Research classified by Journal of Economic Literature (JEL) codes

2011

• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011, "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-08.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and liquidity risk in subprime-mortgage backed securities," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-15.
• Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011, "Liquidity and the threat of fraudulent assets," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1124.
• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Jianfeng Yu, 2011, "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 90.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 92.
• Michael D. Bauer, 2011, "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-03.
• Kevin J. Lansing, 2011, "Asset pricing with concentrated ownership of capital," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-07.
• Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011, "Extracting deflation probability forecasts from Treasury yields," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-10.
• Reuven Glick & Sylvain Leduc, 2011, "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-30.
• Gadi Barlevy, 2011, "A leverage-based model of speculative bubbles," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2011-07.
• Fabrizio Mattesini & Ed Nosal, 2011, "Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2013-24, Nov.
• Parantap Basu & William T. Gavin, 2011, "Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?," Working Papers, Federal Reserve Bank of St. Louis, number 2011-005, DOI: 10.20955/wp.2011.005.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Working Papers, Federal Reserve Bank of Minneapolis, number 685.
• Maria Kasch & Asani Sarkar, 2011, "Is there an S&P 500 index effect?," Staff Reports, Federal Reserve Bank of New York, number 484.
• Douglas Gale & Tanju Yorulmazer, 2011, "Liquidity hoarding," Staff Reports, Federal Reserve Bank of New York, number 488.
• Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2011, "Robust capital regulation," Staff Reports, Federal Reserve Bank of New York, number 490.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011, "Regression-based estimation of dynamic asset pricing models," Staff Reports, Federal Reserve Bank of New York, number 493.
• Satyajit Chatterjee & Burcu Eyigungor, 2011, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 11-33.
• Sheng Guo & Umut Unal, 2011, "VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence," Working Papers, Florida International University, Department of Economics, number 1103, May.
• Matteo Del Vigna, 2011, "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-08, Sep.
• Dimitri Vayanos & Paul Woolley, 2011, "Fund Flows and Asset Prices: A Baseline Model," FMG Discussion Papers, Financial Markets Group, number dp667, Jan.
• Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011, "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers, Financial Markets Group, number dp669, Feb.
• JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011, "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers, Financial Markets Group, number dp671, Feb.
• Carsten Bienz & Antoine Faure-Grimaud & Zsuzsanna Fluck, 2011, "Defeasance of Control Rights," FMG Discussion Papers, Financial Markets Group, number dp679, May.
• Douglas Gale & Tanju Yorulmazer, 2011, "Liquidity Hoarding," FMG Discussion Papers, Financial Markets Group, number dp682, Jun.
• Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011, "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group, number dp686, Jun.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Giulio Cifarelli, 2011, "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2011_13.rdf.
• Paul Beaumont & Yaniv Jerassy-Etzion, 2011, "Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method," Working Papers, Department of Economics, Florida State University, number wp2011_08_03, Aug.
• Brotons, José M. & Terceño, Antonio, 2011, "Return risk map in a fuzzy environment," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 33-57, November.
• Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011, "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers, Business School - Economics, University of Glasgow, number 2011_16, Jun.
• Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2011, "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre, number 7275, Nov.
• Guidi, Francesco & Gupta, Rakesh, 2011, "Are ASEAN stock markets efficients? Evidence from univariate and multivariate variance ratio tests," Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre, number 7278.
• Jason West, 2011, "Policies Convertible Bonds and Stock Liquidity," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201103, Mar.
• Francesco Guidi & Rakesh Gupta, 2011, "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201113.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00755499, DOI: 10.3917/reco.623.0441.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00565229, Jan.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016, "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00594096, Apr.
• Hervé Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00578320, Feb.
• Thierry Foucault & David Sraer & David Thesmar, 2011, "Individual Investors and Volatility," Post-Print, HAL, number hal-00630297, Aug, DOI: 10.1111/j.1540-6261.2011.01668.x.
• Christophe Spaenjers & Luc Renneboog, 2011, "The Dutch Grey Market," Post-Print, HAL, number hal-00630379, Mar, DOI: 10.1007/s10645-010-9154-1.
• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "An Explanation of the Nature of Internally Generated Goodwill based on Aggregation of Interacting Assets," Post-Print, HAL, number hal-00679995, May.
• Jean-François Casta & Luc Paugam & Nicole Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00679996, May.
• Jean-François Casta & Luc Paugam & Hervé Stolowy, 2011, "An explanation of the nature of internally generated goodwill based on aggregation of interacting assets," Post-Print, HAL, number hal-00679997, May.
• Bernd Hayo & David Buettner, 2011, "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," Post-Print, HAL, number hal-00716632, Jul, DOI: 10.1080/00036846.2011.587775.
• Olaf Posch, 2011, "Risk premia in general equilibrium," Post-Print, HAL, number hal-00851860, Aug, DOI: 10.1016/j.jedc.2010.12.017.
• Jean Cordier & Alexandre Gohin, 2011, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Post-Print, HAL, number hal-01462701, Dec.
• 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.
• Tom Engsted & Stig V. Møller, 2011, "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-07, Feb.
• Matt P. Dziubinski, 2011, "Option valuation with the simplified component GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-09, May.
• Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011, "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-10, Mar.
• Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011, "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-22, Jun.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011, "Illiquidity Premia in the Equity Options Market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-43, Apr.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011, "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-44, Jul.
• Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "On the Time-Varying Relationship between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-07, Jul.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2011, "Fear and Closed-End Fund Discounts: Investor Sentiment Revisited," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2011-11, Aug.
• Alessandro Gavazza, 2011, "The Role of Trading Frictions in Real Asset Markets," American Economic Review, American Economic Association, volume 101, issue 4, pages 1106-1143, June.
• Jonathan H. Wright, 2011, "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, volume 101, issue 4, pages 1514-1534, June.
• John Y. Campbell & Stefano Giglio & Parag Pathak, 2011, "Forced Sales and House Prices," American Economic Review, American Economic Association, volume 101, issue 5, pages 2108-2131, August.
• Craig Burnside, 2011, "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment," American Economic Review, American Economic Association, volume 101, issue 7, pages 3456-3476, December.
• Óscar Arce & David López-Salido, 2011, "Housing Bubbles," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 1, pages 212-241, January.
• William A. Branch & George W. Evans, 2011, "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 159-191, July.
• George J. Hall & Thomas J. Sargent, 2011, "Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 192-214, July.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-03, Apr.
• Maria PASCU-NEDELCU, 2011, "Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, volume 3, issue 1, pages 47-61, March.
• Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, , "A Two-Parameter Model of Dispersion Aversion," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151196, DOI: 10.22004/ag.econ.151196.
• Fogarty, James Joseph & Jones, Callum, , "Return to wine: A comparison of the hedonic, repeat sales, and hybrid approaches," Working Papers, University of Western Australia, School of Agricultural and Resource Economics, number 108668, DOI: 10.22004/ag.econ.108668.
• Leszek Czerwonka, 2011, "Announcement Of The Exchange Ratio Of The Merging Companies - Impact On The Acquiring Firms "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 58, pages 83-90, november.
• Claudiu Tiberiu Albulescu & Daniel Goyeau, 2011, "Financial Volatility And Derivatives Products: A Bidirectional Relationship," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2011, pages 57-69, july.
• Mihai Dragu, 2011, "Possible Means And Solutions For Avoiding Currency Wars," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 39, pages 211-216.
• Felicia Ramona Birau, 2011, "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 39, pages 194-205.
• Ioan E. NISTOR & Ioana RADU, 2011, "Global Tendencies in Investment Funds Market Development," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 16-21, December.
• Maria-Miruna POCHEA & Angela-Maria FILIP, 2011, "The Early Exercise Premium for American Options. Empirical Study on Sibex Market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 188-197, December.
• M. Y. L. Li & S. M. F. Yen, 2011, "Re-examining covariance risk dynamics in international stock markets using quantile regression analysis," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 61, issue 1, pages 33-59, March.
• Jonathan E. Alevy, 2011, "Ambiguity in Individual Choice and Market Environments: On the Importance of Comparative Ignorance," Working Papers, University of Alaska Anchorage, Department of Economics, number 2011-04.
• Anufriev, M. & Hommes, C.H., 2011, "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-06.
• Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011, "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-09.
• Bulent Oz & Yucel Ayricay & Gokturk Kalkan, 2011, "Predicting Stock Returns With Financial Ratios: A Discriminant Analysis Application On The Ise 30 Index Stocks," Anadolu University Journal of Social Sciences, Anadolu University, volume 11, issue 3, pages 51-64, September.
• Rosangela Cavaleri & Eduardo Pontual Ribeiro, 2011, "Combinação de Previsões de Volatilidade: Um Estudo," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 12, issue 2, pages 239-261.
• Carolin E. Pflueger & Luis M. Viceira, 2011, "Inflation-Indexed Bonds and the Expectations Hypothesis," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 139-158, December.
• Christian Bluhm & Christoph Wagner, 2011, "Valuation and Risk Management of Collateralized Debt Obligations and Related Securities," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 193-222, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011, "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 467-491, December.
• Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011, "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 87-118, October.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," Papers, arXiv.org, number 1103.2567, Mar, revised Apr 2012.
• Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011, "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers, arXiv.org, number 1104.5326, Apr, revised Oct 2011.
• Damien Lamberton & Mohammed Mikou, 2011, "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers, arXiv.org, number 1105.0284, May.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011, "A note on essential smoothness in the Heston model," Papers, arXiv.org, number 1107.4881, Jul.
• Craig Blackburn & Michael Sherris, 2011, "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201107, May.
• Curcio, Domenico & Gianfrancesco, Igor, 2011, "A risk-adjusted pricing model for bank loans: Challenging issues from Basel II," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 117-145, March.
• Schröder, Thomas & Dunbar, Kwamie, 2011, "Effectively hedging the interest rate risk of wide floating-rate coupon spreads," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 162-179, March.
• Di Giorgio, Giorgio & Rotondi, Zeno, 2011, "Monetary policy, financial stability and interest rate rules," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 229-242, June.
• Matteo Mattei Gentili, 2011, "Euro and the nearly-sovereign debt," BANCARIA, Bancaria Editrice, volume 1, pages 15-17, January.
• Roberto Nicastro & Franco Tutino, 2011, "Italian banks’ profitability: improvement strategies, business models, constraints," BANCARIA, Bancaria Editrice, volume 9, pages 02-22, September.
• Johannes Vilsmeier, 2011, "Updating the Option Implied Probability of Default Methodology," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 107, Oct.
• Francisco Rivadeneyra & Oumar Dissou, 2011, "A Model of the EFA Liabilities," Discussion Papers, Bank of Canada, number 11-11, DOI: 10.34989/sdp-2011-11.
• Ron Alquist & Olivier Gervais, 2011, "The Role of Financial Speculation in Driving the Price of Crude Oil," Discussion Papers, Bank of Canada, number 11-6, DOI: 10.34989/sdp-2011-6.
• Bruno Feunou & Roméo Tedongap, 2011, "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers, Bank of Canada, number 11-20, DOI: 10.34989/swp-2011-20.
• Anna Pomeranets & Daniel G. Weaver, 2011, "Security Transaction Taxes and Market Quality," Staff Working Papers, Bank of Canada, number 11-26, DOI: 10.34989/swp-2011-26.
• George Jiang & Ingrid Lo, 2011, "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 11-5, DOI: 10.34989/swp-2011-5.
• Katya Kartashova, 2011, "The Private Equity Premium Puzzle Revisited," Staff Working Papers, Bank of Canada, number 11-6, DOI: 10.34989/swp-2011-6.
• Benjamin M. Tabak & Daniel O. Cajueiro & Alexandre B. Sollaci, 2011, "Forecasting the Yield Curve for the Euro Region," Working Papers Series, Central Bank of Brazil, Research Department, number 247, Aug.
• Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.
• Anton Nakov & Galo Nuño, 2011, "Learning from experience in the stock market," Working Papers, Banco de España, number 1132, Dec.
• Alessio Anzuini & Fabio Fornari, 2011, "Macroeconomic determinants of carry trade activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 817, Sep.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011, "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 831, Nov.
• García-Verdú Santiago, 2011, "On the Term Structure of Interest Rates of the Mexican Government," Working Papers, Banco de México, number 2011-18, Dec.
• Bernardo León & Andrés Mora, 2011, "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 178-211, July, DOI: 10.32468/Espe.6405.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Edouard Challe & Giannitsarou, C., 2011, "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers, Banque de France, number 330.
• Alain Monfort & Jean-Paul Renne, 2011, "Default, liquidity and crises: an econometric framework," Working papers, Banque de France, number 340.
• Vladimir Borgy & Thomas Laubach & Jean-Stéphane Mésonnier & Jean-Paul Renne, 2011, "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers, Banque de France, number 350.
• Alain Monfort & Jean-Paul Renne, 2011, "Credit and liquidity risks in euro area sovereign yield curves," Working papers, Banque de France, number 352.
• Riedel, Frank, 2016, "Finance without probabilistic prior assumptions," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 450, Feb.
• Brangewitz, Sonja & Giraud, Gael, 2016, "Learning in Infinite Horizon Strategic Market Games with Collateral and Incomplete Information," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 456, Feb.
• Marie Brière & Ombretta Signori, 2011, "Inflation hedging portfolios in different regimes," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011, "Macroprudential policy and central bank communication," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Macroprudential regulation and policy".
• Robert McCauley & Michela Scatigna, 2011, "Foreign exchange trading in emerging currencies: more financial, more offshore," BIS Quarterly Review, Bank for International Settlements, March.
• James J. Fogarty & Callum Jones, 2011, "Return To Wine: A Comparison Of The Hedonic, Repeat Sales And Hybrid Approaches," Australian Economic Papers, Wiley Blackwell, volume 50, issue 4, pages 147-156, December, DOI: j.1467-8454.2011.00416.x.
• Heinrich W. Ursprung & Christian Wiermann, 2011, "Reputation, Price, And Death: An Empirical Analysis Of Art Price Formation," Economic Inquiry, Western Economic Association International, volume 49, issue 3, pages 697-715, July.
• G. William Schwert, 2011, "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, volume 17, issue 5, pages 789-805, November, DOI: 10.1111/j.1468-036X.2011.00620.x.
• Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011, "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, volume 40, issue 2, pages 381-407, June.
• Alexander Puetz & Stefan Ruenzi, 2011, "Overconfidence Among Professional Investors: Evidence from Mutual Fund Managers," Journal of Business Finance & Accounting, Wiley Blackwell, volume 38, issue 5-6, pages 684-712, June, DOI: j.1468-5957.2010.02237.x.