Research classified by Journal of Economic Literature (JEL) codes

2009

• 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.
• 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.
• Gale, Douglas M & Acharya, Viral & Yorulmazer, Tanju, 2009, "Rollover Risk and Market Freezes," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7122, Jan.
• Dumas, Bernard & Lyasoff, Andrew, 2009, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7138, Jan.
• Ljungqvist, Alexander & Kelly, Bryan, 2009, "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7180, Feb.
• Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009, "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7227, Mar.
• Acharya, Viral & Lochstoer, Lars, 2009, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7327, Jun.
• Favero, Carlo A. & Consolo, Agostino, 2009, "Monetary Policy Inertia: More a Fiction than a fact?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7341, Jun.
• Hamilton, Jonathan & Graddy, Kathryn & Campbell, Rachel, 2009, "Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7344, Jun.
• Albuquerque, Rui & Schroth, Enrique, 2009, "Quantifying private benefits of control from a structural model of block trades," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7358, Jul.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009, "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7392, Aug.
• Basak, Suleyman & Yan, Hongjun, 2009, "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7398, Aug.
• Backus, David & Chernov, Mikhail & Martin, Ian, 2009, "Disasters implied by equity index options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7416, Aug.
• Pedersen, Lasse Heje, 2009, "When Everyone Runs for the Exit," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7436, Aug.
• Cuoco, Domenico & Kaniel, Ron, 2009, "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7453, Sep.
• Marcet, Albert & Adam, Klaus, 2009, "Internal Rationality and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7498, Oct.
• von Hagen, Jurgen & Schuknecht, Ludger & Wolswijk, Guido, 2009, "Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7499, Oct.
• Vives, Xavier & Cespa, Giovanni, 2009, "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7506, Oct.
• Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2009, "Liquidity cycles and make/take fees in electronic markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7551, Nov.
• Pagano, Marco & Beber, Alessandro, 2009, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7557, Nov.
• Albuquerque, Rui, 2009, "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7573, Nov.
• Lundblad, Christian T & Jotikasthira, Chotibhak, 2009, "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7595, Dec.
• Nael Al-Anaswah & Bernd Wilfling, 2009, "Identification of speculative bubbles using state-space models with Markov-switching," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0309, Sep.
• Tino Berger & Bernd Kempa, 2009, "A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0509, Aug.
• Martin T. Bohl & Michael Schuppli & Pierre L. Siklos, 2009, "Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0709, Oct.
• Martin T. Bohl & Christian A. Salm, 2009, "The Other January Effect: International Evidence," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0809, Apr.
• Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009, "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-03.
• Marie Lambert & George Hübner & Marie Lambert, 2009, "Directional and non-directional risk exposures in Hedge Fund returns," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-06.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009, "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-07.
• Mayordomo, Sergio & Peña, Juan Ignacio & Romo, Juan, 2009, "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb096303, Sep.
• Cartea, Álvaro & Karyampas, Dimitrios, 2009, "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb097508, Dec.
• Cartea, Álvaro & Karyampas, Dimitrios, 2009, "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb097609, Dec.
• Portilla, Yolanda, 2009, "Two-sided career concern and financial equilibrium," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we091207, Mar.
• Bouezmarni, Taoufik & Rombouts, Jeroen V. K. & Taamouti, Abderrahim, 2009, "A nonparametric copula based test for conditional independence with applications to granger causality," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093419, Jun.
• Ghosh, Anisha & Linton, Oliver, 2009, "Consistent estimation of the risk-return tradeoff in the presence of measurement error," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094928, Jul.
• Bruno Deffains & Marie Obidzinski, 2009, "Real Options Theory for Law Makers," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2009014, Mar.
• Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009, "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, volume 10, issue 2, pages 225-255, November.
• Jun Ma, 2009, "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, volume 10, issue 2, pages 303-327, November.
• Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009, "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 504, Nov.
• Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009, "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 44, issue 1, pages 109-132, February.
• John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009, "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1696, May.
• John Geanakoplos & Stephen P. Zeldes, 2009, "Market Valuation of Accrued Social Security Benefits," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1711, Jun.
• John Geanakoplos, 2009, "The Leverage Cycle," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1715, Jul.
• John Geanakoplos, 2009, "The Leverage Cycle," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1715R, Jul, revised Jan 2010.
• J. Doyne Farmer & John Geanakoplos, 2009, "Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1719, Aug.
• Francisco Gomes & Alexander Michaelides & Valery Polkovnichenko, 2009, "Quantifying the Distortionary Fiscal Cost of ‘The Bailout’," Working Papers, Central Bank of Cyprus, number 2009-6, Dec.
• Jouini, Elyès (ed.), 2009, "Hétérogénéité des croyances et équilibre des marchés financiers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/1161.
• Volker Böhm & George Vachadze, 2009, "Sovereign Risk in International Bond Markets and Nonconvergence," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c014_034, Jun.
• Burcu Erdogan, 2009, "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 1.1a.
• Burcu Erdogan, 2009, "How Does European Integration Affect the European Stock Markets?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 885.
• Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009, "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 944.
• Aymen Belgacem, 2009, "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-16.
• Sylvain Prado, 2009, "The European used-car market at a glance: Hedonic resale price valuation in automotive leasing industry," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-22.
• Alain Abou & Georges Prat, 2009, "The dynamics of U.S. equity risk premia: lessons from professionals'view," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-25.
• Michel Aglietta & Ludovic Moreau & Adrian Roche, 2009, "The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-3.
• Vincent Bignon & Antonio Miscio, 2009, "Media Bias in Financial Newspapers: Evidence from Early 20th Century France," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-4.
• Ludovic Moreau, 2009, "Regulatory versus Informational Value of Bond Ratings: Hints from History ..," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-41.
• Sabrina Khanniche, 2009, "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-46.
• Ivan Shaliastovich & George Tauchen, 2009, "Pricing of the Time-Change Risks," Working Papers, Duke University, Department of Economics, number 10-71.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-73.
• Michailidis, G., 2009, "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Prabhath Jayasinghe & Albert K. Tsui, 2009, "Time-Varying Currency Betas : Evidence from Developed and Emerging Markets," Finance Working Papers, East Asian Bureau of Economic Research, number 22761, Jan.
• Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu, 2009, "Financial Leverage and Market Volatility with Diverse Beliefs," Finance Working Papers, East Asian Bureau of Economic Research, number 22887, Jan.
• Peter C. B. Phillips & Jun Yu, 2009, "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Finance Working Papers, East Asian Bureau of Economic Research, number 23051, Jan.
• Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2009, "Liquidity cycles and make/take fees in electronic markets," HEC Research Papers Series, HEC Paris, number 920, Oct.
• Fernandez, Pablo, 2009, "Market risk premium used in 2008: A survey of more than a 1,000 professors," IESE Research Papers, IESE Business School, number D/784, Mar.
• Groh, Alexander P. & Henseleit, Christoph, 2009, "The valuation of tax shields induced by asset step-ups in corporate acquisitions," IESE Research Papers, IESE Business School, number D/785, Mar.
• Fernandez, Pablo, 2009, "IBEX 35: 1991-2008. Rentabilidad y creación de valor," IESE Research Papers, IESE Business School, number D/786, Mar.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Rentabilidad y creación de valor de 136 empresas españolas en 2008," IESE Research Papers, IESE Business School, number D/787, Mar.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Rentabilidad de los fondos de inversión en España. 1991-2008," IESE Research Papers, IESE Business School, number D/788, Mar.
• Argandoña, Antonio, 2009, "Can corporate social responsibility help us understand the credit crisis?," IESE Research Papers, IESE Business School, number D/790, Mar.
• Fernandez, Pablo, 2009, "100 questions on finance," IESE Research Papers, IESE Business School, number D/817, Sep.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Rentabilidad y creación de valor de 136 empresas españolas en el primer semestre de 2009 y en 2008," IESE Research Papers, IESE Business School, number D/818, Sep.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Rentabilidad de los fondos de pensiones en España. 1991-2008," IESE Research Papers, IESE Business School, number D/819, Sep.
• Fernandez, Pablo, 2009, "17 problemas de finanzas básicas resueltos y 307 respuestas erróneas," IESE Research Papers, IESE Business School, number D/820, Sep.
• Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009, "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers, IESE Business School, number D/821, Sep.
• Fernandez, Pablo, 2009, "Betas used by professors: A survey with 2,500 answers," IESE Research Papers, IESE Business School, number D/822, Sep.
• Fernandez, Pablo, 2009, "La prima de riesgo del mercado según 100 Libros," IESE Research Papers, IESE Business School, number D/823, Sep.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Betas utilizadas por directivos y profesores europeos en 2009," IESE Research Papers, IESE Business School, number D/824, Sep.
• Fernandez, Pablo & Bermejo, Vicente, 2009, "Beta = 1 does a better job than calculated betas," IESE Research Papers, IESE Business School, number D/825, Sep.
• Fernandez, Pablo & Bermejo, Vicente J., 2009, "Shareholder value creators in the Dow Jones: Year 2008," IESE Research Papers, IESE Business School, number D/826, Sep.
• Fernandez, Pablo, 2009, "The equity premium in 150 textbooks," IESE Research Papers, IESE Business School, number D/829, Oct.
• Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009, "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series, European Central Bank, number 1037, Mar.
• Avery, Christopher & Chevalier, Judith & Zeckhauser, Richard, 2009, "The "CAPS" Prediction System and Stock Market Returns," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp09-011, Apr.
• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
• Chabi-Yo, Fousseni & Yang, Jun, 2009, "Default Risk, Idiosyncratic Coskewness and Equity Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-18, Oct.
• Kaplan, Steven N. & Moskowitz, Tobias J. & Sensoy, Berk A., 2009, "The Effects of Stock Lending on Security Prices: An Experiment," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-20, Jul.
• Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2009, "Why Do Foreign Firms Have Less Idiosyncratic Risk Than U.S. Firms?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-5, Apr.
• Lars Peter Hansen & José A. Scheinkman, 2009, "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, volume 77, issue 1, pages 177-234, January.
• Fatih Guvenen, 2009, "A Parsimonious Macroeconomic Model for Asset Pricing," Econometrica, Econometric Society, volume 77, issue 6, pages 1711-1750, November.
• Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009, "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 33-64, November.
• Enrique Sentana, 2009, "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 65-101, November.
• Alwathainani, Abdulaziz M., 2009, "Consistency of firms' past financial performance measures and future returns," The British Accounting Review, Elsevier, volume 41, issue 3, pages 184-196, DOI: 10.1016/j.bar.2009.08.001.
• Naimzada, Ahmad K. & Ricchiuti, Giorgio, 2009, "Dynamic effects of increasing heterogeneity in financial markets," Chaos, Solitons & Fractals, Elsevier, volume 41, issue 4, pages 1764-1772, DOI: 10.1016/j.chaos.2008.07.022.
• Palomino, Frederic & Renneboog, Luc & Zhang, Chendi, 2009, "Information salience, investor sentiment, and stock returns: The case of British soccer betting," Journal of Corporate Finance, Elsevier, volume 15, issue 3, pages 368-387, June.
• Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009, "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2075-2088, April.
• Takamizawa, Hideyuki & Shoji, Isao, 2009, "Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 1, pages 65-77, January.
• Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009, "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 4, pages 817-831, April.
• Falato, Antonio, 2009, "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 6, pages 1247-1262, June.
• 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.
• 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.
• 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.
• 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, Laboratoire Orléanais de Gestion - université d'Orléans, number 2009-1.
• Abul Shamsuddin & Jae H Kim, 2009, "Short-Horizon Return Predictability in International Equity Markets," Working Papers, School of Economics, La Trobe University, number 2009.01.
• Viktors Ajevskis & Kristine Vitola, 2009, "A Convergence Model of the Term Structure of Interest Rates," Working Papers, Latvijas Banka, number 2009/01, Feb.
• Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009, "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 09-17.
• Olfa Maalaoui & Georges Dionne & Pascal François, 2009, "Credit Spread Changes within Switching Regimes," Cahiers de recherche, CIRPEE, number 0905.