Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• Zhong-Guo Zhou, 2010, "The high-volume return premium: evidence from the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 3, pages 295-313, October, DOI: 10.1007/s11156-008-0092-9.
• Lieven Moor & Piet Sercu, 2010, "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, volume 35, issue 4, pages 433-448, November, DOI: 10.1007/s11187-008-9170-6.
• Keunkwan Ryu & Hyun-yeol Shin, 2010, "Liquidity as Price Effect on Time to Sale," Korean Economic Review, Korean Economic Association, volume 26, pages 307-340.
• Ruxandra Vilag & George Horia Ionescu & Mihai Dragos Ungureanu & Stela Aurelia Toader, 2010, "Financial Crisis Propagation," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 2, issue 1, pages 124-139, March.
• Oliver Arentz & Johann Eekhoff & Christine Arentz, 2010, "Zur Finanzmarktkrise: Die Rolle der Immobilienbewertung," IWP Discussion Paper Series, Institute for Economic Policy, Cologne, Germany, number 01/2010, Jan.
• Benjamin Golez & Jens Carsten Jackwerth, 2010, "Pinning in the S&P 500 Futures," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2010-12, Aug.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2010, "Improved Portfolio Choice using Second-Order Stochastic Dominance," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2010-14, Nov.
• Ormos, Mihály & Erdős, Péter & Zibriczky, Dávid, 2010, "Egyenes-e a tőkepiaci árazási modell (CAPM) karakterisztikus és értékpapír-piaci egyenese?
  [Is CAPMs characteristic, security-market line a straight one?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 201-221.
• Chiaki Hara, 2010, "Heterogeneous Beliefs in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 701, Mar.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," KIER Working Papers, Kyoto University, Institute of Economic Research, number 718, Aug.
• Yves Jegourel & Samuel Maveyraud, 2010, "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Larefi Working Papers, Larefi, Université Bordeaux 4, number 201007, Nov.
• Yves Jégourel & Samuel Maveyraud, 2010, "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Larefi Working Papers, Larefi, Université Bordeaux 4, number 1007, Mar.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 10.05, Jun.
• Amit Bhaduri, 2010, "A Contribution to the Theory of Financial Fragility and Crisis," Economics Working Paper Archive, Levy Economics Institute, number wp_593, May.
• Michael Hudson, 2010, "US 'Quantitative Easing' Is Fracturing the Global Economy," Economics Working Paper Archive, Levy Economics Institute, number wp_639, Nov.
• Gann, Philipp, 2010, "Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 11521, Jun.
• Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010, "Equity Premia and State-Dependent Risks," Cahiers de recherche, CIRPEE, number 1019.
• Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010, "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche, CIRPEE, number 1026.
• Tolga Cenesizoglu, 2010, "The Reaction of Stock Returns to News about Fundamentals," Cahiers de recherche, CIRPEE, number 1032.
• Tolga Cenesizoglu, 2010, "Size, Book-to-Market Ratio and Macroeconomic News," Cahiers de recherche, CIRPEE, number 1033.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 1042.
• Jingyuan Li & Georges Dionne, 2010, "A Theoretical Extension of the Consumption-based CAPM Model," Cahiers de recherche, CIRPEE, number 1047.
• Stefan Hlawatsch & Peter Reichling, 2010, "Konstruktion und Anwendung von Copulas in der Finanzwirtschaft," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 100016, Jul.
• Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010, "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, volume 42, issue 1, pages 33-62, February.
• Ioana Alexopoulou & Irina Bunda & Annalisa Ferrando, 2010, "Determinants of Government Bond Spreads in New EU Countries," Eastern European Economics, Taylor & Francis Journals, volume 48, issue 5, pages 5-37, September.
• Marco Antonio Guimaraes Dias & Jose Paulo Teixeira, 2010, "Continuous-Time Option Games: Review of Models and Extensions," Multinational Finance Journal, Multinational Finance Journal, volume 14, issue 3-4, pages 219-254, September.
• Michael Schenk & Frank Ryll, 2010, "Empirically Based Asset Management Decision Support for Reliable and Cost Effective Asset Operation," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, volume 6, issue 02, pages 69-76.
• Aura Elena Peña & Fabio Maldonado Veloza & Norka Judith Viloria Ortega & Rosa Aura Casal Peraza de Altuve, 2010, "Problemas epistemológicos de la valoración en contabilidad Patterns in Neighboring Areas Venezuela," Lúmina. Revista iberoamericana de Contabilidad, Administración y Economía, Facultad de Ciencias Contables, Económicas y Administrativas, Universidad de Manizales., volume 0, issue 11, pages 138-145, Diciembre.
• Carlo Alberto Magni, 2010, "Average Internal Rate of Return and investment decisions: A new perspective," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0021, Feb.
• David Treisman, 2010, "Multiple Regime Shifts: The Influence of ASEAN Politics on Financial Integration within South-East Asia," Monash Economics Working Papers, Monash University, Department of Economics, number 31-10, May.
• Hendrik Hakenes & Zeno Enders, 2010, "On the Existence and Prevention of Asset Price Bubbles," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2010_44, Oct.
• Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2010, "Re-hypothecation of securities," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10025, Mar.
• Moez Abouda & Elyess Farhoud, 2010, "Risk aversion and relationships in model-free," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10041, May.
• Moez Abouda & Elyess Farhoud, 2010, "Anti-comonotone random variables and anti-monotone risk aversion," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10047, Jun.
• Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010, "What determines euro area bank CDS spreads ?," Working Paper Research, National Bank of Belgium, number 190, May.
• Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2010, "Financial Cycles: What? How? When?," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2010".
• Bronwyn H. Hall, 2010, "Measuring the Returns to R&D: The Depreciation Problem," NBER Chapters, National Bureau of Economic Research, Inc, "Contributions in Memory of Zvi Griliches".
• Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010, "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, National Bureau of Economic Research, Inc, "Market Institutions and Financial Market Risk".
• Mark Mitchell & Todd Pulvino, 2010, "Arbitrage Crashes and the Speed of Capital," NBER Chapters, National Bureau of Economic Research, Inc, "Market Institutions and Financial Market Risk".
• John Geanokoplos & Stephen P. Zeldes, 2010, "Market Valuation of Accrued Social Security Benefits," NBER Chapters, National Bureau of Economic Research, Inc, "Measuring and Managing Federal Financial Risk".
• Camilo Mondragón-Vélez & Ximena Peña, 2010, "Business Ownership and Self-Employment in Developing Economies: The Colombian Case," NBER Chapters, National Bureau of Economic Research, Inc, "International Differences in Entrepreneurship".
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2010, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 15668, Jan.
• Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2010, "Rollover Risk and Market Freezes," NBER Working Papers, National Bureau of Economic Research, Inc, number 15674, Jan.
• Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010, "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15688, Jan.
• Efraim Benmelech & Nittai K. Bergman, 2010, "Bankruptcy and the Collateral Channel," NBER Working Papers, National Bureau of Economic Research, Inc, number 15708, Jan.
• Jonathan Berk & Johan Walden, 2010, "Limited Capital Market Participation and Human Capital Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 15709, Jan.
• Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010, "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 15733, Feb.
• Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010, "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers, National Bureau of Economic Research, Inc, number 15734, Feb.
• Holger Kraft & Eduardo S. Schwartz, 2010, "Cash Flow Multipliers and Optimal Investment Decisions," NBER Working Papers, National Bureau of Economic Research, Inc, number 15807, Mar.
• Yacine Aït-Sahalia & Jean Jacod, 2010, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 15808, Mar.
• Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2010, "Corporate Bond Default Risk: A 150-Year Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 15848, Mar.
• Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010, "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 15890, Apr.
• Lucian A. Bebchuk & Alma Cohen & Charles C.Y. Wang, 2010, "Learning and the Disappearing Association Between Governance and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15912, Apr.
• Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010, "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 15920, Apr.
• Robert Novy-Marx, 2010, "The Other Side of Value: Good Growth and the Gross Profitability Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 15940, Apr.
• Jin Ginger Wu & Lu Zhang, 2010, "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," NBER Working Papers, National Bureau of Economic Research, Inc, number 15950, Apr.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010, "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc, number 15988, May.
• Hernán Ortiz-Molina & Gordon M. Phillips, 2010, "Asset Liquidity and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 15992, May.
• Huseyin Gulen & Yuhang Xing & Lu Zhang, 2010, "Value versus Growth: Time-Varying Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15993, May.
• Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010, "Build America Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 16008, May.
• Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010, "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 16035, May.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2010, "Aggregate Idiosyncratic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 16058, Jun.
• Rajnish Mehra, 2010, "Indian Equity Markets: Measures of Fundamental Value," NBER Working Papers, National Bureau of Economic Research, Inc, number 16061, Jun.
• Nikolai Roussanov, 2010, "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 16073, Jun.
• Lubos Pastor & Pietro Veronesi, 2010, "Uncertainty about Government Policy and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 16128, Jun.
• Hui Chen, 2010, "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 16151, Jul.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," NBER Working Papers, National Bureau of Economic Research, Inc, number 16159, Jul.
• Antje Berndt & Burton Hollifield & Patrik Sandås, 2010, "The Role of Mortgage Brokers in the Subprime Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 16175, Jul.
• Larry G. Epstein & Martin Schneider, 2010, "Ambiguity and Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16181, Jul.
• Anisha Ghosh & George M. Constantinides, 2010, "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 16183, Jul.
• Bruce I. Carlin & Shimon Kogan, 2010, "Trading Complex Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16187, Jul.
• Richard Stanton & Nancy Wallace, 2010, "CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009," NBER Working Papers, National Bureau of Economic Research, Inc, number 16206, Jul.
• Ravi Jagannathan & Andrei Jirnyi & Ann Sherman, 2010, "Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms," NBER Working Papers, National Bureau of Economic Research, Inc, number 16214, Jul.
• John Y. Campbell & Stefano Giglio & Christopher Polk, 2010, "Hard Times," NBER Working Papers, National Bureau of Economic Research, Inc, number 16222, Jul.
• Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010, "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers, National Bureau of Economic Research, Inc, number 16223, Jul.
• Jules H. van Binsbergen & Ralph S.J. Koijen, 2010, "Predictive Regressions: A Present-value Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16263, Aug.
• Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak, 2010, "The Market for Borrowing Corporate Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 16282, Aug.
• Steven N. Kaplan & Tobias J. Moskowitz & Berk A. Sensoy, 2010, "The Effects of Stock Lending on Security Prices: An Experiment," NBER Working Papers, National Bureau of Economic Research, Inc, number 16335, Sep.
• Frederico Belo & Chen Xue & Lu Zhang, 2010, "Cross-sectional Tobin's Q," NBER Working Papers, National Bureau of Economic Research, Inc, number 16336, Sep.
• Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010, "Two Monetary Tools: Interest Rates and Haircuts," NBER Working Papers, National Bureau of Economic Research, Inc, number 16337, Sep.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010, "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 16358, Sep.
• Jeffrey Wurgler, 2010, "On the Economic Consequences of Index-Linked Investing," NBER Working Papers, National Bureau of Economic Research, Inc, number 16376, Sep.
• Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010, "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16394, Sep.
• Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2010, "Risk, Uncertainty and Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 16397, Sep.
• Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010, "Countercyclical Currency Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 16427, Sep.
• Lauren Cohen & Christopher Malloy & Lukasz Pomorski, 2010, "Decoding Inside Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 16454, Oct.
• Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2010, "On the Timing and Pricing of Dividends," NBER Working Papers, National Bureau of Economic Research, Inc, number 16455, Oct.
• Stefan Nagel & Kenneth J. Singleton, 2010, "Estimation and Evaluation of Conditional Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 16457, Oct.
• Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2010, "How Does the U.S. Government Finance Fiscal Shocks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16458, Oct.
• Andrew Paciorek & Todd M. Sinai, 2010, "Does Home Owning Smooth the Variability of Future Housing Consumption?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16531, Nov.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2010, "What Does Equity Sector Orderflow Tell Us about the Economy?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16534, Nov.
• Priyank Gandhi & Hanno Lustig, 2010, "Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation," NBER Working Papers, National Bureau of Economic Research, Inc, number 16553, Nov.
• Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria, 2010, "Crisis "Shock Factors" and the Cross-Section of Global Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 16559, Nov.
• James J. Choi & Li Jin & Hongjun Yan, 2010, "What Does Stock Ownership Breadth Measure?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16591, Dec.
• Andrea Frazzini & Lasse H. Pedersen, 2010, "Betting Against Beta," NBER Working Papers, National Bureau of Economic Research, Inc, number 16601, Dec.
• Bruno Biais & Johan Hombert & Pierre-Olivier Weill, 2010, "Trading and Liquidity with Limited Cognition," NBER Working Papers, National Bureau of Economic Research, Inc, number 16628, Dec.
• Anna Pavlova & Roberto Rigobon, 2010, "International Macro-Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 16630, Dec.
• Craig Burnside, 2010, "Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 16634, Dec.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010, "Predictability of Returns and Cash Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 16648, Dec.
• Mehra, Rajnish, 2010, "Indian Equity Markets: Measures of Fundamental Value," India Policy Forum, National Council of Applied Economic Research, volume 6, issue 1, pages 1-38.
• Vasco J. Gabriel & Luis F. Martins, 2010, "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers, NIPE - Universidade do Minho, number 28/2010.
• Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010, "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, volume 5, issue 1–2, pages 1-156, December, DOI: 10.1561/0500000032.
• Tom Engsted & Bent Nielsen, 2010, "Testing for rational bubbles in a co-explosive vector autoregression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2010-W06, Jun.
• Leo Krippner, 2010, "A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2010/11, Dec.
• Adrian Blundell-Wignall & Patrick Slovik, 2011, "A Market Perspective on the European Sovereign Debt and Banking Crisis," OECD Journal: Financial Market Trends, OECD Publishing, volume 2010, issue 2, pages 9-36, DOI: 10.1787/fmt-2010-5kggc0z2hm9r.
• Gert Wehinger, 2011, "Sovereign Debt Challenges for Banking Systems and Bond Markets," OECD Journal: Financial Market Trends, OECD Publishing, volume 2010, issue 2, pages 1-34, DOI: 10.1787/fmt-2010-5kgk9qpp5bg5.
• Gert Wehinger, 2010, "Risks Ahead for the Financial Industry in a Changing Interest Rate Environment," OECD Journal: Financial Market Trends, OECD Publishing, volume 2010, issue 1, pages 67-84, DOI: 10.1787/fmt-2010-5km7k9tp5zhh.
• Aviram Levy & Sebastian Schich, 2010, "The Design of Government Guarantees for Bank Bonds: Lessons from the Recent Financial Crisis," OECD Journal: Financial Market Trends, OECD Publishing, volume 2010, issue 1, pages 35-66, DOI: 10.1787/fmt-2010-5km7k9tp8t40.
• Jesús Crespo Crespo Cuaresma, 2010, "Can Emerging Asset Price Bubbles be Detected?," OECD Economics Department Working Papers, OECD Publishing, number 772, Jun, DOI: 10.1787/5kmdfmztmqtj-en.
• Fenyves Veronika & Tóth Réka & Tarnóczi Tibor, 2010, "Intellectual Capital Valuation Using Monte Carlo Simulation," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 423-429, July.
• Nistor Ioan & Ulici (Ciupac-Ulici) Maria & Schiau (Macavei) Laura Liana, 2010, "Impact Of Financial Crisis On Construction Firm`S Cost Of Capital," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 616-622, December.
• Dedu Vasile & Turcan Radu Olimpiu Calin & Turcan Ciprian Sebastian, 2010, "Behavioral Biases In Trading Securities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 717-722, December.
• Turcan Radu Olimpiu Calin, 2010, "„Black-Scholes Model Used To Evaluate Stocks Options”," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 795-799, December.
• George W. Evans & William A.Branch, 2010, "Monetary Policy and Heterogeneous Expectations," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2010-4, Apr.
• Shoko Morimoto & Mototsugu Shintani, 2010, "Trading volume and serial correlation in stock returns: a threshold regression approach," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-28, Dec.
• Xiaodong Du & Dermot J. Hayes & Cindy L. Yu, 2010, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 93, issue 2, pages 418-425.
• Patrick Gagliardini & Christian Gouriéroux & Alain Monfort, 2010, "Microinformation, Nonlinear Filtering, and Granularity," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 1-53, 2012 10 1.
• Suleyman Basak & Hongjun Yan, 2010, "Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion," The Review of Economic Studies, Review of Economic Studies Ltd, volume 77, issue 3, pages 914-936.
• Jens Hilscher & Yves Nosbusch, 2010, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, volume 14, issue 2, pages 235-262.
• Zhiguang (Gerald) Wang & Prasad V. Bidarkota, 2010, "A Long-Run Risks Model of Asset Pricing with Fat Tails," Review of Finance, European Finance Association, volume 14, issue 3, pages 409-449.
• Viktors Ajevskis & Kristine Vitola, 2010, "A Convergence Model of the Term Structure of Interest Rates," Review of Finance, European Finance Association, volume 14, issue 4, pages 727-747.
• Álvaro Cartea & Thilo Meyer-Brandis, 2010, "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, volume 14, issue 4, pages 749-785.
• John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 1, pages 305-344, January.
• Harjoat S. Bhamra & Lars-Alexander Kuehn & Ilya A. Strebulaev, 2010, "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 2, pages 645-703, February.
• Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010, "Ambiguity in Asset Markets: Theory and Experiment," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1325-1359, April.
• Wei Xiong & Hongjun Yan, 2010, "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1433-1466, April.
• William A. Branch & George W. Evans, 2010, "Asset Return Dynamics and Learning," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1651-1680, April.
• Harald Hau & Massimo Massa & Joel Peress, 2010, "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1681-1717, April.
• Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010, "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 5, pages 2139-2183.
• Lieven Baele, 2010, "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 6, pages 2374-2428, June.
• Georg Kaltenbrunner & Lars A. Lochstoer, 2010, "Long-Run Risk through Consumption Smoothing," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 8, pages 3190-3224, August.
• David Hirshleifer & Danling Jiang, 2010, "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 9, pages 3401-3436.
• CONSTANTIN Laura-Gabriela & CERNAT-GRUICI Bogdan & IAMANDI Irina-Eugenia, 2010, "An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1494-1499, May.
• Barna Flavia & Danuletiu Dan, 2010, "The Effects of Financial Crisis on the Behaviour of Investors on the Romanian Capital Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 26-30, October.
• Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010, "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 10, issue 1, pages 73-98, December.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2010, "On the Size of the Active Management Industry," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7637, Jan.
• Huberman, Gur & Guasoni, Paolo & Wang, Zhenyu, 2010, "Performance Maximization of Actively Managed Funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7676, Feb.
• Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7686, Feb.
• Uppal, Raman & Boyle, Phelim & Wang, Tan & Garlappi, Lorenzo, 2010, "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7687, Feb.
• Rydqvist, Kristian, 2010, "Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7767, Mar.
• Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010, "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7781, Apr.
• Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg, 2010, "The Price of Liquidity: Bank Characteristics and Market Conditions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7794, Apr.
• Wolfers, Justin & Snowberg, Erik, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7801, May.
• Gerlach, Stefan & Wolff, Guntram B. & Schulz, Alexander, 2010, "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7833, May.
• Albuquerque, Rui, 2010, "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7896, Jun.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2010, "Uncertainty about Government Policy and Stock Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7897, Jun.
• Nyborg, Kjell & Östberg, Per, 2010, "Money and Liquidity in Financial Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7905, Jun.
• Michaelides, Alexander & Gomes, Francisco & ,, 2010, "Quantifying the Distortionary Fiscal Cost of ?The Bailout?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7941, Aug.
• Sentana, Enrique & Peñaranda, Francisco, 2010, "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7943, Aug.
• Pedersen, Lasse Heje & Ashcraft, Adam & Garleanu, Nicolae Bogdan, 2010, "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8000, Sep.
• Wright, Jonathan & Gürkaynak, Refet, 2010, "Macroeconomics and the Term Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8018, Sep.
• Ellul, Andrew & Giannetti, Mariassunta & Cella, Cristina, 2010, "Investors' horizons and the Amplification of Market Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8083, Oct.
• Ehrmann, Michael & Fratzscher, Marcel & Born, Benjamin, 2010, "Macroprudential policy and central bank communication," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8094, Nov.
• Imbs, Jean & Favara, Giovanni, 2010, "Credit Supply and the Price of Housing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8129, Dec.
• Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2010, "Aggregate Idiosyncratic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8149, Dec.
• Bekaert, Geert & Engstrom, Eric, 2010, "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8150, Dec.
• Bekaert, Geert & Lo Duca, Marco & Hoerova, Marie, 2010, "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8154, Dec.
• Gerrit Reher & Bernd Wilfling, 2010, "An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1010, Jan.
• Friedrich Geiecke & Mark Trede, 2010, "A Direct Test of Rational Bubbles," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1310, Mar.
• Marie Lambert & George Hübner, 2010, "How to Construct Fundamental Risk Factors?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 10-01.
• Marie Lambert & George Hübner, 2010, "Comoment Risk and Stock Returns," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 10-02.
• Patrick GAGLIARDINI & Christian GOURIEROUX, 2010, "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers, Center for Research in Economics and Statistics, number 2010-05.
• Alain Monfort & Jean-Paul Renne, 2010, "Default, Liquidity and Crises : An Econometric Framework," Working Papers, Center for Research in Economics and Statistics, number 2010-46.
• Alain MONFORT & Fulvio PEGORARO, 2010, "Asset Pricing with Second-Order Esscher Transforms," Working Papers, Center for Research in Economics and Statistics, number 2010-54.
• Cartea, Álvaro, 2010, "Derivatives pricing with marked point processes using Tick-by-tick data," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb101604, Apr.
• Mayordomo, Sergio & Peña, Juan Ignacio & Schwartz, Eduardo S., 2010, "Are all Credit Default Swap databases equal?," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb104621, Nov.
• Corgnet, Brice & Kujal, Praveen & Porter, David, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we101204, Mar.
• Corgnet, Brice & Kujal, Praveen & Porter, David, 2010, "Reaction to public information in asset markets: does ambiguity matter?," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1025, Oct.
• Iori, G. & Tedeschi, G., 2010, "Herding effects in order driven markets: The rise and fall of gurus," Working Papers, Department of Economics, City St George's, University of London, number 10/05.
• Yongli Zhang, 2010, "Fluctuations of Real Interest Rates and Business Cycles," Annals of Economics and Finance, Society for AEF, volume 11, issue 1, pages 185-208, May.
• Nengjiu Ju & Jianjun Miao, 2010, "Ambiguity, Learning, and Asset Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 438, Nov.
• Bignon, Vincent & Miscio, Antonio, 2010, "Media bias in financial newspapers: evidence from early twentieth-century France," European Review of Economic History, Cambridge University Press, volume 14, issue 3, pages 383-432, December.
• Veraart, Almut E.D., 2010, "Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales," Econometric Theory, Cambridge University Press, volume 26, issue 2, pages 331-368, April.
• Urcola, Hernán A. & Irwin, Scott H., 2010, "Hog Options: Contract Redesign and Market Efficiency," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 42, issue 4, pages 773-790, November.
• Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010, "How Does Liquidity Affect Government Bond Yields?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 45, issue 1, pages 107-134, February.
• Fogarty, James J., 2010, "Wine Investment and Portfolio Diversification Gains," Journal of Wine Economics, Cambridge University Press, volume 5, issue 1, pages 119-131, April.
• Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2010, "Leverage Causes Fat Tails and Clustered Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1745, Jan.
• Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2010, "Leverage Causes Fat Tails and Clustered Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1745R, Jan, revised Nov 2011.
• John Geanakoplos, 2010, "Solving the Present Crisis and Managing the Leverage Cycle," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1751, Jan.
• Ana Fostel & John Geanakoplos, 2010, "Why Does Bad News Increase Volatility and Decrease Leverage?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1762, Jul.
• Ana Fostel & John Geanakoplos, 2010, "Why Does Bad News Increase Volatility and Decrease Leverage?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1762R, Jul, revised Jan 2011.
• Ana Fostel & John Geanakoplos, 2010, "Why Does Bad News Increase Volatility and Decrease Leverage?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1762RR, Jul, revised Aug 2011.