Research classified by Journal of Economic Literature (JEL) codes

2010

• Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2010, "Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2010,01.
• Lengnick, Matthias & Wohltmann, Hans-Werner, 2010, "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2010-10.
• Pütz, Alexander & Ruenzi, Stefan, 2010, "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-08 [rev.].
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010, "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-01.
• Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010, "The impact of investor sentiment on the German stock market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-03.
• Artmann, Sabine & Finter, Philipp & Kempf, Alexander & Koch, Stefan & Theissen, Erik, 2010, "The cross-Section of German stock returns: New data and new evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-12.
• Grammig, Joachim G. & Jank, Stephan, 2010, "Creative destruction and asset prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-14.
• Jank, Stephan & Wedow, Michael, 2010, "Sturm und Drang in money market funds: When money market funds cease to be narrow," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-16.
• Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010, "Risk and expected returns of private equity investments: Evidence based on market prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/04.
• Konijn, Sander J. J. & Kräussl, Roman & Lucas, André, 2010, "Blockholder dispersion and firm value," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/05.
• Draus, Sarah, 2010, "Does inter-market competition lead to less regulation?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/13.
• Hendershott, Terrence & Menkveld, Albert J., 2010, "Price pressures," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/14.
• Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010, "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/20.
• Verrier, Tatjana, 2010, "Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 41600.
• Bernoth, Kerstin & Erdogan, Burcu, 2010, "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 289.
• Dreger, Christian & Zhang, Yanqun, 2010, "Is there a bubble in the Chinese housing market?," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 290.
• Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre, 2010, "The value-added of investable hedge fund indices," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 141.
• 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.
• Schulz, Frowin C., 2010, "Explaining time-varying risk of electricity forwards: trading activity and news announcements," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 8/10.
• Schindler, Felix, 2010, "Further evidence on the (in-) efficiency of the U.S. housing market," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-004.
• Schindler, Felix, 2010, "How efficient is the U.K. housing market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-030.
• Schindler, Felix, 2010, "Market efficiency in the emerging securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-033.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010, "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-064.
• Lischewski, Judith & Voronkova, Svitlana, 2010, "Size, value and liquidity: Do they really matter on an emerging stock market?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-070.
• 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.
• Stefan Klößner, 2010, "A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns," Finance and Stochastics, Springer, volume 14, issue 1, pages 1-12, January, DOI: 10.1007/s00780-009-0088-x.
• Jean Jacod & Philip Protter, 2010, "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, volume 14, issue 2, pages 285-315, April, DOI: 10.1007/s00780-009-0109-9.
• Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012, "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, volume 16, issue 4, pages 711-740, October, DOI: 10.1007/s00780-012-0188-x.
• Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014, "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, volume 18, issue 1, pages 1-37, January, DOI: 10.1007/s00780-013-0210-y.
• Jinbin Wang & Nan Li, 2010, "Exchange rate pass-through: The case of China," Frontiers of Economics in China, Springer;Higher Education Press, volume 5, issue 3, pages 356-374, September, DOI: 10.1007/s11459-010-0102-4.
• Ying Zhang & Peggy Swanson, 2010, "Are day traders bias free?—evidence from internet stock message boards," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 1, pages 96-112, January, DOI: 10.1007/s12197-008-9063-1.
• Ming-Shiun Pan, 2010, "Autocorrelation, return horizons, and momentum in stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 3, pages 284-300, July, DOI: 10.1007/s12197-008-9072-0.
• Richard Cebula & Pablo Cuellar, 2010, "Recent evidence on the impact of government budget deficits on the ex ante real interest rate yield on Moody’s Baa-rated corporate bonds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 3, pages 301-307, July, DOI: 10.1007/s12197-008-9074-y.
• Yu Chen & Thomas Cosimano & Alex Himonas, 2010, "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 42, issue 3, pages 461-503, March, DOI: 10.1007/s00199-008-0404-2.
• Jamsheed Shorish, 2010, "Functional rational expectations equilibria in market games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 43, issue 3, pages 351-376, June, DOI: 10.1007/s00199-009-0451-3.
• Dan Bernhardt & P. Seiler & B. Taub, 2010, "Speculative dynamics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 44, issue 1, pages 1-52, July, DOI: 10.1007/s00199-009-0456-y.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 45, issue 1, pages 227-252, October, DOI: 10.1007/s00199-009-0506-5.
• Todd Kravet & Terry Shevlin, 2010, "Accounting restatements and information risk," Review of Accounting Studies, Springer, volume 15, issue 2, pages 264-294, June, DOI: 10.1007/s11142-009-9103-x.
• Lee-Seok Hwang & Byungcherl Charlie Sohn, 2010, "Return predictability and shareholders’ real options," Review of Accounting Studies, Springer, volume 15, issue 2, pages 367-402, June, DOI: 10.1007/s11142-010-9119-2.
• Elisa Luciano & Patrizia Semeraro, 2010, "Multivariate Variance Gamma and Gaussian Dependence: a study with copulas," Springer Books, Springer, in: Marco Corazza & Claudio Pizzi, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-88-470-1481-7_20.
• Maurizio Polato & Josanco Floreani, 2010, "Distribution of Illiquid Financial Products: The Case of Italy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 4, pages 848-859, February, DOI: 10.1007/s11300-009-0114-x.
• Adela Deaconu & Anuţa Buiga & Cristina Nistor, 2010, "The Value Relevance of Fair Value," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 17, issue 1, pages 151-169, May, DOI: 10.1007/s11300-010-0131-9.
• Lieven Baele & Pilar Soriano, 2010, "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 146, issue 3, pages 573-589, September, DOI: 10.1007/s10290-010-0060-z.
• Peter Julian A Cayton & Dennis S Mapa & Mary Therese A Lising, 2010, "Estimating Value At Risk Var Using Tivex Pot Models," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 2, pages 152-170.
• Giulio Bottazzi & Pietro Dindo, 2010, "Evolution and market behavior with endogenous investment rules," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2010/20, Nov.
• Erling Røed Larsen, 2010, "Markets where buyers also are sellers. How realized home equity may work as an accelerator of house prices," Discussion Papers, Statistics Norway, Research Department, number 618, May.
• Vasco Gabriel & Luis Martins, 2010, "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0910, Sep.
• Nigel Stapledon, 2010, "A History of Housing Prices in Australia 1880-2010," Discussion Papers, School of Economics, The University of New South Wales, number 2010-18, Nov.
• Manfred Gartner, 2010, "Predicting the presidential election cycle in US stock prices: guinea pigs versus the pros," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 18, pages 1759-1765, DOI: 10.1080/13504850903299602.
• Paul Soderlind, 2010, "Predicting stock price movements: regressions versus economists," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 9, pages 869-874, DOI: 10.1080/17446540802584871.
• Luciana Reis & Roberto Meurer & Sergio Da Silva, 2010, "Stock returns and foreign investment in Brazil," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 17, pages 1351-1361, DOI: 10.1080/09603107.2010.498342.
• Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010, "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 18, pages 1429-1440, DOI: 10.1080/09603107.2010.498343.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010, "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 3, pages 227-244, DOI: 10.1080/13518470903102419.
• Alain Chaney & Martin Hoesli, 2010, "The interest rate sensitivity of real estate," Journal of Property Research, Taylor & Francis Journals, volume 27, issue 1, pages 61-85, May, DOI: 10.1080/09599916.2010.500815.
• Neil Crosby & Colin Lizieri & Patrick McAllister, 2010, "Means, motive and opportunity? Disentangling client influence on performance measurement appraisals," Journal of Property Research, Taylor & Francis Journals, volume 27, issue 2, pages 181-201, April, DOI: 10.1080/09599916.2010.499014.
• Youwei Li & Bas Donkers & Bertrand Melenberg, 2010, "Econometric analysis of microscopic simulation models," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 10, pages 1187-1201, DOI: 10.1080/14697680903460176.
• D. Guegan & J. Zhang, 2010, "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 4, pages 421-430, DOI: 10.1080/14697680902933041.
• Denis Belomestny & John Schoenmakers, 2010, "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 4, pages 529-546, DOI: 10.1080/14697680903295176.
• Turhan Korkmaz & Emrah I. Çevik & Elif Birkan & Nesrin ÖzataÇ, 2010, "Testing Capm using Markov Switching Model: The Case of Coal Firms," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, volume 23, issue 2, pages 44-59, January, DOI: 10.1080/1331677X.2010.11517411.
• Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010, "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 10451, May, revised 30 May 2012.
• Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak, 2010, "Turkiye�de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1011.
• L.C.G. Pozzi & C.G. de Vries & J. Zenhorst, 2010, "World Equity Premium based Risk Aversion Estimates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-007/2, Jan.
• Erik R. de Wit & Peter Englund & Marc Francke, 2010, "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-039/2, Apr.
• Casper van Ewijk & Henri L.F. de Groot & Coos Santing, 2010, "A Meta-Analysis of the Equity Premium," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-078/3, Aug.
• Alessandro Beber & Marco Pagano, 2010, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-106/2/DSF 1, Oct.
• Erik R. de Wit, 2010, "Competing Risks in a Time on the Market Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-108/2, Oct.
• Yvonne Adema, 2010, "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-109/2, Oct.
• Cem Cakmakli & Dick van Dijk, 2010, "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-115/4, Nov.
• Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010, "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-116/2/DSF 3, Nov.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-705, Jan.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010, "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-744, May.
• Shin-ichi Fukuda, 2010, "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-759, Sep.
• Denis Gromb & Dimitri Vayanos, 2010, "A Model of Financial Market Liquidity Based on Intermediary Capital," Journal of the European Economic Association, MIT Press, volume 8, issue 2-3, pages 456-466, 04-05.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers, Toulouse School of Economics (TSE), number 10-187, Jun.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010, "Trading and Liquidity with Limited Cognition," TSE Working Papers, Toulouse School of Economics (TSE), number 10-242, Dec.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2010, "Serial Defaults, Serial Profits: Returns to Sovereign Lending in Habsburg Spain, 1566-1600," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2010-, Apr, revised 04 Jul 2011.
• Carmine Trecroci, 2010, "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers, University of Brescia, Department of Economics, number 1011.
• John Cotter & Jim Hanly, 2010, "Hedging: Scaling and the Investor Horizon," Working Papers, Geary Institute, University College Dublin, number 201002, Jan.
• Don Bredin & Cal Muckley, 2010, "An Analysis of the EU Emission Trading Scheme," Working Papers, Geary Institute, University College Dublin, number 201003, Jan.
• Karl Case & John Cotter & Stuart Gabriel, 2010, "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers, Geary Institute, University College Dublin, number 201005, Jan.
• John Cotter & Jim Hanly, 2010, "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers, Geary Institute, University College Dublin, number 201007, Jan.
• Erik Snowberg & Justin Wolfers, 2010, "Explaining the Favorite-Long Shot Bias: Is it Risk-Love or Misperceptions?," Journal of Political Economy, University of Chicago Press, volume 118, issue 4, pages 723-746, August, DOI: 10.1086/655844.
• Thomas Schroeder & Kwamie Dunbar, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working papers, University of Connecticut, Department of Economics, number 2010-05, Feb.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2010, "Volatility exposure for strategic asset allocation," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169642, Mar.
• Lieven de Moor & Piet Sercu, 2010, "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/191025, Nov.
• Francisco Peñaranda & Enrique Sentana, 2010, "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1229, Jul.
• Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010, "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 1005, revised 2010.
• Mansor H. Ibrahim, 2010, "Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, volume 6, issue 2, pages 115-128.
• Ron Bird & Susan Thorp, 2010, "Hedge Fund Excess Returns Under Time-Varying Beta," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 9, Sep.
• Xue-Zhong He & Youwei Li, 2005, "Heterogeneity, Profitability and Autocorrelations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 147, Jan.
• Xue-Zhong He & Lei Shi, 2010, "Differences in Opinion and Risk Premium," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 271, Feb.
• Jörg Kienitz & Manuel Wittke, 2010, "Option Valuation in Multivariate SABR Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 272, Feb.
• Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010, "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 275, May.
• Leonardo Morales-Arias & Alexander Dross, 2010, "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 285, Oct.
• Gheorghe NISTOROIU, 2010, "Valuation Review for Financial Audit," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 22-41.
• Peter BUTLER, 2010, "Beta or Total Beta? The Answer Depends on the "Company" It Keeps," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 4-21.
• Daniela POPESCU & Sven BIENERT & Christian SCHUTZENHOFER & Rodica BOAZU, 2010, "Proposed Methods for Valuation of Energy Efficient Buildings," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 1, pages 42-57.
• Ignacio VELEZ-PAREJA & Joseph THAM, 2010, "Company's Valuation in an Emerging Economy - Case Study TIMANCO S.A," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 2, pages 4-45.
• Felipe MEJIA-PELAEZ & Ignacio VELEZ-PAREJA, 2010, "Cost of Equity and Weighted Average Cost of Capital for Perpetuities, with Constant Growth," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 5, issue 2, pages 88-121.
• Benjamin Eden, 2010, "Consumption Smoothing and the Equity Premium," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 1011, Nov.
• Alessandro Fontana, 2010, "The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2010_13.
• Silvia Centanni & Marco Minozzo, 2010, "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers, University of Verona, Department of Economics, number 22/2010, Dec.
• Oehler Sincai, Iulia Monica, 2010, "Us Treasury Securities Market: Recent Evolutions, Short And Medium Term Prospects," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 14, issue 1, pages 150-165.
• Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010, "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 57, issue 4, pages 429-445.
• Anginer, Deniz & Yildizhan, Celim, 2010, "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series, The World Bank, number 5319, Jan.
• Amit Bhaduri, 2010, "The Implications of Financial Asset and Housing Markets on Profit- and Wage-led Growth: Some Results in Comparative Statics," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 62, Feb.
• Amit Bhaduri, 2010, "A Contribution to the Theory of Financial Fragility and Crisis," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 65, May.
• 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, DOI: 10.1111/j.1538-4616.2009.00277.x.
• Elisa Luciano & Patrizia Semeraro, 2010, "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 03, pages 415-440, DOI: 10.1142/S0219024910005838.
• Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), 2010, "Alternative Investments and Strategies," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7373, ISBN: ARRAY(0x6d4f4d80), May.
• Gabriele Di Filippo, 2010, "Conventions in the Foreign Exchange Market:Do they really explain Exchange Rate Dynamics?," FIW Working Paper series, FIW, number 044, Jan.
• Casper van Ewijk & Henri de Groot & C. Santing, 2010, "A meta-analysis of the equity premium," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 156, Aug.
• Camille Chaserant, 2010, "L’autorité ne fait pas le contrat de travail : Une critique du modèle de Simon (1951)," Cahiers d’économie politique / Papers in Political Economy, L'Harmattan, issue 58, pages 61-81.
• 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.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, Centre for Economic Policy Research, number 7686, Feb.
• Boyle, Phelim & Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 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 G. & 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 G. & 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.