Research classified by Journal of Economic Literature (JEL) codes

2012

• 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.
• 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.
• 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., undated, "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.