Research classified by Journal of Economic Literature (JEL) codes

2017

• Julien Guyon & Romain Menegaux & Marcel Nutz, 2017, "Bounds for VIX futures given S&P 500 smiles," Finance and Stochastics, Springer, volume 21, issue 3, pages 593-630, July, DOI: 10.1007/s00780-017-0334-6.
• Jonathan E. Alevy & Michael K. Price, 2017, "Advice in the marketplace: a laboratory study," Experimental Economics, Springer;Economic Science Association, volume 20, issue 1, pages 156-180, March, DOI: 10.1007/s10683-016-9480-5.
• Sascha Baghestanian & Paul Gortner & Baptiste Massenot, 2017, "Compensation schemes, liquidity provision, and asset prices: an experimental analysis," Experimental Economics, Springer;Economic Science Association, volume 20, issue 2, pages 481-505, June, DOI: 10.1007/s10683-016-9493-0.
• Evan Gatev & Mingxin Li, 2017, "Hedge funds as international liquidity providers: evidence from convertible bond arbitrage in Canada," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 2, pages 117-136, May, DOI: 10.1007/s11408-017-0285-0.
• Frédéric Blanc-Brude & Timothy Whittaker & Simon Wilde, 2017, "Searching for a listed infrastructure asset class using mean–variance spanning," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 2, pages 137-179, May, DOI: 10.1007/s11408-017-0286-z.
• Martin H. Schmidt, 2017, "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 2, pages 201-256, May, DOI: 10.1007/s11408-017-0288-x.
• Terence Tai-Leung Chong & Shiyu Lin, 2017, "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 3, pages 261-288, August, DOI: 10.1007/s11408-017-0291-2.
• Yuming Li, 2017, "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 3, pages 289-315, August, DOI: 10.1007/s11408-017-0293-0.
• François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017, "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 23, issue 1, pages 75-90, February, DOI: 10.1007/s11294-016-9620-x.
• James Ming Chen, 2017, "Even-Keeled Moments of Doubt," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 23, issue 3, pages 353-354, August, DOI: 10.1007/s11294-017-9643-y.
• Manuel Hoffmann & Matthias Neuenkirch, 2017, "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, volume 14, issue 1, pages 61-73, January, DOI: 10.1007/s10368-015-0321-3.
• Krishna Prasanna & Subramaniam Sowmya, 2017, "Yield curve in India and its interactions with the US bond market," International Economics and Economic Policy, Springer, volume 14, issue 2, pages 353-375, April, DOI: 10.1007/s10368-016-0340-8.
• Jun (Tony) Ruan & Tongshu Ma, 2017, "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, volume 51, issue 3, pages 385-436, June, DOI: 10.1007/s10693-015-0233-y.
• James D. Shilling & C.F. Sirmans & Barrett A. Slade, 2017, "Spatial Correlation in Expected Returns in Commercial Real Estate Markets and the Role of Core Markets," The Journal of Real Estate Finance and Economics, Springer, volume 54, issue 3, pages 297-337, April, DOI: 10.1007/s11146-016-9581-0.
• S. McKay Price & Michael J. Seiler & Jiancheng Shen, 2017, "Do Investors Infer Vocal Cues from CEOs During Quarterly REIT Conference Calls?," The Journal of Real Estate Finance and Economics, Springer, volume 54, issue 4, pages 515-557, May, DOI: 10.1007/s11146-016-9557-0.
• Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017, "Commonality in Liquidity and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, volume 55, issue 1, pages 65-105, July, DOI: 10.1007/s11146-016-9554-3.
• Dogan Tirtiroglu & Thu Ha Nguyen & Ercan Tirtiroglu & Tan Cheng Wee, 2017, "REITs, Growth Options and Beta," The Journal of Real Estate Finance and Economics, Springer, volume 55, issue 3, pages 370-394, October, DOI: 10.1007/s11146-016-9590-z.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017, "Implied volatility and skewness surface," Review of Derivatives Research, Springer, volume 20, issue 2, pages 167-202, July, DOI: 10.1007/s11147-016-9127-x.
• Hideharu Funahashi & Masaaki Kijima, 2017, "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, volume 20, issue 3, pages 203-229, October, DOI: 10.1007/s11147-017-9128-4.
• Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017, "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 1, pages 83-115, January, DOI: 10.1007/s11156-015-0543-z.
• Tao Shen, 2017, "Credit spreads and investment opportunities," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 1, pages 117-152, January, DOI: 10.1007/s11156-015-0545-x.
• Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017, "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 1, pages 191-218, January, DOI: 10.1007/s11156-015-0547-8.
• Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017, "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 2, pages 289-309, February, DOI: 10.1007/s11156-016-0551-7.
• Stefan Dierkes & Ulrich Schäfer, 2017, "Corporate taxes, capital structure, and valuation: Combining Modigliani/Miller and Miles/Ezzell," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 2, pages 363-383, February, DOI: 10.1007/s11156-016-0554-4.
• Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017, "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 2, pages 385-406, February, DOI: 10.1007/s11156-016-0555-3.
• Andrei Semenov, 2017, "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 2, pages 407-439, February, DOI: 10.1007/s11156-016-0556-2.
• Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017, "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 4, pages 1123-1173, May, DOI: 10.1007/s11156-016-0570-4.
• Leonidas S. Rompolis & Elias Tzavalis, 2017, "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 4, pages 955-1002, May, DOI: 10.1007/s11156-016-0575-z.
• Sharad Asthana, 2017, "Diversification by the audit offices in the US and its impact on audit quality," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 4, pages 1003-1030, May, DOI: 10.1007/s11156-016-0576-y.
• Imran Hussain Shah & Ahmad Hassan Ahmad, 2017, "How important is the financial sector to price indices in an inflation targeting regime? An empirical analysis of the UK and the US," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 4, pages 1063-1082, May, DOI: 10.1007/s11156-016-0578-9.
• Shafiqur Rahman & Cheng-Few Lee & Yaqing Xiao, 2017, "The investment performance, attributes, and investment behavior of ethical equity mutual funds in the US: an empirical investigation," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 1, pages 91-116, July, DOI: 10.1007/s11156-016-0581-1.
• Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2017, "Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 1, pages 1-28, July, DOI: 10.1007/s11156-016-0584-y.
• Ali Nejadmalayeri & Subramanian Rama Iyer & Manohar Singh, 2017, "Is there an optimally diversified conglomerate? Gleaning answers from capital markets," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 1, pages 117-158, July, DOI: 10.1007/s11156-016-0585-x.
• J. Barry Lin & Christos Pantzalis & Jung Chul Park, 2017, "Corporate derivatives use policy and information environment," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 1, pages 159-194, July, DOI: 10.1007/s11156-016-0586-9.
• Jungshik Hur & Cedric Mbanga Luma, 2017, "Aggregate idiosyncratic volatility, dynamic aspects of loss aversion, and narrow framing," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 2, pages 407-433, August, DOI: 10.1007/s11156-016-0595-8.
• Fredj Jawadi & Georges Prat, 2017, "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 3, pages 661-695, October, DOI: 10.1007/s11156-016-0604-y.
• Miriam Marra, 2017, "Explaining co-movements between equity and CDS bid-ask spreads," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 3, pages 811-853, October, DOI: 10.1007/s11156-016-0609-6.
• Houdou Basse Mama & Stefan Mueller & Ulrich Pape, 2017, "What’s in the news? The ambiguity of the information content of index reconstitutions in Germany," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 4, pages 1087-1119, November, DOI: 10.1007/s11156-017-0617-1.
• Diana-Maria Chis & Cristina Ciumas & Emilia-Anuta Corovei, 2017, "Equilibrium Prices Of Guarantees Under Unit-Linked Life Insurance Contracts," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 9, issue 2, pages 47-53, June.
• Stijn Claessens & M. Ayhan Kose, 2017, "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1718, Nov.
• Stijn Claessens & M. Ayhan Kose, 2017, "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1719, Dec.
• Zawadowski, Ádám, 2017, "Kezelési költségük határozza-e meg a Magyarországon forgalmazott részvénypiaci befektetési alapok teljesítményét?
  [Do fees determine the performance of stock mutual funds sold in Hungary?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 1186-1201, DOI: 10.18414/KSZ.2017.11.1186.
• Madjid Hatefi MADJUMERD & Omolbanin JALALI & Mohamad Esmaeel ASHRAFI, 2017, "Democracy: An opportunity or a threat to Iran's economic structure," Turkish Economic Review, KSP Journals, volume 4, issue 3, pages 326-333, September.
• Yutaka KURIHARA, 2017, "Monetary Policy and Stock/Foreign Exchange Market Liquidity: The Japanese Case," Journal of Economics Library, KSP Journals, volume 4, issue 1, pages 1-8, March.
• Massimo Franchi & Soeren Johansen, 2017, "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers, University of Copenhagen. Department of Economics, number 17-09, Apr.
• Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe, 2017, "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers, University of Copenhagen. Department of Economics, number 17-10, Apr.
• Martín Gonzalez-Eiras & Jesper Rüdiger, 2017, "Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions," Discussion Papers, University of Copenhagen. Department of Economics, number 17-13, Aug.
• Katsuhiro Oshima, 2017, "Search-for-Yield and Business Cycles," KIER Working Papers, Kyoto University, Institute of Economic Research, number 962, Feb.
• Alisa Yevgenyevna Yusupova & Efthymios Pavlidis & Ivan Paya & David Alan Peel, 2017, "Exuberance in the U.K. Regional Housing Markets," Working Papers, Lancaster University Management School, Economics Department, number 168117137.
• Philippe Bacchetta & Eric Van Wincoop, 2017, "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 17.05, Apr.
• Tanweer Akram & Anupam Das, 2017, "The Long-run Determinants of Indian Government Bond Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_881, Jan.
• Tanweer Akram & Anupam Das, 2017, "The Dynamics of Government Bond Yields in the Eurozone," Economics Working Paper Archive, Levy Economics Institute, number wp_889, May.
• Eric Tymoigne, 2017, "On the Centrality of Redemption: Linking the State and Credit Theories of Money through a Financial Approach to Money," Economics Working Paper Archive, Levy Economics Institute, number wp_890, May.
• Tanweer Akram & Huiqing Li, 2017, "An Inquiry Concerning Long-term US Interest Rates Using Monthly Data," Economics Working Paper Archive, Levy Economics Institute, number wp_894, Aug.
• Patrick Grüning, 2017, "Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics," Bank of Lithuania Occasional Paper Series, Bank of Lithuania, number 16, Oct.
• Michael Donadelli & Patrick Gruning, 2017, "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 43, Apr.
• Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2017, "Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 47, Oct.
• Humaira Asad & Faraz Khalid Cheema, 2017, "An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 22, issue 2, pages 117-138, July-Dec.
• Peter Tillmann, 2017, "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201724.
• Jyri Kinnunen & Minna Martikainen, 2017, "Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 53, issue 11, pages 2528-2544, November, DOI: 10.1080/1540496X.2016.1210509.
• Shangkari V. Anusakumar & Ruhani Ali, 2017, "Momentum and Investor Sentiment: Evidence from Asian Stock Markets," Capital Markets Review, Malaysian Finance Association, volume 25, issue 1, pages 26-42.
• Gary John Rangel & Jason Wei Jian Ng, 2017, "Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach," Capital Markets Review, Malaysian Finance Association, volume 25, issue 2, pages 15-31.
• Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Tien-Ming Yip, 2017, "Dynamic Linkages between Newly Developed Islamic Equity Style Indices: Is Growth Style More Influential Than Value Style?," Capital Markets Review, Malaysian Finance Association, volume 25, issue 2, pages 49-64.
• Jyri Kinnunen & Minna Martikainen, 2017, "Dynamic Autocorrelation and International Portfolio Allocation," Multinational Finance Journal, Multinational Finance Journal, volume 21, issue 1, pages 21-48, March.
• Carlos J. Perez & Manuel Santos, 2017, "On the Dynamics of Speculation in a Model of Bubbles and Manias," Working Papers, University of Miami, Department of Economics, number 2017-02, Apr.
• Seung C. Ahn & Alex R. Horenstein, 2017, "Asset Pricing and Excess Returns over the Market Return," Working Papers, University of Miami, Department of Economics, number 2017-12, Sep.
• Alex R. Horenstein, 2017, "Betting Against Alpha," Working Papers, University of Miami, Department of Economics, number 2017-13, Oct.
• Gergely Lakos & Tibor Szendrei, 2017, "Explanations of Asset Price Bubbles," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 16, issue 4, pages 122-150.
• Takahiro Hattori, 2017, "J-liquidity Measure: the Term Structure of the Liquidity Premium and the Decomposition of the Municipal Bond Spread," Discussion papers, Policy Research Institute, Ministry of Finance Japan, number ron290, Mar.
• Naji Massad & Jørgen Vitting Andersen, 2017, "Three different ways synchronization can cause contagion in financial markets," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 17059, Dec, DOI: 10.3390/risks6040104.
• Shujie Ma & Oliver Linton & Jiti Gao, 2017, "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/17.
• Shaho Heidari Gandoman & Navab Kiamehr & Mahmood Hemetfar, 2017, "Forecasting Initial Public Offering Pricing Using Particle Swarm Optimization (PSO) Algorithm and Support Vector Machine (SVM) In Iran," Business and Economic Research, Macrothink Institute, volume 7, issue 1, pages 336-349, June.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017, "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1136-1159, Octubre-D.
• José Antonio Climent Hernández & Carolina Cruz Matú, 2017, "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1160-1182, Octubre-D.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017, "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 11-12, Diciembre.
• José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017, "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, volume 62, issue 5, pages 9-10, Diciembre.
• Mariusz Kapuściński, 2017, "Monetary policy and financial asset prices in Poland," Bank i Kredyt, Narodowy Bank Polski, volume 48, issue 3, pages 263-294.
• Łukasz Delong & Damian Sulik, 2017, "Kalibracja dwuczynnikowego modelu chwilowej stopy procentowej typu G2++ w mierze rzeczywistej i neutralnej względem ryzyka," Bank i Kredyt, Narodowy Bank Polski, volume 48, issue 4, pages 403-450.
• Luzi Hail & Stephanie Sikes & Clare Wang, 2017, "Cross-Country Evidence on the Relation between Capital Gains Taxes, Risk, and Expected Returns," NBER Chapters, National Bureau of Economic Research, Inc, "Personal Income Taxation and Household Behavior (TAPES)".
• Efraim Benmelech & Nittai K. Bergman, 2017, "Credit Market Freezes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2017, volume 32".
• Wenxin Du & Joanne Im & Jesse Schreger, 2017, "The U.S. Treasury Premium," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2017".
• Charles G. Nathanson & Eric Zwick, 2017, "Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 23030, Jan.
• Briana Chang & Harrison Hong, 2017, "Assignment of Stock Market Coverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 23115, Jan.
• Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017, "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers, National Bureau of Economic Research, Inc, number 23152, Feb.
• Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017, "Worker Betas: Five Facts about Systematic Earnings Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 23163, Feb.
• Lubos Pastor & Pietro Veronesi, 2017, "Political Cycles and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23184, Feb.
• Robin Greenwood & Andrei Shleifer & Yang You, 2017, "Bubbles for Fama," NBER Working Papers, National Bureau of Economic Research, Inc, number 23191, Feb.
• Joel Hasbrouck & Richard M. Levich, 2017, "FX Market Metrics: New Findings Based on CLS Bank Settlement Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 23206, Mar.
• Lu Zhang, 2017, "The Investment CAPM," NBER Working Papers, National Bureau of Economic Research, Inc, number 23226, Mar.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017, "Dissecting Characteristics Nonparametrically," NBER Working Papers, National Bureau of Economic Research, Inc, number 23227, Mar.
• Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017, "Asset Mispricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 23231, Mar.
• Maryam Farboodi & Gregor Jarosch & Robert Shimer, 2017, "The Emergence of Market Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 23234, Mar.
• Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017, "Demand for Information and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 23274, Mar.
• Vahid Gholampour & Eric van Wincoop, 2017, "What can we Learn from Euro-Dollar Tweets?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23293, Mar.
• Cristina Arellano & Yan Bai & Luigi Bocola, 2017, "Sovereign Default Risk and Firm Heterogeneity," NBER Working Papers, National Bureau of Economic Research, Inc, number 23314, Apr.
• Mike Anderson & René M. Stulz, 2017, "Is Post-Crisis Bond Liquidity Lower?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23317, Apr.
• Takatoshi Ito & Masahiro Yamada, 2017, "Did the Reform Fix the London Fix Problem?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23327, Apr.
• Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017, "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers, National Bureau of Economic Research, Inc, number 23344, Apr.
• Philippe Bacchetta & Eric van Wincoop, 2017, "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23363, Apr.
• Ralph S.J. Koijen & Motohiro Yogo, 2017, "Risk of Life Insurers: Recent Trends and Transmission Mechanisms," NBER Working Papers, National Bureau of Economic Research, Inc, number 23365, Apr.
• Kaiji Chen & Jue Ren & Tao Zha, 2017, "The Nexus of Monetary Policy and Shadow Banking in China," NBER Working Papers, National Bureau of Economic Research, Inc, number 23377, May.
• Kewei Hou & Chen Xue & Lu Zhang, 2017, "Replicating Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 23394, May.
• Ali Ozdagli & Michael Weber, 2017, "Monetary Policy through Production Networks: Evidence from the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 23424, May.
• David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017, "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23432, May.
• Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017, "Speculative Dynamics of Prices and Volume," NBER Working Papers, National Bureau of Economic Research, Inc, number 23449, May.
• Daniel Andrei & Bruce I. Carlin, 2017, "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers, National Bureau of Economic Research, Inc, number 23455, May.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017, "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 23474, Jun.
• Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017, "Complex Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 23476, Jun.
• Michael D. Bauer & James D. Hamilton, 2017, "Robust Bond Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 23480, Jun.
• Efraim Benmelech & Nittai K. Bergman, 2017, "Credit Market Freezes," NBER Working Papers, National Bureau of Economic Research, Inc, number 23512, Jun.
• Marco Di Maggio & Francesco Franzoni & Amir Kermani & Carlo Sommavilla, 2017, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 23522, Jun.
• Stefano Giglio & Dacheng Xiu, 2017, "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 23527, Jun.
• Gustavo S. Cortes & Marc D. Weidenmier, 2017, "Stock Volatility and the Great Depression," NBER Working Papers, National Bureau of Economic Research, Inc, number 23554, Jun.
• Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017, "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers, National Bureau of Economic Research, Inc, number 23557, Jun.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017, "The Economics of Value Investing," NBER Working Papers, National Bureau of Economic Research, Inc, number 23563, Jun.
• Efraim Benmelech & Adam Guren & Brian T. Melzer, 2017, "Making the House a Home: The Stimulative Effect of Home Purchases on Consumption and Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 23570, Jul.
• Alexander M. Chinco & Mao Ye, 2017, "Investment-Horizon Spillovers," NBER Working Papers, National Bureau of Economic Research, Inc, number 23650, Aug.
• Leif Andersen & Darrell Duffie & Yang Song, 2017, "Funding Value Adjustments," NBER Working Papers, National Bureau of Economic Research, Inc, number 23680, Aug.
• Anisha Ghosh & George M. Constantinides, 2017, "What Information Drives Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23689, Aug.
• João F. Gomes & Marco Grotteria & Jessica A. Wachter, 2017, "Cyclical Dispersion in Expected Defaults," NBER Working Papers, National Bureau of Economic Research, Inc, number 23704, Aug.
• Marcel Nutz & José A. Scheinkman, 2017, "Supply and Shorting in Speculative Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 23751, Aug.
• Wenxin Du & Joanne Im & Jesse Schreger, 2017, "The U.S. Treasury Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 23759, Aug.
• V.V. Chari & Lawrence Christiano, 2017, "Financialization in Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 23766, Sep.
• Cory Cutsail & Farley Grubb, 2017, "The Paper Money of Colonial North Carolina, 1712-1774," NBER Working Papers, National Bureau of Economic Research, Inc, number 23783, Sep.
• David Berger & Ian Dew-Becker & Stefano Giglio, 2017, "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 23796, Sep.
• Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan, 2017, "Anomalies Abroad: Beyond Data Mining," NBER Working Papers, National Bureau of Economic Research, Inc, number 23809, Sep.
• Laura A. Bakkensen & Lint Barrage, 2017, "Flood Risk Belief Heterogeneity and Coastal Home Price Dynamics: Going Under Water?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23854, Sep.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2017, "Diagnostic Expectations and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23863, Sep.
• Samuel M. Hartzmark & Kelly Shue, 2017, "A Tough Act to Follow: Contrast Effects In Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 23883, Sep.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017, "Predicting Relative Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23886, Sep.
• Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017, "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23910, Oct.
• Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017, "Sparse Signals in the Cross-Section of Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23933, Oct.
• Jongha Lim & Michael W. Schwert & Michael S. Weisbach, 2017, "The Economics of PIPEs," NBER Working Papers, National Bureau of Economic Research, Inc, number 23967, Oct.
• Bruno Biais & Johan Hombert & Pierre-Olivier Weill, 2017, "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 23986, Nov.
• Ting Chen & Zhenyu Gao & Jibao He & Wenxi Jiang & Wei Xiong, 2017, "Daily Price Limits and Destructive Market Behavior," NBER Working Papers, National Bureau of Economic Research, Inc, number 24014, Nov.
• Ali Hortaçsu & Jakub Kastl & Allen Zhang, 2017, "Bid Shading and Bidder Surplus in the U.S. Treasury Auction System," NBER Working Papers, National Bureau of Economic Research, Inc, number 24024, Nov.
• Ravi Jagannathan & Ashwin Ravikumar & Marco Sammon, 2017, "Environmental, Social, and Governance Criteria: Why Investors are Paying Attention," NBER Working Papers, National Bureau of Economic Research, Inc, number 24063, Nov.
• Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017, "Shrinking the Cross Section," NBER Working Papers, National Bureau of Economic Research, Inc, number 24070, Nov.
• Andrea Barbon & Marco Di Maggio & Francesco Franzoni & Augustin Landier, 2017, "Brokers and Order Flow Leakage: Evidence from Fire Sales," NBER Working Papers, National Bureau of Economic Research, Inc, number 24089, Nov.
• Michael Bailey & Eduardo Dávila & Theresa Kuchler & Johannes Stroebel, 2017, "House Price Beliefs And Mortgage Leverage Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 24091, Nov.
• Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017, "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 24098, Dec.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017, "The Rate of Return on Everything, 1870–2015," NBER Working Papers, National Bureau of Economic Research, Inc, number 24112, Dec.
• David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017, "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 24143, Dec.
• Yongqiang Chu & David Hirshleifer & Liang Ma, 2017, "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 24144, Dec.
• Kent Daniel & David Hirshleifer & Lin Sun, 2017, "Short- and Long-Horizon Behavioral Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 24163, Dec.
• Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017, "The Cross-Section of Risk and Return," NBER Working Papers, National Bureau of Economic Research, Inc, number 24164, Dec.
• Rawley Z. Heimer & Alp Simsek, 2017, "Should Retail Investors' Leverage Be Limited?," NBER Working Papers, National Bureau of Economic Research, Inc, number 24176, Dec.
• Teplova, T. & Sokolova, T. & Teplov, A., 2017, "Intellectual Capital of Russian Companies as a Driver of Reducing the Cost of Debt," Journal of the New Economic Association, New Economic Association, volume 36, issue 4, pages 107-134.
• Blume, Marshall E. & Keim, Donald B., 2017, "The Changing Nature of Institutional Stock Investing," Critical Finance Review, now publishers, volume 7, issue 1, pages 1-41, March, DOI: 10.1561/104.00000033.
• Eisdorfer, Assaf & Kohl, Elizabeth, 2017, "Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL," Critical Finance Review, now publishers, volume 7, issue 1, pages 179-209, March, DOI: 10.1561/104.00000041.
• Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017, "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, volume 6, issue 2, pages 263-301, September, DOI: 10.1561/104.00000043.
• Ke, Wen-Chyan & Lin, Hsiou-Wei William, 2017, "An Improved Version of the Volume-Synchronized Probability of Informed Trading," Critical Finance Review, now publishers, volume 6, issue 2, pages 357-376, September, DOI: 10.1561/104.00000046.
• Easley, David & Lopez de Prado, Marcos & O'Hara, Maureen, 2017, "An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment," Critical Finance Review, now publishers, volume 6, issue 2, pages 377-379, September, DOI: 10.1561/104.00000047.
• Borri, Nicola & Ragusa, Giuseppe, 2017, "Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)," Critical Finance Review, now publishers, volume 6, issue 2, pages 381-393, September, DOI: 10.1561/104.00000050.
• Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017, "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, volume 6, issue 2, pages 211-262, September, DOI: 10.1561/104.00000051.
• 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," National Tax Journal, National Tax Association;National Tax Journal, volume 70, issue 3, pages 549-584, September, DOI: 10.17310/ntj.2017.3.02.
• Oecd, 2017, "Green financing: Challenges and opportunities in the transition to a clean and climate-resilient economy," OECD Journal: Financial Market Trends, OECD Publishing, volume 2016, issue 2, pages 63-78, DOI: 10.1787/fmt-2016-5jg0097l3qhl.
• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & Jose René Orozco, 2017, "Fiscal policy and the cycle in Latin America: The role of financing conditions and fiscal rules," OECD Development Centre Working Papers, OECD Publishing, number 336, Feb, DOI: 10.1787/3c20eec1-en.
• Jana Šimáková & Nikola Rusková, 2017, "Role of the Exchange Rates in the Stock Price Development of Companies in Chemical Industry," Working Papers, Silesian University, School of Business Administration, number 0042, Aug.
• Xiao, Tim, 2017, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," arabixiv.org, Center for Open Science, number 96dy5, Aug, DOI: 10.31219/osf.io/96dy5.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org, Center for Open Science, number ez659, Jul, DOI: 10.31219/osf.io/ez659.
• Xiao, Tim, 2017, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," FrenXiv, Center for Open Science, number mt637, Aug, DOI: 10.31219/osf.io/mt637.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv, Center for Open Science, number unz4k, Jul, DOI: 10.31219/osf.io/unz4k.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv, Center for Open Science, number fvdzh, Jul, DOI: 10.31219/osf.io/fvdzh.
• Xiao, Tim, 2017, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," SocArXiv, Center for Open Science, number u546r, Aug, DOI: 10.31219/osf.io/u546r.
• Xiao, Tim, 2017, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv, Center for Open Science, number zr7hp, Jul, DOI: 10.31219/osf.io/zr7hp.
• Jun Sakamoto, 2017, "An empirical study on the risk premium caused by differences in the dispersion of information among investors," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 17-11, Apr.
• Jun Sakamoto, 2017, "An empirical analysis of the impact of differences in the disclosure among companies on the equity premium," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 17-11-Rev., Apr, revised Jan 2018.
• Valentina G. Bruno & Bahattin Büyükşahin & Michel A. Robe, 2017, "The Financialization of Food?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 99, issue 1, pages 243-264.
• Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017, "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, volume 15, issue 1, pages 218-243.
• Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017, "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 36-61.
• Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017, "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 62-105.
• Seok Young Hong & Oliver Lintono & Hui Jun Zhang, 2017, "An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 2, pages 173-222.
• Gianni Amisano & Roberto Savona, 2017, "Mutual Funds Dynamics and Economic Predictors," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 2, pages 302-330.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 333-376.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 377-387.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 418-426.
• Konstantinos Metaxoglou & Aaron Smith, 2017, "Forecasting Stock Returns Using Option-Implied State Prices," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 427-473.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 504-504.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 505-505.
• Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2017, "Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 4, pages 602-648.
• Tyler Muir, 2017, "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 2, pages 765-809.
• David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017, "Credit-Market Sentiment and the Business Cycle," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 3, pages 1373-1426.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017, "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 4, pages 1819-1876.
• Steven L. Heston & Alberto G. Rossi, 2017, "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, volume 7, issue 1, pages 2-42.
• Steven L. Heston & Alberto G. Rossi, 2017, "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 2-42.
• Hitesh Doshi & Kris Jacobs & Virgilio Zurita, 2017, "Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 43-80.
• Sheen Liu & Chunchi Wu, 2017, "Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 81-143.
• Christopher S. Jones & Lukasz Pomorski, 2017, "Investing in Disappearing Anomalies," Review of Finance, European Finance Association, volume 21, issue 1, pages 237-267.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017, "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, volume 21, issue 1, pages 363-385.
• Jennifer Conrad & M. Deniz Yavuzm, 2017, "Momentum and Reversal: Does What Goes Up Always Come Down?," Review of Finance, European Finance Association, volume 21, issue 2, pages 555-581.
• Alasdair Brown & Fuyu Yang, 2017, "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," Review of Finance, European Finance Association, volume 21, issue 2, pages 583-603.
• Vladimir Atanasov & John J. MerrickJr. & Philipp Schuster, 2017, "Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets," Review of Finance, European Finance Association, volume 21, issue 2, pages 719-760.
• Romain Boulland & François Degeorge & Edith Ginglinger, 2017, "News Dissemination and Investor Attention," Review of Finance, European Finance Association, volume 21, issue 2, pages 761-791.
• Christian Walkshäusl, 2017, "Expectation Errors in European Value-Growth Strategies," Review of Finance, European Finance Association, volume 21, issue 2, pages 845-870.
• Richard Evans & Miguel A. Ferreira & Melissa Porras Prado, 2017, "Fund Performance and Equity Lending: Why Lend What You Can Sell?," Review of Finance, European Finance Association, volume 21, issue 3, pages 1093-1121.
• Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017, "Bond Variance Risk Premiums," Review of Finance, European Finance Association, volume 21, issue 3, pages 987-1022.
• Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017, "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, volume 21, issue 4, pages 1355-1401.
• Johan Walden, 2017, "Recovery with Unbounded Diffusion Processes," Review of Finance, European Finance Association, volume 21, issue 4, pages 1403-1444.