Research classified by Journal of Economic Literature (JEL) codes

2012

• René Garcia & Richard Luger, 2012, "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 1013-1036, September.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 956-977, September.
• Rohini Grover & Susan Thomas, 2012, "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 8, pages 714-741, August.
• James D. Hamilton & Jing Cynthia Wu, 2012, "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue s1, pages 3-46, February, DOI: 10.1111/j.1538-4616.2011.00477.x.
• Olaf Stotz & Dominik Georgi, 2012, "A logit model of retail investors' individual trading decisions and their relations to insider trades," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 159-167, November, DOI: 10.1016/j.rfe.2012.04.001.
• Kin‐Yip Ho & Lin Zheng & Zhaoyong Zhang, 2012, "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 168-174, November, DOI: 10.1016/j.rfe.2012.06.001.
• Dilip B. Madan, 2012, "Execution Costs And Efficient Execution Frontiers," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 01, pages 1-18, DOI: 10.1142/S2010495212500029.
• Robert Jarrow, 2012, "The Third Fundamental Theorem Of Asset Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-11, DOI: 10.1142/S2010495212500078.
• William A Barnett & Unja Chae & John W Keating, 2012, "Forecast Design In Monetary Capital Stock Measurement," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-53, DOI: 10.1142/S225136121250005X.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 01, pages 1-15, DOI: 10.1142/S0219024911006553.
• Silvia Centanni & Marco Minozzo, 2012, "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 03, pages 1-22, DOI: 10.1142/S0219024912500185.
• Álvaro Cartea & José Penalva, 2012, "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-46, DOI: 10.1142/S2010139212500140.
• Martin D. D. Evans & Richard K. Lyons, 2012, "Exchange Rate Fundamentals and Order Flow," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 1-63, DOI: 10.1142/S2010139212500188.
• Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2012, "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 1-41, DOI: 10.1142/S201013921250019X.
• Edwin J Elton & Martin J Gruber (ed.), 2010, "Investments and Portfolio Performance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8034, ISBN: ARRAY(0x74670ca8).
• Francis In & Sangbae Kim, 2012, "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, ISBN: ARRAY(0x74b5f818).
• Matheus R Grasselli & Lane P Hughston (ed.), 2012, "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507, ISBN: ARRAY(0x74187d30).
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hamed Amini & Rama Cont & Andreea Minca, 2012, "Stress Testing The Resilience Of Financial Networks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan, 2012, "Managing Corporate Liquidity: Strategies And Pricing Implications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari, 2012, "Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2012, "Information-Based Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Models As A Mathematical Framework For Dynamic Calibration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Patrick Cheridito & Michael Kupper, 2012, "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Giuseppe Di Graziano & Lorenzo Torricelli, 2012, "Target Volatility Option Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012, "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hans Föllmer & Irina Penner, 2012, "Monetary Valuation Of Cash Flows Under Knightian Uncertainty," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Emanuela Rosazza Gianin, 2012, "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Marco Maggis, 2012, "Conditional Certainty Equivalent," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Pavel V. Gapeev, 2012, "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012, "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Alexander Schied, 2012, "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Tai-Ho Wang, 2012, "The Heat-Kernel Most-Likely-Path Approximation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Glasserman & Qi Wu, 2012, "Forward And Future Implied Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Svante Janson & Sokhna M'Baye & Philip Protter, 2012, "Absolutely Continuous Compensators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dilip B. Madan & Wim Schoutens, 2012, "Conic Finance And The Corporate Balance Sheet," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Michael Monoyios & Andrew Ng, 2012, "Optimal Exercise Of An Executive Stock Option By An Insider," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• M. Musiela & T. Zariphopoulou, 2012, "Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jan Obłój & Frédérik Ulmer, 2012, "Performance Of Robust Hedges For Digital Double Barrier Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Thorsten Schmidt & Jerzy Zabczyk, 2012, "Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Janusz Gajda, 2012, "Modeling of short term interest rate based on tempered fractional Langevin equation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/03.
• M Hashem Pesaran & Takashi Yamagata, 2012, "Testing CAPM with a Large Number of Assets," Discussion Papers, Department of Economics, University of York, number 12/05, Feb.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers, Department of Economics, University of York, number 12/25, Sep.
• Adam Golinski & Peter Spencer, 2012, "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers, Department of Economics, University of York, number 12/27, Oct.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
• Alfonso Mendoza-Velazquez & Peter N. Smith, 2012, "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," Discussion Papers, Department of Economics, University of York, number 12/36, Dec.
• Na Guo & Peter N. Smith, 2012, "Durable Consumption, Long-Run Risk and The Equity Premium," Discussion Papers, Department of Economics, University of York, number 12/37, Dec.
• Niemann, Rainer & Rünger, Silke, 2012, "Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 136.
• Westerhoff, Frank & Franke, Reiner, 2012, "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 88.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012, "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 89.
• Taipalus, Katja, 2012, "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, number sm2012_047, December.
• Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012, "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 4/2012.
• Chen, Xi & Funke, Michael, 2012, "Real-time warning signs of emerging and collapsing Chinese house price bubbles," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 27/2012.
• Marsh, Ian W. & Wagner, Wolf, 2012, "Why is price discovery in credit default swap markets news-specific?," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2012.
• Taipalus, Katja, 2012, "Signaling asset price bubbles with time-series methods," Bank of Finland Research Discussion Papers, Bank of Finland, number 7/2012.
• Francis, Bill & Hasan, Iftekhar & Song, Liang & Yeung, Bernard, 2012, "What determines bank stock price synchronicity? Global evidence," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2012.
• Halberstadt, Arne & Stapf, Jelena, 2012, "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers, Deutsche Bundesbank, number 25/2012.
• Durand, Philippe & Gündüz, Yalin & Thomazeau, Isabelle, 2012, "Estimating endogenous liquidity using transaction and order book information," Discussion Papers, Deutsche Bundesbank, number 34/2012.
• Pusch, Toralf, 2012, "The role of uncertainty in the euro crisis: A reconsideration of liquidity preference theory," ZÖSS-Discussion Papers, University of Hamburg, Centre for Economic and Sociological Studies (CESS/ZÖSS), number 31.
• Jank, Stephan, 2012, "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-08.
• Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2012, "The price impact of CDS trading," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-12.
• Vijay Kumar Varadi, 2012, "An evidence of speculation in Indian commodity markets," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 57430, Apr.
• Tinschert, Jonas & Cremers, Heinz, 2012, "Fixed income strategies for trading and for asset management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 191.
• Krones, Julia & Cremers, Heinz, 2012, "Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 195.
• Gracia, Eduard, 2012, "On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-27.
• Gracia, Eduard, 2012, "Predicting the unpredictable: Forecastable bubbles and business cycles under rational expectations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-43, DOI: 10.5018/economics-ejournal.ja.2012-.
• Boysen-Hogrefe, Jens, 2012, "Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?," Kiel Working Papers, Kiel Institute for the World Economy, number 1780.
• Lux, Thomas, 2012, "Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1781.
• Detzer, Daniel, 2012, "New instruments for banking regulation and monetary policy after the crisis," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 13/2012.
• Devaney, Steven & Holtemöller, Oliver & Schulz, Rainer, 2012, "Efficiency in the UK Commercial Property Market: A Long-run Perspective," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 15/2012.
• Henger, Ralph & Pomogajko, Kirill & Voigtländer, Michael, 2012, "Gibt es eine spekulative Blase am deutschen Wohnimmobilienmarkt?," IW-Trends – Vierteljahresschrift zur empirischen Wirtschaftsforschung, Institut der deutschen Wirtschaft (IW) / German Economic Institute, volume 39, issue 3, pages 3-16, DOI: 10.2373/1864-810X.12-03-01.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-26.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-27.
• Li, Yong & Yu, Jun, 2012, "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 237-246, DOI: 10.1016/j.jeconom.2011.09.040.
• Han, Heejoon & Park, Joon Y., 2012, "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 95-112, DOI: 10.1016/j.jeconom.2011.10.004.
• Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012, "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 458-472, DOI: 10.1016/j.jeconom.2011.09.028.
• Yu, Jun, 2012, "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 473-482, DOI: 10.1016/j.jeconom.2011.09.029.
• Hamilton, James D. & Wu, Jing Cynthia, 2012, "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 315-331, DOI: 10.1016/j.jeconom.2012.01.035.
• Kim, Don H. & Singleton, Kenneth J., 2012, "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 32-49, DOI: 10.1016/j.jeconom.2011.12.005.
• Peñaranda, Francisco & Sentana, Enrique, 2012, "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 303-324, DOI: 10.1016/j.jeconom.2012.05.007.
• Gospodinov, Nikolay & Otsu, Taisuke, 2012, "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 476-490, DOI: 10.1016/j.jeconom.2012.05.017.
• West, Kenneth D., 2012, "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 86-97, DOI: 10.1016/j.jeconom.2012.07.002.
• Urbański, Stanisław, 2012, "Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM," Economic Systems, Elsevier, volume 36, issue 4, pages 552-570, DOI: 10.1016/j.ecosys.2012.03.002.
• Pozzi, Lorenzo & Wolswijk, Guido, 2012, "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, volume 56, issue 1, pages 36-53, DOI: 10.1016/j.euroecorev.2011.05.006.
• Comelli, Fabio, 2012, "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 598-625, DOI: 10.1016/j.ememar.2012.09.002.
• Wang, Zhenyu & Zhang, Xiaoyan, 2012, "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 65-78, DOI: 10.1016/j.jempfin.2011.11.001.
• Hobbs, Jeffrey & Kovacs, Tunde & Sharma, Vivek, 2012, "The investment value of the frequency of analyst recommendation changes for the ordinary investor," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 94-108, DOI: 10.1016/j.jempfin.2011.09.006.
• Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012, "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 217-240, DOI: 10.1016/j.jempfin.2012.01.002.
• Engsted, Tom & Pedersen, Thomas Q., 2012, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 241-253, DOI: 10.1016/j.jempfin.2012.01.003.
• Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2012, "Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 309-318, DOI: 10.1016/j.jempfin.2011.12.005.
• Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha, 2012, "Global style momentum," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 319-333, DOI: 10.1016/j.jempfin.2012.02.001.
• Turtle, H.J. & Zhang, Chengping, 2012, "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 334-348, DOI: 10.1016/j.jempfin.2012.03.003.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012, "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 454-464, DOI: 10.1016/j.jempfin.2012.04.005.
• Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming, 2012, "Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 483-496, DOI: 10.1016/j.jempfin.2012.04.011.
• McCulloch, James, 2012, "Fractal market time," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 686-701, DOI: 10.1016/j.jempfin.2012.08.001.
• van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos), 2012, "A meta-analysis of the equity premium," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 819-830, DOI: 10.1016/j.jempfin.2012.07.002.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, volume 34, issue 1, pages 256-269, DOI: 10.1016/j.eneco.2011.10.008.
• Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012, "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, volume 34, issue 2, pages 611-617, DOI: 10.1016/j.eneco.2011.08.009.
• Cotter, John & Hanly, Jim, 2012, "A utility based approach to energy hedging," Energy Economics, Elsevier, volume 34, issue 3, pages 817-827, DOI: 10.1016/j.eneco.2011.07.009.
• Scholtens, Bert & Yurtsever, Cenk, 2012, "Oil price shocks and European industries," Energy Economics, Elsevier, volume 34, issue 4, pages 1187-1195, DOI: 10.1016/j.eneco.2011.10.012.
• Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung, 2012, "Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries," Energy Economics, Elsevier, volume 34, issue 5, pages 1284-1300, DOI: 10.1016/j.eneco.2012.06.004.
• Hintermann, Beat, 2012, "Pricing emission permits in the absence of abatement," Energy Economics, Elsevier, volume 34, issue 5, pages 1329-1340, DOI: 10.1016/j.eneco.2012.06.005.
• Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012, "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, volume 34, issue 6, pages 1888-1895, DOI: 10.1016/j.eneco.2012.08.008.
• Campbell, Gareth & Turner, John D. & Walker, Clive B., 2012, "The role of the media in a bubble," Explorations in Economic History, Elsevier, volume 49, issue 4, pages 461-481, DOI: 10.1016/j.eeh.2012.07.002.
• Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J., 2012, "An analysis of intraday market behaviour before takeover announcements," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 23-32, DOI: 10.1016/j.irfa.2011.05.005.
• Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou, 2012, "Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence," International Review of Financial Analysis, Elsevier, volume 22, issue C, pages 38-47, DOI: 10.1016/j.irfa.2012.03.001.
• Loncarski, Igor & Szilagyi, Peter G., 2012, "Empirical analysis of credit spread changes of US corporate bonds," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 12-19, DOI: 10.1016/j.irfa.2012.06.011.
• Juneja, Januj, 2012, "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 48-56, DOI: 10.1016/j.irfa.2012.07.004.
• Majumder, Debasish, 2012, "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 84-92, DOI: 10.1016/j.irfa.2012.08.003.
• Choudhry, Taufiq & Jayasekera, Ranadeva, 2012, "Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 106-116, DOI: 10.1016/j.irfa.2012.09.002.
• LeBaron, Blake, 2012, "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, volume 9, issue 1, pages 21-28, DOI: 10.1016/j.frl.2011.09.001.
• Shan, Liwei & Gong, Stephen X., 2012, "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, volume 9, issue 1, pages 36-47, DOI: 10.1016/j.frl.2011.07.002.
• Jarrow, Robert & Protter, Philip, 2012, "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, volume 9, issue 2, pages 58-62, DOI: 10.1016/j.frl.2012.03.002.
• Hjalmarsson, Erik, 2012, "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, volume 9, issue 2, pages 81-91, DOI: 10.1016/j.frl.2011.10.001.
• Pu, Xiaoling & Zhang, Jianing, 2012, "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, volume 9, issue 3, pages 157-166, DOI: 10.1016/j.frl.2012.01.001.
• Dzielinski, Michal, 2012, "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, volume 9, issue 3, pages 167-175, DOI: 10.1016/j.frl.2011.10.003.
• Renneboog, Luc & Spaenjers, Christophe, 2012, "Hard assets: The returns on rare diamonds and gems," Finance Research Letters, Elsevier, volume 9, issue 4, pages 220-230, DOI: 10.1016/j.frl.2012.07.003.
• Flynn, Sean Masaki, 2012, "Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 108-125, DOI: 10.1016/j.finmar.2011.06.001.
• Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012, "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 29-46, DOI: 10.1016/j.finmar.2011.08.005.
• Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012, "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, volume 15, issue 1, pages 47-80, DOI: 10.1016/j.finmar.2011.08.003.
• Boehme, Rodney & Çolak, Gönül, 2012, "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, volume 15, issue 2, pages 286-327, DOI: 10.1016/j.finmar.2011.11.001.
• Borio, Claudio & Zhu, Haibin, 2012, "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, volume 8, issue 4, pages 236-251, DOI: 10.1016/j.jfs.2011.12.003.
• Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012, "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, volume 23, issue 1, pages 1-15, DOI: 10.1016/j.gfj.2012.01.001.
• Ahčan, Aleš, 2012, "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 131-138, DOI: 10.1016/j.insmatheco.2011.10.005.
• Antell, Jan & Vaihekoski, Mika, 2012, "Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 120-136, DOI: 10.1016/j.intfin.2011.08.002.
• Du, Ding & Hu, Ou, 2012, "Exchange rate risk in the US stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 137-150, DOI: 10.1016/j.intfin.2011.08.003.
• Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012, "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 305-328, DOI: 10.1016/j.intfin.2011.10.001.
• Bley, Jorg & Saad, Mohsen, 2012, "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 538-554, DOI: 10.1016/j.intfin.2012.01.004.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 555-574, DOI: 10.1016/j.intfin.2011.12.001.
• Arghyrou, Michael G. & Kontonikas, Alexandros, 2012, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 658-677, DOI: 10.1016/j.intfin.2012.03.003.
• Koutmos, Dimitrios, 2012, "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1176-1187, DOI: 10.1016/j.intfin.2012.05.007.
• Jorgensen, Bjorn & Li, Jing & Sadka, Gil, 2012, "Earnings dispersion and aggregate stock returns," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2011.06.001.
• Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012, "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, volume 53, issue 3, pages 504-526, DOI: 10.1016/j.jacceco.2011.12.001.
• Goswami, Gautam & Tan, Sinan, 2012, "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2742-2756, DOI: 10.1016/j.jbankfin.2012.02.013.
• Yao, Yaqiong, 2012, "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2757-2769, DOI: 10.1016/j.jbankfin.2011.12.004.
• He, Hui & Yang, Jiawen, 2012, "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2795-2803, DOI: 10.1016/j.jbankfin.2012.06.016.
• Nejadmalayeri, Ali & Singh, Manohar, 2012, "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2900-2916, DOI: 10.1016/j.jbankfin.2011.07.021.
• Yamamoto, Ryuichi, 2012, "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3033-3047, DOI: 10.1016/j.jbankfin.2012.07.006.
• Jank, Stephan, 2012, "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3060-3070, DOI: 10.1016/j.jbankfin.2012.07.004.
• Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012, "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3071-3079, DOI: 10.1016/j.jbankfin.2012.07.002.
• Fukuda, Shin-ichi, 2012, "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3185-3196, DOI: 10.1016/j.jbankfin.2012.01.003.
• Liang, Samuel Xin & Wei, John K.C., 2012, "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3274-3288, DOI: 10.1016/j.jbankfin.2012.07.021.
• Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012, "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3382-3398, DOI: 10.1016/j.jbankfin.2012.07.020.
• Floros, Ioannis V. & Sapp, Travis R.A., 2012, "Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3469-3481, DOI: 10.1016/j.jbankfin.2012.08.001.
• Szafarz, Ariane, 2012, "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 105-111, DOI: 10.1016/j.jbankfin.2011.06.008.
• Yallup, Peter J., 2012, "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 121-135, DOI: 10.1016/j.jbankfin.2011.06.010.
• Blau, Benjamin M. & Wade, Chip, 2012, "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 14-25, DOI: 10.1016/j.jbankfin.2011.06.001.
• Beliaeva, Natalia & Nawalkha, Sanjay, 2012, "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 151-163, DOI: 10.1016/j.jbankfin.2011.06.012.
• Zhang, Andrew Jianzhong, 2012, "Distress risk premia in expected stock and bond returns," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 225-238, DOI: 10.1016/j.jbankfin.2011.07.007.
• Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012, "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 239-248, DOI: 10.1016/j.jbankfin.2011.07.006.
• Li, Junye, 2012, "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 249-260, DOI: 10.1016/j.jbankfin.2011.07.005.
• Xing, Haipeng & Sun, Ning & Chen, Ying, 2012, "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 78-89, DOI: 10.1016/j.jbankfin.2011.06.005.
• de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012, "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 371-382, DOI: 10.1016/j.jbankfin.2011.07.015.
• Yan, Yuxing & Zhang, Shaojun, 2012, "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 454-467, DOI: 10.1016/j.jbankfin.2011.08.003.
• Guo, Ming & Li, Zhan & Tu, Zhiyong, 2012, "A unique “T+1 trading rule” in China: Theory and evidence," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 575-583, DOI: 10.1016/j.jbankfin.2011.09.002.
• Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen, 2012, "Order flow, bid–ask spread and trading density in foreign exchange markets," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 597-612, DOI: 10.1016/j.jbankfin.2011.09.006.
• Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012, "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 786-802, DOI: 10.1016/j.jbankfin.2011.09.012.
• Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012, "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 835-845, DOI: 10.1016/j.jbankfin.2011.09.014.
• Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S., 2012, "Short selling of ADRs and foreign market short-sale constraints," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 886-897, DOI: 10.1016/j.jbankfin.2011.10.004.
• Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012, "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 913-922, DOI: 10.1016/j.jbankfin.2011.10.002.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1057-1066, DOI: 10.1016/j.jbankfin.2011.10.018.
• Berger, Dave & Turtle, H.J., 2012, "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1107-1121, DOI: 10.1016/j.jbankfin.2011.11.001.
• Clark, Ephraim & Kassimatis, Konstantinos, 2012, "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1144-1151, DOI: 10.1016/j.jbankfin.2011.11.006.
• Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012, "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1152-1163, DOI: 10.1016/j.jbankfin.2011.11.005.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012, "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 934-956, DOI: 10.1016/j.jbankfin.2011.10.010.