Research classified by Journal of Economic Literature (JEL) codes

2019

• Fernando Chague & Rodrigo De-Losso, Bruno Giovannetti, 2019, "Day trading for a living? Fernando," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_47, Dec.
• Justin Birru & Fernando Chague, Rodrigo De-Losso, Bruno Giovannetti, 2019, "Attention and Biases: Evidence from Tax-Inattentive Investors," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_48, Dec.
• Rodrigo De-Losso & Elias Cavalcante Filho, José Carlos de Souza Santos, 2019, "What are the risk factors relevant to investors? Evidence from the Brazilian Funds Market," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_52, Dec.
• Daniel Sales Casula & Rodrigo De-Losso, 2019, "Short Selling, the supply side: are lenders price makers?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_53, Dec.
• Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019, "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, volume 281, issue 1, pages 349-372, October, DOI: 10.1007/s10479-018-2794-2.
• Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019, "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, volume 281, issue 1, pages 297-314, October, DOI: 10.1007/s10479-018-2831-1.
• Yingyi Hu, 2019, "Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market," Annals of Operations Research, Springer, volume 281, issue 1, pages 253-274, October, DOI: 10.1007/s10479-018-2849-4.
• Mondher Bellalah & Yaosheng Xu & Detao Zhang, 2019, "Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, volume 281, issue 1, pages 397-422, October, DOI: 10.1007/s10479-018-2901-4.
• Mondher Bellalah & Detao Zhang, 2019, "An intertemporal capital asset pricing model under incomplete information and short sales," Annals of Operations Research, Springer, volume 281, issue 1, pages 143-159, October, DOI: 10.1007/s10479-018-2909-9.
• Marko Volker Krause, 2019, "De and re-levering betas with risky debt," Business Research, Springer;German Academic Association for Business Research, volume 12, issue 2, pages 703-720, December, DOI: 10.1007/s40685-018-0066-2.
• José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019, "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 1, pages 77-101, June, DOI: 10.1007/s10203-019-00231-4.
• Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019, "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 639-664, December, DOI: 10.1007/s10203-019-00241-2.
• Sergio Albeverio & Francesco Cordoni & Luca Persio & Gregorio Pellegrini, 2019, "Asymptotic expansion for some local volatility models arising in finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 527-573, December, DOI: 10.1007/s10203-019-00247-w.
• Stefano Bistarelli & Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2019, "Model-based arbitrage in multi-exchange models for Bitcoin price dynamics," Digital Finance, Springer, volume 1, issue 1, pages 23-46, November, DOI: 10.1007/s42521-019-00001-2.
• Takanobu Mizuta & Sadayuki Horie, 2019, "Mechanism by which active funds make market efficient investigated with agent-based model," Evolutionary and Institutional Economics Review, Springer, volume 16, issue 1, pages 43-63, June, DOI: 10.1007/s40844-018-0102-0.
• Qing He & Zongxin Qian & Zhe Fei & Terence Tai-Leung Chong, 2019, "Do speculative bubbles migrate in the Chinese stock market?," Empirical Economics, Springer, volume 56, issue 2, pages 735-754, February, DOI: 10.1007/s00181-017-1369-4.
• Massimo Ferrari & Stéphanie Stolz & Michael Wedow, 2019, "Do primary dealer funding constraints impact sovereign bond liquidity and yields: evidence for nine Euro area countries," Empirical Economics, Springer, volume 56, issue 6, pages 1855-1891, June, DOI: 10.1007/s00181-018-1451-6.
• Masato Ubukata, 2019, "Jump tail risk premium and predicting US and Japanese credit spreads," Empirical Economics, Springer, volume 57, issue 1, pages 79-104, July, DOI: 10.1007/s00181-018-1431-x.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019, "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 9, issue 1, pages 61-70, March, DOI: 10.1007/s40822-018-0103-7.
• Thorsten Lehnert, 2019, "Big moves of mutual funds," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 9, issue 1, pages 1-27, March, DOI: 10.1007/s40822-018-0104-6.
• Denis Belomestny & Tobias Hübner & Volker Krätschmer & Sascha Nolte, 2019, "Minimax theorems for American options without time-consistency," Finance and Stochastics, Springer, volume 23, issue 1, pages 209-238, January, DOI: 10.1007/s00780-018-0378-2.
• Delia Coculescu & Monique Jeanblanc, 2019, "Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices," Finance and Stochastics, Springer, volume 23, issue 2, pages 397-421, April, DOI: 10.1007/s00780-019-00386-3.
• Kristian Buchardt & Christian Furrer & Mogens Steffensen, 2019, "Forward transition rates," Finance and Stochastics, Springer, volume 23, issue 4, pages 975-999, October, DOI: 10.1007/s00780-019-00397-0.
• Felix-Benedikt Liebrich & Gregor Svindland, 2019, "Risk sharing for capital requirements with multidimensional security markets," Finance and Stochastics, Springer, volume 23, issue 4, pages 925-973, October, DOI: 10.1007/s00780-019-00402-6.
• Christoph Kühn & Alexander Molitor, 2019, "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, volume 23, issue 4, pages 1049-1077, October, DOI: 10.1007/s00780-019-00403-5.
• Paolo Pigato, 2019, "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, volume 23, issue 4, pages 827-859, October, DOI: 10.1007/s00780-019-00406-2.

2018

• Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun, 2018, "The Power of the Street: Evidence from Egypt’s Arab Spring," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 1, pages 1-42.
• Lifeng Gu & Dirk Hackbarth & Tim Johnson, 2018, "Inflexibility and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 1, pages 278-321.
• Michael D. Bauer & James D. Hamilton, 2018, "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 399-448.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018, "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 595-637.
• Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018, "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 678-714.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2018, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1014-1063.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1132-1183.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018, "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 811-851.
• Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2018, "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 852-897.
• Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2018, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 898-942.
• Sven Klingler & David Lando, 2018, "Safe Haven CDS Premiums," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 5, pages 1856-1895.
• David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2018, "Innovative Originality, Profitability, and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 7, pages 2553-2605.
• Kralik Lóránd István, 2018, "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 130-136, December.
• Szász Erzsébet, 2018, "About the Similarities and Common Roots of Two Consecutive Financial Crises," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 64-69, December.
• Martin Ellison & Andreas Tischbirek, 2018, "Beauty Contests and the Term Structure," Economics Series Working Papers, University of Oxford, Department of Economics, number 846, Feb.
• Rahul Nath, 2018, "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 851, May.
• Navarrete Wic, Ana & Di Pietro, Filippo & Martín Marín, José Luis, 2018, "Are the Sovereign CDS Premia Sound Estimators of the Stock Market Returns? Evidence from the Eurozone || ¿Son las primas CDS estimadores sólidos de los rendimientos del mercado de valores? Evidencia de la Eurozona," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 25, issue 1, pages 130-155, Junio.
• Demir Bektić & Tobias Regele, 2018, "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 79-92, March, DOI: 10.1057/s41260-017-0063-6.
• Golam Sarwar & Cesario Mateus & Natasa Todorovic, 2018, "US sector rotation with five-factor Fama–French alphas," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 116-132, March, DOI: 10.1057/s41260-017-0067-2.
• Mehdi Mili, 2018, "Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 133-143, March, DOI: 10.1057/s41260-017-0068-1.
• Kyre Dane Lahtinen & Chris M. Lawrey & Kenneth J. Hunsader, 2018, "Beta dispersion and portfolio returns," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 3, pages 156-161, May, DOI: 10.1057/s41260-017-0071-6.
• Steffen Westermann & Scott Niblock & Michael Kortt, 2018, "Corporate social responsibility and the performance of Australian REITs: a rolling regression approach," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 4, pages 222-234, July, DOI: 10.1057/s41260-018-0079-6.
• Yang Gao & Henry Leung & Stephen Satchell, 2018, "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 5, pages 341-350, September, DOI: 10.1057/s41260-018-0080-0.
• Marc Desban & Souad Lajili Jarjir, 2018, "Corporate ownership structure, market anomalies and asset pricing," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 5, pages 316-340, September, DOI: 10.1057/s41260-018-0085-8.
• Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2018, "Success and failure on the corporate bond fund market," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 429-443, October, DOI: 10.1057/s41260-018-0086-7.
• Hannes Mohrschladt, 2018, "The impact of size and book-to-market among paired stocks," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 384-393, October, DOI: 10.1057/s41260-018-0089-4.
• Andreas Humpe & David G. McMillan, 2018, "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 413-428, October, DOI: 10.1057/s41260-018-0091-x.
• Christoph Trebesch & Jeromin Zettelmeyer, 2018, "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 66, issue 2, pages 287-332, June, DOI: 10.1057/s41308-018-0051-y.
• Meeghan Rogers, 2018, "Financial Institutions and Markets," Palgrave Studies in Economic History, Palgrave Macmillan, chapter 11, in: Matthias Blum & Christopher L. Colvin, "An Economist’s Guide to Economic History", DOI: 10.1007/978-3-319-96568-0_11.
• Carolina Castagnetti, 2018, "A novel approach for testing the parity relationship between CDS and credit spread," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 161, Jun.
• Toan Huynh Luu Duc & Sang Phu Nguyen, 2018, "Higher co-moments and asset pricing on emerging stock markets by quantile regression approach," Business and Economic Horizons (BEH), Prague Development Center, volume 14, issue 1, pages 132-142, January, DOI: 10.15208/beh.2018.11.
• Che-Yahya, Norliza & Abdul-Rahim, Ruzita & Mohd Rashid, Rasidah, 2018, "The influence of “offer for sale” by existing shareholders on investors’ reaction in the IPO immediate aftermarket," Business and Economic Horizons (BEH), Prague Development Center, volume 14, issue 4, pages 818-828, August, DOI: http://dx.doi.org/10.15208/beh.2018.
• Damian Pudlo, 2018, "Czynniki determinujace zmiany na rynku kryptowalut
  [The factors determining the changes in the cryptocurrencies market]," Catallaxy, Institute of Economic Research, volume 3, issue 1, pages 55-64, June, DOI: 10.24136/cxy.2018.001.
• Adam Marszk, 2018, "Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 13, issue 4, pages 643-665, December, DOI: 10.24136/eq.2018.031.
• Darko B. Vukovic & Victor Prosin, 2018, "The prospective low risk hedge fund capital allocation line model: evidence from the debt market," Oeconomia Copernicana, Institute of Economic Research, volume 9, issue 3, pages 419-439, September, DOI: 10.24136/oc.2018.021.
• Ioan Ovidiu SPĂTĂCEAN & Andrei Gabriel VULTUR, 2018, "Research considering the utility of technical analysis tools in portfolio management," Acta Marisiensis. Series Oeconomica, "George Emil Palade" University of Medicine, Pharmacy, Sciences and Technology of Târgu-Mureș, România - Faculty of Economics and Law, volume 1, pages 95-108, December.
• Carlos Francisco Alves & Duarte André de Castro Reis, 2018, "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 603, Apr.
• Cangoz, Mehmet Coskun & Boitreaud, Sebastien & Dychala, Christopher Benjamin, 2018, "How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management," MPRA Paper, University Library of Munich, Germany, number 100309, Oct.
• Blau, Benjamin, 2018, "Does Religiosity Affect Liquidity in Financial Markets?," MPRA Paper, University Library of Munich, Germany, number 100698.
• Dehghan Khavari, Saeed & Mirjalili, Seyed hossein, 2018, "تعامل ریسک سیستماتیک با بازده سهام در بورس اوراق بهادار تهران
  [The interaction of systematic risk with stock returns in the Tehran Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 125611, Oct, revised 18 Dec 2018.
• Pincheira, Pablo & Hardy, Nicolas, 2018, "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper, University Library of Munich, Germany, number 83564, Jan.
• Cerezo Sánchez, David, 2018, "The Valuation of Secrecy and the Privacy Multiplier," MPRA Paper, University Library of Munich, Germany, number 83954, Jan.
• Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018, "Financial bubbles and capital accumulation in altruistic economies," MPRA Paper, University Library of Munich, Germany, number 84429, Feb.
• Xing, Victor, 2018, "Yield Curve Flattening a Symptom of Ineffective Policy Tightening," MPRA Paper, University Library of Munich, Germany, number 84471, Jan.
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2018, "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," MPRA Paper, University Library of Munich, Germany, number 84835.
• Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018, "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper, University Library of Munich, Germany, number 84886, Feb.
• Sovbetov, Yhlas, 2018, "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," MPRA Paper, University Library of Munich, Germany, number 85036, Jan.
• Bershadskii, Alexander, 2018, "Stock market activity and hormonal cycles," MPRA Paper, University Library of Munich, Germany, number 85298, Mar.
• White, Alan, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 85331, Mar.
• Lee, David, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 85575, Mar.
• CLERE, Roland & MARANDE, Stephane, 2018, "Default risk and equity value: forgotten factor or cultural revolution?," MPRA Paper, University Library of Munich, Germany, number 85659, Feb.
• Takaoka, Sumiko, 2018, "Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads," MPRA Paper, University Library of Munich, Germany, number 86418, Mar.
• Simerský, Mojmír, 2018, "Czech Government Bond yields under FX pressure," MPRA Paper, University Library of Munich, Germany, number 86476, May.
• Sonntag, Dominik, 2018, "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper, University Library of Munich, Germany, number 87082, May.
• Peter, Bossaerts & Jason, Shachat & Kuangli, Xie, 2018, "Arbitrage Opportunities: Anatomy and Remediation," MPRA Paper, University Library of Munich, Germany, number 87273, Jun.
• Ripamonti, Alexandre & Silva, Diego & Moreira Neto, Eurico, 2018, "Asset Pricing and Asymmetric Information," MPRA Paper, University Library of Munich, Germany, number 87403, Jun.
• Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018, "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper, University Library of Munich, Germany, number 87870, Jan.
• William, Barnett & Qing, Han & Jianbo, Zhang, 2018, "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," MPRA Paper, University Library of Munich, Germany, number 88261, Jul.
• He, Yong, 2018, "Can the visible and invisible hands coexist in land pricing?," MPRA Paper, University Library of Munich, Germany, number 88770.
• Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018, "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper, University Library of Munich, Germany, number 88899, Sep.
• Cesteros, Santiago Rodrigo, 2018, "Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino
  [On macroeconomic volatility and wealth dollarization: the Argentine case]," MPRA Paper, University Library of Munich, Germany, number 88968, Jul.
• Olkhov, Victor, 2018, "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper, University Library of Munich, Germany, number 89105, Sep.
• Zhou, Siwen, 2018, "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper, University Library of Munich, Germany, number 89445.
• Sandoval Paucar, Giovanny, 2018, "Contagio Financiero: Una Breve Revisión De Literatura
  [Financial Contagio: A Review Literature]," MPRA Paper, University Library of Munich, Germany, number 89554, Oct.
• MESTRE, Roman & Terraza, Michel, 2018, "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -
  [Forward Regression with Discrete and Continuous Wavelets Time-Frequency Window -An application to the M," MPRA Paper, University Library of Munich, Germany, number 89682, Sep.
• Picarelli, Mattia & Erce, Aitor, 2018, "The Benefits of Reducing Hold-Out Risk: Evidence from the Euro CAC Experiment, 2013-2018," MPRA Paper, University Library of Munich, Germany, number 89973, Nov.
• Chin, Leong Choong & Sek, Siok Kun & Tan, Yee Theng, 2018, "A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia)," MPRA Paper, University Library of Munich, Germany, number 90148, Sep.
• Pincheira, Pablo & Neumann, Federico, 2018, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper, University Library of Munich, Germany, number 90432, Dec.
• Tumasyan, Hovik, 2018, "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper, University Library of Munich, Germany, number 90806, Dec.
• Suzuki, Shiba, 2018, "Inequality and asset fire sales," MPRA Paper, University Library of Munich, Germany, number 90906, Dec.
• Raputsoane, Leroi, 2018, "Temporal homogeneity between financial stress and the economic cycle," MPRA Paper, University Library of Munich, Germany, number 91119, Dec.
• Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018, "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper, University Library of Munich, Germany, number 91430, Jul, revised 03 Oct 2018.
• Chong, Terence Tai Leung & Wu, Yueer, 2018, "The Unusual Trading Volume and Earnings Surprises in China’s Market," MPRA Paper, University Library of Munich, Germany, number 92162, Feb.
• Degiannakis, Stavros & Filis, George & Tsemperlidis, Stefanos, 2018, "Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component," MPRA Paper, University Library of Munich, Germany, number 94176, Nov.
• Hou, Yang & Meng, Jiayin, 2018, "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper, University Library of Munich, Germany, number 94838, Mar.
• Riza Demirer & Rangan Gupta, 2018, "Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 201811, Feb.
• Rangan Gupta & Mark E. Wohar, 2018, "The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 201851, Aug.
• Rangan Gupta, 2018, "Manager Sentiment and Stock Market Volatility," Working Papers, University of Pretoria, Department of Economics, number 201853, Aug.
• Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018, "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers, University of Pretoria, Department of Economics, number 201864, Oct.
• Christophe André & Petre Caraiani & Adrian Cantemir Čalin & Rangan Gupta, 2018, "Can Monetary Policy Lean against Housing Bubbles?," Working Papers, University of Pretoria, Department of Economics, number 201877, Nov.
• Tamara Ajrapetova, 2018, "Cross-Section of Asset Returns: Emerging Markets and Market Integration," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2018, issue 1, pages 41-60, DOI: 10.18267/j.efaj.205.
• Martin Červený, 2018, "Should REIT Investors be Concerned about Changing Economic Conditions?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2018, issue 3, pages 21-35, DOI: 10.18267/j.efaj.212.
• Jana Skálová & Tomáš Podškubka & Petr Diviš, 2018, "Vliv velikosti podniku na transakční násobitele
  [The Impact of the Company's Size on the Transaction Multiple]," Politická ekonomie, Prague University of Economics and Business, volume 2018, issue 1, pages 57-77, DOI: 10.18267/j.polek.1181.
• Luiza Madalina APOSTOL & Alina HAGIU, 2018, "The Applicability Of The Unifactorial Model For Brd Shares Quoted On The Bucharest Stock Exchange," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 17, issue 3, pages 133-142.
• Bernardino Adão & André C. Silva, 2018, "The Effect of Firm Cash Holdings on Monetary Policy," Working Papers, Banco de Portugal, Economics and Research Department, number w201804.
• Francisco Buera, 2018, "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers, Banco de Portugal, Economics and Research Department, number w201806.
• Shino Takayama, 2018, "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 603, Oct.
• Francis Breedon, 2018, "On the Transactions Costs of UK Quantitative Easing," Working Papers, Queen Mary University of London, School of Economics and Finance, number 848, Jan.
• Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018, "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers, Queen Mary University of London, School of Economics and Finance, number 859, May.
• Kazuhiro Hiraki & George Skiadopoulos, 2018, "The Contribution of Frictions to Expected Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 874, Oct.
• Jonathan Hambur & Richard Finlay, 2018, "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2018-02, Feb.
• Heinemann, Frank & Moradi, Homayoon, 2018, "Sunspots in Global Games: Theory and Experiment," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 135, Dec.
• Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 81, Mar.
• R. Anton Braun & Tomoyuki Nakajima, 2018, "Code and data files for "Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis"," Computer Codes, Review of Economic Dynamics, number 16-80, revised .
• Pierlauro Lopez, 2018, "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 29, pages 85-105, July, DOI: 10.1016/j.red.2017.12.008.
• R. Anton Braun & Tomoyuki Nakajima, 2018, "Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 29, pages 235-255, July, DOI: 10.1016/j.red.2018.01.005.
• Matthew Darst & Ehraz Refayet, 2018, "A Model of Endogenous Debt Maturity with Heterogeneous Beliefs," 2018 Meeting Papers, Society for Economic Dynamics, number 1004.
• Divya Kirti, 2018, "Lending standards and output growth," 2018 Meeting Papers, Society for Economic Dynamics, number 203.
• Jesus Fernandez-Villaverde & Federico Mandelman & Francesco Zanetti & Yang Yu, 2018, "Search Complementarities, Aggregate Fluctuations and Fiscal Policy," 2018 Meeting Papers, Society for Economic Dynamics, number 386.
• Philippe Bacchetta & Eric van Wincoop, 2018, "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," 2018 Meeting Papers, Society for Economic Dynamics, number 675.
• Nina Boyarchenko & Matthew Plosser & Valentin Haddad, 2018, "Federal Reserve and Market Confidence," 2018 Meeting Papers, Society for Economic Dynamics, number 781.
• Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2018, "Over-the-counter market liquidity and securities lending," 2018 Meeting Papers, Society for Economic Dynamics, number 786.
• Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2018, "Affordable Housing and City Welfare," 2018 Meeting Papers, Society for Economic Dynamics, number 867.
• Carlos Viana de Carvalho & Daniel Cordeiro & Ruy Ribeiro & Eduardo Zilberman, 2018, "Gambling, Risk Appetite and Asset Pricing," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 664, Mar.
• Jun Li & Huijun Wang & Jianfeng Yu, 2018, "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers, Asian Development Bank Institute, number 808, Feb.
• Xiaping Cao & Bihong Huang & Rose Neng Lai, 2018, "The Impact of Exogenous Demand Shock on the Housing Market: Evidence from the Home Purchase Restriction Policy in the People’s Republic of China," ADBI Working Papers, Asian Development Bank Institute, number 824, Mar.
• Valentina Galvani & Lifang Li, 2018, "The Momentum Effect for Canadian Corporate Bonds," Working Papers, University of Alberta, Department of Economics, number 2018-16, Nov.
• Valentina Galvani, 2018, "The Value Premium During Flights," Working Papers, University of Alberta, Department of Economics, number 2018-18, Nov.
• Hicham Bennouna & Lahcen Bounader, 2018, "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail, Bank Al-Maghrib, Département de la Recherche, number 2018-2, May.
• Sesan Adeniji & S. A. J. Obansa & David Okoroafor, 2018, "Monetary policy shocks and stock market prices volatility in Nigeria," BizEcons Quarterly, Strides Educational Foundation, volume 3, pages 3-26.
• Yusuf Varlı, 2018, "Who Are the Market Beaters: Lucky Investors, Insiders or Who Else?," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 9, issue 1, pages 87-107.
• Mohamed-Ali Akari & Ramzi Ben-Abdallah & Michèle Breton & Georges Dionne, 2018, "The impact of central clearing on the market for single-name credit default swaps," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 18-1, Apr.
• Sekar Akrom Faradiza, 2018, "Fraud Pentagon dan Kecurangan Laporan Keuangan," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, volume 2, issue 1, pages 1-22.
• William A. Barnett & Qing Han & Jianbo Zhang, 2018, "Monetary Services Aggregation Under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 117, Sep.
• Yong Li & Jun Yu & Tao Zeng, 2018, "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 6-2018, Feb.
• Wali ULLAH & Khadija Malik BARI, 2018, "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 5-28, September.
• Solntsev, Ilya V.(Солнцев, Илья) & Osokin, Nikita A. (Осокин, Никита) & Taranenko, Maksim A. (Тараненко, Максим) & Zheleznyakov, Anton O. (Железняков, Антон), 2018, "Bargaining Power or Player Statistics: What Determines the Transfer Fees in Professional Football?
  [Переговорная Сила Или Спортивные Показатели: Что Влияет На Формирование Стоимости Трансферных Сделок В Профессиональном Футболе]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, volume 4, pages 134-159, August.
• Richard J. Cebula, 2018, "Reflections on and Inquiry into Unfamiliar as well as Familiar Factors that may Influence the Market for Municipal Bonds," The Review of Regional Studies, Southern Regional Science Association, volume 48, issue 2, pages 145-154, Summer.
• Xuan Zou, 2018, "Can the Greater Fool Theory Explain Bubbles? Evidence from China," Departmental Working Papers, Rutgers University, Department of Economics, number 201804, Aug.
• Alan Meng Li & Dharmendra Naidu & Farshid Navissi & Kumari Ranjeeni, 2018, "Net stock issuance anomaly and cash flow explanation: A research note," Australian Journal of Management, Australian School of Business, volume 43, issue 2, pages 286-304, May, DOI: 10.1177/0312896217717306.
• Humberto Valencia-Herrera & Francisco López-Herrera, 2018, "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 17, issue 1, pages 96-129, April, DOI: 10.1177/0972652717748089.
• Jan R. Kim & Gieyoung Lim, 2018, "A look into German housing markets: A bubble call?," International Area Studies Review, Center for International Area Studies, Hankuk University of Foreign Studies, volume 21, issue 4, pages 289-301, December, DOI: 10.1177/2233865918802664.
• Byomakesh Debata & Jitendra Mahakud, 2018, "Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 12, issue 4, pages 387-413, November, DOI: 10.1177/0973801018786270.
• Alina Klein & Rudolf Klein, 2018, "Mean Reversion and Momentum in Central and Eastern European Countries ? A Case Study on Poland and Romania," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 8208378, Jul.
• FARUK DAYI & Ibrahim Yasar GOK & Tolga ULUSOY, 2018, "The Relationship Between Footballer and Head Coach Transfer News and Stock Prices of Sport Clubs," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 8209526, Jul.
• Ivo Speranda, 2018, "A New Perspective on Valuating of Common Stocks," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 6908849, Oct.
• Maja Mihelja ?aja & Drago Jakov?evi? & Lucija Vi?i?, 2018, "Determinants of the Government Bond Yield: Evidence from a Highly Euroised Small Open Economy," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, volume 7, issue 2, pages 87-106, November.
• Tihana Škrinjarić, 2018, "Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 3, issue 2, pages 119-162, December, DOI: 10.33119/ERFIN.2018.3.2.3.
• Marcin Dec, 2018, "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-038, Jun, DOI: 10.33119/kaewps2018038.
• Marcin Dec, 2018, "On the trade-offs in money market benchmarks' stabilisation," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2018-039, Aug, DOI: 10.33119/kaewps2018039.
• Antonio Sánchez Serrano, 2018, "EU banks after the crisis: sinners in the hands of angry markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 9, pages 24-51, May.
• Jukka Ilomäki, 2018, "Animal Spirits and Risk in Financial Markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 9, pages 52-59, May.
• Patrycja Chodnica-Jaworska, 2018, "Credit Rating Changes and the Bond Market – the Impact of Economic Development (Zmiana credit ratingu i rynek obligacji – wplyw poziomu rozwoju gospodarczego)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, volume 16, issue 76, pages 176-189.
• Barbara Bedowska-Sojka, 2018, "Emerging and Mature Markets – Behaviour of Low-Frequency Liquidity Measures. The Case of the German and Polish Stock Markets (Rynek wschodzacy i rynek dojrzaly – zachowanie miar plynnosci o niskiej czestotliwosci na przykladzie niemieckiego i polskie," Problemy Zarzadzania, University of Warsaw, Faculty of Management, volume 16, issue 76, pages 24-36.
• Anna Wierzbicka, 2018, "The Impact of Corporate Governance on the Value of Enterprises (Wplyw corporate governance na wartosc przedsiebiorstwa)," Research Reports, University of Warsaw, Faculty of Management, volume 1, issue 27, pages 143-150.
• Monika Klimontowicz & Anna Pyka, 2018, "The Hedging of Interest Rate Risk in Enterprises’ Loans (Zabezpieczenie ryzyka stopy procentowej w kredytowaniu dzialalnosci przedsiebiorstw)," Research Reports, University of Warsaw, Faculty of Management, volume 1, issue 27, pages 54-64.
• Thomas Nitschka & David Haab, 2018, "Carry trade and forward premium puzzle from the perspective of a safe-haven currency," Working Papers, Swiss National Bank, number 2018-17.
• Melek AKSU & Şakir SAKARYA, 2018, "Pricing of Covered Warrants: An Analysis on Borsa İstanbul," Sosyoekonomi Journal, Sosyoekonomi Society.
• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2018, "Individual Investors Look at Price Tags," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2018_17, Oct.
• Elias Cavalcante-Filho & Flavio Abdenur, Rodrigo De Losso, 2018, "Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2018_23, Dec.
• David Feldman & Xin Xu, 2018, "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, volume 262, issue 2, pages 493-518, March, DOI: 10.1007/s10479-015-1972-8.
• Javier Vidal-García & Marta Vidal & Sabri Boubaker & Majdi Hassan, 2018, "The efficiency of mutual funds," Annals of Operations Research, Springer, volume 267, issue 1, pages 555-584, August, DOI: 10.1007/s10479-017-2429-z.
• Sven Arnold & Alexander Lahmann & Bernhard Schwetzler, 2018, "Discontinuous financing based on market values and the value of tax shields," Business Research, Springer;German Academic Association for Business Research, volume 11, issue 1, pages 149-171, February, DOI: 10.1007/s40685-017-0053-z.
• Marko Volker Krause, 2018, "Effects of a capital gains tax on asset pricing," Business Research, Springer;German Academic Association for Business Research, volume 11, issue 1, pages 115-148, February, DOI: 10.1007/s40685-017-0058-7.
• Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018, "Steady states, stability and bifurcations in multi-asset market models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 2, pages 357-378, November, DOI: 10.1007/s10203-018-0214-3.
• Luca Guerrini & Akio Matsumoto & Ferenc Szidarovszky, 2018, "A heterogeneous agent model of asset price dynamics with two time delays," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 41, issue 2, pages 379-397, November, DOI: 10.1007/s10203-018-0223-2.
• Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018, "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, volume 45, issue 1, pages 59-73, March, DOI: 10.1007/s40622-018-0179-7.
• Suman Gupta & Vinay Goyal & Vinay Kumar Kalakbandi & Sankarshan Basu, 2018, "Overconfidence, trading volume and liquidity effect in Asia’s Giants: evidence from pre-, during- and post-global recession," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, volume 45, issue 3, pages 235-257, September, DOI: 10.1007/s40622-018-0185-9.
• Neharika Sobti, 2018, "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, volume 45, issue 4, pages 325-344, December, DOI: 10.1007/s40622-018-0196-6.
• Cheng Gao & Bruce Mizrach, 2018, "High Frequency Trading in the Equity Markets During US Treasury POMO," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Fredj Jawadi, "Uncertainty, Expectations and Asset Price Dynamics", DOI: 10.1007/978-3-319-98714-9_4.
• George A. Waters, 2018, "Informational Efficiency and Endogenous Rational Bubbles," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Fredj Jawadi, "Uncertainty, Expectations and Asset Price Dynamics", DOI: 10.1007/978-3-319-98714-9_7.
• Xiaojin Sun & Kwok Ping Tsang, 2018, "The impact of monetary policy on local housing markets: Do regulations matter?," Empirical Economics, Springer, volume 54, issue 3, pages 989-1015, May, DOI: 10.1007/s00181-017-1255-0.
• Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2018, "Global idiosyncratic risk moments," Empirical Economics, Springer, volume 55, issue 2, pages 731-764, September, DOI: 10.1007/s00181-017-1301-y.
• Gregor Dorfleitner & Felix Rößle, 2018, "The financial performance of the health care industry: a global, regional and industry specific empirical investigation," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 19, issue 4, pages 585-594, May, DOI: 10.1007/s10198-017-0904-8.
• Udo Broll & Peter Welzel & Kit Pong Wong, 2018, "Ambiguity preferences, risk taking and the banking firm," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 8, issue 3, pages 343-353, December, DOI: 10.1007/s40822-018-0096-2.
• Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2018, "Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 4, issue 1, pages 1-17, December, DOI: 10.1186/s40854-018-0107-z.
• Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018, "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, volume 22, issue 1, pages 39-68, January, DOI: 10.1007/s00780-017-0346-2.
• Umut Çetin, 2018, "Financial equilibrium with asymmetric information and random horizon," Finance and Stochastics, Springer, volume 22, issue 1, pages 97-126, January, DOI: 10.1007/s00780-017-0348-0.
• Martin Herdegen & Johannes Muhle-Karbe, 2018, "Stability of Radner equilibria with respect to small frictions," Finance and Stochastics, Springer, volume 22, issue 2, pages 443-502, April, DOI: 10.1007/s00780-018-0354-x.
• Johannes Muhle-Karbe & Marcel Nutz, 2018, "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, volume 22, issue 2, pages 281-295, April, DOI: 10.1007/s00780-018-0356-8.
• Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018, "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, volume 22, issue 3, pages 701-731, July, DOI: 10.1007/s00780-018-0361-y.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2018, "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, volume 22, issue 3, pages 667-700, July, DOI: 10.1007/s00780-018-0364-8.
• Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018, "Equilibrium returns with transaction costs," Finance and Stochastics, Springer, volume 22, issue 3, pages 569-601, July, DOI: 10.1007/s00780-018-0366-6.
• Stefan Gerhold & Paul Krühner, 2018, "Dynamic trading under integer constraints," Finance and Stochastics, Springer, volume 22, issue 4, pages 919-957, October, DOI: 10.1007/s00780-018-0369-3.
• Ulrich Horst & Dörte Kreher, 2018, "Second order approximations for limit order books," Finance and Stochastics, Springer, volume 22, issue 4, pages 827-877, October, DOI: 10.1007/s00780-018-0373-7.