Research classified by Journal of Economic Literature (JEL) codes

2017

• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017, "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 340.
• Ally Quan Zhang, 2017, "Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-02, Jan.
• Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017, "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-04, Feb.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017, "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-06, Feb.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2017, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-08, Feb.
• Philippe Bacchetta & Eric van Wincoop, 2017, "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-15, Apr.
• Damir Filipović & Martin Larsson & Francesco Statti, 2017, "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-16, May, revised Apr 2018.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017, "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-19, Jun.
• Anastasiia Sokko & Klaus Reiner Schenk-Hoppé, 2017, "Margin Requirements and Evolutionary Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-20, Jun.
• Didier Sornette & Peter Cauwels & Georgi Smilyanov, 2017, "Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-27, Apr.
• Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017, "Relationship Trading in OTC Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-30, Dec.
• Per Östberg & Thomas Richter, 2017, "The Sovereign Debt Crisis: Rebalancing or Freezes?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-32, Oct.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017, "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-36, Sep, revised Feb 2018.
• Tarun Chordia & Amit Goyal & Alessio Saretto, 2017, "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-37, Aug, revised Apr 2018.
• Damien Ackerer & Damir Filipović, 2017, "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-41, Nov.
• Wojciech Zurowski, 2017, "Monetary Policy and Bond Risk Premia in the US and the UK," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-42, Jan.
• Biljana Seistrajkova, 2017, "Short Selling and the Subsequent Performance of Initial Public Offerings," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-49, Aug.
• Damir Filipović & Sander Willems, 2017, "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-52, Aug.
• Damir Filipović & Martin Larsson, 2017, "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-60, Nov.
• Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017, "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-61, Jun, revised Jun 2018.
• Ally Zhang, 2017, "Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-62, Nov, revised Jan 2018.
• Alexey Ivashchenko, 2017, "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-67, Apr, revised Jan 2018.
• Alessio Ruzza & Wojciech Zurowski, 2017, "Corporate Bond Dealers' Inventory Risk and FOMC," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-68, May.
• Walter Farkas & Ciprian Necula, 2017, "The Dynamics of Heterogeneity and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-76, Apr.
• Ying Liu, 2018, "Why Do Large Investors Disclose Their Information?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-17, Mar.
• Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2018, "Model-Free International Stochastic Discount Factors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-18, Jun.
• Ying Liu & Sebastian Vogel & Yuan Zhang, 2018, "Electronic Trading in OTC Markets vs. Centralized Exchange," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-19, Mar.
• Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2018, "Levered Returns and Capital Structure Imbalances," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-36, May.
• Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017, "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers, CEMFI, number wp2017_1711, May.
• Julio A. Crego, 2017, "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers, CEMFI, number wp2017_1714, Nov.
• Julio A. Crego & Jin Huang, 2017, "Early Birds and Second Mice in the Stock Market," Working Papers, CEMFI, number wp2017_1717, Nov.
• Harold A. Vásquez Ruiz, 2017, "El efecto de los flujos de capitales en los precios de las viviendas: una estimación de datos de panel," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 2, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Alejandro Jara & Eduardo Olaberría, 2017, "¿Todos los flujos de capitales están asociados a auges de los precios de las viviendas? Evaluación empírica," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 3, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Márcia Saraiva Leon, 2017, "Entradas de capitales extranjeros y el rendimiento de los bonos de deuda pública," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 9, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017, "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research and Statistics Department, chapter 0, "CNB Financial Stability Report 2016/2017".
• Adam Kucera & Michal Dvorak & Lubos Komarek & Zlatuse Komarkova, 2017, "Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/12, Dec.
• Peter Claeys & Borek Vasicek, 2017, "Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/13, Dec.
• Ricardo Crisóstomo & Lorena Couso, 2017, "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & Jos� Fernando Moreno-Guti�rrez, 2017, "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 78.
• Peter Claeys, 2017, "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 82, pages 64-77, DOI: 10.1016/j.espe.2017.01.003.
• Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodr�guez-Ni�o, 2017, "Financial transaction tax and banking margins: An empirical note for Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 83, pages 154-160, DOI: 10.1016/j.espe.2017.03.001.
• Sergio Solís Tepexpa & Luis Fernando Mu�oz Gonz�lez, 2017, "Análisis de la reciente modificación al índice bursátil inmobiliario en la bolsa mexicana de valores," Revista Lebret, Universidad Santo Tomás - Bucaramanga, volume 9, pages 25-44.
• Carlos Javier Pinto Suárez, 2017, "Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia," Revista Lebret, Universidad Santo Tomás - Bucaramanga, volume 9, pages 151-170.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017, "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-31.
• Juan Carlos Gutierrez Betancur, 2017, "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, volume 21, issue 44, pages 37-71.
• Javier Pantoja-Robayo & Kelly Maradey Angarita & Alfredo Trespalacios Carrasquilla, 2017, "Analysis of the financial margins required to hedge risks in electric power futures markets," Revista Ecos de Economía, Universidad EAFIT, volume 21, issue 45, pages 68-107, DOI: 10.17230/ecos.2017.45.4.
• Diana Milena Carmona Munoz & Marcos Vera Leyton, 2017, "Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 301-317.
• Urbi Garay & Manuel Hern�ndez & Carlos Rivillo, 2017, "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 373-396.
• Mercedes Alda & Isabel Marco & Adri�n Marzo, 2017, "La reforma del sistema público de pensiones espanol: el factor de sostenibilidad," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 10, issue 1, pages 25-43.
• Alda & Isabel Marco & Adri�n Marzo, 2017, "The reform of the Spanish public pension system: The sustainability factor," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 10, issue 1, pages 45-63.
• Diana Milena Carmona Munoz & Marcos Vera Leyton, 2017, "Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 301-317.
• Urbi Garay & Manuel Hern�ndez & Carlos Rivillo, 2017, "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 373-396.
• María Patricia Durango Gutiérrez & Luis David Delgado V�lez, 2017, "Diseno metodológico para la estructuración de portafolios de inversión según el perfil de riesgo del inversionista," Revista Clio América, Universidad del Magdalena, volume 11, issue 22, pages 177-187.
• Julio César Riascos Hermoza & Jesús Enrique Molina, 2017, "Brief considerations on business valuation methods," Revista Tendencias, Universidad de Narino, volume 18, issue 2, pages 168-182, DOI: 10.22267/rtend.171802.83.
• Jason N. Harris & Jason Nassios & James A. Giesecke, 2017, "Determining agent-specific rates of return in a Financial CGE model of Australia," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-270, Apr.
• Ed Westerhout & Ona Ciocyte, 2017, "The role of inflation-linked bonds," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 344, Mar.
• Orphanides, Athanasios, 2017, "Central Bank Policies and the Debt Trap," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11834, Feb.
• Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2017, "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11837, Feb.
• Pástor, LuboÅ¡ & Veronesi, Pietro, 2017, "Political Cycles and Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11864, Feb.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017, "Bid-to-cover and yield changes around public debt auctions in the euro area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11932, Mar.
• Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017, "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11950, Apr.
• Martin, Ian & Kremens, Lukas, 2017, "The Quanto Theory of Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11970, Apr.
• Bacchetta, Philippe & van Wincoop, Eric, 2017, "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11983, Apr.
• Massa, Massimo & Aminadav, Gur & Zhang, Hong & Zhu, Weikang, 2017, "Mergers and Acquisitions and the Value of Control," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11986, Apr.
• Beetsma, Roel & Lekniute, Zina & Ponds, Eduard, 2017, "U.S. municipal yields and unfunded state pension liabilities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11998, Apr.
• Fernández-Villaverde, Jesús & Barro, Robert & Levintal, Oren & Mollerus, Andrew, 2017, "Safe Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12043, May.
• Basak, Suleyman & Atmaz, Adem, 2017, "Belief Dispersion in the Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12056, May.
• Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017, "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12085, Jun.
• Miles, David & Sefton, James, 2017, "Houses across time and across place," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12103, Jun.
• Grossman, Richard, 2017, "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12121, Jun.
• Rancière, Romain & Heipertz, Jonas & Ouazad, Amine & Valla, Natacha, 2017, "Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12134, Jul.
• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017, "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12245, Aug.
• Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017, "Dealer Balance Sheets and Bond Liquidity Provision," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12246, Aug.
• Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2017, "Market Liquidity after the Financial Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12248, Aug.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12275, Sep.
• Van Nieuwerburgh, Stijn, 2017, "Why Are REITS Currently So Expensive?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12281, Sep.
• Van Nieuwerburgh, Stijn & Landvoigt, Tim & Elenev, Vadim, 2017, "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12282, Sep.
• Van Nieuwerburgh, Stijn & Favilukis, Jack, 2017, "Out-of-town Home Buyers and City Welfare," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12283, Sep.
• Edmans, Alex & Fang, Vivian & Huang, Allen, 2017, "The Long-Term Consequences of Short-Term Incentives," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12305, Sep.
• Servaes, Henri & Amiraslani, Hami & Lins, Karl & Tamayo, Ane, 2017, "A Matter of Trust? The Bond Market Benefits of Corporate Social Capital during the Financial Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12321, Sep.
• Schnabel, Isabel & Brunnermeier, Markus & Rother, Simon, 2017, "Asset Price Bubbles and Systemic Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12362, Oct.
• Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017, "Financial Innovation and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12416, Nov.
• Hackbarth, Dirk & Gu, Lifeng & Johnson, Timothy, 2017, "Inflexibility and Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12441, Nov.
• Kose, M. Ayhan & Claessens, Stijn, 2017, "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12460, Nov.
• Kose, M. Ayhan & Claessens, Stijn, 2017, "Macroeconomic Implications of Financial Imperfections: A Survey," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12461, Nov.
• Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017, "Shrinking the Cross Section," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12463, Nov.
• Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2017, "Relationship Trading in OTC Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12472, Nov.
• Ströbel, Johannes & Kuchler, Theresa & Dávila, Eduardo & Bailey, Michael, 2017, "House Price Beliefs And Mortgage Leverage Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12476, Dec.
• Taylor, Alan M. & Knoll, Katharina & , & Schularick, Moritz & Jordà , Ã’scar, 2017, "The Rate of Return on Everything, 1870-2015," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12509, Dec.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017, "The Hunt for Duration: Not Waving but Drowning?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 65, issue 1, pages 113-153, April, DOI: 10.1057/s41308-016-0026-9.
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017, "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 48, issue 2, pages 174-194, February, DOI: 10.1057/s41267-016-0031-2.
• Alejandra Olivares Rios & Gabriel Rodriguez & Miguel Ataurima Arellano, 2017, "Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2017-435.
• Hulya Deniz Karakoyun, & Nurtac Yildirim, 2017, "Demand-side factors of housing price increases in Turkey: Blanchard-Quah SVAR model," Business and Economic Horizons (BEH), Prague Development Center, volume 13, issue 3, pages 312-332, July, DOI: 10.15208/beh.2017.23.
• Nicodemus Simu,, 2017, "Determinants of Indonesian corporate bond yield," Business and Economic Horizons (BEH), Prague Development Center, volume 13, issue 5, pages 619-629, December, DOI: 10.15208/beh.2017.42.
• Robert Barro & Jesus Fernandez-Villaverde & Oren Levintal & Andrew Mollerus, 2017, "Safe Assets," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 17-008, May, revised 10 May 2017.
• Agata Gniadkowska-Szymanska, 2017, "The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 12, issue 2, pages 211-228, June, DOI: 10.24136/eq.v12i2.11.
• Adam Marszk, 2017, "Development of innovative financial products in Europe: Case of exchange-traded products in Germany," Working Papers, Institute of Economic Research, number 153/2017, May, revised May 2017.
• Tomas Meluzin & Marek Zinecker & doubravsky@fbm.vutbr.cz & Mirko Dohnal, 2017, "Effects of Rumours on IPO Success: A Qualitative Approach," Working Papers, Institute of Economic Research, number 79/2017, May, revised May 2017.
• Darlington Osaremwinda Ogbeide & Osazee Frank Ogieva, 2017, "Modelling Share Price Behaviour in Nigeria," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 17, issue 1, pages 169-186.
• Rehman, Fatima & Kamal, Yasir & Amin, Saif Ul, 2017, "The Relationship Between Idiosyncratic, Stock Market Volatility and Excess Stock Returns," Public Finance Quarterly, Corvinus University of Budapest, volume 62, issue 3, pages 311-325.
• Ewa Karwowski, 2017, "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers, Post Keynesian Economics Society (PKES), number PKWP1708, Jul.
• Gonçalo Faria & Fabio Verona, 2017, "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1702, Nov.
• José Couto & Paula Brito & António Cerqueira, 2017, "The Method of Market Multiples on the Valuation of Companies: A Multivariate Approach," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 586, Jan.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sense," MPRA Paper, University Library of Munich, Germany, number 109030, Jul, revised 16 Sep 2017.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The dual index model - Empirical proof of an astute model that augurs stock prices across assorted sectors," MPRA Paper, University Library of Munich, Germany, number 109031, Jan, revised Feb 2017.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017, "Flipping in the Housing Market," MPRA Paper, University Library of Munich, Germany, number 76443.
• Swamy, Vighneswara, 2017, "Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy," MPRA Paper, University Library of Munich, Germany, number 76836, Feb.
• Janda, Karel & Kaszas, Micha, 2017, "Indirect Firm Valuation and Earnings Stability," MPRA Paper, University Library of Munich, Germany, number 77234, Mar.
• Colasante, Annarita & Alfarano, Simone & Camacho Cuena, Eva & Gallegati, Mauro, 2017, "Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach," MPRA Paper, University Library of Munich, Germany, number 77618.
• Pham, Ngoc-Sang, 2017, "Assets with possibly negative dividends," MPRA Paper, University Library of Munich, Germany, number 78193, Apr.
• Lakdawala, Aeimit & Wu, Shu, 2017, "Federal Reserve Credibility and the Term Structure of Interest Rates," MPRA Paper, University Library of Munich, Germany, number 78253, Jan.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017, "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper, University Library of Munich, Germany, number 78771, Mar, revised 04 Apr 2017.
• Cheema, Muhammad A. & Nartea, Gilbert V & Man, Yimei, 2017, "Cross-Sectional and Time-Series Momentum Returns and Market States," MPRA Paper, University Library of Munich, Germany, number 78989, May.
• Cantillo, Miguel, 2017, "A Reconsideration of the Equity Premium Puzzle," MPRA Paper, University Library of Munich, Germany, number 79357, May.
• Anginer, Deniz & Yildizhan, Celim & Han, Xue Snow, 2017, "Do Individual Investors Ignore Transaction Costs?," MPRA Paper, University Library of Munich, Germany, number 79358, May.
• OUATTARA, Aboudou, 2017, "Impact de la publication des notes financières sur les cours et les volume de transaction des sociétés cotées à la BRVM : Une analyse à partir des études d'évenement
  [Impact of Rating released on s," MPRA Paper, University Library of Munich, Germany, number 79837, Feb.
• Parker, Edgar, 2017, "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper, University Library of Munich, Germany, number 80036, Jun.
• Lindblad, Annika, 2017, "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper, University Library of Munich, Germany, number 80266, Jul.
• Širůček, Martin, 2017, "Využití Indikátorů P/E A P/Bv Při Sestavení Akciového Portfolia
  [Using Of P/E And P/Bv Indicators By Building A Stock Portfolio]," MPRA Paper, University Library of Munich, Germany, number 80527, Feb.
• Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017, "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper, University Library of Munich, Germany, number 80555, Feb.
• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2017, "Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence," MPRA Paper, University Library of Munich, Germany, number 80658, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper, University Library of Munich, Germany, number 80788, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "Carry Trades and Commodity Risk Factors," MPRA Paper, University Library of Munich, Germany, number 80789, Aug.
• BENDOB, Ali & Benahmed-Daho, Rachida, 2017, "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
  [Could we use the Euribor as risk-free rate return in Arabic region?]," MPRA Paper, University Library of Munich, Germany, number 81405, Mar, revised Jun 2017.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper, University Library of Munich, Germany, number 81453, Sep.
• Barnett, William & Liu, Jinan, 2017, "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," MPRA Paper, University Library of Munich, Germany, number 81461, Sep.
• Magni, Carlo Alberto & Veronese, Piero & Graziani, Rebecca, 2017, "Chisini means and rational decision making: Equivalence of investment criteria," MPRA Paper, University Library of Munich, Germany, number 81532, Sep.
• Pönkä, Harri, 2017, "Sentiment and sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 81861, Oct.
• Caspi, Itamar & Graham, Meital, 2017, "Testing for Bubbles in Stock Markets with Irregular Dividend Distribution," MPRA Paper, University Library of Munich, Germany, number 82261, Apr, revised 29 Oct 2017.
• Tchamyou, Vanessa & Asongu, Simplice, 2017, "Conditional Market Timing in the Mutual Fund Industry," MPRA Paper, University Library of Munich, Germany, number 82633, Jan.
• Withanage, Yeshan & Jayasinghe, Prabhath, 2017, "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper, University Library of Munich, Germany, number 82782, Aug, revised Nov 2017.
• Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung, 2017, "Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets," MPRA Paper, University Library of Munich, Germany, number 82888, Nov.
• Xing, Victor, 2017, "Non-bank Financial Institutions at the Ground Zero of Next Crisis," MPRA Paper, University Library of Munich, Germany, number 83077, Nov.
• Abdullahi, Shafiu Ibrahim, 2017, "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 83455, Oct, revised Nov 2017.
• Fan, Minyou & Li, Youwei & Liu, Jiadong, 2017, "Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches," MPRA Paper, University Library of Munich, Germany, number 83510, Dec.
• Tan, Zekuang, 2017, "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper, University Library of Munich, Germany, number 83669, Dec.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017, "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
  [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper, University Library of Munich, Germany, number 84263, Mar, revised Oct 2017.
• MESTRE, Roman & Terraza, Michel, 2017, "Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
  [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper, University Library of Munich, Germany, number 86272, Oct.
• MESTRE, Roman & TERRAZA, Michel, 2017, "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
  [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper, University Library of Munich, Germany, number 86335, Dec.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper, University Library of Munich, Germany, number 87088, Jul.
• Ekong, Christopher N. & Onye, Kenneth U., 2017, "Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria," MPRA Paper, University Library of Munich, Germany, number 88309.
• Arouri, Mohamed El Hedi & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2017, "Cojumps and Asset Allocation in International Equity Markets," MPRA Paper, University Library of Munich, Germany, number 89938, Jan, revised May 2018.
• Anginer, Deniz & Han, Xue Snow & Yildizhan, Celim, 2017, "Do Individual Investors Ignore Transaction Costs?," MPRA Paper, University Library of Munich, Germany, number 89941, May.
• Asuamah Yeboah, Samuel, 2017, "Are interest rates unit root in Ghana? An Empirical Assessment," MPRA Paper, University Library of Munich, Germany, number 99420, Sep.
• Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017, "Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 201735, May.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers, University of Pretoria, Department of Economics, number 201770, Oct.
• Lanouar Charfeddine & Karim Ben Khediri & Goodness C. Aye & Rangan Gupta, 2017, "Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data," Working Papers, University of Pretoria, Department of Economics, number 201771, Oct.
• Andrey Kudryavtsev, 2017, "The Effect of Preceding Sequences on Stock Returns," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2017, issue 4, pages 83-96, DOI: 10.18267/j.efaj.202.
• Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017, "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 1, pages 55-71, DOI: 10.18267/j.pep.594.
• Bohumil Stádník & Václav Žďárek, 2017, "Volatility Strangeness of Bonds - How to Define and What Does it Bring?," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 5, pages 602-629, DOI: 10.18267/j.pep.636.
• Narcisa Kadlčáková & Luboš Komárek, 2017, "Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 6, pages 690-721, DOI: 10.18267/j.pep.634.
• Mihaela GADOIU & Mariana BANUTA, 2017, "The Influence Of The Net Profit Over The Investment Decision Making," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 16, issue 2, pages 66-74.
• John Hartwick, 2017, "Daily Share Price-changes For Eleven D-j Companies Over Five Three-month Periods And Short-term Pro?t-seeking," Working Paper, Economics Department, Queen's University, number 1395, Dec.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017, "Ambiguity and the historical equity premium," Working Papers, Queen Mary University of London, School of Economics and Finance, number 835, Sep.
• Robin Greenwood & Andrei Shleifer & Yang You, 2017, "Bubbles for Fama," Working Paper, Harvard University OpenScholar, number 504391, Feb.
• Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2017, "Trading under Market Impact," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 39, Jul.
• Pierlauro Lopez, 2017, "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices, Review of Economic Dynamics, number 16-134.
• Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2017, "Code and data files for "Cyclical Asset Returns in the Consumption and Investment Goods Sector"," Computer Codes, Review of Economic Dynamics, number 14-26, revised .
• Pierlauro Lopez, 2017, "Code and data files for "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Computer Codes, Review of Economic Dynamics, number 16-134, revised .
• Leo Kaas & Wei Cui, 2017, "Default Cycles," 2017 Meeting Papers, Society for Economic Dynamics, number 1288.
• Sudipto Karmakar & Francisco Buera, 2017, "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers, Society for Economic Dynamics, number 1356.
• Christian Wagner & Ian Martin, 2017, "What Is the Expected Return on a Stock?," 2017 Meeting Papers, Society for Economic Dynamics, number 146.
• Peter Van Tassel, 2017, "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers, Society for Economic Dynamics, number 149.
• Stavros Panageas & Nicolae Garleanu, 2017, "Finance in a Time of Disruptive Growth," 2017 Meeting Papers, Society for Economic Dynamics, number 1570.
• Tzuo Hann Law & Dongho Song & Amir Yaron, 2017, "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers, Society for Economic Dynamics, number 1632.
• Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017, "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers, Society for Economic Dynamics, number 1641.
• Pengfei Wang & Jianjun Miao & Feng Dong, 2017, "Asset Bubbles and Monetary Policy," 2017 Meeting Papers, Society for Economic Dynamics, number 205.
• Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017, "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers, Society for Economic Dynamics, number 239.
• Michael Weber & Andreas Neuhierl, 2017, "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers, Society for Economic Dynamics, number 304.
• Idan Hodor & Andrea Buffa, 2017, "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices," 2017 Meeting Papers, Society for Economic Dynamics, number 374.
• Fernando Duarte & Tobias Adrian, 2017, "Financial Vulnerability and Monetary Policy," 2017 Meeting Papers, Society for Economic Dynamics, number 391.
• Stefano Giglio & Ian Dew-Becker & David Berger, 2017, "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers, Society for Economic Dynamics, number 403.
• Roberto Marfè, 2017, "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers, Society for Economic Dynamics, number 466.
• Stijn Van Nieuwerburgh & Jack Favilukis, 2017, "Out-of-town Home Buyers and City Welfare," 2017 Meeting Papers, Society for Economic Dynamics, number 486.
• Francesco Bianchi, 2017, "Monetary Policy and Asset Valuation," 2017 Meeting Papers, Society for Economic Dynamics, number 500.
• Andre Silva & Bernardino Adao, 2017, "The Effect of Firm Cash Holdings on Monetary Policy," 2017 Meeting Papers, Society for Economic Dynamics, number 528.
• Colin Caines, 2017, "Can Learning Explain Boom-Bust Cycles in Asset Prices? An Application to the US Housing Boom," 2017 Meeting Papers, Society for Economic Dynamics, number 695.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017, "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers, Society for Economic Dynamics, number 697.
• Guillermo Ordonez & Gaetano Gaballo, 2017, "The Two Faces of Information," 2017 Meeting Papers, Society for Economic Dynamics, number 811.
• Andreas Schrimpf & Semyon Malamud, 2017, "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers, Society for Economic Dynamics, number 812.
• Baojing Sun, 2017, "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group, number 2017-05, Sep.
• Turhan Korkmaz & Emrah İsmail Çevik & Nüket Kırcı Çevik, 2017, "The Relationship between Investor Attention and Stock Markets: An Application on ISE-100 Index," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 2, pages 203-215.
• Cengiz Toraman & Merve Tuncay, 2017, "Effect of the Political Risk on Capital Asset Valuation in Financial Markets: The Case of Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 3, pages 413-432.
• Muhammet Burak Kılıç & İsmail Çelik & Murat Kaya, 2017, "Modeling of Volatility in the Stock Markets Returns: Classic and Bayesian GARCH Approaches for ISE -100," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 4, pages 715-726.
• Dong-Jin Pyo, 2017, "Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market," East Asian Economic Review, Korea Institute for International Economic Policy, volume 21, issue 2, pages 147-165, DOI: 10.11644/KIEP.EAER.2017.21.2.327.
• John Weirstrass MUTEBA MWAMBA & Lamukanyani MANTSHIMULI, 2017, "On the Protection of Investment Capital During Financial Crisis in the South African Equity Market: A Risk-Based Asset Allocation Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 70, issue 2, pages 165-192.
• Bang Nam Jeon & Dazhi Zheng & Lei Zhu, 2017, "Exchange Rate Exposure : International Evidence from Daily Firm-Level Data," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 32, issue 1, pages 112-159.
• Jamal Bouoiyour & Refk Selmi & Syed Jawad Hussain Shahzad & Muhammad Shahbaz, 2017, "Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 32, issue 4, pages 913-936.
• Maria del Mar Miralles-Quiros & Jose Luis Miralles-Quiros & Célia Oliveira, 2017, "The Role of Liquidity in Asset Pricing: The Special Case of the Portuguese Stock Market," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 22, issue 43, pages 191-206.
• Júlio Lobão & Luís Pacheco & Carlos Pereira, 2017, "The Use of the Recognition Heuristic as an Investment Strategy in European Stockmarkets," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 22, issue 43, pages 207-223.
• Jason Thomas, 2017, "John Bull Can't Stand 2 Percent: QE's Depressing Implications for Investment," Journal of Financial Transformation, Capco Institute, volume 45, pages 107-118.
• Ewa Karwowski, 2017, "Corporate financialisation in South Africa: From investment strike to housing bubble," Economics Discussion Papers, School of Economics, Kingston University London, number 2017-7, Dec.
• Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017, "The Impact of Exchange Rate Changes on Asset Returns in the Framework of a Consumption Based Capital Asset Pricing Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 4, issue 1, pages 59-86.