Research classified by Journal of Economic Literature (JEL) codes

2010

• Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010, "Repo market effects of the Term Securities Lending Facility," Staff Reports, Federal Reserve Bank of New York, number 426.
• Paolo Guasoni & Gur Huberman & Zhenyu Wang, 2010, "Performance maximization of actively managed funds," Staff Reports, Federal Reserve Bank of New York, number 427.
• Suresh Sundaresan & Zhenyu Wang, 2010, "Design of contingent capital with a stock price trigger for mandatory conversion," Staff Reports, Federal Reserve Bank of New York, number 448, May.
• Satyajit Chatterjee & Burcu Eyigungor, 2010, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 10-12.
• Simone Salotti & Luigi Marattin, 2010, "The Euro-dividend: public debt and interest rates in the Monetary Union," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2010-04, Feb.
• Miguel Anton, & Christopher Polk, 2010, "Connected Stocks," FMG Discussion Papers, Financial Markets Group, number dp651, Mar.
• Mark Huggett and Greg Kaplan, 2010, "Human Capital Values and Returns:Bounds Implied By Earnings and Asset Returns Data," Working Papers, Georgetown University, Department of Economics, number gueconwpa~10-10-02, Jul.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 17-2010, Jun.
• Michael G. Arghyrou & Alexandros Kontonikas, 2010, "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Working Papers, Business School - Economics, University of Glasgow, number 2010_25, Sep.
• Alexandros Kontonikas & Alexandros Kostakis, 2010, "On monetary policy and stock market anomalies," Working Papers, Business School - Economics, University of Glasgow, number 2010_29, Nov.
• Ana Cunha & José Moreira, 2010, "Relevância informativa das Despesas de Investigação e Desenvolvimento: um estudo para o caso português," Notas Económicas, Faculty of Economics, University of Coimbra, issue 31, pages 06-23, June.
• Bin Li & Benjamin Liu & Eduardo Roca, 2010, "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201011, Nov.
• Zoltam Murgulov & Eduardo Roca, 2010, "Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201013.
• Mei Li & Frank Milne, 2010, "A Large Trader in Bubbles and Crashes: an Application to Currency Attacks," Working Papers, University of Guelph, Department of Economics and Finance, number 1004, Jan.
• Ana Fostel & John Geanakoplos, 2010, "Why does Bad News Increase Volatility and Decrease Leverage?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2010-18, Jun.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Dominique Guegan & Jing Zhang, 2010, "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00368334, Apr, DOI: 10.1080/14697680902933041.
• Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa, 2010, "Re-hypotecation of securities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00476004, Mar.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Post-Print, HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Ruslan Bikbov & Mikhail Chernov, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Post-Print, HAL, number hal-00732517, Sep, DOI: 10.1016/j.jeconom.2010.05.004.
• Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010, "Asset pricing implications of a new keynesian model," Post-Print, HAL, number hal-00732761, Sep, DOI: 10.1016/j.jedc.2010.05.012.
• Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010, "Behavioral heterogeneity in the option market," Post-Print, HAL, number hal-00736742, Sep, DOI: 10.1016/j.jedc.2010.05.009.
• Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010, "La TVA Sociale : Bonne ou Mauvaise Idée ?," Post-Print, HAL, number hal-01612720.
• Brice Corgnet & Praveen Kujal & David Porter, 2010, "The effect of reliability, content and timing of public announcements on asset trading behavior," Post-Print, HAL, number hal-02311959, Nov, DOI: 10.1016/j.jebo.2010.06.014.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00629777, DOI: 10.1007/s00199-009-0506-5.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Sciences Po Economics Publications (main), HAL, number hal-01069440, Sep.
• Mohamed El Hedi Arouri & Christophe Rault, 2010, "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Working Papers, HAL, number hal-00507825, Aug.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Working Papers, HAL, number hal-00554216, Nov.
• Yves Jégourel & Samuel Maveyraud, 2010, "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Working Papers, HAL, number hal-00646542, Mar.
• Nicolas Coeurdacier & Hélène Rey, 2010, "Home bias in open economy financial macroeconomics," Working Papers, HAL, number hal-01069440, Sep.
• Michel Aglietta & Wladimir Andreff & Bastien Drut, 2010, "Floating European football clubs in the stock market," Working Papers, HAL, number hal-04140902.
• Hubert de La Bruslerie & Jessica Fouilloux, 2010, "Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model," Working Papers, HAL, number halshs-00536924.
• Elyès Jouini & Clotilde Napp, 2010, "Gurus and beliefs manipulation," Working Papers, HAL, number halshs-00555609, Dec.
• Parantap Basu & Max Gillman & Joseph Pearlman, 2010, "Inflation, Human Capital and Tobin's q," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1017, Sep.
• Johansson, Anders C., 2010, "Stock and Bond Relationships in Asia," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2010-14, Apr.
• Lundtofte, Frederik & Leoni, Patrick, 2010, "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers, Lund University, Department of Economics, number 2010:8, Jul, revised 30 May 2012.
• Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2010, "Strategic Insider Trading Equilibrium: A Filter Theory Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2010/9, Aug.
• De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010, "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 236, Jan.
• Rydqvist, Kristian, 2010, "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series, Institute for Financial Research, number 70, Apr.
• Lu, Ching-Chih & Chollete, Loran, 2010, "Bankruptcy and the size effect," UiS Working Papers in Economics and Finance, University of Stavanger, number 2010/6, Nov.
• Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin, 2010, "Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil," Working Papers, Hong Kong Monetary Authority, number 1001, Apr.
• Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang, 2010, "Are House Prices Rising Too Fast in China?," Working Papers, Hong Kong Monetary Authority, number 1008, Dec.
• Eric Girardin & Dijun Tan & Woon K. Wong, 2010, "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers, Hong Kong Institute for Monetary Research, number 022010, Jan.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2010, "Human Capital, Endogenous Information Acquisition,and Home Bias in Financial Markets," Working Papers, Hong Kong Institute for Monetary Research, number 202010, Jul.
• Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010, "Home Bias in Currency Forecasts," Working Papers, Hong Kong Institute for Monetary Research, number 272010, Oct.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010, "Self-Fulfilling Risk Panics," Working Papers, Hong Kong Institute for Monetary Research, number 282010, Nov.
• Yu-chin Chen & Kwok Ping Tsang, 2010, "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers, Hong Kong Institute for Monetary Research, number 292010, Nov.
• Christian Fahrholz & Roman Goldbach, 2010, "Burying the Stability Pact: The Reanimation of Default Risk in the Euro Area," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 10-2010, Jun.
• Ishikawa, Ryuichiro & Kudoh, Noritaka, 2010, "Beauty Contests and Asset Prices under Asymmetric Information," Discussion paper series. A, Graduate School of Economics and Business Administration, Hokkaido University, number 218, Jan.
• Gollier, Christian & Weitzman, Martin L., 2010, "How should the distant future be discounted when discount rates are uncertain?," Scholarly Articles, Harvard University Department of Economics, number 33373345.
• Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010, "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles, Harvard University Department of Economics, number 9887622.
• Erie Febrian & Aldrin Herwany, 2010, "The Performance Of Asset Pricing Models Before, During, And After An Emerging Market Financial Crisis: Evidence From Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 1, pages 85-97.
• Yin-Ching Jan & Su-Ling Chiu, 2010, "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 3, pages 79-91.
• Stoyu I. Ivanov, 2010, "Discretionary Deletions From The S&P 500 Index: Evidence On Forecasted And Realized Earnings," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 1-9.
• Dirk Swagerman & Ivan Novakovic, 2010, "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 4, pages 23-42.
• Eduardo Sandoval & Angelo Benvenuto, 2010, "Es El Riesgo Cambiario Preciado En El Mercado Accionario Chileno? Un Estudio Empirico Basado En La Teoria De Precios Por Arbitraje," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 1-27.
• Jozef Glova, 2010, "Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates," Economic Analysis, Institute of Economic Sciences, volume 43, issue 1-2, pages 44-49.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 636, Jun.
• Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010, "Trading and Liquidity with Limited Cognition," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 665, Dec.
• Aslı YÜKSEL & Aydın YÜKSEL & Mete DOĞANAY, 2010, "İstanbul Menkul Kıymetler Borsası’nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 293, pages 69-94.
• Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010, "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 295, pages 21-45.
• Charlotte Christiansen, 2010, "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 105-122, DOI: 10.1002/ijfe.385.
• Peter N. Smith & Steffen Sorensen & Michael Wickens, 2010, "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 134-152, DOI: 10.1002/ijfe.395.
• Tom Engsted & Stig V. Møller, 2010, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 3, pages 213-227, DOI: 10.1002/ijfe.389.
• Caroline Jardet & Gaelle Le Fol, 2010, "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 4, pages 316-330, DOI: 10.1002/ijfe.403.
• Paolo Colla & José M. Marín, 2010, "Performance evaluation in competitive REE models," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2010-21, Oct.
• Klaus Adam & Albert Marcet, 2010, "Booms and Busts in Asset Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-02, Feb.
• Franklin Allen & Elena Carletti, 2010, "Financial Regulation Going Forward," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-18, Jul.
• Makoto Saito & Shiba Suzuki & Tomoaki Yamada, 2010, "Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-19, Aug.
• Naoki Makimoto & Yoshihiko Sugihara, 2010, "Optimal Execution of Multiasset Block Orders under Stochastic Liquidity," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-25, Nov.
• Antonio Guarino & Marco Cipriani, 2010, "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers, International Monetary Fund, number 2010/288, Dec.
• Valentina Vasile & Mirela Matei, 2010, "The Romanian Municipal Bond Market and the International Financial Crisis," Romanian Journal of Economics, Institute of National Economy, volume 30, issue 1(39), pages 110-126, June.
• Thomas J. Brennan & Andrew W. Lo, 2010, "Impossible Frontiers," Management Science, INFORMS, volume 56, issue 6, pages 905-923, June, DOI: 10.1287/mnsc.1100.1157.
• Thomas Stöckl & Michael Kirchler, 2010, "Trading strategies and trading profits in experimental asset markets with cumulative information," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2010-09, Apr.
• Alva-Vázquez, Abraham. & Sierra-Juárez, Guillermo., 2010, "Opciones climáticas para el sector pesquero del pacífico mexicano," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 11, pages 29-61, segundo s.
• Mehmet Sabri TOPAK, 2010, "Ýmalat Sanayinde Firma Risklerinin Belirlenmesi: Kumeleme Analizi Yontemiyle Ampirik Bir Calýsma," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 11, issue 1, pages 100-127, May.
• Du, Xiaodong & Hayes, Dermot J. & Yu, Cindy, 2010, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 31533, May.
• Du, Xiaodong & Hayes, Dermot J. & Yu, Cindy L., 2010, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," ISU General Staff Papers, Iowa State University, Department of Economics, number 201001010800001519, Jan.
• Elena Márquez & Belén Nieto Doménech & Gonzalo Rubio Irigoyen, 2010, "Consumption, liquidity and the cross-sectional variation of expected returns," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2010-24, Jul.
• Snowberg, Erik & Wolfers, Justin, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," IZA Discussion Papers, IZA Network @ LISER, number 4884, Apr.
• Pesaran, M. Hashem, 2010, "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers, IZA Network @ LISER, number 5037, Jun.
• 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.
• 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.
• 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".
• Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2010, "¿Influyen los tigres asiáticos en el comportamiento gregario español?," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 423-444, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Ferruz, Luis & Muñoz, Fernando & Vargas, María, 2010, "Sesgos en los modelos de sincronización tradicionales," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 308, pages 937-976, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010, "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, Emerald Group Publishing Limited, "Maximum Simulated Likelihood Methods and Applications", DOI: 10.1108/S0731-9053(2010)0000026009.

2009

• Smith, Michael A. & Paton, David & Williams, Leighton Vaughan, 2009, "Do bookmakers possess superior skills to bettors in predicting outcomes?," Journal of Economic Behavior & Organization, Elsevier, volume 71, issue 2, pages 539-549, August.
• Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009, "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 1-23, January.
• Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009, "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, volume 91, issue 1, pages 59-82, January.
• Benmelech, Efraim & Bergman, Nittai K., 2009, "Collateral pricing," Journal of Financial Economics, Elsevier, volume 91, issue 3, pages 339-360, March.
• Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009, "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, volume 92, issue 1, pages 66-91, April.
• Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009, "Mortgage timing," Journal of Financial Economics, Elsevier, volume 93, issue 2, pages 292-324, August.
• Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009, "Global private information in international equity markets," Journal of Financial Economics, Elsevier, volume 94, issue 1, pages 18-46, October.
• Mikhed, Vyacheslav & Zemcík, Petr, 2009, "Do house prices reflect fundamentals? Aggregate and panel data evidence," Journal of Housing Economics, Elsevier, volume 18, issue 2, pages 140-149, June.
• Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009, "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, volume 28, issue 3, pages 406-426, April.
• Nakashima, Kiyotaka & Saito, Makoto, 2009, "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, volume 23, issue 3, pages 309-331, September.
• Söderlind, Paul, 2009, "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, volume 31, issue 4, pages 721-729, December.
• Agliardi, Elettra & Agliardi, Rossella, 2009, "Progressive taxation and corporate liquidation: Analysis and policy implications," Journal of Policy Modeling, Elsevier, volume 31, issue 1, pages 144-154.
• Koenig, Pamina, 2009, "Agglomeration and the export decisions of French firms," Journal of Urban Economics, Elsevier, volume 66, issue 3, pages 186-195, November.
• Zhu, Jie, 2009, "Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2633-2653, DOI: 10.1016/j.matcom.2008.12.005.
• Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009, "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, volume 56, issue 4, pages 471-493, May.
• Consolo, Agostino & Favero, Carlo A., 2009, "Monetary policy inertia: More a fiction than a fact?," Journal of Monetary Economics, Elsevier, volume 56, issue 6, pages 900-906, September.
• Davis, E. Philip & Zhu, Haibin, 2009, "Commercial property prices and bank performance," The Quarterly Review of Economics and Finance, Elsevier, volume 49, issue 4, pages 1341-1359, November.
• Grammig, Joachim & Schrimpf, Andreas, 2009, "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, volume 18, issue 3, pages 113-123, August.
• Taboga, Marco, 2009, "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, volume 18, issue 4, pages 163-171, October.
• Shihe Fu & Liwei Shan, 2009, "Corporate Equality and Equity Prices: Doing Well While Doing Good?," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_09, Sep.
• Stuart Landon, 2009, "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_20, 08.
• Víctor Manuel García de la Vega & Antonio Ruiz Porras, 2009, "Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 1-24.
• Guillermo Benavides Perales, 2009, "Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 40-59.
• Peñaranda, Francisco, 2009, "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24415, Jan.
• Biais, Bruno & Rochet, Jean-Charles & Woolley, Paul, 2009, "Rents, learning and risk in the financial sector and other innovative industries," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24417, Sep.
• Patton, Andrew J. & Verardo, Michela, 2009, "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24421, Mar.
• Lin, Xiaoji, 2009, "Endogenous technological progress and the cross section of stock returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 29047, Jun.
• Stefano Battilossi & Stefan O. Houpt, 2009, "Predicting institutional collapse: stock markets, political violence and the Spanish Civil War, 1920-36," Working Papers, Economic History Society, number 9002, Apr.
• Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009, "Predicting Betas: Two new methods," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Wolfgang Drobetz & Klaus Gugler & Simone Hirschvogl, 2009, "The Determinants of German Corporate Governance Ratings," Chapters, Edward Elgar Publishing, chapter 14, in: Per-Olof Bjuggren & Dennis C. Mueller, "The Modern Firm, Corporate Governance and Investment".
• Muga, Luis & Santamaría, Rafael, 2009, "El efecto momentum en la Bolsa Mexicana de Valores," El Trimestre Económico, Fondo de Cultura Económica, volume 76, issue 302, pages 433-463, abril-jun, DOI: http://www.eltrimestreeconomico.com.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO pricing with copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-013.
• Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009, "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-019.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO and HAC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-038.
• Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009, "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-041.
• Krätschmer, Volker & Schoenmakers, John G. M., 2009, "Representations for optimal stopping under dynamic monetary utility functionals," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-055.
• Schindler, Felix, 2009, "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-048.
• Schindler, Felix & Rottke, Nico & Füss, Roland, 2009, "Testing the predictability and efficiency of securitized real estate markets," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-054.
• Steiner, Christian & Groß, Anne & Entorf, Horst, 2009, "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-010.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-05, Feb.
• Torben B. Rasmussen, 2009, "Jump Testing and the Speed of Market Adjustment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-08, Feb.
• Dennis Kristensen & Antonio Mele, 2009, "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-14, Apr.
• Dominique Guégan, 2009, "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-24, Jun.
• Tim Bollerslev & Viktor Todorov, 2009, "Tails, Fears and Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-26, Jun.
• Eduardo Rossi & Paolo Santucci de Magistris, 2009, "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-30, Jul.
• Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009, "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-33, Jun.
• Peter Christoffersen & Steven Heston & Kris Jacobs, 2009, "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-34, Jun.
• Tom Engsted & Thomas Q. Pedersen, 2009, "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-36, Jul.
• Torben G. Andersen & Viktor Todorov, 2009, "Realized Volatility and Multipower Variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-49, May.
• Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009, "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-57, Nov.
• Christian M. Dahl & Emma M. Iglesias, 2009, "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-59, Oct.
• Joshua D. Coval & Jakub W. Jurek & Erik Stafford, 2009, "Economic Catastrophe Bonds," American Economic Review, American Economic Association, volume 99, issue 3, pages 628-666, June.
• Francis A. Longstaff, 2009, "Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets," American Economic Review, American Economic Association, volume 99, issue 4, pages 1119-1144, September, DOI: 10.1257/aer.99.4.1119.
• Clemens Sialm, 2009, "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, volume 99, issue 4, pages 1356-1383, September, DOI: 10.1257/aer.99.4.1356.
• Lubo? P?tor & Pietro Veronesi, 2009, "Technological Revolutions and Stock Prices," American Economic Review, American Economic Association, volume 99, issue 4, pages 1451-1483, September, DOI: 10.1257/aer.99.4.1451.