Research classified by Journal of Economic Literature (JEL) codes

2010

• Moore, Michael J. & Roche, Maurice J., 2010, "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, volume 29, issue 6, pages 1151-1170, October.
• Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010, "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1237-1255, November.
• Schrimpf, Andreas, 2010, "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1256-1282, November.
• Menkhoff, Lukas & Schmeling, Maik, 2010, "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1283-1302, November.
• Nitschka, Thomas, 2010, "Cashflow news, the value premium and an asset pricing view on European stock market integration," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1406-1423, November.
• Sonnemans, Joep & Tuinstra, Jan, 2010, "Positive expectations feedback experiments and number guessing games as models of financial markets," Journal of Economic Psychology, Elsevier, volume 31, issue 6, pages 964-984, December.
• Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010, "Market selection of constant proportions investment strategies in continuous time," Journal of Mathematical Economics, Elsevier, volume 46, issue 2, pages 248-266, March.
• Brito, Paulo & Dilão, Rui, 2010, "Equilibrium price dynamics in an overlapping-generations exchange economy," Journal of Mathematical Economics, Elsevier, volume 46, issue 3, pages 343-355, May.
• Galvani, Valentina & Troitsky, Vladimir G., 2010, "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, volume 46, issue 4, pages 616-619, July.
• Uhlig, Harald, 2010, "A model of a systemic bank run," Journal of Monetary Economics, Elsevier, volume 57, issue 1, pages 78-96, January.
• Bekaert, Geert & Engstrom, Eric, 2010, "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, volume 57, issue 3, pages 278-294, April.
• Shin, Sangheon & Soydemir, Gökçe, 2010, "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, volume 20, issue 4-5, pages 214-234, December.
• Johansson, Anders C., 2010, "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, volume 18, issue 4, pages 335-350, September.
• Saleem, Kashif & Vaihekoski, Mika, 2010, "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, volume 19, issue 4, pages 686-697, October.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010, "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, volume 24, issue 2, pages 146-157, June.
• Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2010, "The price impact of institutional herding," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119088, Dec.
• Anton, Miguel & Polk, Christopher, 2010, "Connected stocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43098, Mar.
• Chabakauri, Georgy, 2010, "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43142, Mar.
• Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010, "Conditional beta pricing models: A nonparametric approach," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Erich Kirchler & Boris Maciejovsky & Martin Weber, 2010, "Framing Effects, Selective Information and Market Behavior: An Experimental Analysis," Chapters, Edward Elgar Publishing, chapter 1, in: Brian Bruce, "Handbook of Behavioral Finance".
• Michail Anthropelos & Gordan Žitković, 2010, "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, volume 6, issue 1, pages 107-135, January, DOI: 10.1007/s10436-009-0134-x.
• Christophe Chamley, 2010, "Strategic complementarity of information in financial markets with large shocks," Annals of Finance, Springer, volume 6, issue 1, pages 137-145, January, DOI: 10.1007/s10436-009-0130-1.
• Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010, "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, volume 6, issue 2, pages 157-191, March, DOI: 10.1007/s10436-008-0110-x.
• Marianna Brunetti & Costanza Torricelli, 2010, "Demographics and asset returns: does the dynamics of population ageing matter?," Annals of Finance, Springer, volume 6, issue 2, pages 193-219, March, DOI: 10.1007/s10436-008-0114-6.
• Jan Wenzelburger, 2010, "The two-fund separation theorem revisited," Annals of Finance, Springer, volume 6, issue 2, pages 221-239, March, DOI: 10.1007/s10436-009-0144-8.
• José Fajardo, 2010, "Behavioral arbitrage with collateral and uncertain deliveries," Annals of Finance, Springer, volume 6, issue 2, pages 241-254, March, DOI: 10.1007/s10436-009-0135-9.
• Shino Takayama, 2010, "A dynamic strategy of the informed trader with market manipulation," Annals of Finance, Springer, volume 6, issue 2, pages 287-294, March, DOI: 10.1007/s10436-009-0140-z.
• Kim Sawyer & André Gygax & Matthew Hazledine, 2010, "Pricing errors and estimates of risk premia in factor models," Annals of Finance, Springer, volume 6, issue 3, pages 391-403, July, DOI: 10.1007/s10436-008-0116-4.
• Andreas Reschreiter, 2010, "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, volume 6, issue 4, pages 537-554, October, DOI: 10.1007/s10436-010-0148-4.
• Guglielmo Caporale & Mario Cerrato, 2010, "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, volume 35, issue 3, pages 235-244, March, DOI: 10.1007/s10614-009-9172-8.
• Helena Veiga & Marc Vorsatz, 2010, "Information aggregation in experimental asset markets in the presence of a manipulator," Experimental Economics, Springer;Economic Science Association, volume 13, issue 4, pages 379-398, December, DOI: 10.1007/s10683-010-9247-3.
• Xiaoquan Jiang, 2010, "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 2, pages 107-135, June, DOI: 10.1007/s11408-009-0122-1.
• Victoria Galsband, 2010, "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 327-351, December, DOI: 10.1007/s11408-010-0140-z.
• Carlos Castro, 2010, "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 353-393, December, DOI: 10.1007/s11408-010-0143-9.
• Matthias Pfister & Rico Wyss, 2010, "Delistings of secondary listings: price and volume effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 395-418, December, DOI: 10.1007/s11408-010-0141-y.
• Michael Bleaney & R. Smith, 2010, "Managerial skill and closed-end fund discounts," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 4, pages 441-451, December, DOI: 10.1007/s11408-010-0144-8.
• Javier Gil-Bazo & Pablo Ruiz-Verdú & André Santos, 2010, "The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies," Journal of Business Ethics, Springer, volume 94, issue 2, pages 243-263, June, DOI: 10.1007/s10551-009-0260-4.
• Andreas Behr & Ulrich Pötter, 2010, "What determines wage differentials across the EU?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, volume 8, issue 1, pages 101-120, March, DOI: 10.1007/s10888-008-9106-z.
• Anthony Pennington-Cross, 2010, "The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing," The Journal of Real Estate Finance and Economics, Springer, volume 40, issue 2, pages 109-129, February, DOI: 10.1007/s11146-008-9124-4.
• Robert Jarrow, 2010, "Convenience yields," Review of Derivatives Research, Springer, volume 13, issue 1, pages 25-43, April, DOI: 10.1007/s11147-009-9042-5.
• Frank Zhang, 2010, "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, volume 13, issue 2, pages 101-124, July, DOI: 10.1007/s11147-009-9046-1.
• Gabriel Drimus, 2010, "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, volume 13, issue 2, pages 125-140, July, DOI: 10.1007/s11147-009-9045-2.
• Masayuki Ikeda, 2010, "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, volume 13, issue 3, pages 297-332, October, DOI: 10.1007/s11147-010-9051-4.
• Chuang-Chang Chang & Jun-Biao Lin, 2010, "The valuation of multivariate contingent claims under transformed trinomial approaches," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 1, pages 23-36, January, DOI: 10.1007/s11156-009-0121-3.
• Hsuan-Chi Chen & Wen-Chung Guo, 2010, "Divergence of opinion and initial public offerings," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 1, pages 59-79, January, DOI: 10.1007/s11156-009-0125-z.
• Kathleen Fuller & Bonnie Ness & Robert Ness, 2010, "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 301-312, April, DOI: 10.1007/s11156-009-0131-1.
• Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010, "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 383-411, April, DOI: 10.1007/s11156-009-0136-9.
• Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010, "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 413-438, May, DOI: 10.1007/s11156-009-0130-2.
• Zhong-guo Zhou & Janet Zhou, 2010, "Chinese IPO activity, pricing, and market cycles," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 483-503, May, DOI: 10.1007/s11156-009-0147-6.
• Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010, "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 1, pages 47-70, July, DOI: 10.1007/s11156-009-0143-x.
• Keith Lam & Frank Li & Simon So, 2010, "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 1, pages 89-111, July, DOI: 10.1007/s11156-009-0151-x.
• Lawrence Fisher & Daniel Weaver & Gwendolyn Webb, 2010, "Removing biases in computed returns," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 2, pages 137-161, August, DOI: 10.1007/s11156-009-0161-8.
• Frank Reilly & David Wright & James Gentry, 2010, "An analysis of credit risk spreads for high yield bonds," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 2, pages 179-205, August, DOI: 10.1007/s11156-009-0162-7.
• 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 Sandas, 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 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.
• Hachicha, Nizar, 2010, "New sight of herding behavioural through trading volume," Economics Discussion Papers, Kiel Institute for the World Economy, number 2010-11.
• Stein, Jerome L., 2010, "Alan Greenspan, the quants and stochastic optimal control," Economics Discussion Papers, Kiel Institute for the World Economy, number 2010-17.
• Freeman, Mark C., 2010, "Yes, we should discount the far-distant future at its lowest possible rate: A resolution of the Weitzman-Gollier puzzle," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 4, pages 1-21, DOI: 10.5018/economics-ejournal.ja.2010-.
• Herwartz, Helmut & Morales-Arias, Leonardo, 2010, "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers, Kiel Institute for the World Economy, number 1581.
• Reicher, Christopher Phillip, 2010, "Credit bubbles and land bubbles," Kiel Working Papers, Kiel Institute for the World Economy, number 1635.
• Morales-Arias, Leonardo & Dross, Alexander, 2010, "Adaptive forecasting of exchange rates with panel data," Kiel Working Papers, Kiel Institute for the World Economy, number 1656.
• Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010, "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-010.
• Horst, Ulrich & Naujokat, Felix, 2010, "Illiquidity and derivative valuation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-011.
• Härdle, Wolfgang Karl & Trück, Stefan, 2010, "The dynamics of hourly electricity prices," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-013.
• Grith, Maria & Härdle, Wolfgang Karl & Schienle, Melanie, 2010, "Nonparametric estimation of risk-neutral densities," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-021.
• Guo, Mengmeng & Härdle, Wolfgang Karl, 2010, "Adaptive interest rate modelling," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-029.
• Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010, "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-039.
• Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010, "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-041.
• Grith, Maria & Krätschmer, Volker, 2010, "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-045.
• Breuer, Wolfgang & Gürtler, Marc, 2010, "Implied rates of return, the discount rate effect, and market risk premia," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF33V3.