Research classified by Journal of Economic Literature (JEL) codes

2011

• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "Non-additivity in accounting valuation: Internally generated goodwill as an aggregation of interacting assets," Post-Print, HAL, number halshs-00541525, Apr.
• Isabelle Huault & Hélène Rainelli-Weiss, 2011, "A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration," Post-Print, HAL, number halshs-00637068, DOI: 10.1177/0170840611421251.
• Edouard Challe & Xavier Ragot, 2011, "Bubbles and Self-Fulfilling Crises," Post-Print, HAL, number halshs-00654655, May, DOI: 10.2202/1935-1690.2064.
• Edouard Challe & Xavier Ragot, 2011, "Bubbles and Self-Fulfilling Crises," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00654655, May, DOI: 10.2202/1935-1690.2064.
• Thierry Foucault & Giovanni Cespa, 2011, "Insiders-Outsiders, Transparency and the Value of the Ticker," Working Papers, HAL, number hal-00580153, Mar.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011, "Multifrequency News and Stock Returns," Working Papers, HAL, number hal-00591678, May.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011, "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers, HAL, number hal-04140988.
• Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011, "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-468, Mar.
• Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011, "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-469, Mar.
• Jakub W. Jurek & Erik Stafford, 2011, "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers, Harvard Business School, number 12-013, Aug.
• Flåm, Sjur Didrik, 2011, "Pooling, Pricing and Trading of Risks," Working Papers in Economics, University of Bergen, Department of Economics, number 09/06, Apr.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Lundtofte, Frederik & Wilhelmsson, Anders, 2011, "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers, Lund University, Department of Economics, number 2011:33, Sep.
• Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
• Bienz, Carsten & Faure-Grimaud, Antoine & Fluck, Zsuzsanna, 2011, "The Defeasance of Control Rights," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/1, Jan.
• Mjøs, Aksel & Myklebust, Tor Åge & Persson, Svein-Arne, 2011, "On the Pricing of Performance Sensitive Debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/5, Mar, revised 07 May 2012.
• Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011, "Risk Aversion in the Large and in the Small," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/12, Jun.
• Bjuggren, Per-Olof & Eklund, Johan E, 2011, "The Cost of Insecure Property Rights: R2 Revisited," Ratio Working Papers, The Ratio Institute, number 174, Sep.
• Hellström, Jörgen & Lönnbark, Carl, 2011, "Identification of jumps in financial price series," Umeå Economic Studies, Umeå University, Department of Economics, number 827, May.
• Suzuki, Masataka, 2011, "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 1, pages 41-54, June, DOI: 10.15057/19220.
• Yu-chin Chen & Kwok Ping Tsang, 2011, "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, Hong Kong Institute for Monetary Research, number 012011, Jan.
• Song Han & Hao Zhou, 2011, "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers, Hong Kong Institute for Monetary Research, number 022011, Jan.
• Song Han & Dan Li, 2011, "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers, Hong Kong Institute for Monetary Research, number 052011, Feb.
• Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2011, "Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan," Working Papers, Hong Kong Institute for Monetary Research, number 112011, Apr.
• Charles Engel, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers, Hong Kong Institute for Monetary Research, number 272011, Sep.
• Bruno Viani, 2011, "Can Governments signal commitment in privatization sales?," Hacienda Pública Española / Review of Public Economics, IEF, volume 197, issue 2, pages 87-110, June.
• Fuster, Andreas & Herbert, Benjamin & Laibson, David I., 2011, "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," Scholarly Articles, Harvard University Department of Economics, number 10140029.
• Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011, "Forced Sales and House Prices," Scholarly Articles, Harvard University Department of Economics, number 9887623.
• Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011, "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles, Harvard Kennedy School of Government, number 5027955.
• Avery, Christopher N. & Chevalier, Judith & Zeckhauser, Richard Jay, 2011, "The "CAPS" Prediction System and Stock Market Returns," Scholarly Articles, Harvard Kennedy School of Government, number 5098427.
• De Moor, Lieven & Sercu, Piet, 2011, "The smallest stocks are not just smaller: US and international evidence," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management, number 2011/28, Sep.
• Luciana Spica Almilia, 2011, "Value Relevance Of Accounting Information Using An Error Correction Model," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 119-131.
• Mishari M. Alfaraih & Faisal S. Alanezi, 2011, "Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 65-84.
• Mu-Shun Wang & Shaio Yan Huang & An An Chiu, 2011, "Liquidity, Management Effort And Performance," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 1-14.
• Ling T. He & K. Michael Casey, 2011, "On The Pricing Of Dual Class Stocks: Evidence From Berkshire Hathaway," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 103-112.
• Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung, 2011, "Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 115-125.
• Shih-Ping Feng, 2011, "The Liquidity Effect In Option Pricing: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 35-43.
• Sandip Mukherji, 2011, "The Capital Asset Pricing Model’S Risk-Free Rate," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 75-83.
• Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen, 2011, "The Valuation Of Reset Options When Underlying Assets Are Autocorrelated," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 95-114.
• Praveen Kumar Das & S P Uma Rao, 2011, "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 1-15.
• Po-Cheng Wu, 2011, "Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 115-128.
• Stoyu I. Ivanov & Jeff Whitworth & Yi Zhang, 2011, "The Implied Volatility Of Etf And Index Options," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 35-44.
• Márcio Laurini & Luiz Koodi Hotta, 2011, "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2011-01, Mar.
• Márcio Laurini, 2011, "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2011-02, Apr.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 628, Feb.
• Jón Daníelsson & Francisco Peñaranda, 2011, "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 3, pages 621-638, August, DOI: j.1468-2354.2011.00642.x.
• Giovanni W. Puopolo, 2011, "Firm Migration and Stock Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 394.
• Engel, Charles, 2011, "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series, Institute for Advanced Studies, number 265, Apr.
• Ali F. Darrat & Bin Li & Omar Benkato, 2011, "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 1, pages 27-43, April.
• Eloisa T. Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2011, "Determinants of House Prices in Nine Asia-Pacific Economies," International Journal of Central Banking, International Journal of Central Banking, volume 7, issue 3, pages 163-204, September.
• William R. Parke & George A. Waters, 2011, "On the Evolutionary Stability of Rational Expectations," Working Paper Series, Illinois State University, Department of Economics, number 20111002, Oct.
• George A. Waters, 2011, "Endogenous Rational Bubbles," Working Paper Series, Illinois State University, Department of Economics, number 20111003, Oct.
• Sevinc Cukurova & Jose M. Marin, 2011, "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2011-04, Jan.
• Mr. Marco Terrones & Mr. Ayhan Kose & Mr. Stijn Claessens, 2011, "Financial Cycles: What? How? When?," IMF Working Papers, International Monetary Fund, number 2011/076, Apr.
• Samuel Mongrut & Darcy Fuenzalida & Juan Diego Carrillo & Luis Alberto Gamero, 2011, "Integración Financiera y Costo de Capital Propio en Latinoamérica," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 6, issue 1, pages 103-124, Julio-Dic.
• Rohini Grover & Susan Thomas, 2011, "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-006, Mar.
• Nidhi Aggarwal & Susan Thomas, 2011, "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-016, Aug.
• Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter, 2011, "Monetary policy and its impact on stock market liquidity: Evidence from the euro zone," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-06, Feb.
• Matthias Bank & Alexander Kupfer & Rupert Sendlhofer, 2011, "Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-24, Oct.
• Jaime Casassus & Peng Liu & Ke Tang, 2011, "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 404.
• Jaime Casassus & Freddy Higuera, 2011, "Stock Return Predictability and Oil Prices," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 406.
• Bushnell, James, 2011, "Adverse Selection and Emissions Offsets," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32736, Apr.
• Qiang Gong & Ming Liu & Qianqiu Liu, 2011, "Is Momentum Really Momentum? International Evidence," Working Papers, Research Institute, International University of Japan, number EMS_2011_22, Oct.
• Cheung, Stephen L. & Coleman, Andrew, 2011, "League-Table Incentives and Price Bubbles in Experimental Asset Markets," IZA Discussion Papers, IZA Network @ LISER, number 5704, May.
• Lin, Carl, 2011, "Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders," IZA Discussion Papers, IZA Network @ LISER, number 5754, May.
• Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," IZA Discussion Papers, IZA Network @ LISER, number 6060, Oct.
• Simone Alfarano & Thomas Lux, 2011, "Extreme value theory as a theoretical background for power law behavior," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2011/02.
• M. Vittoria Levati & Jianying Qiu & Prashanth Mahagaonkar, 2011, "Testing the Modigliani-Miller theorem directly in the lab," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2011-021, Apr.
• Jinho Bae, 2011, "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, volume 7, issue 1, pages 83-94, February, DOI: 10.1007/s10436-010-0158-2.
• Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011, "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, volume 7, issue 2, pages 199-219, May, DOI: 10.1007/s10436-011-0176-8.
• Laurence Carassus & Miklós Rásonyi, 2011, "Risk-averse asymptotics for reservation prices," Annals of Finance, Springer, volume 7, issue 3, pages 375-387, August, DOI: 10.1007/s10436-010-0167-1.
• James Koch & Robert Fenili & Richard Cebula, 2011, "Do Investors Care if Steve Jobs is Healthy?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 39, issue 1, pages 59-70, March, DOI: 10.1007/s11293-010-9261-z.
• Wen-Chung Guo & Sy-Ming Guu & Ting-Yun Chang, 2011, "Equilibrium Information Acquisition, Prediction Abilities and Asset Prices," Computational Economics, Springer;Society for Computational Economics, volume 37, issue 1, pages 89-111, January, DOI: 10.1007/s10614-010-9239-6.
• 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.
• Unyong Pyo, 2011, "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 274-295, July, DOI: 10.1007/s12197-009-9108-0.
• Haigang Zhou & John Zhu, 2011, "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 309-331, July, DOI: 10.1007/s12197-009-9097-z.
• Jorge Brusa & Wayne Lee & Pu Liu, 2011, "Monday returns and asset pricing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 3, pages 332-347, July, DOI: 10.1007/s12197-009-9100-8.
• Kam Chan & Yung Lo, 2011, "Credit ratings and long-term IPO performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 4, pages 473-483, October, DOI: 10.1007/s12197-010-9137-8.
• Ryuichi Yamamoto, 2011, "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 41-59, May, DOI: 10.1007/s11403-010-0075-5.
• Peter Chinloy & Daniel Winkler, 2011, "Contracts, Labor Supply and Income Targeting," Journal of Labor Research, Springer, volume 32, issue 2, pages 113-135, June, DOI: 10.1007/s12122-011-9104-y.
• Mordecai Kurz & Maurizio Motolese, 2011, "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 293-335, June, DOI: 10.1007/s00199-010-0550-1.
• Wen-Chung Guo & Frank Wang & Ho-Mou Wu, 2011, "Financial leverage and market volatility with diverse beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 337-364, June, DOI: 10.1007/s00199-010-0548-8.
• William Branch & George Evans, 2011, "Monetary policy and heterogeneous expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 2, pages 365-393, June, DOI: 10.1007/s00199-010-0539-9.
• John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011, "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 275-288, October, DOI: 10.1007/s00199-011-0644-4.
• Han Ozsoylev & Jan Werner, 2011, "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 48, issue 2, pages 469-491, October, DOI: 10.1007/s00199-011-0648-0.
• Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011, "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, volume 21, issue 5, pages 803-815, December, DOI: 10.1007/s00191-010-0213-1.
• Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011, "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 74, issue 1, pages 93-120, August, DOI: 10.1007/s00186-011-0352-7.
• Steven J. Monahan, 2011, "Discussion of “Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth”," Review of Accounting Studies, Springer, volume 16, issue 3, pages 458-463, September, DOI: 10.1007/s11142-011-9146-7.
• Stephen Lok & Scott Richardson, 2011, "Credit markets and financial information," Review of Accounting Studies, Springer, volume 16, issue 3, pages 487-500, September, DOI: 10.1007/s11142-011-9147-6.
• Alexander Nekrasov & Maria Ogneva, 2011, "Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth," Review of Accounting Studies, Springer, volume 16, issue 3, pages 414-457, September, DOI: 10.1007/s11142-011-9159-2.
• Ying Cao & Linda A. Myers & Theodore Sougiannis, 2011, "Does earnings acceleration convey information?," Review of Accounting Studies, Springer, volume 16, issue 4, pages 812-842, December, DOI: 10.1007/s11142-011-9150-y.
• Yonca Ertimur & Volkan Muslu & Frank Zhang, 2011, "Why are recommendations optimistic? Evidence from analysts’ coverage initiations," Review of Accounting Studies, Springer, volume 16, issue 4, pages 679-718, December, DOI: 10.1007/s11142-011-9163-6.
• Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011, "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 147, issue 1, pages 11-40, April, DOI: 10.1007/s10290-010-0074-6.
• Giulio Bottazzi & Pietro Dindo, 2011, "Selection in asset markets: the good, the bad, and the unknown," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2011/11, May.
• David Backus & Mikhail Chernov & Stanley Zin, 2011, "Sources of Entropy in Representative Agent Models," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 11-21.
• Cheung, Stephen L. & Palan, Stefan, 2011, "Two heads are less bubbly than one: Team decision-making in an experimental asset market," Working Papers, University of Sydney, School of Economics, number 2011-08, Sep.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2011, "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 23, pages 1757-1764, DOI: 10.1080/09603107.2011.562168.
• Gabe de Bondt & Tuomas Peltonen & Daniel Santabarbara, 2011, "Booms and busts in China's stock market: estimates based on fundamentals," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 5, pages 287-300, DOI: 10.1080/09603107.2010.530218.
• Gerald Cheang & Carl Chiarella, 2011, "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, volume 18, issue 3, pages 245-276, DOI: 10.1080/1350486X.2010.505390.
• William Lin & Shih-Chuan Tsai & David Sun, 2011, "Price informativeness and predictability: how liquidity can help," Applied Economics, Taylor & Francis Journals, volume 43, issue 17, pages 2199-2217, DOI: 10.1080/00036840903153812.
• Riona Arjoon & Mariëtte Botes & Laban K. Chesang & Rangan Gupta, 2011, "The long-run relationship between inflation and real stock prices: empirical evidence from South Africa," Journal of Business Economics and Management, Taylor & Francis Journals, volume 13, issue 4, pages 600-613, July, DOI: 10.3846/16111699.2011.620162.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011, "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 275-287, October, DOI: 10.1080/07350015.2011.638831.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011, "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 17, issue 3, pages 227-241, January, DOI: 10.1080/10835547.2011.12089906.
• Carlo Magni, 2011, "Addendum to “Average Internal Rate of Return and Investment Decisions: A New Perspective”," The Engineering Economist, Taylor & Francis Journals, volume 56, issue 2, pages 181-182, DOI: 10.1080/0013791X.2011.573658.
• Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 11817, Aug.
• Kurmas Akdogan & Meltem Gulenay Chadwick, 2011, "Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1113.
• Murat Duran & Eda Gulsen & Refet Gurkaynak, 2011, "Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1122.
• Christos Grose, 2011, "The Determinants of Cash Flows in Greek Bond Mutual Funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 55-77, March.
• Emmanuel Anoruo, 2011, "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 75-92, December.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-084/2/DSF 23, May.
• Arjen Siegmann & Denitsa Stefanova, 2011, "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-150/2/DSF27, Oct.
• Humphery-Jenner, M., 2011, "High Frequency Trading, Information, and Takeovers," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-047.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-056.
• Pataracchia, B., 2011, "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-042.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "The Dutch grey market," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0633541a-6421-442a-b1e6-a.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2312b4fe-233c-44a4-82a1-5.
• Jan Antell & Mika Vaihekoski, 2011, "Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009," Discussion Papers, Aboa Centre for Economics, number 63, Jan.
• Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011, "Do Hedge Funds Manipulate Stock Prices?," TSE Working Papers, Toulouse School of Economics (TSE), number 11-221, Feb.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2011, "Risk Sharing with the Monarch: Contingent Debt and Excusable Defaults in the Age of Philip II, 1556-1598," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2011-, Jul, revised 06 Jun 2012.
• Sergio Andenmatten & Felix Brill, 2011, "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1104, Jul.
• Don Bredin & John Cotter, 2011, "Volatility and Irish Exports," Working Papers, Geary Institute, University College Dublin, number 200416, Jun.
• John Cotter & Jim Hanly, 2011, "Re-evaluating Hedging Performance," Working Papers, Geary Institute, University College Dublin, number 200518, Jun.
• John Cotter & Francois Longin, 2011, "Implied Correlation from VaR," Working Papers, Geary Institute, University College Dublin, number 200618, 07.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Working Papers, Geary Institute, University College Dublin, number 200843, 07.
• John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Working Papers, Geary Institute, University College Dublin, number 201106, Mar.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Working Papers, Geary Institute, University College Dublin, number 201131, Nov.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Why do variance swaps exist?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-06.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Variance Swaps and Intertemporal Asset Pricing," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-08.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-12.
• Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011, "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-36.
• Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011, "Determinants of trading activity after rating actions in the Corporate Debt Market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-37.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1106.
• Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2011, "Financial Cycles: What? How? When?," NBER International Seminar on Macroeconomics, University of Chicago Press, volume 7, issue 1, pages 303-344, DOI: 10.1086/658308.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," Journal of Human Capital, University of Chicago Press, volume 5, issue 3, pages 255-301, DOI: 10.1086/662546.
• Diego Gianelli, 2011, "El traspaso de las tasas de interés en el sistema bancario uruguayo," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0411, Jan.
• Shaun Hargreaves Heap & Daniel John Zizzo, 2011, "Emotions and chat in a financial markets experiment," Working Paper series, University of East Anglia, Centre for Behavioural and Experimental Social Science (CBESS), School of Economics, University of East Anglia, Norwich, UK., number 11-11, Mar.
• Anika Sedyaning Wikanti, 2011, "Contagion Effects Of Us Financial Crisis On Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 125-137.