04.006.
• Kao, Erin H. & Fung, Hung-Gay, 2012, "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 195-209, DOI: 10.1016/j.iref.2011.06.003.
• Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012, "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 261-271, DOI: 10.1016/j.iref.2011.07.004.
• Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012, "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 11-24, DOI: 10.1016/j.iref.2011.08.006.
• Chen, Sichong, 2012, "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 284-304, DOI: 10.1016/j.iref.2011.10.009.
• Gong, Fuzhou & Liu, Hong, 2012, "Inside trading, public disclosure and imperfect competition," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 200-223, DOI: 10.1016/j.iref.2012.03.003.
• Wei, Peihwang & Yang, Xiaolou, 2012, "Do investors value REITs and Non-REITs differently?," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 295-302, DOI: 10.1016/j.iref.2012.04.005.
• Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012, "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 315-326, DOI: 10.1016/j.iref.2012.04.002.
• Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012, "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 62-70, DOI: 10.1016/j.iref.2011.12.001.
• Walkshäusl, Christian & Lobe, Sebastian, 2012, "Islamic investing," Review of Financial Economics, Elsevier, volume 21, issue 2, pages 53-62, DOI: 10.1016/j.rfe.2012.03.002.
• Stotz, Olaf & Georgi, Dominik, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 159-167, DOI: 10.1016/j.rfe.2012.04.001.
• Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012, "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, volume 21, issue 4, pages 168-174, DOI: 10.1016/j.rfe.2012.06.001.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 3, pages 78-99.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_17, Nov.
• Leo Krippner, 2012, "Modifying Gaussian Term Structure Models When Interest Rates Are near the Zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-05, Feb.
• Leo Krippner, 2012, "A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-11, Mar.
• Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2012, "Testing External Habits in an Asset Pricing Model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-20, May.
• Leo Krippner, 2012, "Measuring the Stance of Monetary Policy in Zero Lower Bound Environments," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-35, Jul.
• Omer ISKENDEROGLU, 2012, "Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 1, pages 69-78.
• Umut UYAR & Sinem Guler KANGALLI, 2012, "Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 2, pages 183-192.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119044, Jul.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Liquidity and asset returns under asymmetric information and imperfect competition," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119045, Jul.
• Chabakauri, Georgy, 2012, "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119046, Jul.