Research classified by Journal of Economic Literature (JEL) codes

2009

• 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.
• 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.