Research classified by Journal of Economic Literature (JEL) codes

2011

• Paul Beaumont & Yaniv Jerassy-Etzion, 2011, "Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method," Working Papers, Department of Economics, Florida State University, number wp2011_08_03, Aug.
• Brotons, José M. & Terceño, Antonio, 2011, "Return risk map in a fuzzy environment," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 33-57, November.
• Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011, "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers, Business School - Economics, University of Glasgow, number 2011_16, Jun.
• Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2011, "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre, number 7275, Nov.
• Guidi, Francesco & Gupta, Rakesh, 2011, "Are ASEAN stock markets efficients? Evidence from univariate and multivariate variance ratio tests," Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre, number 7278.
• Jason West, 2011, "Policies Convertible Bonds and Stock Liquidity," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201103, Mar.
• Francesco Guidi & Rakesh Gupta, 2011, "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201113.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00755499, DOI: 10.3917/reco.623.0441.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00565229, Jan.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016, "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00594096, Apr.
• Hervé Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00578320, Feb.
• Thierry Foucault & David Sraer & David Thesmar, 2011, "Individual Investors and Volatility," Post-Print, HAL, number hal-00630297, Aug, DOI: 10.1111/j.1540-6261.2011.01668.x.
• Christophe Spaenjers & Luc Renneboog, 2011, "The Dutch Grey Market," Post-Print, HAL, number hal-00630379, Mar, DOI: 10.1007/s10645-010-9154-1.
• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "An Explanation of the Nature of Internally Generated Goodwill based on Aggregation of Interacting Assets," Post-Print, HAL, number hal-00679995, May.
• Jean-François Casta & Luc Paugam & Nicole Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00679996, May.
• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00679997, May.
• Bernd Hayo & David Buettner, 2011, "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," Post-Print, HAL, number hal-00716632, Jul, DOI: 10.1080/00036846.2011.587775.
• Olaf Posch, 2011, "Risk premia in general equilibrium," Post-Print, HAL, number hal-00851860, Aug, DOI: 10.1016/j.jedc.2010.12.017.
• Jean Cordier & Alexandre Gohin, 2011, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Post-Print, HAL, number hal-01462701, Dec.
• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "Non-additivity in accounting valuation: Internally generated goodwill as an aggregation of interacting assets," Post-Print, HAL, number halshs-00541525, Apr.
• Isabelle Huault & Hélène Rainelli-Weiss, 2011, "A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration," Post-Print, HAL, number halshs-00637068, DOI: 10.1177/0170840611421251.
• Edouard Challe & Xavier Ragot, 2011, "Bubbles and Self-Fulfilling Crises," Post-Print, HAL, number halshs-00654655, May, DOI: 10.2202/1935-1690.2064.
• Edouard Challe & Xavier Ragot, 2011, "Bubbles and Self-Fulfilling Crises," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00654655, May, DOI: 10.2202/1935-1690.2064.
• Thierry Foucault & Giovanni Cespa, 2011, "Insiders-Outsiders, Transparency and the Value of the Ticker," Working Papers, HAL, number hal-00580153, Mar.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011, "Multifrequency News and Stock Returns," Working Papers, HAL, number hal-00591678, May.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011, "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers, HAL, number hal-04140988.
• Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011, "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-468, Mar.
• Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011, "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-469, Mar.
• Jakub W. Jurek & Erik Stafford, 2011, "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers, Harvard Business School, number 12-013, Aug.
• Flåm, Sjur Didrik, 2011, "Pooling, Pricing and Trading of Risks," Working Papers in Economics, University of Bergen, Department of Economics, number 09/06, Apr.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Lundtofte, Frederik & Wilhelmsson, Anders, 2011, "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers, Lund University, Department of Economics, number 2011:33, Sep.
• Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
• Bienz, Carsten & Faure-Grimaud, Antoine & Fluck, Zsuzsanna, 2011, "The Defeasance of Control Rights," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/1, Jan.
• Mjøs, Aksel & Myklebust, Tor Åge & Persson, Svein-Arne, 2011, "On the Pricing of Performance Sensitive Debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/5, Mar, revised 07 May 2012.
• Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011, "Risk Aversion in the Large and in the Small," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/12, Jun.
• Bjuggren, Per-Olof & Eklund, Johan E, 2011, "The Cost of Insecure Property Rights: R2 Revisited," Ratio Working Papers, The Ratio Institute, number 174, Sep.
• Hellström, Jörgen & Lönnbark, Carl, 2011, "Identification of jumps in financial price series," Umeå Economic Studies, Umeå University, Department of Economics, number 827, May.
• Suzuki, Masataka, 2011, "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 1, pages 41-54, June, DOI: 10.15057/19220.
• Yu-chin Chen & Kwok Ping Tsang, 2011, "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, Hong Kong Institute for Monetary Research, number 012011, Jan.
• Song Han & Hao Zhou, 2011, "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers, Hong Kong Institute for Monetary Research, number 022011, Jan.
• Song Han & Dan Li, 2011, "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers, Hong Kong Institute for Monetary Research, number 052011, Feb.
• Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2011, "Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan," Working Papers, Hong Kong Institute for Monetary Research, number 112011, Apr.
• Charles Engel, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers, Hong Kong Institute for Monetary Research, number 272011, Sep.
• Bruno Viani, 2011, "Can Governments signal commitment in privatization sales?," Hacienda Pública Española / Review of Public Economics, IEF, volume 197, issue 2, pages 87-110, June.
• Fuster, Andreas & Herbert, Benjamin & Laibson, David I., 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," Scholarly Articles, Harvard University Department of Economics, number 10140029.
• Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011, "Forced Sales and House Prices," Scholarly Articles, Harvard University Department of Economics, number 9887623.
• Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles, Harvard Kennedy School of Government, number 5027955.
• Avery, Christopher N. & Chevalier, Judith & Zeckhauser, Richard Jay, 2011, "The "CAPS" Prediction System and Stock Market Returns," Scholarly Articles, Harvard Kennedy School of Government, number 5098427.
• De Moor, Lieven & Sercu, Piet, 2011, "The smallest stocks are not just smaller: US and international evidence," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2011/28, Sep.
• Luciana Spica Almilia, 2011, "Value Relevance Of Accounting Information Using An Error Correction Model," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 119-131.
• Mishari M. Alfaraih & Faisal S. Alanezi, 2011, "Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 65-84.
• Mu-Shun Wang & Shaio Yan Huang & An An Chiu, 2011, "Liquidity, Management Effort And Performance," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 1-14.
• Ling T. He & K. Michael Casey, 2011, "On The Pricing Of Dual Class Stocks: Evidence From Berkshire Hathaway," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 103-112.
• Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung, 2011, "Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 115-125.
• Shih-Ping Feng, 2011, "The Liquidity Effect In Option Pricing: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 35-43.
• Sandip Mukherji, 2011, "The Capital Asset Pricing Model’S Risk-Free Rate," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 75-83.
• Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen, 2011, "The Valuation Of Reset Options When Underlying Assets Are Autocorrelated," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 95-114.
• Praveen Kumar Das & S P Uma Rao, 2011, "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 1-15.
• Po-Cheng Wu, 2011, "Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 115-128.
• Stoyu I. Ivanov & Jeff Whitworth & Yi Zhang, 2011, "The Implied Volatility Of Etf And Index Options," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 35-44.
• Márcio Laurini & Luiz Koodi Hotta, 2011, "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2011-01, Mar.
• Márcio Laurini, 2011, "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2011-02, Apr.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 628, Feb.
• Jón Daníelsson & Francisco Peñaranda, 2011, "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 3, pages 621-638, August, DOI: j.1468-2354.2011.00642.x.
• Giovanni W. Puopolo, 2011, "Firm Migration and Stock Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 394.
• Engel, Charles, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series, Institute for Advanced Studies, number 265, Apr.
• Ali F. Darrat & Bin Li & Omar Benkato, 2011, "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 1, pages 27-43, April.
• Eloisa T. Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2011, "Determinants of House Prices in Nine Asia-Pacific Economies," International Journal of Central Banking, International Journal of Central Banking, volume 7, issue 3, pages 163-204, September.
• William R. Parke & George A. Waters, 2011, "On the Evolutionary Stability of Rational Expectations," Working Paper Series, Illinois State University, Department of Economics, number 20111002, Oct.
• George A. Waters, 2011, "Endogenous Rational Bubbles," Working Paper Series, Illinois State University, Department of Economics, number 20111003, Oct.
• Sevinc Cukurova & Jose M. Marin, 2011, "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2011-04, Jan.
• Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Stijn Claessens, 2011, "Financial Cycles: What? How? When?," IMF Working Papers, International Monetary Fund, number 2011/076, Apr.
• Samuel Mongrut & Darcy Fuenzalida & Juan Diego Carrillo & Luis Alberto Gamero, 2011, "Integración Financiera y Costo de Capital Propio en Latinoamérica," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 6, issue 1, pages 103-124, Julio-Dic.
• Rohini Grover & Susan Thomas, 2011, "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-006, Mar.
• Nidhi Aggarwal & Susan Thomas, 2011, "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-016, Aug.
• Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter, 2011, "Monetary policy and its impact on stock market liquidity: Evidence from the euro zone," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-06, Feb.
• Matthias Bank & Alexander Kupfer & Rupert Sendlhofer, 2011, "Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-24, Oct.
• Jaime Casassus & Peng Liu & Ke Tang, 2011, "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 404.
• Jaime Casassus & Freddy Higuera, 2011, "Stock Return Predictability and Oil Prices," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 406.
• Bushnell, James, 2011, "Adverse Selection and Emissions Offsets," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32736, Apr.
• Qiang Gong & Ming Liu & Qianqiu Liu, 2011, "Is Momentum Really Momentum? International Evidence," Working Papers, Research Institute, International University of Japan, number EMS_2011_22, Oct.
• Cheung, Stephen L. & Coleman, Andrew, 2011, "League-Table Incentives and Price Bubbles in Experimental Asset Markets," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5704, May.
• Lin, Carl, 2011, "Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5754, May.
• Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6060, Oct.
• Simone Alfarano & Thomas Lux, 2011, "Extreme value theory as a theoretical background for power law behavior," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2011/02.
• M. Vittoria Levati & Jianying Qiu & Prashanth Mahagaonkar, 2011, "Testing the Modigliani-Miller theorem directly in the lab," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2011-021, Apr.
• Jinho Bae, 2011, "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, volume 7, issue 1, pages 83-94, February, DOI: 10.1007/s10436-010-0158-2.
• Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011, "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, volume 7, issue 2, pages 199-219, May, DOI: 10.1007/s10436-011-0176-8.
• Laurence Carassus & Miklós Rásonyi, 2011, "Risk-averse asymptotics for reservation prices," Annals of Finance, Springer, volume 7, issue 3, pages 375-387, August, DOI: 10.1007/s10436-010-0167-1.
• James Koch & Robert Fenili & Richard Cebula, 2011, "Do Investors Care if Steve Jobs is Healthy?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 39, issue 1, pages 59-70, March, DOI: 10.1007/s11293-010-9261-z.
• Wen-Chung Guo & Sy-Ming Guu & Ting-Yun Chang, 2011, "Equilibrium Information Acquisition, Prediction Abilities and Asset Prices," Computational Economics, Springer;Society for Computational Economics, volume 37, issue 1, pages 89-111, January, DOI: 10.1007/s10614-010-9239-6.
• Luc Renneboog & Christophe Spaenjers, 2011, "The Dutch Grey Market," De Economist, Springer, volume 159, issue 1, pages 25-40, March, DOI: 10.1007/s10645-010-9154-1.
• Robin Grieves & Steven Mann, 2011, "The search for relative value in bonds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 1, pages 95-106, March, DOI: 10.1007/s11408-010-0150-x.
• Matthias Bank & Martin Larch & Georg Peter, 2011, "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 3, pages 239-264, September, DOI: 10.1007/s11408-011-0165-y.
• Andy Fodor & Kevin Krieger & James Doran, 2011, "Do option open-interest changes foreshadow future equity returns?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 3, pages 265-280, September, DOI: 10.1007/s11408-011-0164-z.
• Hans-Peter Burghof & Felix Prothmann, 2011, "The 52-week high strategy and information uncertainty," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 4, pages 345-378, December, DOI: 10.1007/s11408-011-0161-2.
• Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011, "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 17, issue 3, pages 258-273, August, DOI: 10.1007/s11294-011-9311-6.
• Arthur Hau, 2011, "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, volume 39, issue 1, pages 71-94, April, DOI: 10.1007/s10693-010-0083-6.
• Deming Wu & Jiawen Yang & Han Hong, 2011, "Securitization and Banks’ Equity Risk," Journal of Financial Services Research, Springer;Western Finance Association, volume 39, issue 3, pages 95-117, June, DOI: 10.1007/s10693-010-0092-5.
• Susanne Cannon & Rebel Cole, 2011, "Changes in REIT Liquidity 1988–2007: Evidence from Daily Data," The Journal of Real Estate Finance and Economics, Springer, volume 43, issue 1, pages 258-280, July, DOI: 10.1007/s11146-010-9270-3.
• Richard Chung & Scott Fung & James Shilling & Tammie Simmons-Mosley, 2011, "What Determines Stock Price Synchronicity in REITs?," The Journal of Real Estate Finance and Economics, Springer, volume 43, issue 1, pages 73-98, July, DOI: 10.1007/s11146-010-9254-3.
• Soyoung Kim & Doo Yang, 2011, "The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?," Open Economies Review, Springer, volume 22, issue 2, pages 293-315, April, DOI: 10.1007/s11079-009-9124-x.
• Pauline Ahern & Frank Hanley & Richard Michelfelder, 2011, "New approach to estimating the cost of common equity capital for public utilities," Journal of Regulatory Economics, Springer, volume 40, issue 3, pages 261-278, December, DOI: 10.1007/s11149-011-9160-5.
• Massimo Costabile & Ivar Massabó & Emilio Russo, 2011, "A binomial approximation for two-state Markovian HJM models," Review of Derivatives Research, Springer, volume 14, issue 1, pages 37-65, April, DOI: 10.1007/s11147-010-9053-2.
• I.-Doun Kuo, 2011, "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 1, pages 83-104, January, DOI: 10.1007/s11156-010-0172-5.
• Ronald Bremer & Bonnie Buchanan & Philip English, 2011, "The advantages of using quarterly returns for long-term event studies," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 4, pages 491-516, May, DOI: 10.1007/s11156-010-0191-2.
• Chia-Chi Lu & Weifeng Hung & Jyh-Jian Sheu & Pai-Ta Shih, 2011, "Investment with network externality under uncertainty," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 4, pages 555-564, May, DOI: 10.1007/s11156-010-0189-9.
• John Geppert & Stoyu Ivanov & Gordon Karels, 2011, "An analysis of the importance of S&P 500 discretionary constituent changes," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 1, pages 21-34, July, DOI: 10.1007/s11156-010-0193-0.
• Vivek Sharma, 2011, "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 3, pages 283-299, October, DOI: 10.1007/s11156-010-0205-0.
• Yangru Wu, 2011, "Momentum trading, mean reversal and overreaction in Chinese stock market," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 3, pages 301-323, October, DOI: 10.1007/s11156-010-0206-z.
• Elyas Elyasiani & Jingyi Jia, 2011, "Performance persistence of closed-end funds," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 3, pages 381-408, October, DOI: 10.1007/s11156-010-0209-9.
• Miriam Bruhn & Inessa Love, 2011, "Gender differences in the impact of banking services: evidence from Mexico," Small Business Economics, Springer, volume 37, issue 4, pages 493-512, November, DOI: 10.1007/s11187-011-9377-9.
• Daehwan Kim & Jin-Yeong Kim, 2011, "Valuing Income-Contingent Loans as Path-Dependent Options," Korean Economic Review, Korean Economic Association, volume 27, pages 273-291.
• Ferdinand Graf, 2011, "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-18, May.
• Günter Franke & Thomas Weber, 2011, "Tranching and Pricing in CDO-Transactions," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-21, Feb.
• Ormos, Mihály & Erdős, Péter, 2011, "Borok mint alternatív befektetési lehetőségek
  [Wines as an alternative investment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 158-172.
• Badics, Tamás, 2011, "Az arbitrázs preferenciákkal történő karakterizációjáról
  [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 727-742.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011, "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers, Kyoto University, Institute of Economic Research, number 755, Jan.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 772, Apr.
• Werner Kristjanpoller & Mauricio Morales, 2011, "Arbitrage Pricing Theory Applied to the Chilean Stock Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 74, pages 37-59.
• Jorge Uribe, 2011, "Financial Contagion: A Methodology for its Evaluation using Asymptotic Dependence Coefficients," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 75, pages 29-57.
• Charle Londoño & Yaneth Cuan, 2011, "Asset Pricing Models: A Comparative Exercise Using Neural Networks to the Colombian Stock Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 75, pages 59-87.
• Heather D. Gibson & Stephan G. Hall & George S. Tavlas, 2011, "The Greek financial crisis: growing imbalances and sovereign spreads," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/25, Mar.
• Michael Hudson, 2011, "Trade and Payments Theory in a Financialized Economy," Economics Working Paper Archive, Levy Economics Institute, number wp_699, Dec.
• Shigeki Ono, 2011, "Oil Price Shocks and Stock Markets in BRICs," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 8, issue 1, pages 29-45, June.
• Idrees Khawaja, 2011, "Interest Margins and Banks’ Asset-Liability Composition," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 16, issue Special E, pages 255-270, September.
• Kajuth, Florian & Watzka, Sebastian, 2011, "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Munich Reprints in Economics, University of Munich, Department of Economics, number 19535.
• Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011, "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 59, pages 177-190, August.
• Kiki Verico, 2011, "The Impact of Direct Bilateral Free Trade Agreement (BFTA) to ASEAN’s Intra-Regional Trade & Individual Country’s Investment Creation : The Case of Indonesia, Malaysia & Thailand 1988-2008," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 59, pages 191-214, August.
• Patrice Pieretti & Jacques-François Thisse & Skerdilajda Zanaj, 2011, "Tax havens or safe havens," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-10.
• Sascha F llbrunn & Ernan Haruvy, 2011, "The Takeover Game," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-5.
• Jos van Bommel, 2011, "Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-7.
• Jos van Bommel & Peter Hoffmann, 2011, "Transparency and Ending Times of Call Auctions: A Comparison of Euronext and Xetra," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-9.
• Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011, "Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 110005, Mar.
• Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler, 2011, "Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201130.
• Thomas Flavin & Gerald P. Dwyer & Mardi Dungey, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n219-11.
• Magdalena Morgese Borys & Petr ZemÄÂik, 2011, "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 47, issue 3, pages 50-68, May.
• Dimitrios D. Thomakos & Michail S. Koubouros, 2011, "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, volume 15, issue 1-2, pages 87-124, March - J.
• Chris Edmond & Pierre-Olivier Weill, 2011, "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series, The University of Melbourne, number 1117.
• Jakob B Madsen, 2011, "A q Model of House Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 03-11, Jun.
• Jakob B Madsen, 2011, "A Repayment Model of House Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 09-11, Jun.
• Carsten Burhop & Sergey Gelman, 2011, "Liquidity measures, liquidity drivers and expected returns on an early call auction market," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2011_19, Jul.
• Orhan Erdem & Elvan Ceyhan & Yusuf Varlı, 2011, "A New Correlation Coefficient for Bivariate Time-Series Data," Working Papers, Murat Sertel Center for Advanced Economic Studies, Istanbul Bilgi University, number 201101, Apr.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11003, Jan.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032, May.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032r, May, revised Aug 2012.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032rr, May, revised Jan 2015.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032rrr, May, revised Apr 2016.
• Yin Liao & Heather M. Anderson, 2011, "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/11, Aug.
• Fabrizio Palmucci, 2011, "IPO underpricing: the price of liquidity," Banca Impresa Società, Società editrice il Mulino, issue 2, pages 237-260.
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011, "Central bank communication on financial stability," NBP Working Papers, Narodowy Bank Polski, number 93.
• Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Two Monetary Tools: Interest Rates and Haircuts," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2010, volume 25".
• Andreas Fuster & Benjamin Hebert & David Laibson, 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2011, Volume 26".
• Harrison Hong & Motohiro Yogo, 2011, "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16712, Jan.
• Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2011, "Differences of Opinion and International Equity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16726, Jan.
• Hans B. Christensen & Luzi Hail & Christian Leuz, 2011, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," NBER Working Papers, National Bureau of Economic Research, Inc, number 16737, Jan.
• Laura Xiaolei Liu & Lu Zhang, 2011, "A Model of Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 16747, Jan.
• Alexander David & Pietro Veronesi, 2011, "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 16764, Feb.
• Ravi Jagannathan & Iwan Meier & Vefa Tarhan, 2011, "The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 16770, Feb.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 16777, Feb.
• Patrick Bayer & Christopher Geissler & Kyle Mangum & James W. Roberts, 2011, "Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 16784, Feb.
• Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011, "Hedge Fund Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 16801, Feb.
• Patrick Bolton & Hui Chen & Neng Wang, 2011, "Market Timing, Investment, and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 16808, Feb.
• Sydney C. Ludvigson, 2011, "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 16810, Feb.
• Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16875, Mar.
• Ian Martin, 2011, "Simple Variance Swaps," NBER Working Papers, National Bureau of Economic Research, Inc, number 16884, Mar.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 16892, Mar.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011, "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 16898, Mar.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16903, Mar.
• Hui Chen & Scott Joslin, 2011, "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 16906, Mar.
• James D. Hamilton & Jing Cynthia Wu, 2011, "Testable Implications of Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 16931, Apr.
• Anthony W. Lynch & Oliver Randall, 2011, "Why Surplus Consumption in the Habit Model May be Less Persistent than You Think," NBER Working Papers, National Bureau of Economic Research, Inc, number 16950, Apr.
• James D. Hamilton & Jing Cynthia Wu, 2011, "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers, National Bureau of Economic Research, Inc, number 16956, Apr.
• G. William Schwert, 2011, "Stock Volatility During the Recent Financial Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16976, Apr.
• Andrew Ang & Francis A. Longstaff, 2011, "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 16982, Apr.
• Martin Lettau & Sydney C. Ludvigson, 2011, "Shocks and Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 16996, Apr.
• Corbett A. Grainger & Christopher Costello, 2011, "The Value of Secure Property Rights: Evidence from Global Fisheries," NBER Working Papers, National Bureau of Economic Research, Inc, number 17019, May.
• Simon Gilchrist & Egon Zakrajšek, 2011, "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 17021, May.
• Francois Gourio, 2011, "Credit Risk and Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 17026, May.
• Charles Engel, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 17116, Jun.
• Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011, "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 17130, Jun.
• Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers, National Bureau of Economic Research, Inc, number 17149, Jun.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 17152, Jun.
• Chongyang Chen & Zhonglan Dai & Douglas Shackelford & Harold Zhang, 2011, "Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?," NBER Working Papers, National Bureau of Economic Research, Inc, number 17169, Jun.
• Andrew Ang & Allan Timmermann, 2011, "Regime Changes and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17182, Jun.
• Robin Greenwood & Samuel G. Hanson, 2011, "Issuer Quality and the Credit Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 17197, Jul.
• Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers, National Bureau of Economic Research, Inc, number 17199, Jul.
• David Backus & Mikhail Chernov & Stanley E. Zin, 2011, "Sources of Entropy in Representative Agent Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17219, Jul.