Research classified by Journal of Economic Literature (JEL) codes

2009

• J. Bradford DeLong & Konstantin Magin, 2009, "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, volume 23, issue 1, pages 193-208, Winter, DOI: 10.1257/jep.23.1.193.
• David Le Bris & Pierre-Cyrille Hautcoeur, 2009, "A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)," Working Papers, Association Française de Cliométrie (AFC), number 09-02.
• Thi Hong Van Hoang, 2009, "Efficience informationnelle des marchés de l’or à Paris et à Londres, 1948-2008. Une vérification économétrique de la forme faible," Working Papers, Association Française de Cliométrie (AFC), number 09-09.
• Alain Kabundi & Idriss Mouchili, 2009, "Stock Market Integration: A South African Perspective," The African Finance Journal, Africagrowth Institute, volume 11, issue 2, pages 51-66.
• Artwell Chimanga & Danelle Kotze, 2009, "A Multivariate Analysis of Factors Affecting Stock Returns on the JSE," The African Finance Journal, Africagrowth Institute, volume 11, issue 2, pages 80-96.
• Charoenrook, Anchada & Daouk, Hazem, , "A Study of Market-Wide Short-Selling Restrictions," Working Papers, Cornell University, Department of Applied Economics and Management, number 51180, DOI: 10.22004/ag.econ.51180.
• Charoenrook, Anchada & Daouk, Hazem, , "Conditional Skewness of Aggregate Market Returns," Working Papers, Cornell University, Department of Applied Economics and Management, number 51181, DOI: 10.22004/ag.econ.51181.
• Daouk, Hazem & Ng, David T.C., , "Is Unlevered Firm Volatility Asymmetric?," Working Papers, Cornell University, Department of Applied Economics and Management, number 51182, DOI: 10.22004/ag.econ.51182.
• Du, Xiaodong & Hayes, Dermot J. & Yu, Cindy L., 2009, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," Hebrew University of Jerusalem Archive, Hebrew University of Jerusalem, number 53825, Sep, DOI: 10.22004/ag.econ.53825.
• Lin, Chien-Ting & Ho, Chia-Cheng & Hsieh, Hisn-Jung, 2009, "Market Psychology and Aggregate Stock Returns: Evidence from Australian Consumer Sentiment," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 5, issue 01-2, pages 1-15, March, DOI: 10.22004/ag.econ.143218.
• Yoshino, Joe Akira & Santos, Edson Bastos e, 2009, "Is the CAPM Dead or Alive in the Brazilian Market?," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 5, issue 01-2, pages 1-16, March, DOI: 10.22004/ag.econ.143224.
• Jenica POPESCU & Dorina POANTA, 2009, "Weaknesses in the regulatory policy of financial derivatives instruments and their impact on international financial crisis," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 10, pages 86-91, December.
• Libena TETREVOVA, 2009, "Mezzanine finance and corporate bonds," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9, pages 145-150, May.
• Ioan TRENCA & Daniela BOJAN, 2009, "Operational risk in banking - card fraud," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9, pages 151-159, May.
• Bogdan Dima & Laura Raisa MiloÅŸ, 2009, "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-41.
• Alina Lucia Trifan, 2009, "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-43.
• George Horia Ionescu & DragoÅŸ Mihai Ungureanu & Ruxandra Dana Vilag & Florian Bogdan Stoian, 2009, "Financial Contagion And Investors Behavior," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-57.
• Peter Carr & Roger Lee, 2009, "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 319-339, November.
• Yacine Aït-Sahalia, 2009, "Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 341-359, November.
• Lubos Pastor & Pietro Veronesi, 2009, "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 361-381, November.
• Robert A. Jarrow, 2009, "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 37-68, November.
• Robert A. Jarrow, 2009, "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 69-96, November.
• Franklin Allen & Ana Babus & Elena Carletti, 2009, "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 97-116, November.
• Marco Bianchetti, 2009, "Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," Papers, arXiv.org, number 0905.2770, May, revised Jul 2012.
• Yacine Ait-Sahalia & Jialin Yu, 2009, "High frequency market microstructure noise estimates and liquidity measures," Papers, arXiv.org, number 0906.1444, Jun.
• Sara Biagini & Alev{s} v{C}ern'y, 2009, "Admissible Strategies in Semimartingale Portfolio Selection," Papers, arXiv.org, number 0910.3936, Oct, revised Dec 2010.
• Neil Crosby & Colin Lizieri & Patrick McAllister, 2009, "Means, Motive and Opportunity? Disentangling Client Influence on Performance Measurement Appraisals," ERES, European Real Estate Society (ERES), number eres2009_159, Jan.
• Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2009, "Asset Bubbles without Dividends - An Experiment," Working Papers, University of Heidelberg, Department of Economics, number 0439, May.
• Belén Blanco & Juan M. Garcia Lara & Josep A. Tribó Giné, 2009, "The Complementarity Between Segment Disclosure and Earnings Quality, and its Effect on Cost Capital," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 1005, Nov, revised Feb 2010.
• Alejandro García & Andrei Prokopiw, 2009, "Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks," Discussion Papers, Bank of Canada, number 09-12, DOI: 10.34989/sdp-2009-12.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap, 2009, "Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness," Staff Working Papers, Bank of Canada, number 09-20, DOI: 10.34989/swp-2009-20.
• Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009, "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series, Central Bank of Brazil, Research Department, number 188, Jun.
• Hasan Sahin & Ismail H. Genç, 2009, "An Empirical Analysis of Short Term Interest Rate Models for Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 3, issue 2, pages 107-119.
• Ricardo Gimeno & José Manuel Marqués, 2009, "Extraction of financial market expectations about inflation and interest rates from a liquid market," Working Papers, Banco de España, number 0906, Apr.
• Javier Mencía, 2009, "Assessing the risk-return trade-off in loans portfolios," Working Papers, Banco de España, number 0911, Jun.
• Rangel José Gonzalo & Engle Robert F., 2009, "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México, number 2009-03, Feb.
• Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.
• Irena Janković, 2009, "Pricing Of Foreign Currency Options In The Serbian Market," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 54, issue 180, pages 91-115, January –.
• Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009, "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 284-298.
• Campbell, Sean D. & Diebold, Francis X., 2009, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 266-278.
• Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009, "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers, Banque de France, number 234.
• Patrick F ve & Julien Matheron & Jean-Guillaume Sahuc, 2009, "La TVA sociale : bonne ou mauvaise id e ?," Working papers, Banque de France, number 244.
• Simon Dubecq & Benoit Mojon & Xavier Ragot, 2009, "Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy," Working papers, Banque de France, number 254.
• Jean-Paul Renne, 2009, "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers, Banque de France, number 261.
• Simon Dubecq & Ghattassi, I., 2009, "Consumption-Wealth Ratio and Housing Prices," Working papers, Banque de France, number 264.
• Chudjakow, Tatjana & Vorbrink, Jörg, 2011, "Exercise strategies for American exotic options under ambiguity," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 421, Aug.
• John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009, "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 40, issue 1 (Spring, pages 79-138.
• Michael R King, 2009, "The cost of equity for global banks: a CAPM perspective from 1990 to 2009," BIS Quarterly Review, Bank for International Settlements, September.
• Shu‐Chin Lin, 2009, "Inflation And Real Stock Returns Revisited," Economic Inquiry, Western Economic Association International, volume 47, issue 4, pages 783-795, October, DOI: 10.1111/j.1465-7295.2008.00193.x.
• Richard Finlay & Mark Chambers, 2009, "A Term Structure Decomposition of the Australian Yield Curve," The Economic Record, The Economic Society of Australia, volume 85, issue 271, pages 383-400, December, DOI: 10.1111/j.1475-4932.2009.00567.x.
• Marie Brière & Ombretta Signori, 2009, "Do Inflation‐Linked Bonds Still Diversify?," European Financial Management, European Financial Management Association, volume 15, issue 2, pages 279-297, March, DOI: 10.1111/j.1468-036X.2008.00470.x.
• Nicholas Barberis & Wei Xiong, 2009, "What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation," Journal of Finance, American Finance Association, volume 64, issue 2, pages 751-784, April, DOI: 10.1111/j.1540-6261.2009.01448.x.
• Ľuboš Pástor & Robert F. Stambaugh, 2009, "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, volume 64, issue 4, pages 1583-1628, August, DOI: 10.1111/j.1540-6261.2009.01474.x.
• Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2009, "Financially Constrained Stock Returns," Journal of Finance, American Finance Association, volume 64, issue 4, pages 1827-1862, August, DOI: 10.1111/j.1540-6261.2009.01481.x.
• David Hirshleifer & Sonya Seongyeon Lim & Siew Hong Teoh, 2009, "Driven to Distraction: Extraneous Events and Underreaction to Earnings News," Journal of Finance, American Finance Association, volume 64, issue 5, pages 2289-2325, October, DOI: 10.1111/j.1540-6261.2009.01501.x.
• Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2009, "Catering through Nominal Share Prices," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2559-2590, December, DOI: 10.1111/j.1540-6261.2009.01511.x.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009, "International Stock Return Comovements," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2591-2626, December, DOI: 10.1111/j.1540-6261.2009.01512.x.
• Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009, "The Price Is (Almost) Right," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2739-2782, December, DOI: 10.1111/j.1540-6261.2009.01516.x.
• Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2009, "What factors affect the Oslo Stock Exchange?," Working Paper, Norges Bank, number 2009/24, Nov.
• Dimitris A. Georgoutsos & Petros M. Migiakis, 2009, "Benchmark bonds interactions under regime shifts," Working Papers, Bank of Greece, number 103, Sep.
• Erkin Uzun, 2009, "Aftermarket Performances of Book Building and Fixed Price Offerings on the Istanbul stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 11, issue 43, pages 53-80.
• Carlos Marcelo Lauretti & Eduardo Kazuo Kayo & Emerson Fernandes Marçal, 2009, "Market Overreaction to Intangible Information," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 2, pages 215-236.
• Ronny Kim Woo & José Valentim Machado Vicente & Claudio Henrique Barbedo, 2009, "Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 4, pages 485-501.
• Jianying Qiu & Prashanth Mahagaonkar, 2009, "Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach," Schumpeter Discussion Papers, Universitätsbibliothek Wuppertal, University Library, number sdp09006, Jun.
• Denis Dupré & Isabelle Girerd-Potin & Sonia Jimenez-Garces & Pascal Louvet, 2009, "Influence de la notation éthique sur l'évolution du prix des actions. Un modèle théorique," Revue économique, Presses de Sciences-Po, volume 60, issue 1, pages 5-31.
• Stéphane Sorbe, 2009, "Un modèle de prix de l'immobilier pour estimer l'ampleur de la bulle américaine," Revue économique, Presses de Sciences-Po, volume 60, issue 1, pages 173-187.
• Bruno Deffains & Marie Obidzinski, 2009, "Real Options Theory for Law Makers," Recherches économiques de Louvain, De Boeck Université, volume 75, issue 1, pages 93-117.
• Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 2009, "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/05, Apr.
• Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009, "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/15, Oct.
• Sara Biagini & Ales Cerny, 2009, "Admissible strategies in semimartingale portfolio selection," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 117, revised 2010.
• Diego Valderrama & Katheryn N. Russ, 2009, "A Theory of Banks, Bonds, and the Distribution of Firm Size," Working Papers, University of California, Davis, Department of Economics, number 4, Oct.
• Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2009, "Inflation, Human Capital and Tobin's q," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/16, Sep.
• ap Gwilym, Rhys, 2009, "Can behavioral finance models account for historical asset prices?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/17, Sep.
• Lee, David S. & Mas, Alexandre, 2009, "Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999," Institute for Research on Labor and Employment, Working Paper Series, Institute of Industrial Relations, UC Berkeley, number qt1j93n8gj, Jan.
• Beat Hintermann, 2009, "Allowance Price Drivers in the First Phase of the EU ETS," CEPE Working paper series, CEPE Center for Energy Policy and Economics, ETH Zurich, number 09-63, May.
• Beat Hintermann, 2009, "An Options Pricing Approach for CO2 Allowances in the EU ETS," CEPE Working paper series, CEPE Center for Energy Policy and Economics, ETH Zurich, number 09-64, Jun.
• Katrin Tinn & Evangelia Vourvachaki, 2009, "Can Optimism about Technology Stocks Be Good for Welfare? Positive Spillovers vs. Equity Market Losses," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp383, Apr.
• Petr Zemcik, 2009, "Housing Markets in Central and Eastern Europe: Is There a Bubble in the Czech Republic?," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp390, Sep.
• Magdalena Morgese Borys & Petr Zemcik, 2009, "Size and Value Efects in the Visegrad Countries," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp391, Sep.
• Nannette Lindenberg & Frank Westermann, 2009, "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series, CESifo, number 2532.
• Jerome L. Stein, 2009, "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series, CESifo, number 2539.
• Thomas Hemmelgarn & Gaëtan J.A. Nicodème & Gaëtan J.A. Nicodeme, 2009, "Tax-Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive," CESifo Working Paper Series, CESifo, number 2675.
• Mohamed El hedi Arouri & Christophe Rault, 2009, "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series, CESifo, number 2690.
• Giovanni Cespa & Xavier Vives, 2009, "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CESifo Working Paper Series, CESifo, number 2839.
• Christian Gollier & Martin L. Weitzman, 2009, "How Should the Distant Future be Discounted when Discount Rates are Uncertain?," CESifo Working Paper Series, CESifo, number 2863.
• Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER, 2009, "Optimal Liquidation Strategies in Illiquid Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-24, May.
• Enrico G. DE GIORGI & Shane LEGG, 2009, "Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-25, Jun.
• Francesco FRANZONI & Eric NOWAK & Ludovic PHALIPPOU, 2009, "Private Equity Performance and Liquidity Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-43, Nov.
• Loriano MANCINI & Angelo RANALDO & Jan WRAMPELMEYER, 2009, "Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-44, Nov.
• Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP, 2009, "Financial Markets Equilibrium with Heterogeneous Agents," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-45, Dec.
• Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010, "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-05, Jan, revised Jan 2010.
• Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2010, "Microinformation, Nonlinear Filtering and Granularity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-23, May.
• Kjell G. NYBORG & Per OSTBERG, 2010, "Money and Liquidity in Financial Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-25, Jun.
• Miguel Angel Iraola & Manuel S. Santos, 2009, "Long-Term Asset Price Volatility and Macroeconomics Fluctations," Working Papers, Centro de Investigacion Economica, ITAM, number 0909.
• René Garcia & Richard Luger, 2009, "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers, CIRANO, number 2009s-20, May.
• Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009, "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers, CIRANO, number 2009s-28, Jun.
• Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009, "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers, CIRANO, number 2009s-32, Aug.
• Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009, "Option-Implied Measures of Equity Risk," CIRANO Working Papers, CIRANO, number 2009s-33, Aug.
• Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009, "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers, CIRANO, number 2009s-34, Aug.
• J. Doyne Farmer & John Geanakoplos, 2009, "Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates," Levine's Working Paper Archive, David K. Levine, number 814577000000000356, Sep.
• Carlos Le�n, 2009, "Una aproximaci�n te�rica a la superficie de volatilidad en el mercado colombiano a trav�s del modelo de difusi�n con saltos," Borradores de Economia, Banco de la Republica, number 5738, Aug.
• Ana Mar�a Iregui & Ligia Alba Melo & Mar�a Teresa Ram�rez, 2009, "Rigideces de los salarios a la baja en Colombia: Evidencia emp�rica a partir de una muestra de salarios a nivel de firma," Borradores de Economia, Banco de la Republica, number 5757, Aug.
• Diego Alonso Agudelo Rueda & Jorge Hernán Uribe E., 2009, "¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10651, Jul.
• Diego Alonso Agudelo Rueda & A. Marcela �lvarez L. & Yesica T. Osorno M., 2009, "Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10655, Jun.
• Guillermo Buenaventura Vera & Andrés Felipe Cuevas & Mónica Carvajal & Ana Mildred Ospina, 2009, "Colombia Capital Investment S.A," Estudios Gerenciales, Universidad Icesi.
• Ignacio Vélez - Pareja & Carlo Alberto Magni, 2009, "Potential Dividends And Actual Cash Flows In Equity Valuation. A Critical Analysis," Estudios Gerenciales, Universidad Icesi.
• Ignacio Vélez - Pareja & Mariano Germán Merlo & David Andrés Londono Bedoya & Julio Alejandro Sarmiento Sabogal, 2009, "Potential Dividends And Actual Cash Flow. A Regional Latin American Analysis," Estudios Gerenciales, Universidad Icesi.
• Andres Mauricio Vargas P. & Camilo Rivera P�rez, 2009, "Controles a la entrada de capitales y volatilidad de la tasa de cambio: ¿dano colateral? la experiencia colombiana," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 5667, Jun.
• David Mauricio Rivera Palacio, 2009, "Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH," Revista de Economía del Rosario, Universidad del Rosario.
• Andrés Mauricio Vargas P. & Camilo Riviera P., 2009, "Controles a la entrada de capitales y volatilidad de la tasa de cambio: la experiencia colombiana," Coyuntura Económica, Fedesarrollo.
• Carlo Alberto Magni & Ignacio Velez-Pareja, 2009, "Potential dividends versus actual cash flows in firm valuation," Proyecciones Financieras y Valoración, Master Consultores, number 5516, May.
• Carlo Alberto Magni, 2009, "Modeling excess profit," Proyecciones Financieras y Valoración, Master Consultores, number 5522, May.
• Carlo Alberto Magni, 2009, "The use of Npv and CAPM for capital budgeting is not a good idea. A reply to De Reyck (2005)," Proyecciones Financieras y Valoración, Master Consultores, number 5546, May.
• Carlo Alberto Magni, 2009, "Ambiguita Nell¬¥Applicazione del CAPM per la valutazione degli investimenti," Proyecciones Financieras y Valoración, Master Consultores, number 5549, May.
• Ignacio Velez-Pareja, 2009, "Valoracion de flujos de caja en inflacion. El caso de la regulacion en el Banco Mundial," Proyecciones Financieras y Valoración, Master Consultores, number 5666, Jun.
• Carlo Alberto Magni, 2009, "A Logical Umbrella for Firm Evaluation: The Fundamental Relation [Un Ombrello Logico Per La Valutazione Di Azienda: La Relazione Fondamentale]," Proyecciones Financieras y Valoración, Master Consultores, number 5730, Jul.
• Roberto Ghiselli Ricci & Carlo Alberto Magni, 2009, "Economic value added and systemic value added: symmetry, aditive coherence and differences in performance," Proyecciones Financieras y Valoración, Master Consultores, number 5736, Jul.
• Carlo Alberto Magni, 2009, "Decomposition of a Certain Cash Flow Stream: Systemic Value Added and Net Final Value," Proyecciones Financieras y Valoración, Master Consultores, number 5737, Aug.
• Carlo Alberto Magni, 2009, "Accounting and economic measures: an integrated theory of capital budgeting," Proyecciones Financieras y Valoración, Master Consultores, number 5983, Nov.
• BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim, 2009, "A nonparametric copula based test for conditional independence with applications to Granger causality," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009041, Jun.
• DREZE, Jacques H. & LACHIRI, Oussama & MINELLI, Enrico, 2009, "Stock prices, anticipations and investment in general equilibrium," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009083, Dec.
• Rob Aalbers, 2009, "Discounting investments in mitigation and adaptation: a dynamic stochastic general equilibrium approach of climate change," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 126, May.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2009, "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 162-178, February.
• Härdle, Wolfgang & Hlávka, Zdenek, 2009, "Dynamics of state price densities," Journal of Econometrics, Elsevier, volume 150, issue 1, pages 1-15, May.
• Guidolin, Massimo & Timmermann, Allan, 2009, "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 297-311, June.
• Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009, "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Journal of Econometrics, Elsevier, volume 153, issue 1, pages 21-32, November.
• Magni, Carlo Alberto, 2009, "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?," European Journal of Operational Research, Elsevier, volume 192, issue 2, pages 549-560, January.
• Magni, Carlo Alberto, 2009, "Splitting up value: A critical review of residual income theories," European Journal of Operational Research, Elsevier, volume 198, issue 1, pages 1-22, October.
• Schmeling, Maik, 2009, "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 394-408, June.
• Ren, Yu & Shimotsu, Katsumi, 2009, "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 483-506, June.
• Møller, Stig Vinther, 2009, "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 525-536, September.
• Adrian, Tobias & Franzoni, Francesco, 2009, "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 537-556, September.
• Apergis, Nicholas & Miller, Stephen M., 2009, "Do structural oil-market shocks affect stock prices?," Energy Economics, Elsevier, volume 31, issue 4, pages 569-575, July.
• Söderlind, Paul, 2009, "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, volume 6, issue 2, pages 73-82, June.
• Ning, Cathy & Wirjanto, Tony S., 2009, "Extreme return-volume dependence in East-Asian stock markets: A copula approach," Finance Research Letters, Elsevier, volume 6, issue 4, pages 202-209, December.
• von Peter, Goetz, 2009, "Asset prices and banking distress: A macroeconomic approach," Journal of Financial Stability, Elsevier, volume 5, issue 3, pages 298-319, September.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009, "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 1, pages 94-112, August.
• Landon, Stuart, 2009, "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," Journal of Banking & Finance, Elsevier, volume 33, issue 12, pages 2175-2184, December.
• Huang, Zhangkai & Xu, Xingzhong, 2009, "Marketability, control, and the pricing of block shares," Journal of Banking & Finance, Elsevier, volume 33, issue 1, pages 88-97, January.
• Ping Zhang, 2009, "Uniform price auctions and fixed price offerings in IPOs: an experimental comparison," Experimental Economics, Springer;Economic Science Association, volume 12, issue 2, pages 202-219, June, DOI: 10.1007/s10683-008-9210-8.
• Nikolas Rokkanen, 2009, "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 1, pages 31-57, March, DOI: 10.1007/s11408-008-0096-4.
• Apostolos Dasilas, 2009, "The ex-dividend day stock price anomaly: evidence from the Greek stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 1, pages 59-91, March, DOI: 10.1007/s11408-008-0094-6.
• Michael Steiner, 2009, "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 2, pages 137-155, June, DOI: 10.1007/s11408-009-0099-9.
• Jie Zhu, 2009, "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 243-269, September, DOI: 10.1007/s11408-009-0107-0.
• Andros Gregoriou & Christos Ioannidis & Sugata Ghosh, 2009, "Heterogeneous time varying transaction costs and asset pricing in international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 271-283, September, DOI: 10.1007/s11408-009-0111-4.
• M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009, "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 285-313, September, DOI: 10.1007/s11408-009-0106-1.
• Asger Lunde & Allan Zebedee, 2009, "Intraday volatility responses to monetary policy events," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 4, pages 383-399, December, DOI: 10.1007/s11408-009-0114-1.
• Jonathan Fletcher & Patricia Ntozi-Obwale, 2009, "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer;Western Finance Association, volume 36, issue 1, pages 21-44, August, DOI: 10.1007/s10693-009-0061-z.
• Antonio Díaz, 2009, "Retail Investors and the Trading of Treasury Securities," Journal of Financial Services Research, Springer;Western Finance Association, volume 36, issue 1, pages 45-63, August, DOI: 10.1007/s10693-009-0062-y.
• Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009, "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 2, pages 137-154, February, DOI: 10.1007/s11146-007-9079-x.
• Yongheng Deng & Peng Liu, 2009, "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 3, pages 214-240, April, DOI: 10.1007/s11146-008-9151-1.
• Vyacheslav Mikhed & Petr Zemčík, 2009, "Testing for Bubbles in Housing Markets: A Panel Data Approach," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 4, pages 366-386, May, DOI: 10.1007/s11146-007-9090-2.
• William Hardin & Michael Highfield & Matthew Hill & G. Kelly, 2009, "The Determinants of REIT Cash Holdings," The Journal of Real Estate Finance and Economics, Springer, volume 39, issue 1, pages 39-57, July, DOI: 10.1007/s11146-007-9103-1.
• Steven Dolvin & Mark Pyles, 2009, "REIT IPOs and the Cost of Going Public," The Journal of Real Estate Finance and Economics, Springer, volume 39, issue 1, pages 92-106, July, DOI: 10.1007/s11146-007-9101-3.
• Andrew Carverhill & Terry Cheuk & Sigurd Dyrting, 2009, "The smirk in the S&P500 futures options prices: a linearized factor analysis," Review of Derivatives Research, Springer, volume 12, issue 2, pages 109-139, July, DOI: 10.1007/s11147-009-9037-2.
• Bertram Düring, 2009, "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, volume 12, issue 2, pages 141-167, July, DOI: 10.1007/s11147-009-9031-8.
• Oleg Bondarenko & Iñaki Longarela, 2009, "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, volume 12, issue 2, pages 81-107, July, DOI: 10.1007/s11147-009-9032-7.
• Dilip Madan, 2009, "A tale of two volatilities," Review of Derivatives Research, Springer, volume 12, issue 3, pages 213-230, October, DOI: 10.1007/s11147-009-9038-1.
• Sema Bayraktar, 2009, "The impact of exchange rate risk on international asset pricing under various market structures," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 2, pages 169-195, February, DOI: 10.1007/s11156-008-0089-4.
• Carl Chen & Peter Lung & F. Wang, 2009, "Mispricing and the cross-section of stock returns," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 317-349, May, DOI: 10.1007/s11156-008-0097-4.
• Cho-Jieh Chen & Harry Panjer, 2009, "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 373-403, May, DOI: 10.1007/s11156-008-0100-0.
• Arthur Allen & George Sanders & Donna Dudney, 2009, "Should more local governments purchase a bond rating?," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 421-438, May, DOI: 10.1007/s11156-008-0095-6.
• Marc-Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2009, "Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 1, pages 1-26, July, DOI: 10.1007/s11156-008-0104-9.
• Annette Nguyen & Robert Faff & Philip Gharghori, 2009, "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 2, pages 141-158, August, DOI: 10.1007/s11156-009-0137-8.
• Dan Palmon & Ephraim Sudit & Ari Yezegel, 2009, "The value of columnists’ stock recommendations: an event study approach," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 209-232, October, DOI: 10.1007/s11156-009-0114-2.
• J. Cuñado & L. Gil-Alana & F. Gracia, 2009, "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 233-252, October, DOI: 10.1007/s11156-009-0111-5.
• Chaoshin Chiao & Zi-May Wang & Hsiu-Ling Lai, 2009, "Order submission behaviors and opening price behaviors: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 253-278, October, DOI: 10.1007/s11156-009-0110-6.
• Travis Sapp, 2009, "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 4, pages 303-326, November, DOI: 10.1007/s11156-009-0122-2.
• Mohan Nandha & Robert Brooks, 2009, "Oil prices and transport sector returns: an international analysis," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 4, pages 393-409, November, DOI: 10.1007/s11156-009-0120-4.
• Guangsug Hahn & Dong Chul Won, 2009, "Satiation and Equilibrium in Unbounded Exchange Economies," Korean Economic Review, Korean Economic Association, volume 25, pages 349-366.
• Satyajit Chatterjee & Burcu Eyigungor, 2009, "Maturity, Indebtedness, and Default Risk," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0901, Feb.
• Turan Bali & Kamil Yilmaz, 2009, "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0909, Sep, revised Nov 2009.
• Hervé Crès & Tobias Markeprand & Mich Tvede, 2009, "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers, University of Copenhagen. Department of Economics, number 09-12, Jun.
• Chiaki Hara, 2009, "Heterogeneous Impatience in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 665, Jan.
• Chiaki Hara, 2009, "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers, Kyoto University, Institute of Economic Research, number 685, Nov.
• Mohamed AROURI & Christophe RAULT, 2009, "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 1299.
• Arshad Hasan & M. Tariq Javed, 2009, "An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 14, issue 1, pages 115-137, Jan-Jun.
• Jaron, Martin, 2009, "Noise Trading in Stamm- und Vorzugsaktien," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10218, Mar.
• Gann, Philipp, 2009, "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10582, Apr.
• Breig, Christoph & Elsas, Ralf, 2009, "Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10978, Mar.
• Jaron, Martin, 2009, "Neue Erkenntnisse zur Stimmrechtsprämie in Deutschland," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 11264, Dec.
• Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena, 2009, "A factor analysis approch to measuring European loan and bond market integration," Discussion Papers in Economics, University of Munich, Department of Economics, number 11071, Nov.