Research classified by Journal of Economic Literature (JEL) codes

2012

• Robert J. Barro & José F. Ursúa, 2012, "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, volume 4, issue 1, pages 83-109, July.
• ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012, "Are extreme returns priced in the stock market? European evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2012018, Sep.
• Peter Claeys & Borek Vašícek, 2012, "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201209, Nov, revised Nov 2012.
• Andreas Husler & Didier Sornette & Cars H. Hommes, 2012, "Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price," Papers, arXiv.org, number 1205.0635, May.
• Andrey Itkin, 2012, "New solvable stochastic volatility models for pricing volatility derivatives," Papers, arXiv.org, number 1205.3550, May, revised Jun 2012.
• St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012, "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers, arXiv.org, number 1205.4089, May.
• Akihiko Noda, 2012, "A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan," Papers, arXiv.org, number 1207.1842, Jul, revised Jan 2016.
• Marco Bianchetti, 2012, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," Papers, arXiv.org, number 1210.7329, Oct.
• Jonathan Ziveyi & Craig Blackburn & Michael Sherris, 2012, "Pricing European Options on Deferred Insurance," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201202, Feb.
• Ekaterini Panopoulou & Sarantis Kalyvitis, 2012, "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers, Athens University of Economics and Business, number 1216, Jun.
• Conrad, Christian & Zumbach, Klaus Ulrich, 2012, "The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis," Working Papers, University of Heidelberg, Department of Economics, number 0536, Dec.
• Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012, "An estimation of economic models with recursive preferences," CeMMAP working papers, Institute for Fiscal Studies, number 32/12, Oct, DOI: 10.1920/wp.cem.2012.3212.
• Roberto Ruozi, 2012, "Equity prices, corporate information or random walk?," BANCARIA, Bancaria Editrice, volume 7, pages 76-85, August.
• Dean Johnson & Patrick Joyce, 2012, "Bubbles and Crashes Revisited," Review of Economics & Finance, Better Advances Press, Canada, volume 2, pages 29-42, August.
• Samih Antoine Azar, 2012, "Determinants of Cyclical Aggregate Dividend Behavior," Review of Economics & Finance, Better Advances Press, Canada, volume 2, pages 71-78, August.
• Jordi Esteve Comas & Manuel Fernandez Lopez, 2012, "The mean-variance model from the inverse of the variance-covariance matrix," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 271.
• Lutz G. Arnold & Stephan Brunner, 2012, "Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 119, Jun.
• Nandini Srivastava & Stephen Satchell, 2012, "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1209, Apr.
• Francisco Rivadeneyra, 2012, "The U.S.-Dollar Supranational Zero-Coupon Curve," Discussion Papers, Bank of Canada, number 12-5, DOI: 10.34989/sdp-2012-5.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012, "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers, Bank of Canada, number 12-11, DOI: 10.34989/swp-2012-11.
• Bruno Feunou & Jean-Sébastien Fontaine, 2012, "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers, Bank of Canada, number 12-37, DOI: 10.34989/swp-2012-37.
• Jean-Sébastien Fontaine, 2012, "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers, Bank of Canada, number 12-41, DOI: 10.34989/swp-2012-41.
• Gregory Bauer & Antonio Diez de los Rios, 2012, "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers, Bank of Canada, number 12-5, DOI: 10.34989/swp-2012-5.
• Antonio Di Cesare & Giuseppe Grande & Michele Manna & Marco Taboga, 2012, "Recent estimates of sovereign risk premia for euro-area countries," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 128, Sep.
• Marcello Pericoli, 2012, "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 841, Jan.
• Marcello Pericoli, 2012, "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 842, Jan.
• Alessandro Borin & Virginia Di Nino, 2012, "The role of financial investments in agricultural commodity derivatives markets," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 849, Jan.
• José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012, "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia, Banco de la Republica de Colombia, number 697, Mar, DOI: 10.32468/be.697.
• Ligia Alba melo B. & Carlos Adrés Ballesteros R, 2012, "Creación, destrucción y reasignación del empleo en el sector manufacturero colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 699, Mar, DOI: 10.32468/be.699.
• Carlos León & Karen Leiton & Alejandro Reveiz, 2012, "Investment horizon dependent CAPM: Adjusting beta for long-term dependence," Borradores de Economia, Banco de la Republica de Colombia, number 730, Aug, DOI: 10.32468/be.730.
• Jelena Minović & Boško Živković, 2012, "Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 57, issue 195, pages 43-78, October -.
• Simon Dubecq & Gourieroux , C., 2012, "A term structure model with level factor cannot be realistic and arbitrage free," Working papers, Banque de France, number 359.
• Matthieu Bussière & Marie Hoerova & Benjamin Klaus, 2012, "Commonality in hedge fund returns: driving factors and implications," Working papers, Banque de France, number 373.
• Jean-Paul Renne, 2012, "A model of the euro-area yield curve with discrete policy rates," Working papers, Banque de France, number 395.
• Alain Monfort & Fulvio Pegoraro, 2012, "Asset Pricing with Second-Order Esscher Transforms," Working papers, Banque de France, number 397.
• Petra Gerlach-Kristen & Robert N McCauley, 2012, "Currency intervention and the global portfolio balance effect: Japanese lessons," BIS Working Papers, Bank for International Settlements, number 389, Oct.
• Ken Miyajima & Madhusudan Mohanty & Tracy Chan, 2012, "Emerging market local currency bonds: diversification and stability," BIS Working Papers, Bank for International Settlements, number 391, Nov.
• Oren Levintal, 2012, "Equity Capital, Bankruptcy Risk and the Liquidity Trap," Working Papers, Bar-Ilan University, Department of Economics, number 2012-07, May.
• Magdalena Borges & María Victoria Landaberry & Gerardo Licandro, 2012, "Determinantes del Desarrollo de mercados financieros privados: ¿qué pueden decirnos los datos?," Documentos de trabajo, Banco Central del Uruguay, number 2012006.
• Dimitris A. Georgoutsos & Petros M. Migiakis, 2012, "Benchmark Bonds Interactions under Regime Shifts," European Financial Management, European Financial Management Association, volume 18, issue 3, pages 389-409, June, DOI: 10.1111/j.1468-036X.2009.00535.x.
• Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012, "Tiebreaker: Certification and Multiple Credit Ratings," Journal of Finance, American Finance Association, volume 67, issue 1, pages 113-152, February, DOI: j.1540-6261.2011.01709.x.
• Ľuboš Pástor & Robert F. Stambaugh, 2012, "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, volume 67, issue 2, pages 431-478, April, DOI: j.1540-6261.2012.01722.x.
• Tarun Ramadorai, 2012, "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, volume 67, issue 2, pages 479-512, April, DOI: j.1540-6261.2012.01723.x.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012, "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, volume 67, issue 2, pages 681-718, April, DOI: j.1540-6261.2012.01728.x.
• Lubos Pástor & Pietro Veronesi, 2012, "Uncertainty about Government Policy and Stock Prices," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1219-1264, August, DOI: j.1540-6261.2012.01746.x.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2012, "Technological Growth and Asset Pricing," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1265-1292, August, DOI: j.1540-6261.2012.01747.x.
• Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2012, "Why Are U.S. Stocks More Volatile?," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1329-1370, August, DOI: j.1540-6261.2012.01749.x.
• Clemens Sialm & Laura Starks, 2012, "Mutual Fund Tax Clienteles," Journal of Finance, American Finance Association, volume 67, issue 4, pages 1397-1422, August, DOI: j.1540-6261.2012.01751.x.
• Bernard Dumas & Andrew Lyasoff, 2012, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, volume 67, issue 5, pages 1897-1941, October, DOI: j.1540-6261.2012.01775.x.
• Ippei Fujiwara & Koji Takahashi, 2012, "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, volume 17, issue 1, pages 136-159, February, DOI: j.1468-0106.2011.00575.x.
• Jens Boysen-Hogrefe, 2012, "Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 13, issue , pages 81-91, May, DOI: j.1468-2516.2012.00390.x.
• Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012, "Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed," Real Estate Economics, American Real Estate and Urban Economics Association, volume 40, issue 1, pages 131-166, March, DOI: j.1540-6229.2011.00307.x.
• Alessio Anzuini & Fabio Fornari, 2012, "Macroeconomic Determinants of Carry Trade Activity," Review of International Economics, Wiley Blackwell, volume 20, issue 3, pages 468-488, August, DOI: j.1467-9396.2012.01034.x.
• Peter Aling & Shakill Hassan, 2012, "No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates," South African Journal of Economics, Economic Society of South Africa, volume 80, issue 3, pages 301-318, September, DOI: j.1813-6982.2011.01311.x.
• Neville Zivanayi Mandimika & Zivanemoyo Chinzara, 2012, "Risk–Return Trade-Off And Behaviour Of Volatility On The South African Stock Market: Evidence From Both Aggregate And Disaggregate Data," South African Journal of Economics, Economic Society of South Africa, volume 80, issue 3, pages 345-366, September, DOI: j.1813-6982.2012.01328.x.
• ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan, 2012, "Market Correlation, Market Returns And Portfolio Implication," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 0, issue 1, pages 3-8.
• M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012, "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 12010, Aug.
• Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012, "Measuring sovereign contagion in Europe," Working Paper, Norges Bank, number 2012/05, Apr.
• Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2012, "House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy," Working Paper, Norges Bank, number 2012/08, Aug.
• Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012, "Measuring Sovereign Contagion in Europe," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 4/2012, Dec.
• Rupert de Vincent-Humphreys & Joseph Noss, 2012, "Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions," Bank of England Staff Working Paper series, Bank of England, number 455, Jun.
• Martin Daines & Michael Joyce & Matthew Tong, 2012, "QE and the gilt market: a disaggregated analysis," Bank of England Staff Working Paper series, Bank of England, number 466, Oct.
• Petros M. Migiakis, 2012, "Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective," Economic Bulletin, Bank of Greece, issue 37, pages 43-54, December.
• Dimitris A. Georgoutsos & Petros Migiakis, 2012, "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Working Papers, Bank of Greece, number 143, Jun.
• Polina Dovman & Sigal Ribon & Yossi Yakhin, 2012, "The Housing market in Israel 2008-2010: Are house prices a "bubble"?," Israel Economic Review, Bank of Israel, volume 10, issue 1, pages 1-38.
• Shun Kobayashi, 2012, "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series, Bank of Japan, number 12-E-13, Dec.
• Kyu Ho Kang, 2012, "Structural Break in the Term Structure of the Korean Government Bond Yields (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 18, issue 2, pages 29-52, June.
• R. Cesari & M. Marzo & P. Zagaglia, 2012, "Effective Trade Execution," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp836, Jun.
• Bekir Elmas, 2012, "Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 49, pages 39-58.
• Jianjun Miao & Bin Wei & Hao Zhou, 2012, "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2012-009, Jan.
• Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012, "Inflation Derivatives Under Inflation Target Regimes," Working Papers, Brandeis University, Department of Economics and International Business School, number 43, Apr.
• Michael King & Carol Osler & Dagfinn Rime, 2012, "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers, Brandeis University, Department of Economics and International Business School, number 54, Oct.
• Juliano Ribeiro de Almeida & Guilherme Ribeiro de Almeida, 2012, "Measuring the Spread Components of Oil and Gas Companies from CDS," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 1, pages 71-104.
• Pradosh Simlai, 2012, "Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 291-315.
• Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012, "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 3, pages 317-335.
• Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012, "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 4, pages 425-460.
• Chongyang Chen & Zhonglan Dai & Douglas A. Shackelford & Harold H. Zhang, 2012, "Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?," Working Papers, Oxford University Centre for Business Taxation, number 1202.
• Salem Boubakri, 2012, "The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 55, issue 1, pages 33-73.
• David Le Bris, 2012, "La volatilité des actions françaises sur le long terme," Revue économique, Presses de Sciences-Po, volume 63, issue 3, pages 569-580.
• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 37-48.
• Philippe Danjou, 2012, "Normes comptables et création de valeur," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 205-226.
• A. Kanakaraj & B. Karan Singh, 2012, "Les liens entre la rentabilité des actions et les fondamentaux macroéconomiques en Inde," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 181-198.
• Pesaran, M. H. & Yamagata, T., 2012, "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1210, Feb.
• Kennedy, Gerard & McIndoe-Calder, Tara, 2012, "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Quarterly Bulletin Articles, Central Bank of Ireland, pages 85-108, February.
• Joy, Mark, 2012, "Sovereign default and macroeconomic tipping points," Research Technical Papers, Central Bank of Ireland, number 10/RT/12, Sep.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/10, Apr.
• Doriana Ruffino, 2012, "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 252.
• Philippe Bergevin & William B.P. Robson, 2012, "More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 363, September.
• Alon Brav & Wei Jiang & Hyunseob Kim, 2012, "The Real Effects of Hedge Fund Activism: Productivity, Risk, and Product Market Competition," Working Papers, Center for Economic Studies, U.S. Census Bureau, number 12-14, Jul.
• Bianca De Paoli & Pawel Zabczyk, 2012, "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1132, Mar.
• Bianca De Paoli & Pawel Zabczyk, 2012, "Policy Design in a Model with Swings in Risk Appetite," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1170, Oct.
• Christian A. L. Hilber & Wouter Vermeulen, 2012, "The Impact of Supply Constraints on House Prices in England," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0119, Sep.
• Muhammad Omer & Jakob de Haan & Bert Scholtens & Jakob de Haan, 2012, "Testing Uncovered Interest Rate Parity Using LIBOR," CESifo Working Paper Series, CESifo, number 3839.
• Sven Steinkamp & Frank Westermann, 2012, "On Creditor Seniority and Sovereign Bond Prices in Europe," CESifo Working Paper Series, CESifo, number 3944.
• Burkhard Heer & Torben Klarl & Alfred Maussner, 2012, "Asset Pricing Implications of a New Keynesian Model: A Note," CESifo Working Paper Series, CESifo, number 4041.
• Christian Gollier, 2012, "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," CESifo Working Paper Series, CESifo, number 4052.
• Victor Augusto Mendes dos Santos, 2012, "The investor in warrants," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2012_19.
• Jiro Yoshida, 2008, "Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-119, Jan.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-189, Oct.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-201, Jan.
• Stanislav Khrapov, 2012, "Risk Premia: Short and Long-term," Working Papers, Center for Economic and Financial Research (CEFIR), number w0169, Jan.
• Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
• Glenn Pfeiffer & Timothy Shields, 2012, "Performance-Based Compensation and Firm Value: Experimental evidence," Working Papers, Chapman University, Economic Science Institute, number 12-17.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2012, "A Theory of Asset Prices Based on Heterogeneous Information," Levine's Working Paper Archive, David K. Levine, number 786969000000000347, Jan.
• Jan Frait & Zlatuse Komarkova, 2012, "Macroprudential Policy and Its Instruments in a Small EU Economy," Research and Policy Notes, Czech National Bank, Research and Statistics Department, number 2012/03, Dec.
• Peter Claeys & Borek Vasicek, 2012, "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers, Czech National Bank, Research and Statistics Department, number 2012/07, Sep.
• Jos� Eduardo G�mez-Gonz�lez & Elioth Mirsha Sanabria-Buenaventura, 2012, "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia, Banco de la Republica, number 9384, Mar.
• Edgar Caicedo Garc�a & Evelyn Tique Calder�n, 2012, "La nueva f�rmula de la gasolina y su potencial impacto inflacionario en Colombia," Borradores de Economia, Banco de la Republica, number 9392, Mar.
• Ligia Alba Melo B & Carlos Andr�s Ballesteros R, 2012, "Creaci�n, destrucci�n y reasignaci�n del empleo en el sector manufacturero colombiano," Borradores de Economia, Banco de la Republica, number 9407, Mar.
• Carlos Le�n & Karen Leiton & Alejandro Reveiz, 2012, "Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence," Borradores de Economia, Banco de la Republica, number 9909, Aug.
• Werner Kristjanpoller Rodriguez & Víctor Caballero Ugarte, 2012, "Volumen y asimetría en los principales mercados accionarios latinoamericanos," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Andrés Ramírez Hassan & Maribel Serna Rodriguez, 2012, "Validación empírica del modelo CAPM para Colombia 2003-2010," Revista Ecos de Economía, Universidad EAFIT.
• Jhon Jair González Pulgarín & Juan Pablo Henao Guzmán, 2012, "Una nueva forma de concentración de la tierra en Colombia:la ley 1448 de 2011," Revista Ecos de Economía, Universidad EAFIT.
• Jose Julián Cao Alvira & Lorena Andrea Palacios Chacón, 2012, "Evidencia empírica de la curva S en las balanzas comerciales bilaterales de Colombia," Revista Ecos de Economía, Universidad EAFIT.
• Ignacio Velez Pareja & Joseph Tham, 2012, "Una Introducci√≥n Al Costo De Capital," Proyecciones Financieras y Valoración, Master Consultores, number 9307, Feb.
• Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini, 2012, "Interval and fuzzy Average Internal Rate of Return for investment appraisal," Proyecciones Financieras y Valoración, Master Consultores, number 9641, Jun.
• Carlo Alberto Magni, 2012, "The AIRR Approach for Investment Performance Measurement," Proyecciones Financieras y Valoración, Master Consultores, number 9652, Jun.
• Carlo Alberto Magni, 2012, "The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration," Proyecciones Financieras y Valoración, Master Consultores, number 10084, Nov.
• Felipe Mejia-Pelaez, James W. Kolari Ignacio Velez-Pareja & Felipe Mejia-Pelaez & James W. Kolari, 2012, "Blind Man's Buff: On the Search of the Optimal Capital Structure," Proyecciones Financieras y Valoración, Master Consultores, number 10722, Aug.
• Pedro Fabi√°n Castilla √Åvila Ignacio Velez-Pareja & Pedro F. Castilla, 2012, "Optimal Portfolio Selection: A Note with a VBA Solution," Proyecciones Financieras y Valoración, Master Consultores, number 10723, Oct.
• Yessica González Londono & Mauricio Zuluaga Carmona & Cecilia Maya Ochoa, 2012, "Enfoque de opciones reales para la valoración financiera de marcas," Revista Ad-Minister, Universidad EAFIT.
• John Jairo Forero Romero & Carlos Alberto Orozco Hurtado, 2012, "Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia," Revista Ad-Minister, Universidad EAFIT.
• Wouter Vermeulen & Christian A.L. Hilber, 2012, "The Impact of Supply Constraints on House Prices in England," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 219, Oct.
• Marjon Ruijter & Kees Oosterlee, 2012, "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 225, Nov.
• Gelain, Paolo & Lansing, Kevin J. & Mendicino, Caterina, 2012, "House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy," Dynare Working Papers, CEPREMAP, number 21, Dec.
• 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.