Research classified by Journal of Economic Literature (JEL) codes

2011

• 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, DOI: 10.3917/reco.623.0441.
• 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, DOI: 10.3982/QE708.
• 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.
• Karen K. Lewis, 2011, "Global Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17261, Jul.
• Farley Grubb, 2011, "The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment," NBER Working Papers, National Bureau of Economic Research, Inc, number 17276, Aug.
• François Gourio & Michael Siemer & Adrien Verdelhan, 2011, "International Risk Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 17277, Aug.
• Xiaoji Lin & Lu Zhang, 2011, "Covariances versus Characteristics in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 17285, Aug.
• Christopher Avery & Judith A. Chevalier & Richard J. Zeckhauser, 2011, "The "CAPS" Prediction System and Stock Market Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 17298, Aug.
• Andreas Fuster & Benjamin Hebert & David Laibson, 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17301, Aug.
• Stephen A. Ross, 2011, "The Recovery Theorem," NBER Working Papers, National Bureau of Economic Research, Inc, number 17323, Aug.
• Robert J. Barro & José Ursúa, 2011, "Rare Macroeconomic Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 17328, Aug.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "Information Aggregation, Investment, and Managerial Incentives," NBER Working Papers, National Bureau of Economic Research, Inc, number 17330, Aug.
• Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011, "Equity Yields," NBER Working Papers, National Bureau of Economic Research, Inc, number 17416, Sep.
• Jakub W. Jurek & Erik Stafford, 2011, "Crashes and Collateralized Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 17422, Sep.
• Lubos Pastor & Pietro Veronesi, 2011, "Political Uncertainty and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 17464, Sep.
• Ravi Jagannathan & Srikant Marakani, 2011, "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 17484, Oct.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011, "Liquidity and the Threat of Fraudulent Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17500, Oct.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011, "A Theory of Asset Pricing Based on Heterogeneous Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 17548, Oct.
• Andrew Ang & Dennis Kristensen, 2011, "Testing Conditional Factor Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17561, Nov.
• Ian Martin, 2011, "The Lucas Orchard," NBER Working Papers, National Bureau of Economic Research, Inc, number 17563, Nov.
• Ian Martin, 2011, "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers, National Bureau of Economic Research, Inc, number 17564, Nov.
• Alex Edmans & Vivian W. Fang & Emanuel Zur, 2011, "The Effect of Liquidity on Governance," NBER Working Papers, National Bureau of Economic Research, Inc, number 17567, Nov.
• Ravi Bansal & Marcelo Ochoa, 2011, "Temperature, Aggregate Risk, and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 17575, Nov.
• Giorgia Palladini & Richard Portes, 2011, "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," NBER Working Papers, National Bureau of Economic Research, Inc, number 17586, Nov.
• Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011, "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers, National Bureau of Economic Research, Inc, number 17592, Nov.
• Emiliano Pagnotta & Thomas Philippon, 2011, "Competing on Speed," NBER Working Papers, National Bureau of Economic Research, Inc, number 17652, Dec.
• Stefan Nagel, 2011, "Evaporating Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 17653, Dec.
• Eric van Wincoop, 2011, "International Contagion Through Leveraged Financial Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 17686, Dec.
• Philip Bond & Alex Edmans & Itay Goldstein, 2011, "The Real Effects of Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17719, Dec.
• Jiang Cheng & Elyas Elyasiani & Jingyi (Jane) Jia, 2011, "Institutional Ownership Stability and Risk Taking: Evidence from the Life-Health Insurance Industry," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-14, Jul.
• M. Kabir Hassan & Yasser Alhenawi & Hesham Merdad, 2011, "The Relative Performance of Debt-restricted Real Estate Investment Trusts (REITs): Does Faith Matter?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-16, Jul.
• Pablo Antolín & Stéphanie Payet & Edward Whitehouse & Juan Yermo, 2011, "The Role of Guarantees in Defined Contribution Pensions," OECD Working Papers on Finance, Insurance and Private Pensions, OECD Publishing, number 11, Sep, DOI: 10.1787/5kg52k5b0v9s-en.
• Stephan Barisitz, 2011, "Nonperforming Loans in CESEE – What Do They Comprise?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 46-68.
• Jesús Crespo Cuaresma & Jarko Fidrmuc & Mariya Hake, 2011, "Determinants of Foreign Currency Loans in CESEE Countries: A Meta-Analysis," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 69-87.
• Stefan Kerbl, 2011, "Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 174, Oct.
• Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011, "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 515-523, July.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2011, "Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 198-236, Winter.
• Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011, "Risk-Price Dynamics," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 3-65, Winter.
• Ruslan Bikbov & Mikhail Chernov, 2011, "Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 66-105, Winter.
• Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011, "Outside and Inside Liquidity," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 126, issue 1, pages 259-321.
• David Hirshleifer & Sonya S. Lim & Siew Hong Teoh, 2011, "Limited Investor Attention and Stock Market Misreactions to Accounting Information," The Review of Asset Pricing Studies, Society for Financial Studies, volume 1, issue 1, pages 35-73.
• George M. Constantinides & Anisha Ghosh, 2011, "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, volume 1, issue 1, pages 96-136.
• Yili Chien & Harold Cole & Hanno Lustig, 2011, "A Multiplier Approach to Understanding the Macro Implications of Household Finance," The Review of Economic Studies, Review of Economic Studies Ltd, volume 78, issue 1, pages 199-234.
• Fernando Restoy & Philippe Weil, 2011, "Approximate Equilibrium Asset Prices," Review of Finance, European Finance Association, volume 15, issue 1, pages 1-28.
• H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011, "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, volume 15, issue 1, pages 173-206.
• Jakub W. Jurek & Luis M. Viceira, 2011, "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, volume 15, issue 1, pages 29-74.
• Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2011, "Information Asymmetry, Information Precision, and the Cost of Capital," Review of Finance, European Finance Association, volume 16, issue 1, pages 1-29.
• Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011, "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, volume 16, issue 1, pages 285-321.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2011, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, volume 16, issue 1, pages 31-80.
• Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2011, "Option-Implied Measures of Equity Risk," Review of Finance, European Finance Association, volume 16, issue 2, pages 385-428.
• James S. Doran & Danling Jiang & David R. Peterson, 2011, "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, volume 16, issue 3, pages 685-731.
• Samih Azar, 2011, "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 4, pages 324-346, September, DOI: 10.1108/17439131111166366.
• Bruce Hearn, 2011, "Development strategy in offshore markets: evidence from the Channel Islands," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 1, pages 30-51, January, DOI: 10.1108/01443581111096132.
• Sabur Mollah, 2011, "Do emerging market firms follow different dividend policies?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 28, issue 2, pages 118-135, June, DOI: 10.1108/10867371111137120.
• Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J., 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-15, Apr.
• Mohamed El Hedi Arouri & Christophe Rault, 2011, "Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries?," Working Papers, Economic Research Forum, number 596, Jan, revised 07 Jan 2011.
• Pablo Fernandez, 2011, "How to Value a Seasonal Company’s Discounting Cash Flows," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 27-52.
• Panayotis Artikis & Georgia Nifora, 2011, "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-26.
• Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler, 2011, "On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 11/141, Feb.
• Michael G. Arghyrou & Alexandros Kontonikas, 2011, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 436, Feb.
• Lubos Komarek & Ivana Kubicová, 2011, "The Classification and Identification of Asset Price Bubbles," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 1, pages 34-48, January.
• Petr Zemcik, 2011, "Is There a Real Estate Bubble in the Czech Republic?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 1, pages 49-66, January.
• Jan Frait & Luboš Komárek & Zlatuše Komárková, 2011, "Monetary Policy in a Small Economy after Tsunami: A New Consensus on the Horizon?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 1, pages 5-33, January.
• Alexis Derviz, 2011, "Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 1, pages 92-116, January.
• Borys, Magdalena Morgese Borys, 2011, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 118-139, June.
• Ayesha Afzal & Nawazish Mirza, 2011, "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 173-190, June.
• Aleš Maršál, 2011, "The Term Structure of Interest Rates in Small Open Economy DSGE Model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/07, Feb, revised Feb 2011.
• Andrea Klimešová & Tomáš Václavík, 2011, "Pricing of Gas Swing Options using Monte Carlo Methods," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/15, Jul, revised Jul 2011.
• Jason Shachat & Anand Srinivasan, 2011, "Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets," Working Papers, Xiamen Unversity, The Wang Yanan Institute for Studies in Economics, Finance and Economics Experimental Laboratory, number 1102, Apr, revised 14 Apr 2011.
• Kenneth Högholm1, Johan Knif, Seppo Pynnönen, 2011, "Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 1-26, October.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011, "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-08.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and liquidity risk in subprime-mortgage backed securities," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-15.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011, "Liquidity and the threat of fraudulent assets," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1124.
• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Jianfeng Yu, 2011, "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 90.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 92.
• Michael D. Bauer, 2011, "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-03.
• Kevin J. Lansing, 2011, "Asset pricing with concentrated ownership of capital," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-07.
• Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011, "Extracting deflation probability forecasts from Treasury yields," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-10.
• Reuven Glick & Sylvain Leduc, 2011, "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-30.
• Gadi Barlevy, 2011, "A leverage-based model of speculative bubbles," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2011-07.
• Fabrizio Mattesini & Ed Nosal, 2011, "Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-24, Nov.
• Parantap Basu & William T. Gavin, 2011, "Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?," Working Papers, Federal Reserve Bank of St. Louis, number 2011-005, DOI: 10.20955/wp.2011.005.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Working Papers, Federal Reserve Bank of Minneapolis, number 685.
• Maria Kasch & Asani Sarkar, 2011, "Is there an S&P 500 index effect?," Staff Reports, Federal Reserve Bank of New York, number 484.
• Douglas Gale & Tanju Yorulmazer, 2011, "Liquidity hoarding," Staff Reports, Federal Reserve Bank of New York, number 488.
• Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2011, "Robust capital regulation," Staff Reports, Federal Reserve Bank of New York, number 490.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011, "Regression-based estimation of dynamic asset pricing models," Staff Reports, Federal Reserve Bank of New York, number 493.
• Satyajit Chatterjee & Burcu Eyigungor, 2011, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 11-33.
• Sheng Guo & Umut Unal, 2011, "VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence," Working Papers, Florida International University, Department of Economics, number 1103, May.
• Matteo Del Vigna, 2011, "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-08, Sep.
• Dimitri Vayanos & Paul Woolley, 2011, "Fund Flows and Asset Prices: A Baseline Model," FMG Discussion Papers, Financial Markets Group, number dp667, Jan.
• Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011, "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers, Financial Markets Group, number dp669, Feb.
• JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011, "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers, Financial Markets Group, number dp671, Feb.
• Carsten Bienz & Antoine Faure-Grimaud & Zsuzsanna Fluck, 2011, "Defeasance of Control Rights," FMG Discussion Papers, Financial Markets Group, number dp679, May.
• Douglas Gale & Tanju Yorulmazer, 2011, "Liquidity Hoarding," FMG Discussion Papers, Financial Markets Group, number dp682, Jun.
• Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011, "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group, number dp686, Jun.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Giulio Cifarelli, 2011, "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2011_13.rdf.
• 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.