Research classified by Journal of Economic Literature (JEL) codes

2010

• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-6, Nov.
• Chae-Shick Chung, 2010, "The Role and Magnitude of Order Flows in Seoul Foreign Market," East Asian Economic Review, Korea Institute for International Economic Policy, volume 14, issue 1, pages 237-260, DOI: 10.11644/KIEP.JEAI.2010.14.1.214.
• A. Mansur M. Masih & Vicky Ryan, 2010, "An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: s," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 63, issue 3, pages 329-359.
• Rien Wagenvoort & Sanne Zwart, 2010, "Uncovering the Common Risk Free Rate in the European Monetary Union," Economic and Financial Reports, European Investment Bank, Economics Department, number 2010/5, Sep.
• Joachim Lang & Reinhard Madlener, 2010, "Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 1/2010, Feb.
• Enno Bellmann & Joachim Lang & Reinhard Madlener, 2010, "Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 13/2010, Sep.
• Hans Blommestein, 2010, "Risk Management after the Great Crash," Journal of Financial Transformation, Capco Institute, volume 28, pages 1-19.
• Jerome Stein, 2010, "A critique of Alan Greenspan’s retrospective on the crisis," Journal of Financial Transformation, Capco Institute, volume 30, pages 9-21.
• Sinisa Bogdan & Suzana Baresa & Sasa Ivanovic, 2010, "Portfolio Analysis Based On The Example Of Zagreb Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 1, issue 1, pages 39-52.
• Su, Chi Wei & Chang, Hsu Ling, 2010, "Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 165-175, July.
• Cristian PAUN & Stefan UNGUREANU, 2010, "Managerial Approach of International Initial Public Offerings Valuation," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 905-915, December.
• Mahdi SALEHI & Saeid Jabarzadeh KANGARLOUEI, 2010, "An Investigation of the Effect of Audit Quality on Accrual Reliability of Listed Companies on Tehran Stock Exchange," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 940-960, December.
• Karl E. Case & John Cotter & Stuart A. Gabriel, 2010, "Housing risk and return : evidence from a housing asset-pricing model," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2562, May.
• Maurice J. Roche & Michael J. Moore, 2010, "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers, Toronto Metropolitan University, Department of Economics, number 015, May.
• Aksel Sundström & Amanda Linell & Edwin Muchapondwa & Herbert Ntuli & Martin Sjöstedt & Sverker C. Jagers, 2019, "Skills, employment, strong local institutions and good relationships between people and parks can counter subsistence poaching," ERSA Working Paper Series, Economic Research Southern Africa, number 198, Sep.
• Mieczyslaw Kowerski, 2010, "The Analysis of an Investment Risk Within Emerging Capital Markets. The Case of the Warsaw Stock Exchange," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue 4, pages 1-23, December.
• Wiktor Cwynar, 2010, "INDEKS QUASI-BETA: WYKORZYSTANIE WIELOWYMIAROWEJ ANALIZY PORoWNAWCZEJ DO WYZNACZANIA INDEKSU RYZYKA INWESTYCJI W AKCJE NA GPW W WARSZAWIE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 1-14, December.
• Wiktor Patena, 2010, "ZASTOSOWANIE TECHNIK ITERACYJNYCH W WYCENIE PRZEDSIeBIORSTWA – WYCENA EMCINSMED S.A," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 15-27, December.
• Ryan Bartens & Shakill Hassan, 2010, "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, volume 35, issue 2, pages 181-202, August, DOI: 10.1177/0312896210370081.
• Jayadev M. & Joshy Jacob, 2010, "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 1, pages 51-70, April, DOI: 10.1177/097265271000900103.
• Jianhua Zhang & Clas Wihlborg, 2010, "CAPM in Up and Down Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 229-255, August, DOI: 10.1177/097265271000900205.
• Chokri Mamoghli & Sami Daboussi, 2010, "Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 95-130, August, DOI: 10.1177/097265271000900201.
• Mohamed Abdelaziz Eissa & Georgios Chortareas & Andrea Cipollini, 2010, "Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 3, pages 257-284, December, DOI: 10.1177/097265271000900301.
• David Vines, 2010, "The Global Macroeconomic Crisis and G20 Macroeconomic Policy Coordination," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 4, issue 2, pages 157-175, May, DOI: 10.1177/097380101000400202.
• Claudio Raddatz & Sergio Schmukler, 2010, "Pension Funds And Capital Market Development: How Much Bang For The Buck?," Working Papers, Superintendencia de Pensiones, number 38, Feb, revised Feb 2010.
• Mathias Hoffmann & Rahel Suter, 2010, "The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue 1, pages 349-371, March.
• Kevin Ross & Tommaso Mancini Griffoli, 2010, "Discussion: The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue 1, pages 373-384, March.
• Schröder, Thomas & Dunbar, Kwamie, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers, Sacred Heart University, John F. Welch College of Business, number 2010001, Mar.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010, "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers, Singapore Management University, School of Economics, number 13-2010, Jan.
• Qiankun Zhou & Jun Yu, 2010, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 20-2010, Jan.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010, "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers, Swiss National Bank, number 2010-03.
• Ariane Szafarz, 2010, "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-052, Nov.
• Don BREDIN & Cal MUCKLEY, 2010, "Is There a Stochastic Trend in European Union Emission Trading Scheme Prices?," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2010-EN.
• Denis Belomestny & G. Milstein & John Schoenmakers, 2010, "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 33, issue 2, pages 117-138, November, DOI: 10.1007/s10203-009-0101-z.
• Catherine Kyrtsou & Michel Terraza, 2010, "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, volume 38, issue 2, pages 325-345, April, DOI: 10.1007/s00181-009-0268-8.
• Qin Xiao & Donghyun Park, 2010, "Seoul housing prices and the role of speculation," Empirical Economics, Springer, volume 38, issue 3, pages 619-644, June, DOI: 10.1007/s00181-009-0282-x.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2010, "On the Size of the Active Management Industry," CEPR Discussion Papers, Centre for Economic Policy Research, number 7637, Jan.
• Huberman, Gur & Guasoni, Paolo & Wang, Zhenyu, 2010, "Performance Maximization of Actively Managed Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 7676, Feb.
• Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7687, Feb.
• Rydqvist, Kristian, 2010, "Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7781, Apr.
• Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg, 2010, "The Price of Liquidity: Bank Characteristics and Market Conditions," CEPR Discussion Papers, Centre for Economic Policy Research, number 7794, Apr.
• Wolfers, Justin & Snowberg, Erik, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7801, May.
• Gerlach, Stefan & Wolff, Guntram B. & Schulz, Alexander, 2010, "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 7833, May.
• Albuquerque, Rui, 2010, "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 7896, Jun.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2010, "Uncertainty about Government Policy and Stock Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 7897, Jun.
• Nyborg, Kjell & Östberg, Per, 2010, "Money and Liquidity in Financial Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 7905, Jun.
• Michaelides, Alexander & Gomes, Francisco & ,, 2010, "Quantifying the Distortionary Fiscal Cost of ?The Bailout?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7941, Aug.
• Sentana, Enrique & Peñaranda, Francisco, 2010, "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7943, Aug.
• Pedersen, Lasse Heje & Ashcraft, Adam & Garleanu, Nicolae Bogdan, 2010, "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers, Centre for Economic Policy Research, number 8000, Sep.
• Wright, Jonathan & Gürkaynak, Refet, 2010, "Macroeconomics and the Term Structure," CEPR Discussion Papers, Centre for Economic Policy Research, number 8018, Sep.
• Ellul, Andrew & Giannetti, Mariassunta & Cella, Cristina, 2010, "Investors' horizons and the Amplification of Market Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 8083, Oct.
• Ehrmann, Michael & Fratzscher, Marcel & Born, Benjamin, 2010, "Macroprudential policy and central bank communication," CEPR Discussion Papers, Centre for Economic Policy Research, number 8094, Nov.
• Imbs, Jean & Favara, Giovanni, 2010, "Credit Supply and the Price of Housing," CEPR Discussion Papers, Centre for Economic Policy Research, number 8129, Dec.
• Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2010, "Aggregate Idiosyncratic Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 8149, Dec.
• Bekaert, Geert & Engstrom, Eric, 2010, "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 8150, Dec.
• Bekaert, Geert & Lo Duca, Marco & Hoerova, Marie, 2010, "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• 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.
• KevinJ. Lansing, 2010, "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, volume 120, issue 549, pages 1149-1174, December.
• 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.
• Anufriev, Mikhail & Dindo, Pietro, 2010, "Wealth-driven selection in a financial market with heterogeneous agents," Journal of Economic Behavior & Organization, Elsevier, volume 73, issue 3, pages 327-358, March.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010, "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, volume 74, issue 3, pages 187-205, June.
• Corgnet, Brice & Kujal, Praveen & Porter, David, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," Journal of Economic Behavior & Organization, Elsevier, volume 76, issue 2, pages 254-266, November.
• Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010, "From home bias to Euro bias: Disentangling the effects of monetary union on the European financial markets," Journal of Economics and Business, Elsevier, volume 62, issue 5, pages 347-366, September.
• Hintermann, Beat, 2010, "Allowance price drivers in the first phase of the EU ETS," Journal of Environmental Economics and Management, Elsevier, volume 59, issue 1, pages 43-56, January.
• Gollier, Christian, 2010, "Ecological discounting," Journal of Economic Theory, Elsevier, volume 145, issue 2, pages 812-829, March.
• Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010, "On equilibrium prices in continuous time," Journal of Economic Theory, Elsevier, volume 145, issue 3, pages 1086-1112, May.
• Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010, "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, volume 145, issue 3, pages 974-1004, May.
• Huang, Jennifer & Wang, Jiang, 2010, "Market liquidity, asset prices, and welfare," Journal of Financial Economics, Elsevier, volume 95, issue 1, pages 107-127, January.
• Albuquerque, Rui & Schroth, Enrique, 2010, "Quantifying private benefits of control from a structural model of block trades," Journal of Financial Economics, Elsevier, volume 96, issue 1, pages 33-55, April.
• Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010, "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, volume 96, issue 2, pages 175-194, May.
• Aït-Sahalia, Yacine & Kimmel, Robert L., 2010, "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, volume 98, issue 1, pages 113-144, October.
• Jermann, Urban J., 2010, "The equity premium implied by production," Journal of Financial Economics, Elsevier, volume 98, issue 2, pages 279-296, November.
• De Jonghe, Olivier, 2010, "Back to the basics in banking? A micro-analysis of banking system stability," Journal of Financial Intermediation, Elsevier, volume 19, issue 3, pages 387-417, July.
• Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010, "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, volume 29, issue 5, pages 897-918, September.
• 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.
• 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.