Research classified by Journal of Economic Literature (JEL) codes

2011

• Cespa, Giovanni & Vives, Xavier, 2011, "Higher order expectations, illiquidity, and short-term trading," IESE Research Papers, IESE Business School, number D/915, Jul.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "US market risk premium used in 2011 by professors, analysts and companies: A survey with 5.731 answers," IESE Research Papers, IESE Business School, number D/918, May.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "Market risk premium used in 56 countries in 2011: A survey with 6,014 answers," IESE Research Papers, IESE Business School, number D/920, May.
• Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011, "Prima de riesgo del mercado utilizada para España: Encuesta 2011," IESE Research Papers, IESE Business School, number D/921, May.
• Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp11-026, Jul.
• Avery, Christopher & Chevalier, Judith & Zeckhauser, Richard J., 2011, "The "CAPS" Prediction System and Stock Market Returns," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp11-028, Jul.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011, "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-11, Jun.
• Ben-David, Itzhak & Hirshleifer, David, 2011, "Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-13, Jun.
• Lin, Xiaoji & Zhang, Lu, 2011, "Covariances versus Characteristics in General Equilibrium," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-15, Jul.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-5, Feb.
• Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2011, "Why Are U.S. Stocks More Volatile?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-6, Feb.
• Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu, 2011, "An Equilibrium Asset Pricing Model with Labor Market Search," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-01, Dec.
• Gale, Douglas & Yorulmazer, Tanju, 2011, "Liquidity Hoarding," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-33, Mar.
• Edmans, Alex & Fang, Vivian W. & Zur, Emanuel, 2011, "The Effect of Liquidity on Governance," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-60, Nov.
• P. Gagliardini & C. Gourieroux & E. Renault, 2011, "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, volume 79, issue 4, pages 1181-1232, July.
• Robert J. Barro & Tao Jin, 2011, "On the Size Distribution of Macroeconomic Disasters," Econometrica, Econometric Society, volume 79, issue 5, pages 1567-1589, September, DOI: ECTA8827.
• Tim Bollerslev & Viktor Todorov, 2011, "Estimation of Jump Tails," Econometrica, Econometric Society, volume 79, issue 6, pages 1727-1783, November, DOI: ECTA9240.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Quantitative Economics, Econometric Society, volume 2, issue 1, pages 1-36, March.
• Peter C. B. Phillips & Jun Yu, 2011, "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, volume 2, issue 3, pages 455-491, November, DOI: QE82.
• Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011, "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, Econjournals, volume 1, issue 4, pages 153-162.
• Arghyrou, Michael G. & Kontonikas, Alexandros, 2011, "The EMU sovereign-debt crisis: fundamentals, expectations and contagion," SIRE Focus Papers, Scottish Institute for Research in Economics (SIRE), number 2011-01.
• Dooruj Rambaccussing, 2011, "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1113, May.
• De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif, 2011, "Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?," Journal of Corporate Finance, Elsevier, volume 17, issue 5, pages 1558-1579, DOI: 10.1016/j.jcorpfin.2011.08.002.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2011, "On the ingredients for bubble formation: Informed traders and communication," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1831-1851, DOI: 10.1016/j.jedc.2011.05.009.
• Kraft, Holger & Kühn, Christoph, 2011, "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1898-1915, DOI: 10.1016/j.jedc.2011.06.001.
• Yamamoto, Ryuichi, 2011, "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1938-1963, DOI: 10.1016/j.jedc.2011.06.009.
• Shaliastovich, Ivan & Tauchen, George, 2011, "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 6, pages 843-858, June.
• Posch, Olaf, 2011, "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 9, pages 1557-1576, September.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 272-280, January.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 710-727, January.
• Stein, Jerome L., 2011, "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, volume 28, issue 1, pages 272-280, DOI: 10.1016/j.econmod.2010.09.002.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1, pages 710-727, DOI: 10.1016/j.econmod.2010.05.008.
• Reschreiter, Andreas, 2011, "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, volume 28, issue 1, pages 754-759, DOI: 10.1016/j.econmod.2010.04.009.
• Chevallier, Julien, 2011, "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, volume 28, issue 6, pages 2634-2656, DOI: 10.1016/j.econmod.2011.08.003.
• Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011, "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, volume 77, issue 2, pages 124-146, February.
• Liu, Shinhua, 2011, "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 152-165, DOI: 10.1016/j.jeconbus.2010.09.001.
• Balli, Faruk & Balli, Hatice O., 2011, "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 89-106, DOI: 10.1016/j.jeconbus.2010.11.001.
• Michelfelder, Richard A. & Pilotte, Eugene A., 2011, "Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing," Journal of Economics and Business, Elsevier, volume 63, issue 6, pages 582-604, DOI: 10.1016/j.jeconbus.2011.06.001.
• Liu, Shinhua, 2011, "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 152-165, March.
• Balli, Faruk & Balli, Hatice O., 2011, "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 89-106, March.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011, "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, volume 146, issue 1, pages 346-358, January.
• Adam, Klaus & Marcet, Albert, 2011, "Internal rationality, imperfect market knowledge and asset prices," Journal of Economic Theory, Elsevier, volume 146, issue 3, pages 1224-1252, May.
• Huggett, Mark & Kaplan, Greg, 2011, "Human capital values and returns: Bounds implied by earnings and asset returns data," Journal of Economic Theory, Elsevier, volume 146, issue 3, pages 897-919, May.
• Ozsoylev, Han N. & Walden, Johan, 2011, "Asset pricing in large information networks," Journal of Economic Theory, Elsevier, volume 146, issue 6, pages 2252-2280, DOI: 10.1016/j.jet.2011.10.003.
• Cvitanic, Jaksa & Malamud, Semyon, 2011, "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, volume 100, issue 1, pages 201-225, April.
• Lettau, Martin & Wachter, Jessica A., 2011, "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, volume 101, issue 1, pages 90-113, July.
• Cuoco, Domenico & Kaniel, Ron, 2011, "Equilibrium prices in the presence of delegated portfolio management," Journal of Financial Economics, Elsevier, volume 101, issue 2, pages 264-296, August.
• Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011, "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, volume 101, issue 3, pages 574-595, September.
• Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011, "Hedge fund leverage," Journal of Financial Economics, Elsevier, volume 102, issue 1, pages 102-126, October.
• Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011, "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 233-250, DOI: 10.1016/j.jfineco.2011.01.011.
• Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011, "The price of liquidity: The effects of market conditions and bank characteristics," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 344-362, DOI: 10.1016/j.jfineco.2011.05.015.
• Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011, "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 363-389, DOI: 10.1016/j.jfineco.2011.06.002.
• Kristensen, Dennis & Mele, Antonio, 2011, "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 390-415, DOI: 10.1016/j.jfineco.2011.05.007.
• Kumar, Alok & Page, Jeremy K. & Spalt, Oliver G., 2011, "Religious beliefs, gambling attitudes, and financial market outcomes," Journal of Financial Economics, Elsevier, volume 102, issue 3, pages 671-708, DOI: 10.1016/j.jfineco.2011.07.001.
• Tu, Jun & Zhou, Guofu, 2011, "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, volume 99, issue 1, pages 204-215, January.
• Afonso, Gara, 2011, "Liquidity and congestion," Journal of Financial Intermediation, Elsevier, volume 20, issue 3, pages 324-360, July.
• Davis, E. Philip & Zhu, Haibin, 2011, "Bank lending and commercial property cycles: Some cross-country evidence," Journal of International Money and Finance, Elsevier, volume 30, issue 1, pages 1-21, February.
• Lothian, James R. & Wu, Liuren, 2011, "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, volume 30, issue 3, pages 448-473, April.
• López-Espinosa, Germán & Moreno, Antonio & Pérez de Gracia, Fernando, 2011, "Banks' Net Interest Margin in the 2000s: A Macro-Accounting international perspective," Journal of International Money and Finance, Elsevier, volume 30, issue 6, pages 1214-1233, October.
• El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011, "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1387-1405, DOI: 10.1016/j.jimonfin.2011.07.008.
• Ferguson, Andrew & Scott, Tom, 2011, "Market reactions to Australian boutique resource investor presentations," Resources Policy, Elsevier, volume 36, issue 4, pages 330-338, DOI: 10.1016/j.resourpol.2011.07.004.
• Hiebert, Paul & Sydow, Matthias, 2011, "What drives returns to euro area housing? Evidence from a dynamic dividend–discount model," Journal of Urban Economics, Elsevier, volume 70, issue 2, pages 88-98, DOI: 10.1016/j.jue.2011.03.001.
• von Hagen, Jürgen & Schuknecht, Ludger & Wolswijk, Guido, 2011, "Government bond risk premiums in the EU revisited: The impact of the financial crisis," European Journal of Political Economy, Elsevier, volume 27, issue 1, pages 36-43, March.
• Kajuth, Florian & Watzka, Sebastian, 2011, "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 3, pages 225-235, June.
• Liu, Yang & Yang, J. Jimmy, 2011, "Private debt, unused credit lines, and seasoned equity offerings," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 376-388, DOI: 10.1016/j.qref.2011.07.006.
• Sabbaghi, Omid & Sabbaghi, Navid, 2011, "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 399-407, DOI: 10.1016/j.qref.2011.07.004.
• Gisler, Monika & Sornette, Didier & Woodard, Ryan, 2011, "Innovation as a social bubble: The example of the Human Genome Project," Research Policy, Elsevier, volume 40, issue 10, pages 1412-1425, DOI: 10.1016/j.respol.2011.05.019.
• Cassimon, D. & De Backer, M. & Engelen, P.J. & Van Wouwe, M. & Yordanov, V., 2011, "Incorporating technical risk in compound real option models to value a pharmaceutical R&D licensing opportunity," Research Policy, Elsevier, volume 40, issue 9, pages 1200-1216, DOI: 10.1016/j.respol.2011.05.020.
• Keef, Stephen P. & Khaled, Mohammed S., 2011, "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 959-967, DOI: 10.1016/j.socec.2011.08.012.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-30, Sep.
• Leo Krippner, 2011, "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-36, Oct.
• Horacio Alberto Ruiz Olvera, 2011, "Valuación de opciones europeas mediante procesos de Lévy exponenciales y transformada rápida de Fourier," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 16-33.
• Fausto Humberto Membrillo Hernández & Marco Antonio Ruiz Olvera, 2011, "Valuación de mercado del seguro de desempleo," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 34-65.
• M. Beatriz Mota Aragón & Faviola Hernández Jiménez, 2011, "Un modelo para evaluar el VPN mediante modelos autoregresivos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 66-87.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Mueller, Philippe & Vedolin, Andrea & Zhou, Hao, 2011, "Short run bond risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119065, Jun.
• Gale, Douglas & Yorulmazer, Tanju, 2011, "Liquidity hoarding," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119067, Jun.
• Bienz, Carsten & Faure-Grimaud, Antoine & Fluck, Zsuzsanna, 2011, "Defeasance of control rights," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119069, Mar.
• Favilukis, Jack & Lin, Xiaoji, 2011, "Micro frictions, asset pricing, and aggregate implications," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119075, Feb.
• Adam, Klaus & Marcet, Albert, 2011, "Booms and busts in asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121706, Jul.
• Adam, Klaus & Marcet, Albert, 2011, "Internal rationality, imperfect market knowledge and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121722, Aug.
• Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2011, "Stock market volatility and learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121739, Sep.
• Vayanos, Dimitri & Woolley, Paul, 2011, "Fund flows and asset prices: a baseline model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29784, Jan.
• Bustamante, Maria Cecilia, 2011, "Strategic investment, industry concentration and the cross section of returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37454, Jun.
• Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011, "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43096, Feb.
• Lou, Dong & Yan, Hongjun & Zhang, Jinfan, 2011, "Anticipated and repeated shocks in liquid markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43120, Jun.
• Albert Lee Chun, 2011, "Expectations, Bond Yields, and Monetary Policy," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 208-247.
• Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011, "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 82-122.
• Pedro A. C. Saffi & Kari Sigurdsson, 2011, "Price Efficiency and Short Selling," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 3, pages 821-852.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-based Asset Pricing and Deviations from the Law of One Price," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 6, pages 1980-2022.
• Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011, "Risk Shifting and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 8, pages 2575-2616.
• Ravi Bansal & Ivan Shaliastovich, 2011, "Learning and Asset-price Jumps," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 8, pages 2738-2780.
• Piciu Gabriela Cornelia & Chiþiga Georgiana, 2011, "Financial Innovations," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1655-1658, May.
• Piciu Gabriela Cornelia & Chiþiga Georgiana, 2011, "The Role of Information Technology on the Banking Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1659-1661, May.
• Ionescu Alexandra, 2011, "Firm Decisions: Determinants of Investments," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 621-624, May.
• Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Economics Series Working Papers, University of Oxford, Department of Economics, number 550, Apr.
• N Blasco & P Corredor & S Ferreruela, 2011, "Detecting intentional herding: what lies beneath intraday data in the Spanish stock market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 62, issue 6, pages 1056-1066, June, DOI: 10.1057/jors.2010.34.
• Razvan Pascalau & Christian Thomann & Greg N. Gregoriou, 2011, "Unconditional Mean, Volatility, and the FOURIER-GARCH Representation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, in: Greg N. Gregoriou & Razvan Pascalau, "Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models", DOI: 10.1057/9780230295209_5.
• Gabriel Rodríguez & Alfredo Vargas, 2011, "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-323.
• Yochanan Shachmurove, 2011, "First-Round Entrepreneurial Investments: Where, When and Why?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-017, Jun.
• Izabela Jonek-Kowalska & Marian Turek, 2011, "Possibilities Of Improving The Efficiency Of Mining Companies By Controlling Cost Of Coal," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 6, issue 2, pages 91-107, June, DOI: 10.12775/EQUIL2011.014.
• Attiya Y. Javid & Eatzaz Ahmad, 2011, "Asset Pricing Behaviour with Dual-Beta in Case of Pakistani Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 2, pages 95-118.
• Francois-Éric Racicot & Raymond Théoret, 2011, "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp032011, Apr.
• Francois-Éric Racicot & Raymond Théoret, 2011, "Risk Procyclicality and Dynamic Hedge Fund Strategies," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp062011, Jul.
• Efthymiou, Vassilis A. & Leledakis, George N., 2011, "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," MPRA Paper, University Library of Munich, Germany, number 28791, Feb.
• Shachat, Jason & Srivinasan, Anand, 2011, "Informational price cascades and non-aggregation of asymmetric information in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 30308, Apr.
• Lof, Matthijs, 2011, "Noncausality and Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 30519, Apr.
• El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011, "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper, University Library of Munich, Germany, number 30596.
• Cocozza, Rosa & De Simone, Antonio, 2011, "One numerical procedure for two risk factors modeling," MPRA Paper, University Library of Munich, Germany, number 30859, May.
• Hellström, Jörgen & Lönnbark, Carl, 2011, "Identi�cation of jumps in �financial price series," MPRA Paper, University Library of Munich, Germany, number 30977.
• Pagliarani, Stefano & Pascucci, Andrea, 2011, "Analytical approximation of the transition density in a local volatility model," MPRA Paper, University Library of Munich, Germany, number 31107, May.
• Qayyum, Abdul & Anwar, Saba, 2011, "Impact of Monetary Policy on the Volatility of Stock Market in Pakistan," MPRA Paper, University Library of Munich, Germany, number 31188.
• Siddiqi, Hammad, 2011, "Thinking by analogy, systematic risk, and option prices," MPRA Paper, University Library of Munich, Germany, number 31316, Jun.
• Santos, Carlos, 2011, "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper, University Library of Munich, Germany, number 31341, May.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper, University Library of Munich, Germany, number 31354, May.
• Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward, 2011, "Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?," MPRA Paper, University Library of Munich, Germany, number 31627, Jun.
• Puah, Chin-Hong & Liew, Samuel Wei-Siew, 2011, "White-collar crime and stock return: Empirical study from announcement effect," MPRA Paper, University Library of Munich, Germany, number 31748, Jun.
• Khalfaoui Rabeh, K & Boutahar Mohamed, B, 2011, "A time-scale analysis of systematic risk: wavelet-based approach," MPRA Paper, University Library of Munich, Germany, number 31938, Jun.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper, University Library of Munich, Germany, number 32043, Jul.
• Syed ali, Raza & Syed tehseen, jawaid & Imtiaz, arif & Fahim, qazi, 2011, "Validity of capital asset pricing model: evidence from Karachi stock exchange," MPRA Paper, University Library of Munich, Germany, number 32737, Jun.
• Larson, Nathan, 2011, "Clustering on the same news sources in an asset market," MPRA Paper, University Library of Munich, Germany, number 32823, Aug.
• Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011, "Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
  [Valuation of Mexican stocks with the Olhson and Ohlson-Beta models for firms with short-term," MPRA Paper, University Library of Munich, Germany, number 33054, Jul.
• Prono, Todd, 2011, "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper, University Library of Munich, Germany, number 33593, Sep.
• Cotter, John & Gabriel, Stuart & Roll, Richard, 2011, "Integration and contagion in US housing markets," MPRA Paper, University Library of Munich, Germany, number 34591.
• Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011, "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper, University Library of Munich, Germany, number 34736, revised 2011.
• Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011, "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper, University Library of Munich, Germany, number 34737, revised 2011.
• Janda, Karel & Vylezik, Tomas, 2011, "Financial Management of Weather Risk with Energy Derivatives," MPRA Paper, University Library of Munich, Germany, number 35037, Nov.
• Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011, "Is the Chinese Stock Market Really Efficient," MPRA Paper, University Library of Munich, Germany, number 35219, Aug.
• Massmiliano, Marzo & Daniele, Ritelli & Paolo, Zagaglia, 2011, "Optimal trading execution with nonlinear market impact: an alternative solution method," MPRA Paper, University Library of Munich, Germany, number 35393, Nov.
• Bazdresch, Santiago, 2011, "Product differentiation and systematic risk: theory and empirical evidence," MPRA Paper, University Library of Munich, Germany, number 35504, Oct, revised 01 Nov 2011.
• Gabrielsen, Alexandros & Marzo, Massimiliano & Zagaglia, Paolo, 2011, "Measuring market liquidity: an introductory survey," MPRA Paper, University Library of Munich, Germany, number 35829, Dec.
• Jakas, Vicente, 2011, "Theory and empirics of an affine term structure model applied to European data," MPRA Paper, University Library of Munich, Germany, number 36029, Jul.
• Sun, David & Tsai, Shih-Chuan & Wang, Wei, 2011, "Behavioral investment strategy matters: a statistical arbitrage approach," MPRA Paper, University Library of Munich, Germany, number 37281, Aug, revised 16 Jan 2012.
• Rossi, Francesco, 2011, "U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters," MPRA Paper, University Library of Munich, Germany, number 38303, Jul, revised Nov 2011.
• Faruque, Muhammad U, 2011, "An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh," MPRA Paper, University Library of Munich, Germany, number 38675, Jun.
• Rossi, Francesco, 2011, "Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates," MPRA Paper, University Library of Munich, Germany, number 38682, Nov, revised 31 Mar 2012.
• Arash, Aloosh, 2011, "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper, University Library of Munich, Germany, number 40829, Nov, revised 18 Aug 2012.
• Singh, Saurabh & Saharawat, Swati, 2011, "Hedging dynamics with gold futures," MPRA Paper, University Library of Munich, Germany, number 41472.
• Lazarevski, Dimche, 2011, "Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case," MPRA Paper, University Library of Munich, Germany, number 41995, Sep.
• Marco, Bianchetti, 2011, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," MPRA Paper, University Library of Munich, Germany, number 42247, Oct, revised 27 Oct 2012.
• Costa Junior, Celso Jose, 2011, "Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos
  [Valuation of Banks: Projection of Statements of Income for the Year with focus on Econometric Models]," MPRA Paper, University Library of Munich, Germany, number 45524, Jul.
• Jiranyakul, Komain, 2011, "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper, University Library of Munich, Germany, number 45583, Jul.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2011, "Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk," MPRA Paper, University Library of Munich, Germany, number 46008, revised 2011.
• Zeballos, David, 2011, "Market Risk Measurement: Key Rate Duration as an asset allocation instrument," MPRA Paper, University Library of Munich, Germany, number 46057, Aug.
• Piasecki, Krzysztof, 2011, "Effectiveness of securities with fuzzy probabilistic return," MPRA Paper, University Library of Munich, Germany, number 46214, Jul.
• Piasecki, Krzysztof, 2011, "Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
  [Fuzzy Probabilistic Sets as a Tool for Behavioural Finance]," MPRA Paper, University Library of Munich, Germany, number 46218, Jun.
• Lee, King Fuei, 2011, "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper, University Library of Munich, Germany, number 46350.
• Zaytsev, Alexander, 2011, "Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
  [Econometric analysis of Russian mutual funds in crisis and postcrisis periods]," MPRA Paper, University Library of Munich, Germany, number 46437, Sep.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric Loss Functions and the Rationality of Expected Stock Returns," MPRA Paper, University Library of Munich, Germany, number 47343.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2011, "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper, University Library of Munich, Germany, number 48517.
• Kozmenko, Serhiy & Plastun, Oleksiy, 2011, "Mutual influence of exchange assets: analysis and estimation," MPRA Paper, University Library of Munich, Germany, number 50779, May.
• Konchitchki, Yaniv, 2011, "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper, University Library of Munich, Germany, number 52928, May.
• Michailova, Julija & Schmidt, Ulrich, 2011, "Overconfidence and bubbles in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 63823, Sep, revised Oct 2014.
• Rizvi, Aoun & Ali, Syed Babar, 2011, "Risk Taking Behavior of Investors of Pakistan," MPRA Paper, University Library of Munich, Germany, number 64342, May.
• Anginer, Deniz & Mansi, Sattar & Warburton, A. Joseph & Yildizhan, Celim, 2011, "Firm Reputation and Cost of Debt Capital," MPRA Paper, University Library of Munich, Germany, number 64965, Jun, revised 05 Jun 2015.
• Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011, "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," MPRA Paper, University Library of Munich, Germany, number 66063, revised 2012.
• Rangan Gupta & Mampho P. Modise, 2011, "Macroeconomic Variables and South African Stock Return Predictability," Working Papers, University of Pretoria, Department of Economics, number 201107, Mar.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers, University of Pretoria, Department of Economics, number 201122, Oct.
• David Havlíček, 2011, "The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?
  [Analýza vztahu akciových výnosů a inflace: důsledek reálných šoků nebo peněžní iluze?]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2011, issue 2, pages 37-57, DOI: 10.18267/j.cfuc.104.
• Alenka Kavkler & Mejra Festić, 2011, "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 1, pages 3-22, DOI: 10.18267/j.pep.384.
• Luboš Komárek & Ivana Kubicová, 2011, "Možnosti identifikace bublin cen aktiv v české ekonomice
  [Methods of Identification Asset Price Bubbles In the Czech Economy]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 2, pages 164-183, DOI: 10.18267/j.polek.779.
• Wei Xiong & Jialin Yu, 2011, "The Chinese Warrants Bubble," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1398, Oct.
• YiLi Chien & Kanda Naknoi, 2011, "The Risk Premium and Long-Run Global Imbalances," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1266, Oct.
• Liam Wagner & John Foster, 2011, "Is There an Optimal Entry Time for Carbon Capture and Storage? A Case Study for Australia's National Electricity Market," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia, number 07, May.
• Richard Finlay & Sebastian Wende, 2011, "Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2011-01, Mar.
• James Hansen, 2011, "Does Equity Mispricing Influence Household and Firm Decisions?," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2011-06, Dec.
• Bacchetta, Philippe & Tille, Cédric & Wincoop, Eric, 2011, "Self-Fulfilling Risk Panics," Working Papers, Banco Central de Reserva del Perú, number 2011-003, Feb.
• Carol Alexander & Stamatis Leontsinis, 2011, "Model Risk in Variance Swap Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-10, May.
• Davide Avino & Emese Lazar & Simone Varotto, 2011, "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-17, Jul.
• Jean Marc Bottazzi & Jaime Luque & Mario Pascoa, 2011, "Securities market theory: possession, repo and rehypothecation," 2011 Meeting Papers, Society for Economic Dynamics, number 1214.
• Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers, Society for Economic Dynamics, number 1285.
• Jean Imbs & Giovanni Favara, 2011, "Credit Supply and the Price of Housing," 2011 Meeting Papers, Society for Economic Dynamics, number 1342.
• Hanno Lustig, 2011, "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers, Society for Economic Dynamics, number 1443.
• Eric van Wincoop & Cédric Tille & Philippe Bacchetta, 2011, "Self-fulfilling risk panics," 2011 Meeting Papers, Society for Economic Dynamics, number 186.
• Xiaoji Lin & Jack Favilukis, 2011, "Micro Frictions, Asset Pricing, and Aggregate Implications," 2011 Meeting Papers, Society for Economic Dynamics, number 466.
• Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2011, "Trading and Liquidity with Limited Cognition," 2011 Meeting Papers, Society for Economic Dynamics, number 475.
• Péter Kondor & Ron Kaniel, 2011, "The delegated Lucas tree," 2011 Meeting Papers, Society for Economic Dynamics, number 580.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011, "Collateral Requirements and Asset Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 737.
• Pietro Veronesi & Lubos Pastor, 2011, "Uncertainty about Government Policy and Stock Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 86.
• Xavier Vives & Giovanni Cespa, 2011, "Higher Order Expectations, Illiquidity, and Short Term Trading," 2011 Meeting Papers, Society for Economic Dynamics, number 929.
• Chaido Dritsaki, 2011, "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 40, pages 25-56, June.
• Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011, "Clustering and Classification in Option Pricing," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, volume 3, issue 2, pages 109-128, October.
• Roberto Blanco & Fernando Restoy, 2011, "Have Real Interest Rates Really Fallen That Much In Spain?," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 19, issue 1, pages 153-170, Spring.
• Daniel Albalate & Germà Bel, 2011, "Cuando La Economía No Importa: Auge Y Esplendor De La Alta Velocidad En España," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 19, issue 1, pages 171-190, Spring.
• N. Apergis & E. Mamatzakis & C. Staikuras, 2011, "The Greek Sovereign Debt Crisis: Testing for Regime Changes," Working Paper series, Rimini Centre for Economic Analysis, number 16_11, Mar.
• Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Paper series, Rimini Centre for Economic Analysis, number 52_11, Nov.
• Jianxin Wamg, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, volume 28, issue 2, pages 32-57.
• Rodney Paul & Andrew Weinbach & Brad Humphreys, 2011, "The Belief in the "Hot Hand" in the NFL: Evidence from Betting Volume Data," Working Papers, University of Alberta, Department of Economics, number 2011-16, Oct.
• Valentina Galvani & Stuart Landon, 2011, "Riding the Yield Curve: A Spanning Analysis," Working Papers, University of Alberta, Department of Economics, number 2011-19, Nov.
• Gulnora Raimova, 2011, "Variance reduction methods at the pricing of weather options," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 21, issue 1, pages 3-15.
• Ilhan Meric & Herbert E. Gishlick & Leonore S. Taga & Gulser Meric, 2011, "Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 1, pages 1-1.
• Cengiz Toraman & Cagatay Basarir & Mehmet Fatih Bayramoglu, 2011, "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 4, pages 1-37.
• Jingyuan Li & Georges Dionne, 2011, "A theoretical extension of the consumption-based CAPM model," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-8, May.
• Tiziana Caliman & Enrico Di Bella, 2011, "House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 64, issue 1, pages 37-65.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After the Credit Crunch: Markets and Models Evolution," Journal of Financial Transformation, Capco Institute, volume 32, pages 35-48.
• Imad Moosa, 2011, "The Failure of Neoclassical Financial Economics: The Capital Asset Pricing Model and its Pillars as an Illustration," Journal of Financial Transformation, Capco Institute, volume 33, pages 69-76.