Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• 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.
• 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.
• Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012, "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 2, pages 143-162, April, DOI: 10.1108/20441391211215824.
• Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012, "Sources of Risk in Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 8745, Jan.
• Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2012, "Currency Momentum Strategies," CEPR Discussion Papers, Centre for Economic Policy Research, number 8747, Jan.
• Nagel, Stefan, 2012, "Evaporating Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 8775, Jan.
• Philippon, Thomas & Pagnotta, Emiliano, 2012, "Competing on Speed," CEPR Discussion Papers, Centre for Economic Policy Research, number 8786, Jan.
• Thakor, Anjan & Acharya, Viral & Mehran, Hamid & Schuermann, Til, 2012, "Robust Capital Regulation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8792, Jan.
• Julliard, Christian & Ghosh, Anisha, 2012, "Can Rare Events Explain the Equity Premium Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8899, Mar.
• Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012, "The Wealth-Consumption Ratio," CEPR Discussion Papers, Centre for Economic Policy Research, number 9022, Jun.
• Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan, 2012, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers, Centre for Economic Policy Research, number 9023, Jun.
• Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012, "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 9024, Jul.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2012, "Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 9043, Jul.
• Schürhoff, Norman & Chen, Zhihua & Lookman, Aziz & Seppi, Duane J, 2012, "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers, Centre for Economic Policy Research, number 9108, Aug.
• Basak, Suleyman & Pavlova, Anna, 2012, "Asset Prices and Institutional Investors," CEPR Discussion Papers, Centre for Economic Policy Research, number 9120, Sep.
• López-Salido, J David & Nelson, Edward & English, William & D'Amico, Stefania, 2012, "The Federal Reserve?s Large-Scale Asset Purchase Programs: Rationale and Effects," CEPR Discussion Papers, Centre for Economic Policy Research, number 9145, Sep.
• Nagel, Stefan, 2012, "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 9227, Nov.
• Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012, "Valuation Risk and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 9262, Dec.
• Marc Lammerding & Patrick Stephan & Mark Trede & Bernd Wilfling, 2012, "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2312, Jun.
• Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012, "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2412, Jun.
• Huan Xie & Jipeng Zhang, 2012, "Bubbles and Experience: An Experiment with a Steady Inflow of New Traders," Working Papers, Concordia University, Department of Economics, number 12001, Jan.
• Fabian Irek & Thorsten Lehnert & Nicolas Martelin, 2012, "Noise Trading and the Cross-Section of Index Option Prices," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-1.
• Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-6.
• Theoharry Grammatikos & Robert Vermeulen, 2012, "The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-8.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2012, "Sentiment Trades and Option Prices," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-9.
• Fabio Bagliano & Claudio Morana, 2012, "Determinants of US financial fragility conditions," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 128, Oct.
• Patrick Gagliardini & Christian Gouriéroux, 2012, "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers, Center for Research in Economics and Statistics, number 2012-07, Mar.
• Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012, "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers, Center for Research in Economics and Statistics, number 2012-35, Dec.
• Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012, "Survival of Hedge Funds : Frailty vs Contagion," Working Papers, Center for Research in Economics and Statistics, number 2012-36, Nov.
• Restrepo, Diana & Correia, Ricardo & Población, Javier, 2012, "Political risk and corporate investment decisions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 13114, Jan.
• Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012, "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 14150, Mar.
• Faias, Marta & Luque, Jaime, 2012, "Endogenous bourse structures," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1106, Apr.
• Bouezmarni, Taoufik & Taamouti, Abderrahim, 2012, "Nonparametric tests for conditional independence using conditional distributions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1217, Jan.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2012, "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1237, Jul.
• Iori, G. & Kapar, B. & Olmo, J., 2012, "The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation," Working Papers, Department of Economics, City St George's, University of London, number 12/03.
• Hatzopoulos, V. & Iori, G., 2012, "Information theoretic description of the e-Mid interbank market: implications for systemic risk," Working Papers, Department of Economics, City St George's, University of London, number 12/04.
• Kovaleva, P. & Iori, G., 2012, "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers, Department of Economics, City St George's, University of London, number 12/05.
• Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012, "Market microstructure, bank's behaviour and interbank spreads," Working Papers, Department of Economics, City St George's, University of London, number 12/06.
• Iori, G. & Porter, J., 2012, "Agent-Based Modelling for Financial Markets," Working Papers, Department of Economics, City St George's, University of London, number 12/08.
• Raymond Kan & Guofu Zhou, 2012, "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 139-187, May.
• Tianyi Wang & Zhuo Huang, 2012, "The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 211-236, May.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 371-396, August.
• Dewachter, Hans & Iania, Leonardo, 2011, "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 6, pages 1893-1916, December.
• Kim, Don H. & Orphanides, Athanasios, 2012, "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 1, pages 241-272, February.
• Driessen, Joost & Lin, Tse-Chun & Phalippou, Ludovic, 2012, "A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 3, pages 511-535, June.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "The Log-Linear Return Approximation, Bubbles, and Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 3, pages 643-665, June.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012, "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1155-1185, December.
• Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012, "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1279-1301, December.
• Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012, "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, volume 16, issue 4, pages 556-575, September.
• Ana Fostel & John Geanakoplos, 2012, "Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877, Sep.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R, Sep, revised Jul 2013.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R2, Sep, revised Aug 2014.
• Ana Fostel & John Geanakoplos, 2012, "Leverage and Default in Binomial Economies: A Complete Characterization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1877R3, Sep, revised Mar 2015.
• Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012, "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1883, Dec.