Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• Mihaela NICOLAU, 2010, "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
• Kerstin Bernoth, 2010, "Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 79, issue 4, pages 103-118, DOI: 10.3790/vjh.79.4.103.
• Kerstin Bernoth & Burcu Erdogan, 2010, "Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 77, issue 51/52, pages 12-18.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010, "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1077.
• Kerstin Bernoth & Burcu Erdogan, 2010, "Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1078.
• Christian Dreger & Yanqun Zhang, 2010, "Is There a Bubble in the Chinese Housing Market?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1081.
• Georges Prat, 2010, "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-22.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2010, "Floating European football clubs in the stock market," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-24.
• Viktor Todorov & George Tauchen, 2010, "Volatility Jumps," Working Papers, Duke University, Department of Economics, number 10-09.
• Ivan Shaliastovich & George Tauchen, 2010, "Pricing of the Time-Change Risks," Working Papers, Duke University, Department of Economics, number 10-10.
• Tim Bollerslev & Viktor Todorov, 2010, "Tails, Fears and Risk Premia," Working Papers, Duke University, Department of Economics, number 10-33.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2010, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-34.
• Tim Bollerslev & Viktor Todorov, 2010, "Estimation of Jump Tails," Working Papers, Duke University, Department of Economics, number 10-37.
• Francesco Bianchi, 2010, "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," Working Papers, Duke University, Department of Economics, number 10-40.
• A. Craig Burnside, 2010, "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment," Working Papers, Duke University, Department of Economics, number 10-43.
• A. Craig Burnside, 2010, "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," Working Papers, Duke University, Department of Economics, number 10-45.
• Han Hong & Ahmed Khwaja & A. Ronald Gallant, 2010, "Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry," Working Papers, Duke University, Department of Economics, number 10-59.
• Viktor Todorov & George Tauchen, 2010, "The Realized Laplace Transform of Volatility," Working Papers, Duke University, Department of Economics, number 10-72.
• Viktor Todorov & Iaryna Grynkiv & George Tauchen, 2010, "Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models," Working Papers, Duke University, Department of Economics, number 10-75.
• Eric M. Aldrich & Howard Kung, 2010, "Computational Methods for Production-Based Asset Pricing Models with Recursive Utility," Working Papers, Duke University, Department of Economics, number 10-90.
• Ariane Szafarz, 2010, "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles, number 10-01.RS..
• Huang Yiping & Wang Xun & Hua Xiuping, 2010, "What Determine China’s Inflation?," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22770, Jan.
• Fernandez, Pablo & del Campo, Javier, 2010, "Rentabilidad y creación de valor de 125 empresas españolas en 2009," IESE Research Papers, IESE Business School, number D/841, Jan.
• Fernandez, Pablo, 2010, "Tres sentencias con tremendos errores sobre valoración," IESE Research Papers, IESE Business School, number D/842, Jan.
• Fernandez, Pablo & del Campo, Javier, 2010, "Ranking de gestoras de fondos de inversión en España. 1994-2009," IESE Research Papers, IESE Business School, number D/847, Mar.
• Fernandez, Pablo & del Campo, Javier, 2010, "Rentabilidad de los fondos de inversión en España. 1991-2009," IESE Research Papers, IESE Business School, number D/848, Mar.
• Thiago de Oliveira Souza, 2010, "Strategic Asset Allocation with Heterogeneous Beliefs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-042, Dec.
• Geert Bekaert & Marie Hoerova, 2010, "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, volume 10, pages 11-13.
• Wu, Jin (Ginger) & Zhang, Lu, 2010, "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2010-18, Oct.
• Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2010, "The Implied Cost of Capital: A New Approach," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2010-4, Feb.
• Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2010, "Institutional Ownership, Analyst Following and Share Prices," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-07, Feb.
• Acharya, Viral & Gale, Douglas & Yorulmazer, Tanju, 2010, "Rollover Risk and Market Freezes," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-11, Oct.
• Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010, "Option Anomalies and the Pricing Kernel," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-17, Jun.
• Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010, "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-18, Jul.
• Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2010, "Is the Potential for International Diversification Disappearing?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-20, Nov.
• Branch, William A. & Evans, George W., 2010, "Monetary Policy and Heterogeneous Expectations," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-32.
• Branch, William A. & Evans, George W., 2010, "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-33.
• Arghyrou, Michael G. & Kontonikas, Alexandros, 2010, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-81.
• Kontonikas, Alexandros & Kostakis, Alexandros, 2010, "On monetary policy and stock market anomalies," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-103.
• Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010, "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, volume 21, issue 1, pages 190-201, March.
• Lux, Thomas & Morales-Arias, Leonardo, 2010, "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2676-2692, November.
• De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010, "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 10, pages 2056-2073, October.
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010, "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 11, pages 2273-2287, November.
• Li, Minqiang, 2010, "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 2, pages 132-157, February.
• Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010, "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 5, pages 913-931, May.
• De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010, "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 9, pages 1680-1699, September.
• Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010, "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, volume 27, issue 5, pages 1043-1053, September.
• Büttner, David & Hayo, Bernd, 2010, "News and correlations of CEEC-3 financial markets," Economic Modelling, Elsevier, volume 27, issue 5, pages 915-922, September.
• Christiansen, Charlotte, 2010, "Mean reversion in US and international short rates," The North American Journal of Economics and Finance, Elsevier, volume 21, issue 3, pages 286-296, December.
• Gollier, Christian & Weitzman, Martin L., 2010, "How should the distant future be discounted when discount rates are uncertain?," Economics Letters, Elsevier, volume 107, issue 3, pages 350-353, June.
• Fajardo, José & Lacerda, Ana, 2010, "Statistical arbitrage with default and collateral," Economics Letters, Elsevier, volume 108, issue 1, pages 81-84, July.
• ap Gwilym, Rhys, 2010, "Can behavioral finance models account for historical asset prices?," Economics Letters, Elsevier, volume 108, issue 2, pages 187-189, August.
• 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.
• Mohamed Ali Trabelsi, 2010, "Overreaction and portfolio‐selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing Limited, volume 11, issue 3, pages 310-322, May, DOI: 10.1108/15265941011043675.
• Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010, "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-11, Feb.
• Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010, "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-37, May.
• Morten Balling, Jan Marc Berk and Marc-Olivier Strauss-Kahn (ed.), 2010, "The Quest for Stability: the view of financial institutions," SUERF Studies, SUERF - The European Money and Finance Forum, number 2010/3, ISBN: ARRAY(0xa4c09ce8), May.
• Mohamed El Hedi Arouri & Christophe Rault, 2010, "On The Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," Working Papers, Economic Research Forum, number 538, Jan, revised 08 Jan 2010.
• Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS, 2010, "Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 129-142.
• Nicolae Marinescu & Monica Raileanu Szeles, 2010, "A Comparative Analysis of Romanian and Greek Exports in the Process of EU-Integration," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 113-124.
• Hans DEWACHTER & Priscilla TOFFANO, 2010, "Fiscal activism and the cost of debt financing," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces10.13, Apr.
• Anna Iara & Guntram B. Wolff, 2010, "Rules and risk in the euro area: does rules-based national fiscal governance contain sovereign bond spreads?," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 433, Dec.
• Staffan Linden, 2010, "The Price and Risk Effects of Option Introductions on the Nordic Markets," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 434, Dec.
• Hiroaki Ohno, 2010, "Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 4, issue 2, pages 168-188, June.
• Francisco J. De Pena & Carlos Forner & Germán López-Espinosa, 2010, "Fundamentals and the Origin of Fama-French Factors: The Case of the Spanish Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 5, pages 426-446, December.
• Jiri Novak & Dalibor Petr, 2010, "CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 5, pages 447-460, December.
• Hsu-Ling Chang & Chi-Wei Su, 2010, "The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 534-544, December.
• Petra Kolouchová & Jirí Novák, 2010, "Cost of Equity Estimation Techniques Used by Valuation Experts," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/08, May, revised May 2010.
• Jinbin Wang & Nan Li, 2010, "Exchange Rate Pass-Through: The Case of China," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 356-374, September.
• Jingtao Yi, 2010, "China’s Equilibrium Exchange Rate Dynamics 1994–2004: A Cointegration Analysis," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 375-392, September.
• Cristiana Cerqueira Leal, Manuel J. Rocha Armada, João L. C. Duque, 2010, "Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 38-68, October.
• Brian Baturevich, Gulnur Muradoglu, 2010, "Would You Follow MM or a Profitable Trading Strategy?," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 69-89, October.
• José Fillat & Stefania Garetto, 2010, "Risk, returns, and multinational production," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU10-5.
• Martin Saldias Zambrana, 2010, "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1005, DOI: 10.26509/frbc-wp-201005.
• Athanasios Orphanides & Min Wei, 2010, "Evolving macroeconomic perceptions and the term structure of interest rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-01.
• Stefania D'Amico & Don H. Kim & Min Wei, 2010, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-19.
• Song Han & Dan Li, 2010, "The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-50.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010, "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers, Federal Reserve Bank of St. Louis, number 2010-008, DOI: 10.20955/wp.2010.008.
• Christopher J. Neely, 2010, "The large scale asset purchases had large international effects," Working Papers, Federal Reserve Bank of St. Louis, number 2010-018, DOI: 10.20955/wp.2010.018.
• Michael J. Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2010, "A Time-Varying Threshold STAR Model with Applications," Working Papers, Federal Reserve Bank of St. Louis, number 2010-029, revised 10 Aug 2022, DOI: 10.20955/wp.2010.029.
• Mark Huggett & Greg Kaplan, 2010, "Human capital values and returns: bounds implied by earnings and asset returns data," Staff Report, Federal Reserve Bank of Minneapolis, number 448.
• Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010, "Repo market effects of the Term Securities Lending Facility," Staff Reports, Federal Reserve Bank of New York, number 426.
• Paolo Guasoni & Gur Huberman & Zhenyu Wang, 2010, "Performance maximization of actively managed funds," Staff Reports, Federal Reserve Bank of New York, number 427.
• Suresh Sundaresan & Zhenyu Wang, 2010, "Design of contingent capital with a stock price trigger for mandatory conversion," Staff Reports, Federal Reserve Bank of New York, number 448, May.
• Satyajit Chatterjee & Burcu Eyigungor, 2010, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 10-12.
• Simone Salotti & Luigi Marattin, 2010, "The Euro-dividend: public debt and interest rates in the Monetary Union," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2010-04, Feb.
• Miguel Anton, & Christopher Polk, 2010, "Connected Stocks," FMG Discussion Papers, Financial Markets Group, number dp651, Mar.
• Mark Huggett and Greg Kaplan, 2010, "Human Capital Values and Returns:Bounds Implied By Earnings and Asset Returns Data," Working Papers, Georgetown University, Department of Economics, number gueconwpa~10-10-02, Jul.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 17-2010, Jun.
• Michael G. Arghyrou & Alexandros Kontonikas, 2010, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Working Papers, Business School - Economics, University of Glasgow, number 2010_25, Sep.
• Alexandros Kontonikas & Alexandros Kostakis, 2010, "On monetary policy and stock market anomalies," Working Papers, Business School - Economics, University of Glasgow, number 2010_29, Nov.
• Ana Cunha & José Moreira, 2010, "Relevância informativa das Despesas de Investigação e Desenvolvimento: um estudo para o caso português," Notas Económicas, Faculty of Economics, University of Coimbra, issue 31, pages 06-23, June.
• Bin Li & Benjamin Liu & Eduardo Roca, 2010, "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201011, Nov.
• Zoltam Murgulov & Eduardo Roca, 2010, "Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201013.
• Mei Li & Frank Milne, 2010, "A Large Trader in Bubbles and Crashes: an Application to Currency Attacks," Working Papers, University of Guelph, Department of Economics and Finance, number 1004, Jan.
• Ana Fostel & John Geanakoplos, 2010, "Why does Bad News Increase Volatility and Decrease Leverage?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2010-18, Jun.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Dominique Guegan & Jing Zhang, 2010, "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00368334, Apr, DOI: 10.1080/14697680902933041.
• Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2010, "Re-hypotecation of securities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00476004, Mar.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Post-Print, HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Ruslan Bikbov & Mikhail Chernov, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Post-Print, HAL, number hal-00732517, Sep, DOI: 10.1016/j.jeconom.2010.05.004.
• Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010, "Asset pricing implications of a new keynesian model," Post-Print, HAL, number hal-00732761, Sep, DOI: 10.1016/j.jedc.2010.05.012.
• Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010, "Behavioral heterogeneity in the option market," Post-Print, HAL, number hal-00736742, Sep, DOI: 10.1016/j.jedc.2010.05.009.
• Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010, "La TVA Sociale : Bonne ou Mauvaise Idée ?," Post-Print, HAL, number hal-01612720.
• Brice Corgnet & Praveen Kujal & David Porter, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," Post-Print, HAL, number hal-02311959, Nov, DOI: 10.1016/j.jebo.2010.06.014.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Sciences Po Economics Publications (main), HAL, number hal-01069440, Sep.
• Mohamed El Hedi Arouri & Christophe Rault, 2010, "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Working Papers, HAL, number hal-00507825, Aug.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Working Papers, HAL, number hal-00554216, 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?," Working Papers, HAL, number hal-00646542, Mar.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Working Papers, HAL, number hal-01069440, Sep.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2010, "Floating European football clubs in the stock market," Working Papers, HAL, number hal-04140902.
• Hubert de La Bruslerie & Jessica Fouilloux, 2010, "Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model," Working Papers, HAL, number halshs-00536924.
• Elyès Jouini & Clotilde Napp, 2010, "Gurus and beliefs manipulation," Working Papers, HAL, number halshs-00555609, Dec.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2010, "Inflation, Human Capital and Tobin's q," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1017, Sep.
• Johansson, Anders C., 2010, "Stock and Bond Relationships in Asia," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2010-14, Apr.
• Lundtofte, Frederik & Leoni, Patrick, 2010, "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers, Lund University, Department of Economics, number 2010:8, Jul, revised 30 May 2012.
• Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2010, "Strategic Insider Trading Equilibrium: A Filter Theory Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2010/9, Aug.
• De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010, "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 236, Jan.
• Rydqvist, Kristian, 2010, "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series, Institute for Financial Research, number 70, Apr.
• Lu, Ching-Chih & Chollete, Loran, 2010, "Bankruptcy and the size effect," UiS Working Papers in Economics and Finance, University of Stavanger, number 2010/6, Nov.
• Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin, 2010, "Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil," Working Papers, Hong Kong Monetary Authority, number 1001, Apr.
• Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang, 2010, "Are House Prices Rising Too Fast in China?," Working Papers, Hong Kong Monetary Authority, number 1008, Dec.
• Eric Girardin & Dijun Tan & Woon K. Wong, 2010, "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers, Hong Kong Institute for Monetary Research, number 022010, Jan.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2010, "Human Capital, Endogenous Information Acquisition,and Home Bias in Financial Markets," Working Papers, Hong Kong Institute for Monetary Research, number 202010, Jul.
• Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010, "Home Bias in Currency Forecasts," Working Papers, Hong Kong Institute for Monetary Research, number 272010, Oct.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," Working Papers, Hong Kong Institute for Monetary Research, number 282010, Nov.
• Yu-chin Chen & Kwok Ping Tsang, 2010, "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers, Hong Kong Institute for Monetary Research, number 292010, Nov.
• Christian Fahrholz & Roman Goldbach, 2010, "Burying the Stability Pact: The Reanimation of Default Risk in the Euro Area," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 10-2010, Jun.
• Ishikawa, Ryuichiro & Kudoh, Noritaka, 2010, "Beauty Contests and Asset Prices under Asymmetric Information," Discussion paper series. A, Graduate School of Economics and Business Administration, Hokkaido University, number 218, Jan.
• Gollier, Christian & Weitzman, Martin L., 2010, "How should the distant future be discounted when discount rates are uncertain?," Scholarly Articles, Harvard University Department of Economics, number 33373345.
• Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles, Harvard University Department of Economics, number 9887622.
• Erie Febrian & Aldrin Herwany, 2010, "The Performance Of Asset Pricing Models Before, During, And After An Emerging Market Financial Crisis: Evidence From Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 1, pages 85-97.
• Yin-Ching Jan & Su-Ling Chiu, 2010, "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 3, pages 79-91.
• Stoyu I. Ivanov, 2010, "Discretionary Deletions From The S&P 500 Index: Evidence On Forecasted And Realized Earnings," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 1-9.
• Dirk Swagerman & Ivan Novakovic, 2010, "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 23-42.
• Eduardo Sandoval & Angelo Benvenuto, 2010, "Es El Riesgo Cambiario Preciado En El Mercado Accionario Chileno? Un Estudio Empirico Basado En La Teoria De Precios Por Arbitraje," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 1-27.
• Jozef Glova, 2010, "Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates," Economic Analysis, Institute of Economic Sciences, volume 43, issue 1-2, pages 44-49.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 636, Jun.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010, "Trading and Liquidity with Limited Cognition," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 665, Dec.
• Aslı YÜKSEL & Aydın YÜKSEL & Mete DOĞANAY, 2010, "İstanbul Menkul Kıymetler Borsası’nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 293, pages 69-94.
• Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010, "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 295, pages 21-45.
• Charlotte Christiansen, 2010, "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 105-122, DOI: 10.1002/ijfe.385.