Research classified by Journal of Economic Literature (JEL) codes

2011

• Silvije Orsag & Lidija Dedi & Emil Mihalina, 2011, "Banks In Transition Countries As One Of Most Attractive Investments," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 2, issue 1, pages 1-20.
• Beum-Jo Park, 2011, "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 37-58, September.
• Radu CIOBANU & Sebastian Madalin MUNTEANU & Irina-Eugenia IAMANDI, 2011, "Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 1, pages 243-247, June.
• Mihai-Cristian DINICA, 2011, "The Real Options Attached to an Investment Project," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 2, pages 511-518, December.
• Francesca Brusa, 2011, "Asset Pricing Puzzle: The Long-Run Risks Model's Approach," Rivista di Politica Economica, SIPI Spa, issue 4, pages 101-137, October-D.
• M. Fr Mmel & R. Kruse, 2011, "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/722, May.
• Peter Aling & Shakill Hassan, 2011, "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," ERSA Working Paper Series, Economic Research Southern Africa, number 246, Sep.
• Iwo Augustynski, 2011, "WPlYW GIElD sWIATOWYCH NA GloWNE INDEKSY GIElDOWE W POLSCE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 1, pages 1-12, April.
• Wiktor Patena, 2011, "Company Valuation. How to Deal with a Range of Values?," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 75-84, November.
• Rex A. McKenzie, 2011, "Casino Capitalism with Derivatives: Fragility and Instability in Contemporary Finance," Review of Radical Political Economics, Union for Radical Political Economics, volume 43, issue 2, pages 198-215, June.
• Gerasimos G. Rompotis, 2011, "ETFs vs. Mutual Funds: Evidence from the Greek Market," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 9, issue 1, pages 67-84.
• Giovanni Cespa & Xavier Vives, 2011, "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 276, Mar.
• Giovanni Cespa & Thierry Focault, 2011, "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 284, Apr.
• Giovanni W. Puopolo, 2011, "The Dynamics of Tobin’s q," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 286, May, revised 10 May 2016.
• Sarah Draus, 2011, "Does Inter-Market Competition Lead to Less Regulation?," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 296, Nov.
• Sergio Andenmatten & Felix Brill, 2011, "Did the CDS Market Push up Risk Premia for Sovereign Credit?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 147, issue 3, pages 275-302, September.
• Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011, "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 55-71, enero-jun.
• Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, School of Economics, number 10-2011, Aug.
• Yong Li & Jun Yu, 2011, "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers, Singapore Management University, School of Economics, number 11-2011, Aug.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2011, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2011, Jul.
• Andras Fulop & Junye Li & Jun Yu, 2011, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-10-2011, Dec.
• ABOSEDE, A. J. & OSENI, Jimoh Ezekiel, 2011, "Theoretical Analysis Of Firm And Market-Specific Proxies Of Information Asymmetry On Equity Prices In The Stock Markets," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 4, pages 1-10, June.
• Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV, 2011, "Investigation of: "Shopping in the Market-beta Mall"," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 5, pages 1-9, August.
• Andreas Reschreiter, 2011, "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, volume 40, issue 3, pages 559-579, May, DOI: 10.1007/s00181-010-0345-z.
• Ye Bai & Christopher Green, 2011, "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, volume 41, issue 1, pages 81-102, August, DOI: 10.1007/s00181-010-0437-9.
• Vasco Gabriel & Luis Martins, 2011, "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, volume 41, issue 3, pages 639-662, December, DOI: 10.1007/s00181-010-0401-8.
• Thomas Lux, 2011, "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, volume 41, issue 3, pages 663-679, December, DOI: 10.1007/s00181-010-0397-0.
• Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011, "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 126-142, December, DOI: 10.14208/BF03353827.
• Tamara Teplova & Evgeniya Shutova, 2011, "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 157-178, December, DOI: 10.14208/BF03353829.
• 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.
• Thorsten Lehnert & Xisong Jin, 2011, "Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas," 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.
• Leif Andersen, 2011, "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, volume 15, issue 2, pages 191-219, June, DOI: 10.1007/s00780-010-0142-8.
• Paul Glasserman & Kyoung-Kuk Kim, 2011, "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, volume 15, issue 2, pages 267-296, June, DOI: 10.1007/s00780-009-0115-y.
• Rafael Mendoza-Arriaga & Vadim Linetsky, 2011, "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, volume 15, issue 3, pages 513-540, September, DOI: 10.1007/s00780-010-0139-3.
• Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.