Research classified by Journal of Economic Literature (JEL) codes

2009

• Marco Taboga, 2009, "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, volume 18, issue 4, pages 163-171, October, DOI: 10.1016/j.rfe.2009.06.002.
• Supriyo De, 2009, "Intangible Determinants Of Market Value In The New Economy: A Dynamic Panel Data Analysis Of The Indian Software Industry," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 54, issue 03, pages 379-398, DOI: 10.1142/S0217590809003392.
• Martijn Cremers & Hongjun Yan, 2009, "Uncertainty and Valuations," Yale School of Management Working Papers, Yale School of Management, number amz2383, Mar, revised 01 May 2009.
• John Campbell & Robert Shiller & Luis Viceira, 2009, "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers, Yale School of Management, number amz2587, May.
• Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009, "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2009-01, Jan.
• Westerhoff, Frank, 2009, "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 61.
• Dieci, Roberto & Westerhoff, Frank, 2009, "A simple model of a speculative housing market," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 62.
• Witte, Björn-Christopher, 2009, "Temporal information gaps and market efficiency: A dynamic behavioral analysis," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 64.
• Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2009, "Stock return seasonalities and investor structure: Evidence from China's B-share markets," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 20/2009.
• Uhlenbrock, Birgit, 2009, "Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,08.
• Fecht, Falko & Wedow, Michael, 2009, "The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,10.
• Hamerle, Alfred & Liebig, Thilo & Schropp, Hans-Jochen, 2009, "Systematic risk of CDOs and CDO arbitrage," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,13.
• Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2009, "Measuring market liquidity risk - which model works best?," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-01.
• Stange, Sebastian & Kaserer, Christoph, 2009, "Market liquidity risk: an overview," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-04.
• Lahr, Henry & Kaserer, Christoph, 2009, "Net asset value discounts in listed private equity funds," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-12.
• Erdogan, Burcu, 2009, "How does European Integration affect the European Stock Markets?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 80.
• Grammig, Joachim & Schrimpf, Andreas, 2009, "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-05.
• Pütz, Alexander & Ruenzi, Stefan, 2009, "Overconfidence among professional investors: Evidence from mutual fund managers," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-08.
• Boonenkamp, Ute & Kempf, Alexander & Homburg, Carsten, 2009, "Fundamental information in technical trading strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 08-12.
• Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009, "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-02.
• Yadav, Pradeep K. & Bardong, Florian & Bartram, Söhnke M., 2009, "Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-08.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2009, "The term structure of illiquidity premia," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-14.
• Trapp, Monika, 2009, "Trading the bond-CDS basis: The role of credit risk and liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-16.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit dynamics in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 21.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit gap risk in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 22.
• Möbert, Jochen, 2009, "Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises," Research Notes, Deutsche Bank Research, number 32.
• Möbert, Jochen, 2009, "Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant," Research Notes, Deutsche Bank Research, number 32e.
• Cremers, Heinz & Walzner, Jens, 2009, "Modellierung des Kreditrisikos im Einwertpapierfall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 126.
• Cremers, Heinz & Walzner, Jens, 2009, "Modellierung des Kreditrisikos im Portfoliofall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 127.
• 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.
• 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.
• 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.
• Sabur Mollah & Asma Mobarek, 2009, "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 26, issue 4, pages 257-274, October, DOI: 10.1108/10867370910995717.
• McAleer, M.J. & Medeiros, M.C., 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-37, Nov.
• Post, G.T. & van Vliet, P. & Lansdorp, S.D., 2009, "Sorting out Downside Beta," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2009-006-F&A, Feb.
• Andreas Ziegler & Timo Busch & Volker H. Hoffmann, 2009, "Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 09/105, Feb.
• Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009, "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 388, Nov.
• Elena Fedorova & Mika Vaihekoski, 2009, "Global and Local Sources of Risk in Eastern European Emerging Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 1, pages 2-19, January.
• Nathaniel Frank & Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 6, pages 507-521, December.
• Linnéa Lundberg & Jiri Novak & Maria Vikman, 2009, "Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/22, Sep, revised Sep 2009.
• Jiri Novak & Dalibor Petr, 2009, "Empirical Risk Factors in Realized Stock Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/29, Dec, revised Dec 2009.
• Mário Bertella & Roseli da Silva & Renan Pereira, 2009, "Cointegração e Causalidade entre Indicadores Macroeconômicos e Índice Bovespa," Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, number 09_05.
• Pengguo Wang, 2009, "Computational Efficiency and Accuracy in the Valuation of Basket Options," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 1-25, April.
• Carlo Alberto Magni, 2009, "Opportunity Cost, Excess Profit, and Counterfactual Conditionals," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 118-154, April.
• Raymond Kan & Cesare Robotti & Jay Shanken, 2009, "Pricing model performance and the two-pass cross-sectional regression methodology," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2009-11.
• Todd Prono, 2009, "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU09-3.
• Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009, "Global, local, and contagious investor sentiment," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 37.
• Geert Bekaert & Eric Engstrom, 2009, "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue jan.
• Katheryn N. Russ & Diego Valderrama, 2009, "A theory of banks, bonds, and the distribution of firm size," Working Paper Series, Federal Reserve Bank of San Francisco, number 2009-25.
• Torben G. Andersen & Luca Benzoni, 2009, "Stochastic volatility," Working Paper Series, Federal Reserve Bank of Chicago, number WP-09-04.
• Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2009, "Dynamics in systematic liquidity," Working Papers, Federal Reserve Bank of St. Louis, number 2009-025, DOI: 10.20955/wp.2009.025.
• Pengfei Wang & Yi Wen, 2009, "Speculative bubbles and financial crisis," Working Papers, Federal Reserve Bank of St. Louis, number 2009-029, DOI: 10.20955/wp.2009.029.
• Monika Piazzesi & Martin Schneider, 2009, "Momentum traders in the housing market: survey evidence and a search model," Staff Report, Federal Reserve Bank of Minneapolis, number 422.
• Monika Piazzesi & Martin Schneider, 2009, "Inflation and the price of real assets," Staff Report, Federal Reserve Bank of Minneapolis, number 423.
• Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009, "Consumption and labor supply with partial insurance: an analytical framework," Staff Report, Federal Reserve Bank of Minneapolis, number 432.
• Fatih Guvenen, 2009, "A parsimonious macroeconomic model for asset pricing," Staff Report, Federal Reserve Bank of Minneapolis, number 434.
• Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009, "Risk appetite and exchange Rates," Staff Reports, Federal Reserve Bank of New York, number 361.
• Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009, "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports, Federal Reserve Bank of New York, number 381, Jul.
• Erkko Etula, 2009, "Broker-dealer risk appetite and commodity returns," Staff Reports, Federal Reserve Bank of New York, number 406, Nov.
• Satyajit Chatterjee & Burcu Eyigungor, 2009, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 09-2.
• Francisco Peñaranda, 2009, "Understanding Portfolio Efficiency with Conditioning Information," FMG Discussion Papers, Financial Markets Group, number dp626, Jan.
• Xiaoji Lin & Santiago Bazdrech & Frederico Belo, 2009, "Labor Hiring, Investment and Stock Return Predictability in the Cross Section," FMG Discussion Papers, Financial Markets Group, number dp628, Mar.
• Michela Verardo & Andrew Patton, 2009, "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers, Financial Markets Group, number dp630, Mar.
• Jean-Charles Rochet & Bruno Biais & Paul Woolley, 2009, "Rents, learning and risk in the financial sector and other innovative industries," FMG Discussion Papers, Financial Markets Group, number dp632, Sep.
• Xiaoji Lin, 2009, "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers, Financial Markets Group, number dp634, Jun.
• Nicole Branger & Holger Kraft & Christoph Meinerding, 2009, "What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 198.
• Giulio Cifarelli & Giovanna Paladino, 2009, "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2009_12.rdf.
• Riccardo Lo Conte, 2009, "Government Bond Yield Spreads: A Survey," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 68, issue 3, pages 341-370, July.
• Matteo Modena, 2009, "An Empirical Investigation of the Lucas Hypothesis: the Yield Curve and Non Linearity in the Money-Output Relationship," Working Papers, Business School - Economics, University of Glasgow, number 2010_15, May, revised Jun 2010.
• Allen Huang & Benjamin Liu, 2009, "The Goods and Services Tax (GST) and Bank Mortgage Costs: Empirical Evidence," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:200914.
• Allen Huang & Benjamin Liu, 2009, "The Goods and Services Tax (GST) and Non-Bank Lender Mortgage Costs: Empirical Evidence," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:200915.
• Dominique Guegan & Jing Zhang, 2009, "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00368336, Oct, DOI: 10.1080/13518470902895344.
• Dominique Guegan & Florian Ielpo, 2009, "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00439820, Oct.
• Marie Obidzinski & Bruno Deffains, 2009, "Real Options Theory for Law Makers," Post-Print, HAL, number hal-00447170, Jan, DOI: 10.3917/rel.751.0093.
• Michael A. Smith & David Paton & Leighton Vaughan Williams, 2009, "Do Bookmakers Possess Superior Skills to Bettors in Predicting Outcomes?," Post-Print, HAL, number hal-00684229, Mar, DOI: 10.1016/j.jebo.2009.03.016.
• Mikhail Anufriev & Pietro Dindo, 2009, "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," Post-Print, HAL, number hal-00763494, Dec, DOI: 10.1016/j.jebo.2009.11.006.
• Rudy de Winne & Carole Gresse & Isabelle Platten, 2009, "Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index," Post-Print, HAL, number halshs-00674163, Oct.
• Pamina Koenig, 2009, "Agglomeration and the Export Decision of French Firms," Post-Print, HAL, number halshs-00754328, Nov, DOI: 10.1016/j.jue.2009.07.002.
• Pamina Koenig, 2009, "Agglomeration and the Export Decision of French Firms," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00754328, Nov, DOI: 10.1016/j.jue.2009.07.002.