Research classified by Journal of Economic Literature (JEL) codes

2012

• Mueller, Philippe & Vedolin, Andrea & Yen, Yu-Min, 2012, "Bond variance risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119053, Jan.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian & Wang, Yihui, 2012, "Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119197, Feb.
• De Paoli, Bianca & Zabczyk, Pawel, 2012, "Cyclical risk aversion, precautionary saving and Monetary Policy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121767, Mar.
• Vedolin, Andrea, 2012, "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43091, Nov.
• De Paoli, Bianca & Zabczyk, Pawel, 2012, "Policy design in a model with swings in risk appetite," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 51517.
• Daniel Detzer, 2012, "New instruments for banking regulation and monetary policy after the crisis," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 9, issue 2, pages 233-254.
• 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.
• 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.
• 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.
• Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A., 2012, "Earnings conference calls and stock returns: The incremental informativeness of textual tone," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 992-1011, DOI: 10.1016/j.jbankfin.2011.10.013.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
• Bhootra, Ajay & Hur, Jungshik, 2012, "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1266-1275, DOI: 10.1016/j.jbankfin.2011.11.021.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012, "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1381-1391, DOI: 10.1016/j.jbankfin.2011.12.003.
• Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012, "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1414-1423, DOI: 10.1016/j.jbankfin.2011.12.007.
• Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012, "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1492-1502, DOI: 10.1016/j.jbankfin.2011.12.014.
• Min, Byoung-Kyu & Kim, Tong Suk, 2012, "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1528-1535, DOI: 10.1016/j.jbankfin.2011.12.017.
• Forte, Santiago & Lovreta, Lidija, 2012, "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1639-1652, DOI: 10.1016/j.jbankfin.2012.01.010.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Monfort, Alain & Pegoraro, Fulvio, 2012, "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1678-1687, DOI: 10.1016/j.jbankfin.2012.01.014.
• Vlastakis, Nikolaos & Markellos, Raphael N., 2012, "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1808-1821, DOI: 10.1016/j.jbankfin.2012.02.007.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An alternative three-factor model for international markets: Evidence from the European Monetary Union," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1857-1864, DOI: 10.1016/j.jbankfin.2012.02.001.
• Chrétien, Stéphane, 2012, "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1943-1962, DOI: 10.1016/j.jbankfin.2012.03.002.
• Levy, Tamir & Yagil, Joseph, 2012, "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1963-1974, DOI: 10.1016/j.jbankfin.2012.03.004.
• Chen, Yifan & Zhao, Huainan, 2012, "Informed trading, information uncertainty, and price momentum," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2095-2109, DOI: 10.1016/j.jbankfin.2012.03.016.
• Petrasek, Lubomir, 2012, "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2110-2121, DOI: 10.1016/j.jbankfin.2012.03.015.
• Anthonisz, Sean A., 2012, "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2122-2135, DOI: 10.1016/j.jbankfin.2012.03.017.
• Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2012, "Institutional ownership, analyst following, and share prices," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2175-2189, DOI: 10.1016/j.jbankfin.2012.03.026.
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012, "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2216-2232, DOI: 10.1016/j.jbankfin.2012.04.001.
• Choy, Siu Kai & Wei, Jason, 2012, "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2299-2322, DOI: 10.1016/j.jbankfin.2012.04.010.
• Galsband, Victoria, 2012, "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2379-2388, DOI: 10.1016/j.jbankfin.2012.04.019.
• Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying, 2012, "What explains the investment growth anomaly?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2532-2542, DOI: 10.1016/j.jbankfin.2012.05.010.
• Han, Yufeng, 2012, "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2575-2592, DOI: 10.1016/j.jbankfin.2012.05.016.
• Westerlund, Joakim & Narayan, Paresh Kumar, 2012, "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2632-2640, DOI: 10.1016/j.jbankfin.2012.06.005.
• Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012, "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2660-2671, DOI: 10.1016/j.jbankfin.2012.06.003.
• Christian Bach & Matt P. Dziubinski, 2012, "Commodity derivatives pricing with inventory effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-06, Feb.
• Peter O. Christensen & Zhenjiang Qin, 2012, "Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-22, 04.
• Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
• Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
• Heejoon Han & Dennis Kristensen, 2012, "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-25, May.
• Olaf Posch & Andreas Schrimpf, 2012, "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-32, Jul.
• Charlotte Christiansen, 2012, "Integration of European Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-33, Jul.
• Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
• Daniela Osterrieder & Peter C. Schotman, 2012, "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-35, Aug.
• Stig V. Møller & Jesper Rangvid, 2012, "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-42, Oct.
• Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012, "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-48, May.
• Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012, "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-49, May.
• Tim Bollerslev & Lai Xu & Hao Zhou, 2012, "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-51, Nov.
• Tom Engsted & Thomas Q. Pedersen, 2012, "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-58, Dec.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2012-03, May.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2012, "Fear and Closed-End Fund Discounts," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2012-07, Oct.
• Stanislav Khrapov, 2012, "Risk Premia: Short and Long-term," Working Papers, New Economic School (NES), number w0169, Jan.
• Michael Kirchler & Jurgen Huber & Thomas Stockl, 2012, "Thar She Bursts: Reducing Confusion Reduces Bubbles," American Economic Review, American Economic Association, volume 102, issue 2, pages 865-883, April.
• Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012, "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, volume 102, issue 4, pages 1596-1618, June.
• Simon Gilchrist & Egon Zakrajsek, 2012, "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, volume 102, issue 4, pages 1692-1720, June.
• Satyajit Chatterjee & Burcu Eyigungor, 2012, "Maturity, Indebtedness, and Default Risk," American Economic Review, American Economic Association, volume 102, issue 6, pages 2674-2699, October.
• Francois Gourio, 2012, "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, volume 102, issue 6, pages 2734-2766, October.
• YiLi Chien & Harold Cole & Hanno Lustig, 2012, "Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?," American Economic Review, American Economic Association, volume 102, issue 6, pages 2859-2896, October.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012, "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, volume 102, issue 7, pages 3674-3700, December.
• Stephen Morris & Hyun Song Shin, 2012, "Contagious Adverse Selection," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 1-21, January.
• Ana Fostel & John Geanakoplos, 2012, "Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 190-225, January.
• Pengfei Wang & Yi Wen, 2012, "Speculative Bubbles and Financial Crises," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 3, pages 184-221, July, DOI: 10.1257/mac.4.3.184.
• Mikhail Anufriev & Cars Hommes, 2012, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, volume 4, issue 4, pages 35-64, November, DOI: 10.1257/mic.4.4.35.
• Yacine Aït-Sahalia & Jean Jacod, 2012, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, volume 50, issue 4, pages 1007-1050, December.
• Pithak Srisuksai, 2012, "Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 19, issue 2, pages 66-89, December.
• Georges Prat, 2012, "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers, Association Française de Cliométrie (AFC), number 12-06.
• Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012, "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124676, DOI: 10.22004/ag.econ.124676.
• Ng, David T.C., , "The International CAPM When Expected Returns Are Time-Varying," Working Papers, Cornell University, Department of Applied Economics and Management, number 127283, DOI: 10.22004/ag.econ.127283.
• Morana, Claudio, 2012, "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 121723, Feb, DOI: 10.22004/ag.econ.121723.
• Morana, Claudio, 2012, "The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 127423, May, DOI: 10.22004/ag.econ.127423.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 126877, DOI: 10.22004/ag.econ.126877.
• Cordier, Jean & Gohin, Alexandre, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 207989, DOI: 10.22004/ag.econ.207989.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-26, August, DOI: 10.22004/ag.econ.130280.
• Morana, Claudio, 2012, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Conference papers, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project, number 332210.
• Irwin, Scott H., 2012, "Does the Masters Hypothesis Explain Recent Food Price Spikes?," Working Papers, Structure and Performance of Agriculture and Agri-products Industry (SPAA), number 126944, Jun, DOI: 10.22004/ag.econ.126944.
• Kusdhianto SETIAWAN, 2012, "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
• Maria-Miruna POCHEA & Angela-Maria FILIP, 2012, "Identifying arbitrage opportunities on SIBEX market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 14, pages 121-130, December.
• Felicia Ramona Birău, 2012, "The Implications Of Liquidity Crises In The Context Of Emerging Capital Market," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 18, pages 189-193, April.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012, "Nonparametric Estimation and Inference for Granger Causality Measures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012009, Jan.
• Dewachter, Hans & Iania, Leonardo, 2012, "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2012001, Jan.
• Iván Bélyácz, 2012, "Does intrinsic value still have a role in capital market pricing?," Society and Economy, Akadémiai Kiadó, Hungary, volume 34, issue 1, pages 95-113, April.
• Jonathan E. Alevy & Michael K. Price, 2012, "Advice and Fictive Learning: The Pricing of Assets in the Laboratory," Working Papers, University of Alaska Anchorage, Department of Economics, number 2012-07, Dec.
• Florin Sebastian Duma & Ioan Alin Nistor, 2012, "Trading Carbon Dioxide On The European Cabon Market Using The Eu Ets Platform," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 14, pages 1-16.
• Xuguang Sheng & Orie Barron & Maya Thevenot, 2012, "Information Environment and the Cost of Capital: A New Approach," Working Papers, American University, Department of Economics, number 2012-12, DOI: 10.17606/8y8r-1225.
• Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero, 2012, "External imbalances and financial fragility in the euro area," Mo.Fi.R. Working Papers, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences, number 66, May.
• Henry T.C. Hu, 2012, "Efficient Markets and the Law: A Predictable Past and an Uncertain Future," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 179-214, October.
• Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012, "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 255-296, October.
• Andrew Ang & Allan Timmermann, 2012, "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 313-337, October.
• Leonid Kogan & Dimitris Papanikolaou, 2012, "Economic Activity of Firms and Asset Prices," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 361-384, October.
• Rajnish Mehra, 2012, "Consumption-Based Asset Pricing Models," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 385-409, October.
• Deborah Lucas, 2012, "Valuation of Government Policies and Projects," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 39-58, October.
• Martin Cherkes, 2012, "Closed-End Funds: A Survey," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 431-445, October.