Research classified by Journal of Economic Literature (JEL) codes

2018

• Masayuki Kazato & Tetsuya Yamada, 2018, "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-03, May.
• Kenji Suganuma & Yoichi Ueno, 2018, "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-04, Jun.
• Loriana Pelizzon & Marti G. Subrahmanyam & Reiko Tobe & Jun Uno, 2018, "Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-14, Sep.
• Mr. Divya Kirti, 2018, "Lending Standards and Output Growth," IMF Working Papers, International Monetary Fund, number 2018/023, Jan.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Mr. Oussama Kanaan & Christophe Rault, 2018, "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers, International Monetary Fund, number 2018/098, May.
• Mr. Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018, "Debt Seniority and Sovereign Debt Crises," IMF Working Papers, International Monetary Fund, number 2018/104, May.
• Samuel P. Fraiberger & Dongyeol Lee & Mr. Damien Puy & Mr. Romain Ranciere, 2018, "Media Sentiment and International Asset Prices," IMF Working Papers, International Monetary Fund, number 2018/274, Dec.
• Fernando Cruz-Aranda & Claudia Estrella Castillo Ramírez & Citlalli Pérez Flores, 2018, "Financiamiento del sistema de pensiones mexicano por medio de bonos de longevidad," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 13, issue 3, pages 387-417, Julio-Sep.
• David Hirshleifer & Ming Jian & Huai Zhang, 2018, "Superstition and Financial Decision Making," Management Science, INFORMS, volume 64, issue 1, pages 235-252, January, DOI: 10.1287/mnsc.2016.2584.
• Ahmet Sensoy & Duc Khuong Nguyen & Erk Hacihasanoglu & Ahmed Rostom, 2018, "Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets," Working Papers, Department of Research, Ipag Business School, number 2018-009, Jan.
• Jorge M. Uribe, 2018, "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201826, Oct, revised Oct 2018.
• Tomomi Miyazaki & Kazuki Hiraga & Masafumi Kozuka, 2018, "Stock Market Response to Public Investment under the Zero Lower Bound: Cross-industry Evidence from Japan," Working Papers, University of California-Irvine, Department of Economics, number 171806, Apr.
• Margarida Abreu & Victor Mendes, 2018, "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2018/01, Jan.
• Margarida Abreu & Victor Mendes, 2018, "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/26, Feb.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018, "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/35, Mar.
• Francisco Buera & Sudipto Karmakar, 2018, "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/36, Apr.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018, "Stock Market Returns and Consumption," IZA Discussion Papers, IZA Network @ LISER, number 11357, Feb.
• Butler, David & Cheung, Stephen L., 2018, "Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets," IZA Discussion Papers, IZA Network @ LISER, number 11563, May.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018, "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2018/02.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018, "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, volume 52, issue 1, pages 99-114, January-M.
• Wasim K. Al-Shattarat & Basiem K. Al-Shattarat, 2018, "Charateristics of Stocks That Frequentley Hit Price Limits Empirical Evidence from Japan," Journal of Developing Areas, Tennessee State University, College of Business, volume 52, issue 3, pages 97-108, July-Sept.
• William A. Barnett & Qing Han & Jianbo Zhang, 2018, "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201806, Aug, revised Aug 2018.
• José Fajardo, 2018, "Barrier style contracts under Lévy processes once again," Annals of Finance, Springer, volume 14, issue 1, pages 93-103, February, DOI: 10.1007/s10436-017-0303-2.
• Dilip B. Madan, 2018, "Financial equilibrium with non-linear valuations," Annals of Finance, Springer, volume 14, issue 2, pages 211-221, May, DOI: 10.1007/s10436-017-0312-1.
• Robert Jarrow, 2018, "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, volume 14, issue 2, pages 253-288, May, DOI: 10.1007/s10436-017-0316-x.
• Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018, "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, volume 14, issue 3, pages 289-329, August, DOI: 10.1007/s10436-017-0317-9.
• Bart Taub, 2018, "Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes," Annals of Finance, Springer, volume 14, issue 4, pages 429-464, November, DOI: 10.1007/s10436-018-0334-3.
• Yuan Wu & Taufiq Choudhry, 2018, "Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 25, issue 2, pages 111-136, June, DOI: 10.1007/s10690-018-9241-x.
• Thu A. T. Pham, 2018, "Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 25, issue 3, pages 221-247, September, DOI: 10.1007/s10690-018-9246-5.
• Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018, "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 2, pages 295-321, February, DOI: 10.1007/s10614-017-9692-6.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018, "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 493-511, March, DOI: 10.1007/s10614-016-9615-y.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018, "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 4, pages 913-940, April, DOI: 10.1007/s10614-017-9651-2.
• Vivien Lespagnol & Juliette Rouchier, 2018, "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 4, pages 991-1020, April, DOI: 10.1007/s10614-017-9655-y.
• Daniel Kleinlercher & Thomas Stöckl, 2018, "On the provision of incentives in finance experiments," Experimental Economics, Springer;Economic Science Association, volume 21, issue 1, pages 154-179, March, DOI: 10.1007/s10683-017-9530-7.
• Jiaqi Chen & Michael L. Tindall & Wenbo Wu, 2018, "Risk measurement distortion: an improved model of return smoothing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 3, pages 297-310, August, DOI: 10.1007/s11408-018-0316-5.
• Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018, "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 4, pages 333-365, November, DOI: 10.1007/s11408-018-0318-3.

2017

• Colleen Baker & Christine Cummings & Julapa Jagtiani, 2017, "The impacts of financial regulations: solvency and liquidity in the post-crisis period," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 25, issue 3, pages 253-270, July, DOI: 10.1108/JFRC-02-2017-0027.
• Abdul Rashid & Farooq Ahmad & Ammara Yasmin, 2017, "Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan," Journal of Risk Finance, Emerald Group Publishing Limited, volume 18, issue 4, pages 368-380, August, DOI: 10.1108/JRF-03-2017-0049.
• Boonlert Jitmaneeroj, 2017, "The impact of dividend policy on price-earnings ratio," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 16, issue 1, pages 125-140, February, DOI: 10.1108/RAF-06-2015-0092.
• Shah Saeed Hassan Chowdhury & M. Arifur Rahman & M. Shibley Sadique, 2017, "Stock return autocorrelation, day of the week and volatility," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 16, issue 2, pages 218-238, May, DOI: 10.1108/RAF-12-2014-0146.
• Carlos Colón-De-Armas & Javier Rodriguez & Herminio Romero, 2017, "Investor sentiment and US presidential elections," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 9, issue 3, pages 227-241, October, DOI: 10.1108/RBF-02-2016-0003.
• Andres Bello & Jan Smolarski & Gökçe Soydemir & Linda Acevedo, 2017, "Investor behavior: hedge fund returns and strategies," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 9, issue 1, pages 14-42, April, DOI: 10.1108/RBF-09-2015-0036.
• Geoffrey Loudon, 2017, "The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 1, pages 2-23, March, DOI: 10.1108/SEF-05-2013-0069.
• Charilaos Mertzanis, 2017, "Short selling regulation, return volatility and market volatility in the Athens Exchange," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 1, pages 82-104, March, DOI: 10.1108/SEF-06-2015-0157.
• Boonlert Jitmaneeroj, 2017, "Does investor sentiment affect price-earnings ratios?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 2, pages 183-193, June, DOI: 10.1108/SEF-09-2015-0229.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017, "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2016-010/III, Jan.
• Rocío Elizondo, 2017, "Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 32, issue 2, pages 213-253.
• Timmer, Yannick, 2017, "Cyclical Investment Behaviour across Financial Institutions," ECMI Papers, Centre for European Policy Studies, number 12747, Jul.
• Risna Triandhari & Sugiharso Safuan & M. Syamsudin & Halim Alamsyah, 2017, "The Effect of Allocation of Dividend of the Regional Government-Owned Enterprises and the Empowerment Efforts on the Revenue of Regional Government: The Case of Indonesia," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4B, pages 244-258.
• Afonso, A & Arghyrou, MG & Gadea, MD & Kontonikas, A, 2017, ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20417, Sep.
• Kontonikas, A & Maio, P & Zekaite, Z, 2017, "Monetary Policy and Corporate Bond Returns," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20571, Oct.
• Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017, "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20781, Dec.
• Bogdan Munteanu, 2017, "European Monetary Measures to Support Economic Recovery," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, ejms_v2_i, DOI: 10.26417/ejms.v4i2.p101-105.
• Gulay Umaner Duba & Nur Köprülü, 2017, "Rethinking National Identities in Divided Societies of Post-Ottoman Lands: Lessons from Lebanon and Cyprus," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, ejms_v2_i, DOI: 10.26417/ejms.v4i2.p113-127.
• Gjilda Alimhilli Prendushi, 2017, "Languages in Contact - Some Results of Research at Albanian University Students in Italy," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, ejms_v2_i, DOI: 10.26417/ejms.v4i3.p49-54.
• Artan Spahiu, 2017, "Recognition and Enforcement of International Arbitral Awards in Albania. Current hallenges to the Albanian Domestic Law," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, ejms_v2_i, DOI: 10.26417/ejms.v4i4.p52-63.
• Adebayo Adewunmi Emmanuel, 2017, "Benefits of Golf Tourism to a Suburban Settlement: The Case of Ilara-Mokin in Ondo State, Nigeria," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, volume 2, ejms_v2_i, DOI: 10.26417/ejms.v4i4.p64-72.
• Brian BARNARD, 2017, "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, volume 5, issue 1, pages 49-72.
• Brian BARNARD, 2017, "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, volume 5, issue , pages 49-72.
• Anton Astakhov & Tomas Havranek & Jiri Novak, 2017, "Firm Size and Stock Returns: A Meta-Analysis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/14, Jul, revised Jul 2017.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017, "Does monetary policy generate asset price bubbles ?," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2017-05, Feb.
• Qi Deng & Zhong-guo Zhou, 2017, "IPO Pricing Efficiency in China: A ChiNext Board Focus," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 12, issue 2, pages 280-308, June.
• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017, "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 71, issue 1, May.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017, "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-9, Nov.
• Nikolay Gospodinov & Esfandiar Maasoumi, 2017, "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-10, Nov.
• Lily Y. Liu, 2017, "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 17-1, May.
• Jenny Tang, 2017, "FOMC communication and interest rate sensitivity to news," Working Papers, Federal Reserve Bank of Boston, number 17-12, Oct.
• Ali Ozdagli & Michael Weber, 2017, "Monetary policy through production networks: evidence from the stock market," Working Papers, Federal Reserve Bank of Boston, number 17-15, Oct.
• Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017, "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 295, Jan, DOI: 10.24149/gwp295.
• Charles Ka Yui Leung & Chung-Yi Tse, 2017, "Flipping the Housing Market," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 301, Jan, DOI: 10.24149/gwp301.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2017, "(A)symmetric Information Bubbles: Experimental Evidence," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 312, Apr, DOI: 10.24149/gwp312.
• Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017, "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 324, Aug, DOI: 10.24149/gwp324r1.
• Valerie Grossman & Enrique Martínez García & Efthymios Pavlidis, 2017, "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 325, Aug, DOI: 10.24149/gwp325r1.
• John V. Duca & Patric H. Hendershott & David C. Ling, 2017, "How Taxes and Required Returns Drove Commercial Real Estate Valuations over the Past Four Decades," Working Papers, Federal Reserve Bank of Dallas, number 1703, Jan, DOI: 10.24149/wp1703.
• Pascal Paul, 2019, "The Time-Varying Effect of Monetary Policy on Asset Prices," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-09, Apr, DOI: 10.24148/wp2017-09.
• Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017, "Is There an On-the-Run Premium in TIPS?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-10, May, DOI: 10.24148/wp2017-10.
• Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020, "The TIPS Liquidity Premium," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-11, Jul, DOI: 10.24148/wp2017-11.
• Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017, "Term Structure Analysis with Big Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-21, Sep.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017, "The Rate of Return on Everything, 1870–2015," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-25, Dec, DOI: 10.24148/wp2017-25.
• Anthony M. Diercks & William Waller, 2017, "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-104, Oct, DOI: 10.17016/FEDS.2017.104.
• Carlos Ramírez, 2017, "Firm Networks and Asset Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-014, Jan, DOI: 10.17016/FEDS.2017.014r1.
• Nathan Swem, 2017, "Information in Financial Markets : Who Gets It First?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-023, Feb, DOI: 10.17016/FEDS.2017.023.
• Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017, "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-024, Mar, DOI: 10.17016/FEDS.2017.024.
• Sebastian Infante, 2017, "Private Money Creation with Safe Assets and Term Premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-041, Apr, DOI: 10.17016/FEDS.2017.041.
• Alex Hsu & Francisco J. Palomino & Charles Qian, 2017, "The Decline in Asset Return Predictability and Macroeconomic Volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-050, May, DOI: 10.17016/FEDS.2017.050.
• David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee & Cailey Stevens, 2017, "Take it to the Limit : The Debt Ceiling and Treasury Yields," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-052, May, DOI: 10.17016/FEDS.2017.052.
• Matt Darst & Ehraz Refayet, 2017, "A Model of Endogenous Debt Maturity with Heterogeneous Beliefs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-057, May, DOI: 10.17016/FEDS.2017.057r1.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017, "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-058, Jun, DOI: 10.17016/FEDS.2017.058.
• Vikram Nanda & Wei Wu & Xing Zhou, 2017, "Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-069, Jun, DOI: 10.17016/FEDS.2017.069.
• Celso Brunetti & Agostino Capponi & Christoph Frei, 2017, "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-083, Aug, DOI: 10.17016/FEDS.2017.083r1.
• Seung Jung Lee & Kelly E. Posenau & Viktors Stebunovs, 2017, "The Anatomy of Financial Vulnerabilities and Crises," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1191, Feb, DOI: 10.17016/IFDP.2017.1191.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017, "International Illiquidity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1201, Mar, DOI: 10.17016/IFDP.2017.1201.
• Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017, "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1202, Mar, DOI: 10.17016/IFDP.2017.1202.
• Ricardo M. Reyes-Heroles & Gabriel Tenorio, 2017, "Interest Rate Volatility and Sudden Stops : An Empirical Investigation," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1209, Jul, DOI: 10.17016/IFDP.2017.1209.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017, "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1212, Aug, DOI: 10.17016/IFDP.2017.1212.
• V. V. Chari & Lawrence J. Christiano, 2017, "Financialization in Commodity Markets," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2017-15, Sep.
• Dominic Anene & Stefania D'Amico, 2017, "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2017-26, Dec.
• Robert G. Bowman & Kam Fong Chan & Christopher J. Neely, 2017, "Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements," Working Papers, Federal Reserve Bank of St. Louis, number 2017-11, Apr, DOI: 10.20955/wp.2017.011.
• Carlos Garriga & Aaron Hedlund, 2017, "Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession," Working Papers, Federal Reserve Bank of St. Louis, number 2017-30, Oct, DOI: 10.20955/wp.2017.030.
• Cristina Arellano & Yan Bai & Luigi Bocola, 2017, "Sovereign risk and firm heterogeneity," Staff Report, Federal Reserve Bank of Minneapolis, number 547, Mar.
• V. V. Chari & Lawrence J. Christiano, 2017, "Financialization in Commodity Markets," Staff Report, Federal Reserve Bank of Minneapolis, number 552, Aug, DOI: 10.21034/sr.552.
• Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2017, "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," Staff Reports, Federal Reserve Bank of New York, number 810, Mar.
• Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017, "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports, Federal Reserve Bank of New York, number 827, Nov.
• Colleen Baker & Christine M. Cumming & Julapa Jagtiani, 2017, "The Impacts Of Financial Regulations: Solvency And Liquidity In The Post-Crisis Period," Working Papers, Federal Reserve Bank of Philadelphia, number 17-10, Apr.
• Serhat YÜKSEL, İsmail CANÖZ, Zafer ADALI, 2017, "Türkiye’deki Mevduat Bankalarının Fiyat-Kazanç Oranını Etkileyen Değişkenlerin Mars Yöntemi İle Belirlenmesi," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Pawan Jain & Wen-Jun Xue, 2017, "Global Investigation of Return Autocorrelation and its Determinants," Working Papers, Florida International University, Department of Economics, number 1704, Apr.
• Igor V. Belyakov, 2017, "Monitoring and Analysis of Contingent Budget Liabilities to Financial System," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 71-84, August.
• Giulio Cifarelli & Paolo Paesani, 2017, "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2017_16.rdf.
• Abramov Alexander, 2017, "Financial Markets and Financial Institutions in Russia in 2016," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2017-273, revised 2017.
• Andras Fulop & Jun Yu, 2017, "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, volume 5, issue 4, pages 1-23, October.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017, "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, volume 9, issue 10, pages 1-18, October.
• Helder Sebastião & António Portugal Duarte & Gabriel Guerreiro, 2017, "Where is the Information on USD/Bitcoin Hourly Prices?," Notas Económicas, Faculty of Economics, University of Coimbra, issue 45, pages 7-25, December, DOI: 10.14195/2183-203X_45_1.
• Helder Sebastião & António Portugal Duarte & Gabriel Guerreiro, 2017, "Where is the information on USD/Bitcoins hourly price movements?," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2017-05, May.
• Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017, "High-frequency jump analysis of the bitcoin market," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:93900.
• Christiyaningsih Budiwati, 2017, "The Effects of the Days of the Week on the Indonesian Stock Exchange," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr136, Dec.
• Tomas Williams & Lorenzo Pandolfi, 2017, "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers, The George Washington University, Institute for International Economic Policy, number 2017-11, Nov.
• Han Han & Benoit Julien & Asgerdur Petursdottir & Liang Wang, 2017, "Asset Pricing Equilibria with Indivisible Goods," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201705, Oct.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
• João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017, "Do investors trade too much? A laboratory experiment," Post-Print, HAL, number hal-01244465, Aug, DOI: 10.1016/j.jebo.2017.05.013.
• Mariana Khapko & Marius Andrei Zoican, 2017, ""Smart" Settlement," Post-Print, HAL, number hal-01491563, May.
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• Fredj Jawadi & Georges Prat, 2017, "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print, HAL, number hal-01549758, Oct, DOI: 10.1007/s11156-016-0604-y.
• Kostas Andriosopoulos & Emilios Galariotis & Spyros Spyrou, 2017, "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Post-Print, HAL, number hal-01578056, Aug, DOI: 10.1016/j.eneco.2017.06.023.
• Magnus Blomkvist & Timo Korkeamäki & John Pettersson, 2017, "The new issues puzzle revisited: The role of firm quality in explaining IPO returns," Post-Print, HAL, number hal-01578933, DOI: 10.1016/j.econlet.2017.07.022.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017, "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-01593402, DOI: 10.1016/j.jeconom.2017.08.014.
• Amélie Charles & Olivier Darné & Jae H Kim, 2017, "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print, HAL, number hal-01626101, Oct, DOI: 10.1016/j.irfa.2016.06.005.
• Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print, HAL, number hal-01633544, Oct, DOI: 10.1017/S0022109017000692.
• Louis Raffestin, 2017, "Do bond credit ratings lead to excess comovement?," Post-Print, HAL, number hal-01649992.
• Richard Portes & Julien Fouquau & Anne-Laure Delatte, 2017, "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Post-Print, HAL, number hal-01663123, DOI: 10.1093/rof/rfw050.
• Zhenya Liu & Shixuan Wang, 2017, "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Post-Print, HAL, number hal-01794384, Sep, DOI: 10.1016/j.pacfin.2017.06.007.
• Tim Xiao, 2017, "A New Model for Pricing Collateralized Financial Derivatives," Post-Print, HAL, number hal-01800559.
• Jamal Bouoiyour & Refk Selmi & Muhammad Shahbaz & Jawad Shahzad, 2017, "Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries," Post-Print, HAL, number hal-01879670, DOI: 10.11130/jei.2017.32.4.913.
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• Phu Nguyen-Van & Cyrielle Poiraud & Nguyen To-The, 2017, "Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis," Post-Print, HAL, number hal-02166836, DOI: 10.1111/agec.12334.
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• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," Post-Print, HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
• Thomas Renault, 2017, "Intraday online investor sentiment and return patterns in the U.S. stock market," Post-Print, HAL, number hal-03205113, Nov, DOI: 10.1016/j.jbankfin.2017.07.002.
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• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
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• Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017, "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-599, Jun.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017, "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-613, Nov.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "How to Estimate Beta?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-617, Nov.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-618, Nov.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "International Tail Risk and World Fear," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-620, Nov.
• Feng, Xunan & Johansson, Anders C., 2017, "Top Executives on Social Media and Information in the Capital Market: Evidence from China," Stockholm School of Economics Asia Working Paper Series, Stockholm School of Economics, Stockholm China Economic Research Institute, number 2017-47, Nov.
• Ferdinandusse, Marien & Freier, Maximilian & Ristiniemi, Annukka, 2017, "Quantitative easing and the price-liquidity trade-off," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 335, Feb.
• Berndt, Antje & Hollifield, Burton & Sandås, Patrik, 2017, "What Broker Charges Reveal about Mortgage Credit Risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 336, Feb.
• Laséen, Stefan & Pescatori, Andrea & Turunen, Jarkko, 2017, "Systemic Risk: A New Trade-Off for Monetary Policy?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 341, Aug.
• Osmundsen, Petter & Lovas, Kjell & Emhjellen, Magne, 2017, "Petroleum tax competition subject to capital rationing," UiS Working Papers in Economics and Finance, University of Stavanger, number 2017/5, Mar.
• Odegaard, Bernt Arne, 2017, "How long do equity owners hang on to their stocks?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2017/6, Mar.
• Victoria Dobrynskaya, 2017, "Dynamic Momentum and Contrarian Trading," HSE Working papers, National Research University Higher School of Economics, number WP BRP 61/FE/2017.
• TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017, "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-18, Dec.
• Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017, "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 58, issue 1, pages 53-67, June, DOI: 10.15057/28615.
• Tamai, Yoshihiro & Shimizu, Chihiro & Nishimura, Kiyohiko G., 2017, "Aging and Property Prices: A Theory of Very Long Run Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 65, Jan.
• Ihor Kravchuk, 2017, "Assets Securitization in European Financial Scope," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 91-98, June.
• Chih-Wen Yang & Chun-An Li & Sam Ting-Hsin Hsu, 2017, "An Explanation Of Financial Market Anomalies: Risk-Based Or Behavioral View? A New Perspective On Financial Constraints," Global Journal of Business Research, The Institute for Business and Finance Research, volume 11, issue 2, pages 27-42.
• Jia Wang, 2017, "Cross Sectional Variation In Risk Arbitrage," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 11, issue 1, pages 65-75.
• Chih-Wen Yang & Chun-An Li & Sam Ting-Hsin Hsu, 2017, "Investor Attention, Psychological Anchors, And The Stealth Index," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 11, issue 2, pages 79-92.
• Lilia Alejandra Flores Castillo & Conrado Aguilar Cruz, 2017, "Optimization Of Utility Function Of The Demand For Financial Assets Optimizacion De La Funcion De Utilidad De La Demanda De Activos Financieros," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 10, issue 3, pages 41-51.
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• Emanuel Bagna & Enrico Cotta Ramusino, 2017, "Market Multiples and the Valuation of Cyclical Companies," International Business Research, Canadian Center of Science and Education, volume 10, issue 12, pages 246-266, December.
• Boris T. Petkov, 2017, "Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment," International Business Research, Canadian Center of Science and Education, volume 10, issue 3, pages 91-119, March.
• Gollier, Christian, 2017, "Valuation of natural capital under uncertain substitutability," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 871, May.
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