Research classified by Journal of Economic Literature (JEL) codes

2011

• Yosandi Yulius, 2011, "Determinants Of Ori001 Type Government Bond," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 179-188.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp255.
• Jayati Ghosh & James Heintz & Robert Pollin, 2011, "Speculation on Commodities Futures Markets and Destabilization Of Global Food Prices: Exploring the Connections," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp269.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2011-05, Mar.
• Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia, 2011, "Banks Net Interest Margin in the 2000s: A Macro-Accounting International Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 11/11, Oct.
• Magomet Yandiev, 2011, "The Damped Fluctuations as a Base of Market Quotations," Working Papers, Moscow State University, Faculty of Economics, number 0003, Aug.
• Mauricio Drelichman & Joachim Voth, 2011, "Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1262, Jan.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Marek SPIÅ Ã K & Roman Å PERKA, 2011, "Financial Market Simulation Based On Intelligent Agents €“ Case Study," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 249-256.
• Giulio Tarditi, 2011, "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena, Department of Economics, University of Siena, number 613, Jun.
• Shaun P. Hargreaves Heap & Daniel John Zizzo, 2011, "Emotions and Chat in a Financial Markets Experiment," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 10, Mar.
• Ron Bird & Harry Liem & Susan Thorp, 2011, "Infrastructure: Real Assets and Real Returns," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 11, Sep.
• Ron Bird & Harry Liem & Susan Thorp, 2011, "Private Equity: Strategies for Improving Performance," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 12, Sep.
• Ron Bird & Krishna Reddy & Danny Yeung, 2011, "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 14, Sep.
• Ron Bird & Daniel Choi & Danny Yeung, 2011, "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 15, Sep.
• Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011, "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 290, May.
• Xue-Zhong He & Kai Li, 2011, "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 291, Jun.
• Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells, 2011, "The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 1107, May.
• Sorin V. STAN, 2011, "Frequently Asked Questions (FAQ) on Valuation of Business Intangible Assets," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 1, pages 4-17.
• Carmen LIPARA, 2011, "Investment Recommendations Made by Financial Analysts and Their Impact upon the Price Evolution of the Shares Listed on the Bucharest Stock Exchange," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 100-123.
• Sergei Vasilievich CHEREMUSHKIN, 2011, "How to Ensure Consistency between Discount Rates and Cash Flows?," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 4-45.
• Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011, "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_21.
• Raddatz, Claudio & Schmukler, Sergio L., 2011, "Deconstructing herding : evidence from pension fund investment behavior," Policy Research Working Paper Series, The World Bank, number 5700, Jun.
• Anginer, Deniz & Demirguc-Kunt, Asli, 2011, "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series, The World Bank, number 5849, Oct.
• Kenneth Kuttner, 2011, "Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?," Department of Economics Working Papers, Department of Economics, Williams College, number 2011-04, May, revised Jun 2011.
• Sara LaLumia & James Sallee, 2011, "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," Department of Economics Working Papers, Department of Economics, Williams College, number 2011-05, Jun.
• Christian Dreger & Yanqun Zhang, 2011, "Is there a bubble in the Chinese housing market?," ERSA conference papers, European Regional Science Association, number ersa11p261, Sep.
• John Geweke & Gianni Amisano, 2011, "Hierarchical Markov normal mixture models with applications to financial asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 1-29, January/F.
• Orazio P. Attanasio & Monica Paiella, 2011, "Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 2, pages 322-343, March.
• Cristiana Mǎnescu, 2011, "Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk?," Sustainable Development, John Wiley & Sons, Ltd., volume 19, issue 2, pages 95-118, March/Apr.
• Szymon Grabowski, 2011, "Balance sheet effect in the Polish economy," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 55, Jul.
• Jianxin Wang, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 02, pages 32-57, December, DOI: 10.1142/S0116110511500090.
• Man Fu & Prasad V. Bidarkota, 2011, "The Present Value Model With Stochastic Discount Rate And An Ann Process For Broad Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-20, DOI: 10.1142/S2010495211500011.
• Jinghan Cai & Hongbing Ouyang & Michael Chak Sham Wong, 2011, "The Bear Market In China: Which Trades Push The Stock Prices Down?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-22, DOI: 10.1142/S2010495211500023.
• D. E. Allen & R. J. Powell & A. K. Singh, 2011, "Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-19, DOI: 10.1142/S2010495211500035.
• George Tauchen, 2011, "Stochastic Volatility in General Equilibrium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 04, pages 707-731, DOI: 10.1142/S2010139211000237.
• Thorsten Rheinländer & Jenny Sexton, 2011, "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, ISBN: ARRAY(0x7a9319b0).
• William A. Barnett & Shu Wu, 2011, "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Financial Aggregation And Index Number Theory".
• William A. Barnett & Unja Chae & John W. Keating, 2011, "The Discounted Economic Stock of Money with VAR Forecasting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Financial Aggregation And Index Number Theory".
• William A. Barnett, 2011, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Financial Aggregation And Index Number Theory".
• Claudiu Tiberiu ALBULESCU, 2011, "Macro-Financial Risks and Central Banks: What Changes Has the Crisis Triggered?," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 3(15), pages 135-142.
• Krzysztof M. Piasecki, 2011, "Effectiveness of securities with fuzzy probabilistic return," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, volume 21, issue 2, pages 65-78.
• Franke, Reiner & Westerhoff, Frank, 2011, "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 78.
• Dieci, Roberto & Westerhoff, Frank, 2011, "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 79.
• Franke, Reiner & Westerhoff, Frank, 2011, "Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 83.
• Westerhoff, Frank, 2011, "Interactions between the real economy and the stock market," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 84.
• Puzanova, Natalia, 2011, "A hierarchical model of tail dependent asset returns for assessing portfolio credit risk," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,16.
• Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011, "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2011-01.
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011, "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-01 [rev.].
• Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011, "The impact of investor sentiment on the German stock market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-03 [rev.].
• Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011, "Market response to investor sentiment," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-01.
• Jank, Stephan, 2011, "Mutual fund flows, expected returns, and the real economy," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-04.
• Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke, 2011, "Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-11.
• Hess, Dieter & Immenkötter, Philipp, 2011, "Optimal leverage, its benefits, and the business cycle," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-12.
• Hess, Dieter & Orbe, Sebastian, 2011, "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-13.
• Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011, "Market response to investor sentiment," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/02.
• Hewicker, Harald & Cremers, Heinz, 2011, "Modellierung von Zinsstrukturkurven," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 165.
• Reicher, Christopher Phillip, 2011, "On the neutrality of credit-driven asset bubbles," Kiel Working Papers, Kiel Institute for the World Economy, number 1679.
• Michailova, Julija & Schmidt, Ulrich, 2011, "Overconfidence and bubbles in experimental asset markets," Kiel Working Papers, Kiel Institute for the World Economy, number 1729.
• Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011, "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers, Kiel Institute for the World Economy, number 1737.
• Leövey, Andrés E. & Lux, Thomas, 2011, "Parameter estimation and forecasting for multiplicative lognormal cascades," Kiel Working Papers, Kiel Institute for the World Economy, number 1746.
• Will, Matthias Georg, 2011, "A new empirical approach to explain the stock market yield: A combination of dynamic panel estimation and factor analysis," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2011-8.
• Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011, "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 160-175, January.
• Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 235-245, January.
• Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011, "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, volume 160, issue 2, pages 311-325, February.
• Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011, "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 228-245, April.
• Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011, "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 4-20, September.
• Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011, "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 367-381, October.
• Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011, "Functional data analysis for volatility," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 233-245, DOI: 10.1016/j.jeconom.2011.08.002.
• Schmeling, Maik & Schrimpf, Andreas, 2011, "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, volume 55, issue 5, pages 702-719, June.
• Lozano, Martín & Rubio, Gonzalo, 2011, "Evaluating alternative methods for testing asset pricing models with historical data," Journal of Empirical Finance, Elsevier, volume 18, issue 1, pages 136-146, January.
• Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011, "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, volume 18, issue 3, pages 393-407, June.
• Daouk, Hazem & Ng, David, 2011, "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, volume 18, issue 4, pages 634-651, September.
• Li, Yan & Yang, Liyan, 2011, "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 972-992, DOI: 10.1016/j.jempfin.2011.07.004.
• Bhar, Ramaprasad & Malliaris, A.G., 2011, "Oil prices and the impact of the financial crisis of 2007–2009," Energy Economics, Elsevier, volume 33, issue 6, pages 1049-1054, DOI: 10.1016/j.eneco.2011.01.016.
• Chevallier, Julien, 2011, "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1267-1282, DOI: 10.1016/j.eneco.2011.03.003.
• Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011, "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, volume 33, issue 6, pages 1283-1294, DOI: 10.1016/j.eneco.2011.03.007.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2011, "Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600," Explorations in Economic History, Elsevier, volume 48, issue 1, pages 1-19, January.
• Skinner, Frank S. & Mason, Andrew, 2011, "Covered interest rate parity in emerging markets," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 355-363, DOI: 10.1016/j.irfa.2011.06.008.
• Bozos, Konstantinos & Nikolopoulos, Konstantinos & Ramgandhi, Ghanamaruthy, 2011, "Dividend signaling under economic adversity: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 364-374, DOI: 10.1016/j.irfa.2011.07.003.
• Fletcher, Jonathan, 2011, "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, volume 20, issue 5, pages 375-385, DOI: 10.1016/j.irfa.2011.07.002.
• Delis, Manthos D. & Mylonidis, Nikolaos, 2011, "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," Finance Research Letters, Elsevier, volume 8, issue 3, pages 163-170, September.
• Fang, Ying & Ren, Yu & Yuan, Yufei, 2011, "Nonparametric estimation and testing of stochastic discount factor," Finance Research Letters, Elsevier, volume 8, issue 4, pages 196-205, DOI: 10.1016/j.frl.2011.04.001.
• Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M., 2011, "Fast approximations of bond option prices under CKLS models," Finance Research Letters, Elsevier, volume 8, issue 4, pages 206-212, DOI: 10.1016/j.frl.2011.03.002.
• Khandani, Amir E. & Lo, Andrew W., 2011, "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, volume 14, issue 1, pages 1-46, February.
• Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011, "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, volume 22, issue 2, pages 130-153, DOI: 10.1016/j.gfj.2011.10.004.
• Sabbaghi, Omid, 2011, "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, volume 22, issue 2, pages 169-181, DOI: 10.1016/j.gfj.2011.10.006.
• Bley, Jorg & Saad, Mohsen, 2011, "The effect of financial liberalization on stock-return volatility in GCC markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 662-685, DOI: 10.1016/j.intfin.2011.04.003.
• Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo, 2011, "Distributional asymmetry of loadings on market co-moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 5, pages 851-866, DOI: 10.1016/j.intfin.2011.06.006.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, DOI: 10.1016/j.ijforecast.2009.10.008.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011, "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 413-437, April.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1-2, pages 1-20, February.
• Rajgopal, Shiva & Venkatachalam, Mohan, 2011, "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, volume 51, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2010.06.001.
• Ng, Jeffrey, 2011, "The effect of information quality on liquidity risk," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 126-143, DOI: 10.1016/j.jacceco.2011.03.004.
• Sadka, Ronnie, 2011, "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, volume 52, issue 2, pages 144-152, DOI: 10.1016/j.jacceco.2011.08.007.
• Bach, Christian & Møller, Stig V., 2011, "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2891-2901, November.
• Fischer, Andreas M. & Ranaldo, Angelo, 2011, "Does FOMC news increase global FX trading?," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2965-2973, November.
• Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011, "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3158-3173, DOI: 10.1016/j.jbankfin.2011.04.012.
• Huse, Cristian, 2011, "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3240-3252, DOI: 10.1016/j.jbankfin.2011.05.004.
• Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011, "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3253-3262, DOI: 10.1016/j.jbankfin.2011.05.010.
• van Dijk, Mathijs A., 2011, "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3263-3274, DOI: 10.1016/j.jbankfin.2011.05.009.
• Cartea, Álvaro & Karyampas, Dimitrios, 2011, "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3319-3334, DOI: 10.1016/j.jbankfin.2011.05.012.
• Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011, "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3335-3350, DOI: 10.1016/j.jbankfin.2011.05.014.
• Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011, "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3362-3382, DOI: 10.1016/j.jbankfin.2011.05.016.
• Wagenvoort, Rien J.L.M. & Ebner, André & Morgese Borys, Magdalena, 2011, "A factor analysis approach to measuring European loan and bond market integration," Journal of Banking & Finance, Elsevier, volume 35, issue 4, pages 1011-1025, April.
• Al-Anaswah, Nael & Wilfling, Bernd, 2011, "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1073-1086, May.
• Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1984-2000, August.
• de Haan, Leo & Kakes, Jan, 2011, "Momentum or contrarian investment strategies: Evidence from Dutch institutional investors," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2245-2251, September.

2010

• Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
• Todorov, Viktor & Bollerslev, Tim, 2010, "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 220-235, August.
• Bikbov, Ruslan & Chernov, Mikhail, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 166-182, November.
• Magni, Carlo Alberto, 2010, "Residual income and value creation: An investigation into the lost-capital paradigm," European Journal of Operational Research, Elsevier, volume 201, issue 2, pages 505-519, March.
• Jahan-Parvar, Mohammad R. & Waters, George A., 2010, "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, volume 11, issue 1, pages 39-48, March.
• Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010, "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 345-361, June.
• Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010, "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 413-427, June.
• Engsted, Tom & Pedersen, Thomas Q., 2010, "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 585-605, September.
• Fornari, Fabio, 2010, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 722-743, September.
• Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010, "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, volume 17, issue 5, pages 867-894, December.
• Cifarelli, Giulio & Paladino, Giovanna, 2010, "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, volume 32, issue 2, pages 363-372, March.
• Cotter, John & Hanly, Jim, 2010, "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, volume 32, issue 2, pages 432-441, March.
• Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010, "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, volume 32, issue 5, pages 979-986, September.
• Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010, "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, volume 7, issue 2, pages 103-109, June.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 101-128, February.
• Ozsoylev, Han N. & Takayama, Shino, 2010, "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 49-76, February.
• Pavlova, Anna & Rigobon, Roberto, 2010, "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, volume 80, issue 1, pages 144-156, January.
• Alquist, Ron, 2010, "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, volume 82, issue 2, pages 219-229, November.
• Gregoriou, Andros & Kontonikas, Alexandros, 2010, "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 20, issue 2, pages 166-176, April.
• Spencer, Peter & Liu, Zhuoshi, 2010, "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, volume 34, issue 3, pages 667-680, March.
• Tang, Dragon Yongjun & Yan, Hong, 2010, "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, volume 34, issue 4, pages 743-753, April.
• Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010, "Macroeconomic risks and characteristic-based factor models," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1383-1399, June.
• Helena Veiga & Marc Vorsatz, 2010, "Information aggregation in experimental asset markets in the presence of a manipulator," Experimental Economics, Springer;Economic Science Association, volume 13, issue 4, pages 379-398, December, DOI: 10.1007/s10683-010-9247-3.
• Xiaoquan Jiang, 2010, "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 2, pages 107-135, June, DOI: 10.1007/s11408-009-0122-1.
• Victoria Galsband, 2010, "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 327-351, December, DOI: 10.1007/s11408-010-0140-z.
• Carlos Castro, 2010, "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 353-393, December, DOI: 10.1007/s11408-010-0143-9.
• Matthias Pfister & Rico Wyss, 2010, "Delistings of secondary listings: price and volume effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 395-418, December, DOI: 10.1007/s11408-010-0141-y.
• Michael Bleaney & R. Smith, 2010, "Managerial skill and closed-end fund discounts," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 441-451, December, DOI: 10.1007/s11408-010-0144-8.
• Javier Gil-Bazo & Pablo Ruiz-Verdú & André Santos, 2010, "The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies," Journal of Business Ethics, Springer, volume 94, issue 2, pages 243-263, June, DOI: 10.1007/s10551-009-0260-4.
• Andreas Behr & Ulrich Pötter, 2010, "What determines wage differentials across the EU?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, volume 8, issue 1, pages 101-120, March, DOI: 10.1007/s10888-008-9106-z.
• Anthony Pennington-Cross, 2010, "The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing," The Journal of Real Estate Finance and Economics, Springer, volume 40, issue 2, pages 109-129, February, DOI: 10.1007/s11146-008-9124-4.
• Robert Jarrow, 2010, "Convenience yields," Review of Derivatives Research, Springer, volume 13, issue 1, pages 25-43, April, DOI: 10.1007/s11147-009-9042-5.
• Frank Zhang, 2010, "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, volume 13, issue 2, pages 101-124, July, DOI: 10.1007/s11147-009-9046-1.
• Gabriel Drimus, 2010, "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, volume 13, issue 2, pages 125-140, July, DOI: 10.1007/s11147-009-9045-2.
• Masayuki Ikeda, 2010, "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, volume 13, issue 3, pages 297-332, October, DOI: 10.1007/s11147-010-9051-4.
• Chuang-Chang Chang & Jun-Biao Lin, 2010, "The valuation of multivariate contingent claims under transformed trinomial approaches," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 1, pages 23-36, January, DOI: 10.1007/s11156-009-0121-3.
• Hsuan-Chi Chen & Wen-Chung Guo, 2010, "Divergence of opinion and initial public offerings," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 1, pages 59-79, January, DOI: 10.1007/s11156-009-0125-z.
• Kathleen Fuller & Bonnie Ness & Robert Ness, 2010, "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 301-312, April, DOI: 10.1007/s11156-009-0131-1.
• Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010, "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 383-411, April, DOI: 10.1007/s11156-009-0136-9.
• Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010, "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 413-438, May, DOI: 10.1007/s11156-009-0130-2.
• Zhong-guo Zhou & Janet Zhou, 2010, "Chinese IPO activity, pricing, and market cycles," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 483-503, May, DOI: 10.1007/s11156-009-0147-6.
• Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010, "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 1, pages 47-70, July, DOI: 10.1007/s11156-009-0143-x.
• Keith Lam & Frank Li & Simon So, 2010, "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 1, pages 89-111, July, DOI: 10.1007/s11156-009-0151-x.
• Lawrence Fisher & Daniel Weaver & Gwendolyn Webb, 2010, "Removing biases in computed returns," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 2, pages 137-161, August, DOI: 10.1007/s11156-009-0161-8.
• Frank Reilly & David Wright & James Gentry, 2010, "An analysis of credit risk spreads for high yield bonds," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 2, pages 179-205, August, DOI: 10.1007/s11156-009-0162-7.