Research classified by Journal of Economic Literature (JEL) codes

2009

• 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.
• Isaac Kleshchelski & Nicolas Vincent, 2009, "Robust Equilibrium Yield Curves," Cahiers de recherche, CIRPEE, number 0907.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009, "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche, CIRPEE, number 0927.
• Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009, "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche, CIRPEE, number 0929.
• Georges Dionne, 2009, "Structured Finance, Risk Management, and the Recent Financial Crisis," Cahiers de recherche, CIRPEE, number 0944.
• Kirsten Rüchardt & Bodo Vogt, 2009, "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 09016, May.
• David Büttner & Bernd Hayo & Matthias Neuenkirch, 2009, "The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 200903.
• David Büttner & Bernd Hayo, 2009, "News and Correlations of CEEC-3 Financial Markets," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 200944.
• Antonio Diez De Los Rios, 2009, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 4, pages 755-766, June.
• Sven-Olov Daunfeldt & Carina Selander & Magnus Wikstrom, 2009, "Taxation, Dividend Payments and Ex-Day Price-Changes," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 1-2, pages 135-154, March-Jun.
• Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk, 2009, "European Put-Call Parity and the Early Exercise Premium for American Currency Options," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 1-2, pages 39-54, March-Jun.
• Ariful Hoque & Felix Chan & Meher Manzur, 2009, "Modeling Volatility in Foreign Currency Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 3-4, pages 189-208, September.
• Isaac T. Tabner, 2009, "Benchmark Concentration: Capitalization Weights Versus Equal Weights in the FTSE 100 Index," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 3-4, pages 209-228, September.
• James B. McDonald & Richard A. Michelfelder & Panayiotis Theodossiou, 2009, "Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 3-4, pages 293-321, September.
• Miguel A. Iraola & Manuel S. Santos, 2009, "Long Term Asset Price Volatility and Macroeconomic Fluctuations," Working Papers, University of Miami, Department of Economics, number 2010-1, Jul.
• Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI, 2009, "Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2009-053, Dec.
• Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI, 2009, "Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2009-53, Dec.
• Lóránt Varga, 2009, "Hungarian sovereign credit risk premium in international comparison during the financial crisis," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 4, issue 2, pages 43-52, July.
• Norbert Kiss M. & István Mák, 2009, "Developments in sovereign bond issuance in the Central and Eastern European region after the Lehman collapse," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 4, issue 4, pages 13-23, December.
• Lóránt Varga, 2009, "The information content of Hungarian sovereign CDS spreads," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2009/78.
• Zoltán Reppa, 2009, "A joint macroeconomic-yield curve model for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2009/1.
• Carlo Alberto Magni, 2009, "Accounting and economic measures:An integrated theory of capital budgeting," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0019, Dec.
• Bernard Cornet & Ramu Gopalan, 2009, "Arbitrage and equilibrium with portofolio constraints," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09077, Oct, DOI: 10.1007/s00199-009-0506-5.
• Don U.A. Galagedera, 2009, "An analytical derivation of the relation between idiosyncratic volatility and expected stock return," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/09, Nov.
• CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009, "Asset Pricing in a Production Economy with Chew–Dekel Preferences," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2009-09.
• CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009, "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2009.
• Michael Devaney, 2009, "The Equity Risk Premium, Market Factors and the Maturing Economy Hypothesis," Journal of Economic Insight, Missouri Valley Economic Association, volume 35, issue 1, pages 49-69.
• Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009, "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, volume 7, issue 1, pages 153-169, June.
• Olivier De Jonghe, 2009, "Back to the basics in banking ? A micro-analysis of banking system stability," Working Paper Research, National Bank of Belgium, number 167, Jun.
• Michael Ehrmann & David Sondermann, 2009, "The reception of public signals in financial markets – what if central bank communication becomes stale?," NBP Working Papers, Narodowy Bank Polski, number 66.
• Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009, "Carry Trades and Currency Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2008, Volume 23".
• Monika Piazzesi & Martin Schneider, 2009, "Momentum traders in the housing market: survey evidence and a search model," NBER Working Papers, National Bureau of Economic Research, Inc, number 14669, Jan.
• Francis A. Longstaff, 2009, "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14687, Jan.
• Ricardo J. Caballero & Arvind Krishnamurthy, 2009, "Global Imbalances and Financial Fragility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14688, Jan.
• Martin Lettau & Jessica A. Wachter, 2009, "The Term Structures of Equity and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 14698, Jan.
• John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009, "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 14701, Feb.
• Lubos Pastor & Robert F. Stambaugh, 2009, "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14757, Feb.
• Robert J. Barro & José F. Ursúa, 2009, "Stock-Market Crashes and Depressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 14760, Feb.
• Lars Ljungqvist & Harald Uhlig, 2009, "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14772, Mar.
• Jason Beeler & John Y. Campbell, 2009, "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers, National Bureau of Economic Research, Inc, number 14788, Mar.
• Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009, "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 14804, Mar.
• Ravi Bansal & Ivan Shaliastovich, 2009, "Learning and Asset-Price Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 14814, Mar.
• Ravi Bansal & Ivan Shaliastovich, 2009, "Confidence Risk and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 14815, Mar.
• Patrick Bolton & Hui Chen & Neng Wang, 2009, "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 14845, Apr.
• Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009, "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14863, Apr.
• John Y. Campbell & Stefano Giglio & Parag Pathak, 2009, "Forced Sales and House Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 14866, Apr.
• Francis A. Longstaff & Brett Myers, 2009, "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 14871, Apr.
• Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2009, "Information Asymmetry, Information Precision, and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 14881, Apr.
• Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009, "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 14889, Apr.
• Christian Leuz & Catherine Schrand, 2009, "Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock," NBER Working Papers, National Bureau of Economic Research, Inc, number 14897, Apr.
• Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009, "Risk Shifting and Mutual Fund Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 14903, Apr.
• Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2009, "Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14931, Apr.
• Bruno Biais & Pierre-Olivier Weill, 2009, "Liquidity Shocks and Order Book Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 15009, May.
• John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009, "Understanding Inflation-Indexed Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 15014, May.
• Geert Bekaert & Eric Engstrom, 2009, "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers, National Bureau of Economic Research, Inc, number 15024, Jun.
• Raymond Kan & Cesare Robotti & Jay Shanken, 2009, "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers, National Bureau of Economic Research, Inc, number 15047, Jun.
• Robert B. Barsky, 2009, "The Japanese Bubble: A 'Heterogeneous' Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 15052, Jun.
• John Geanakoplos & Stephen P. Zeldes, 2009, "Market Valuation of Accrued Social Security Benefits," NBER Working Papers, National Bureau of Economic Research, Inc, number 15170, Jul.
• Sydney C. Ludvigson & Serena Ng, 2009, "A Factor Analysis of Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 15188, Jul.
• Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009, "Market Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 15189, Jul.
• Nicolae B. Garleanu & Lasse H. Pedersen, 2009, "Dynamic Trading with Predictable Returns and Transaction Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 15205, Aug.
• Long Chen & Lu Zhang, 2009, "The stock market and aggregate employment," NBER Working Papers, National Bureau of Economic Research, Inc, number 15219, Aug.
• Geert Bekaert & Eric Engstrom, 2009, "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 15222, Aug.
• David Backus & Mikhail Chernov & Ian Martin, 2009, "Disasters implied by equity index options," NBER Working Papers, National Bureau of Economic Research, Inc, number 15240, Aug.
• Fatih Guvenen, 2009, "A Parsimonious Macroeconomic Model for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 15243, Aug.
• Robert J. Barro & Tao Jin, 2009, "On the Size Distribution of Macroeconomic Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 15247, Aug.
• Chris Edmond & Pierre-Olivier Weill, 2009, "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers, National Bureau of Economic Research, Inc, number 15254, Aug.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009, "The Determinants of Stock and Bond Return Comovements," NBER Working Papers, National Bureau of Economic Research, Inc, number 15260, Aug.
• Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009, "Professor Zipf goes to Wall Street," NBER Working Papers, National Bureau of Economic Research, Inc, number 15295, Aug.
• Lasse Heje Pedersen, 2009, "When Everyone Runs for the Exit," NBER Working Papers, National Bureau of Economic Research, Inc, number 15297, Aug.
• Yong Chen & Wayne Ferson & Helen Peters, 2009, "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 15318, Sep.
• Clemens Sialm & Laura Starks, 2009, "Mutual Fund Tax Clienteles," NBER Working Papers, National Bureau of Economic Research, Inc, number 15327, Sep.
• Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009, "Tiebreaker: Certification and Multiple Credit Ratings," NBER Working Papers, National Bureau of Economic Research, Inc, number 15331, Sep.
• Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov, 2009, "Risk Aversion and Clientele Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 15333, Sep.
• Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009, "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 15335, Sep.
• George O. Aragon & Philip E. Strahan, 2009, "Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy," NBER Working Papers, National Bureau of Economic Research, Inc, number 15336, Sep.
• Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu, 2009, "Technological Growth and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 15340, Sep.
• Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009, "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers, National Bureau of Economic Research, Inc, number 15362, Sep.
• David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009, "On the Scholes Liquidation Problem," NBER Working Papers, National Bureau of Economic Research, Inc, number 15381, Sep.
• Yi-Li Chien & Harold L. Cole & Hanno Lustig, 2009, "Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15382, Sep.
• François Gourio, 2009, "Disasters Risk and Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 15399, Oct.
• Nicolae Gârleanu & Leonid Kogan & Stavros Panageas, 2009, "The Demographics of Innovation and Asset Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 15457, Oct.
• Todd M. Sinai & Nicholas S. Souleles, 2009, "Can Owning a Home Hedge the Risk of Moving?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15462, Oct.
• Ravi Bansal & Dana Kiku & Amir Yaron, 2009, "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 15504, Nov.
• Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009, "Risk Price Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 15506, Nov.
• Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009, "Decentralized Trading with Private Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 15513, Nov.
• Alexander David & Pietro Veronesi, 2009, "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15563, Dec.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009, "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 15591, Dec.
• Johannes C. Stroebel & John B. Taylor, 2009, "Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program," NBER Working Papers, National Bureau of Economic Research, Inc, number 15626, Dec.
• John A. Tatom, 2009, "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2009-WP-14, Dec.
• Srinivas Nippani & Stanley D. Smith, 2009, "The Increasing Default Risk of U.S. Treasuries Securities Due to the Financial Crisis," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2010-WP-01, Apr.
• Hugh Kelley & Tom Evans, 2009, "Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009," Working Papers, National University of Ireland Galway, Department of Economics, number 0148, revised 2009.
• Nicholas Apergis & Stephen M. Miller, 2009, "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0917, Mar.
• Ping Zhang, 2009, "Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2009-05, Feb.
• Darrell Duffie & Bruno Strulovici, 2009, "Capital Mobility and Asset Pricing," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1478, Sep.
• Chris McDonald & Mark Smith, 2009, "Developing stratified housing price measures for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/07, Aug.
• Leo Krippner, 2009, "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/10, Sep.
• David Haugh & Patrice Ollivaud & David Turner, 2009, "What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area," OECD Economics Department Working Papers, OECD Publishing, number 718, Jul, DOI: 10.1787/222675756166.
• Burkhard Raunig & Martin Scheicher, 2009, "Are Banks Different? Evidence from the CDS Market," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 152, Feb.
• Gavriletea Marius Dan & Gavriletea Mihaela Ioana, 2009, "The Effects Of The Energy To Ecosystem And Risk Management Solution For Covering The Potential Losses," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 212-217, May.
• Barna Flavia & Danuletiu Adina Elena & Mura Petru Ovidiu, 2009, "Role Of Information In Adoption Of Investment Decisions On Capital Market," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 474-479, May.
• Shoko Morimoto, 2009, "Asset markets can achieve efficiency in the directed search framework," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-33, Sep.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2009, "Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 124-163, 2012 10 1.
• Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009, "Ambiguity Aversion and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4157-4188, October.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009, "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4259-4299, October.
• Tim Bollerslev & George Tauchen & Hao Zhou, 2009, "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4463-4492, November.
• Mark Broadie & Mikhail Chernov & Michael Johannes, 2009, "Understanding Index Option Returns," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4493-4529, November.
• Louis K. C. Chan & Stephen G. Dimmock & Josef Lakonishok, 2009, "Benchmarking Money Manager Performance: Issues and Evidence," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4553-4599, November.
• Sydney C. Ludvigson & Serena Ng, 2009, "Macro Factors in Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 12, pages 5027-5067, December.
• Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009, "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 12, pages 5099-5131, December.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009, "Mispricing of S&P 500 Index Options," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 1247-1277, March.
• Gale, Douglas M & Acharya, Viral & Yorulmazer, Tanju, 2009, "Rollover Risk and Market Freezes," CEPR Discussion Papers, Centre for Economic Policy Research, number 7122, Jan.
• Dumas, Bernard & Lyasoff, Andrew, 2009, "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers, Centre for Economic Policy Research, number 7138, Jan.
• Ljungqvist, Alexander & Kelly, Bryan, 2009, "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7227, Mar.
• Acharya, Viral & Lochstoer, Lars, 2009, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 7327, Jun.
• Favero, Carlo A. & Consolo, Agostino, 2009, "Monetary Policy Inertia: More a Fiction than a fact?," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7344, Jun.
• Albuquerque, Rui & Schroth, Enrique, 2009, "Quantifying private benefits of control from a structural model of block trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 7358, Jul.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009, "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers, Centre for Economic Policy Research, number 7392, Aug.
• Basak, Suleyman & Yan, Hongjun, 2009, "Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion," CEPR Discussion Papers, Centre for Economic Policy Research, number 7398, Aug.
• Backus, David & Chernov, Mikhail & Martin, Ian, 2009, "Disasters implied by equity index options," CEPR Discussion Papers, Centre for Economic Policy Research, number 7416, Aug.
• Pedersen, Lasse Heje, 2009, "When Everyone Runs for the Exit," CEPR Discussion Papers, Centre for Economic Policy Research, number 7436, Aug.
• Cuoco, Domenico & Kaniel, Ron, 2009, "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 7453, Sep.
• Marcet, Albert & Adam, Klaus, 2009, "Internal Rationality and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7499, Oct.
• Vives, Xavier & Cespa, Giovanni, 2009, "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CEPR Discussion Papers, Centre for Economic Policy Research, number 7506, Oct.
• Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2009, "Liquidity cycles and make/take fees in electronic markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 7551, Nov.
• Pagano, Marco & Beber, Alessandro, 2009, "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 7557, Nov.
• Albuquerque, Rui, 2009, "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers, Centre for Economic Policy Research, number 7573, Nov.
• Lundblad, Christian T & Jotikasthira, Chotibhak, 2009, "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers, Centre for Economic Policy Research, 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.