Research classified by Journal of Economic Literature (JEL) codes

2009

• Alfred Galichon & Ivar Ekeland & Marc Henry, 2009, "Comonotonic measures of multivariates risks," Working Papers, HAL, number hal-00401828, Jul.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2009, "Liquidity Cycles and Make/Take Fees in Electronic Markets," Working Papers, HAL, number hal-00489430, Oct.
• Aymen Belgacem, 2009, "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers, HAL, number hal-04140878.
• Vincent Bignon & Antonio Miscio, 2009, "Media Bias in Financial Newspapers: Evidence from Early 20th Century France," Working Papers, HAL, number hal-04140891.
• 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," Working Papers, HAL, number hal-04140892.
• Menkhoff, Lukas & Schmeling, Maik, 2009, "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-415, Aug.
• Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009, "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers, Harvard Business School, number 10-023, Sep, revised Jul 2010.
• Manescu, Cristiana, 2009, "Stock returns in relation to environmental, social and governance performance: mispricing or compensation for risk?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 376, Sep, revised 01 Mar 2010.
• Johansson, Anders C., 2009, "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-5, Mar.
• Fan, Longzhen & Johansson, Anders C., 2009, "What Moves Bond Yields In China?," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-9, Jun.
• Johansson, Anders C., 2009, "Asian Sovereign Debt and Country Risk," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-11, Dec.
• Salomonsson, Marcus, 2009, "Introducing a spread into the Kyle model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 713, Mar.
• Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009, "Dynamics in Systematic Liquidity," Working Papers, Lund University, Department of Economics, number 2009:7, May.
• Mjøs, Aksel & Persson, Svein-Arne, 2009, "A Model of Deferred Callability in Defaultable Debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2009/4, May.
• Sørensen, Lars Qvigstad, 2009, "Oil Price Shocks and Stock Return Predictability," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2009/13, Nov.
• Naes, Randi & Ødegaard, Bernt Arne, 2009, "Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/19, Mar.
• Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009, "What factors affect the Oslo Stock Exchange?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/33, Nov.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2009, "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 425, Mar.
• Michael Cheng & Wai-Yip Alex Ho, 2009, "A Structural Investigation into the Price and Wage Dynamics in Hong Kong," Working Papers, Hong Kong Monetary Authority, number 0920, Dec.
• Felix Geiger, 2009, "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 316/2009, Jul.
• Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009, "Understanding Inflation-Indexed Bond Markets," Scholarly Articles, Harvard University Department of Economics, number 10885503.
• Campbell, John & Schwartz, Allie & Ramadorai, Tarun, 2009, "Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements," Scholarly Articles, Harvard University Department of Economics, number 2609649.
• Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009, "Global Currency Hedging," Scholarly Articles, Harvard University Department of Economics, number 3153308.
• Avery, Christopher N. & Zeckhauser, Richard Jay, 2009, "The CAPS Prediction System and Stock Market Returns," Scholarly Articles, Harvard Kennedy School of Government, number 4415901.
• Peter C. B. Phillips & Jun Yu, 2009, "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-039, Mar.
• Kiyotaka Nakashima & Makoto Saito, 2009, "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-068, May.
• Xiaodong Du & Dermot J. Hayes & Cindy L. Yu, 2009, "Dynamics of Biofuel Stock Prices: A Bayesian Approach," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 09-wp498, Sep.
• Giuseppe Galloppo, 2009, "Dynamic Asset Allocation Using a Combined Criteria Decision System," Accounting & Taxation, The Institute for Business and Finance Research, volume 1, issue 1, pages 29-44.
• Eduardo Sandoval & Arturo Vásquez, 2009, "The Pricing Of Exchange Rate Risk In Up And Down World Stock Market Periods," Global Journal of Business Research, The Institute for Business and Finance Research, volume 3, issue 1, pages 27-39.
• Jian-Hsin Chou & Chien-Yun Chang & Chen-Yu Chen, 2009, "The Use Of Term Structure Information In The Hedging Of Japanese Government Bonds," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 3, issue 2, pages 131-145.
• Hans-Peter Burghof & Felix Prothmann, 2009, "Can Stock Price Momentum Be Explained By Anchoring?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 3, issue 2, pages 47-69.
• Philip Maymin, 2009, "The Hazards Of Propping Up: Bubbles And Chaos," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 3, issue 2, pages 83-93.
• Biais, Bruno & Rochet, Jean-Charles & Woolley, Paul, 2009, "The Lifecycle of the Financial Sector and Other Speculative Industries," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 549, Apr.
• Biais, Bruno & Weill, Pierre-Olivier, 2009, "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 550, May.
• Gollier, Christian & Weitzman, Martin L., 2009, "How Should the Distant Future be Discounted When Discount Rates are Uncertain?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 588, Nov.
• Gollier, Christian, 2009, "Ecological Discounting," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 524, Jul.
• Denny Permatasari & Nur Iriawan, 2009, "Pemodelan Kurva Imbal Hasil Obligasi Korporasi Rating AA dan A dengan Nelson-Siegel-Svensson dan Cubic Spline Smoothing," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 11, issue 4, pages 293-322, April, DOI: https://doi.org/10.21098/bemp.v11i4.
• Silvio John Camilleri & Christopher J. Green, 2009, "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 1, issue 3, pages 257-284.
• Germán López & Joaquín Marhuenda & Belén Nieto, 2009, "The relationship between risk and expected returns with incomplete information," Investigaciones Economicas, Fundación SEPI, volume 33, issue 1, pages 69-96, January.
• Nannette Lindenberg & Frank Westermann, 2009, "Common Trends and Common Cycles among Interest Rates of the G7-Countries," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 77, Jan.
• Jens Fricke & Ralf Pauly, 2009, "Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 78, Jul.
• Lutz Kilian & Cheolbeom Park, 2009, "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 50, issue 4, pages 1267-1287, November.
• Ali BAYRAKDAROĞLU & Şaban NAZLIOĞLU, 2009, "Hisse senedi fiyat-hacim ilişkisi: İMKB’de işlem gören bankalar için doğrusal ve doğrusal olmayan Granger nedensellik analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 277, pages 85-109.
• Lasse Pedersen, 2009, "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 4, pages 177-199, December.
• Chenghuan Sean Chu & Andreas Lehnert & Wayne Passmore, 2009, "Strategic Trading in Multiple Assets and the Effects on Market Volatiliy," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 4, pages 143-172, December.
• Nathaniel Frank & Mr. Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers, International Monetary Fund, number 2009/104, May.
• Nazim Belhocine, 2009, "The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities," IMF Working Papers, International Monetary Fund, number 2009/250, Nov.
• Andrea Gamba & Nicola Fusari, 2009, "Valuing Modularity as a Real Option," Management Science, INFORMS, volume 55, issue 11, pages 1877-1896, November, DOI: 10.1287/mnsc.1090.1070.
• Peter Christoffersen & Steven Heston & Kris Jacobs, 2009, "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well," Management Science, INFORMS, volume 55, issue 12, pages 1914-1932, December, DOI: 10.1287/mnsc.1090.1065.
• Dennis Bams & Thorsten Lehnert & Christian C. P. Wolff, 2009, "Loss Functions in Option Valuation: A Framework for Selection," Management Science, INFORMS, volume 55, issue 5, pages 853-862, May, DOI: 10.1287/mnsc.1080.0976.
• Jianying Qiu & Prashanth Mahagaonkar, 2009, "Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2009-12, May.
• Michael Kirchler & Jürgen Huber & Thomas Stöckl, 2009, "Bubble or no Bubble - The Impact of Market Model on the Formation of Price Bubbles in Experimental Asset Markets," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2009-26, Jun.
• Felipe Zurita, 2009, "La Economía Financiera Frente a la Crisis," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 46, issue 134, pages 183-195.
• Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009, "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2009-07, Apr.
• Cheung, Stephen L. & Palan, Stefan, 2009, "Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market," IZA Discussion Papers, IZA Network @ LISER, number 4507, Oct.
• Gael M. Martin & Andrew Reidy & Jill Wright, 2009, "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 1, pages 77-104, DOI: 10.1002/jae.1033.
• Chun Liu & John M. Maheu, 2009, "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 5, pages 709-733, DOI: 10.1002/jae.1070.
• Xiaohong Chen & Sydney C. Ludvigson, 2009, "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 7, pages 1057-1093, DOI: 10.1002/jae.1091.
• Schulz Alexander & Wolff Guntram B., 2009, "The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin’s Forgone Bail-out," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 229, issue 1, pages 61-83, February, DOI: 10.1515/jbnst-2009-0105.
• Oberndorfer Ulrich & Ziegler Andreas, 2009, "2002 German Federal Elections and Associated Energy Policy: How Were Energy Corporations Financially Affected?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 229, issue 5, pages 570-583, October, DOI: 10.1515/jbnst-2009-0504.
• Bernard Cornet & Ramu Gopalan, 2009, "Arbitrage and Equilibrium with Portfolio Constraints," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200911, Dec, revised Dec 2009.
• Andreas Behr & Ulrich Pötter, 2009, "Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models," Annals of Finance, Springer, volume 5, issue 1, pages 49-68, January, DOI: 10.1007/s10436-007-0089-8.
• Bjarne Jensen, 2009, "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, volume 5, issue 1, pages 91-123, January, DOI: 10.1007/s10436-007-0091-1.
• Christoph Becker & Uwe Wystup, 2009, "On the cost of delayed currency fixing announcements," Annals of Finance, Springer, volume 5, issue 2, pages 161-174, March, DOI: 10.1007/s10436-008-0101-y.
• Howard Qi & Sheen Liu & Chunchi Wu, 2009, "On the calibration of structural credit spread models," Annals of Finance, Springer, volume 5, issue 2, pages 189-208, March, DOI: 10.1007/s10436-008-0097-3.
• Martin Eling & Luisa Tibiletti, 2009, "Good and Bad News on Capital Market Return Ellipticity," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 37, issue 2, pages 209-210, June, DOI: 10.1007/s11293-009-9169-7.
• Ping Zhang, 2009, "Uniform price auctions and fixed price offerings in IPOs: an experimental comparison," Experimental Economics, Springer;Economic Science Association, volume 12, issue 2, pages 202-219, June, DOI: 10.1007/s10683-008-9210-8.
• Nikolas Rokkanen, 2009, "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 1, pages 31-57, March, DOI: 10.1007/s11408-008-0096-4.
• Apostolos Dasilas, 2009, "The ex-dividend day stock price anomaly: evidence from the Greek stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 1, pages 59-91, March, DOI: 10.1007/s11408-008-0094-6.
• Michael Steiner, 2009, "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 2, pages 137-155, June, DOI: 10.1007/s11408-009-0099-9.
• Jie Zhu, 2009, "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 243-269, September, DOI: 10.1007/s11408-009-0107-0.
• Andros Gregoriou & Christos Ioannidis & Sugata Ghosh, 2009, "Heterogeneous time varying transaction costs and asset pricing in international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 271-283, September, DOI: 10.1007/s11408-009-0111-4.
• M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009, "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 3, pages 285-313, September, DOI: 10.1007/s11408-009-0106-1.
• Asger Lunde & Allan Zebedee, 2009, "Intraday volatility responses to monetary policy events," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 4, pages 383-399, December, DOI: 10.1007/s11408-009-0114-1.
• Jonathan Fletcher & Patricia Ntozi-Obwale, 2009, "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer;Western Finance Association, volume 36, issue 1, pages 21-44, August, DOI: 10.1007/s10693-009-0061-z.
• Antonio Díaz, 2009, "Retail Investors and the Trading of Treasury Securities," Journal of Financial Services Research, Springer;Western Finance Association, volume 36, issue 1, pages 45-63, August, DOI: 10.1007/s10693-009-0062-y.
• Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009, "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 2, pages 137-154, February, DOI: 10.1007/s11146-007-9079-x.
• Yongheng Deng & Peng Liu, 2009, "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 3, pages 214-240, April, DOI: 10.1007/s11146-008-9151-1.
• Vyacheslav Mikhed & Petr Zemčík, 2009, "Testing for Bubbles in Housing Markets: A Panel Data Approach," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 4, pages 366-386, May, DOI: 10.1007/s11146-007-9090-2.
• William Hardin & Michael Highfield & Matthew Hill & G. Kelly, 2009, "The Determinants of REIT Cash Holdings," The Journal of Real Estate Finance and Economics, Springer, volume 39, issue 1, pages 39-57, July, DOI: 10.1007/s11146-007-9103-1.
• Steven Dolvin & Mark Pyles, 2009, "REIT IPOs and the Cost of Going Public," The Journal of Real Estate Finance and Economics, Springer, volume 39, issue 1, pages 92-106, July, DOI: 10.1007/s11146-007-9101-3.
• Andrew Carverhill & Terry Cheuk & Sigurd Dyrting, 2009, "The smirk in the S&P500 futures options prices: a linearized factor analysis," Review of Derivatives Research, Springer, volume 12, issue 2, pages 109-139, July, DOI: 10.1007/s11147-009-9037-2.
• Bertram Düring, 2009, "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, volume 12, issue 2, pages 141-167, July, DOI: 10.1007/s11147-009-9031-8.
• Oleg Bondarenko & Iñaki Longarela, 2009, "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, volume 12, issue 2, pages 81-107, July, DOI: 10.1007/s11147-009-9032-7.
• Dilip Madan, 2009, "A tale of two volatilities," Review of Derivatives Research, Springer, volume 12, issue 3, pages 213-230, October, DOI: 10.1007/s11147-009-9038-1.
• Sema Bayraktar, 2009, "The impact of exchange rate risk on international asset pricing under various market structures," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 2, pages 169-195, February, DOI: 10.1007/s11156-008-0089-4.
• Carl Chen & Peter Lung & F. Wang, 2009, "Mispricing and the cross-section of stock returns," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 317-349, May, DOI: 10.1007/s11156-008-0097-4.
• Cho-Jieh Chen & Harry Panjer, 2009, "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 373-403, May, DOI: 10.1007/s11156-008-0100-0.
• Arthur Allen & George Sanders & Donna Dudney, 2009, "Should more local governments purchase a bond rating?," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 421-438, May, DOI: 10.1007/s11156-008-0095-6.
• Marc-Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2009, "Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 1, pages 1-26, July, DOI: 10.1007/s11156-008-0104-9.
• Annette Nguyen & Robert Faff & Philip Gharghori, 2009, "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 2, pages 141-158, August, DOI: 10.1007/s11156-009-0137-8.
• Dan Palmon & Ephraim Sudit & Ari Yezegel, 2009, "The value of columnists’ stock recommendations: an event study approach," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 209-232, October, DOI: 10.1007/s11156-009-0114-2.
• J. Cuñado & L. Gil-Alana & F. Gracia, 2009, "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 233-252, October, DOI: 10.1007/s11156-009-0111-5.
• Chaoshin Chiao & Zi-May Wang & Hsiu-Ling Lai, 2009, "Order submission behaviors and opening price behaviors: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 3, pages 253-278, October, DOI: 10.1007/s11156-009-0110-6.
• Travis Sapp, 2009, "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 4, pages 303-326, November, DOI: 10.1007/s11156-009-0122-2.
• Mohan Nandha & Robert Brooks, 2009, "Oil prices and transport sector returns: an international analysis," Review of Quantitative Finance and Accounting, Springer, volume 33, issue 4, pages 393-409, November, DOI: 10.1007/s11156-009-0120-4.
• Guangsug Hahn & Dong Chul Won, 2009, "Satiation and Equilibrium in Unbounded Exchange Economies," Korean Economic Review, Korean Economic Association, volume 25, pages 349-366.
• Satyajit Chatterjee & Burcu Eyigungor, 2009, "Maturity, Indebtedness, and Default Risk," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0901, Feb.
• Turan Bali & Kamil Yilmaz, 2009, "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0909, Sep, revised Nov 2009.
• Hervé Crès & Tobias Markeprand & Mich Tvede, 2009, "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers, University of Copenhagen. Department of Economics, number 09-12, Jun.
• Chiaki Hara, 2009, "Heterogeneous Impatience in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 665, Jan.
• Chiaki Hara, 2009, "Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods," KIER Working Papers, Kyoto University, Institute of Economic Research, number 685, Nov.
• Mohamed AROURI & Christophe RAULT, 2009, "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 1299.
• Arshad Hasan & M. Tariq Javed, 2009, "An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 14, issue 1, pages 115-137, Jan-Jun.
• Jaron, Martin, 2009, "Noise Trading in Stamm- und Vorzugsaktien," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10218, Mar.
• Gann, Philipp, 2009, "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10582, Apr.
• Breig, Christoph & Elsas, Ralf, 2009, "Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10978, Mar.
• Jaron, Martin, 2009, "Neue Erkenntnisse zur Stimmrechtsprämie in Deutschland," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 11264, Dec.
• Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena, 2009, "A factor analysis approch to measuring European loan and bond market integration," Discussion Papers in Economics, University of Munich, Department of Economics, number 11071, Nov.
• 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.