Research classified by Journal of Economic Literature (JEL) codes

2017

• Moussa, Faten & BenOuda, Olfa & Delhoumi, Ezzeddine, 2017, "The use of open source internet to analysis and predict stock market trading volume," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 399-411, DOI: 10.1016/j.ribaf.2017.04.048.
• Smimou, K., 2017, "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 461-479, DOI: 10.1016/j.ribaf.2017.04.030.
• Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David, 2017, "The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 577-589, DOI: 10.1016/j.ribaf.2017.04.003.
• Sharma, Shahil, 2017, "Oil price shocks and American depositary receipt stock returns," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1040-1056, DOI: 10.1016/j.ribaf.2017.07.040.
• Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017, "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1137-1149, DOI: 10.1016/j.ribaf.2017.07.050.
• Charteris, Ailie & Musadziruma, Arnold, 2017, "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1289-1297, DOI: 10.1016/j.ribaf.2017.07.065.
• Tchamyou, Vanessa S. & Asongu, Simplice A., 2017, "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1355-1366, DOI: 10.1016/j.ribaf.2017.07.072.
• Kalak, Izidin El & Azevedo, Alcino & Hudson, Robert & Karim, Mohamad Abd, 2017, "Stock liquidity and SMEs’ likelihood of bankruptcy: Evidence from the US market," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1383-1393, DOI: 10.1016/j.ribaf.2017.07.077.
• Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017, "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1467-1477, DOI: 10.1016/j.ribaf.2017.07.085.
• Ayadi, Mohamed A. & Lazrak, Skander & Welch, Robert, 2017, "Determinants of bankruptcy regime choice for Canadian public firms," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 161-172, DOI: 10.1016/j.ribaf.2017.04.043.
• Lai, Ya-Wen & Windawati, Atif, 2017, "Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 233-241, DOI: 10.1016/j.ribaf.2017.04.054.
• Boukhatem, Jamel & Sekouhi, Hayfa, 2017, "What does the bond yield curve tell us about Tunisian economic activity?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 295-303, DOI: 10.1016/j.ribaf.2017.07.053.
• Arjoon, Vaalmikki & Bhatnagar, Chandra Shekhar, 2017, "Dynamic herding analysis in a frontier market," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 496-508, DOI: 10.1016/j.ribaf.2017.01.006.
• Trabelsi, Nader & Naifar, Nader, 2017, "Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 727-744, DOI: 10.1016/j.ribaf.2017.07.013.
• Maria Caporale, Guglielmo & Zakirova, Valentina, 2017, "Calendar anomalies in the Russian stock market," Russian Journal of Economics, Elsevier, volume 3, issue 1, pages 101-108, DOI: 10.1016/j.ruje.2017.02.007.
• Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2017, "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/02, Apr.
• Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017, "Causes and timing of the European debt crisis: An econometric evaluation," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/03, Jan.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2017, "Symmetric Information Bubbles: Experimental Evidence," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-05, Jan.
• 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," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-07, Jan.
• Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2017, "Government Bond Yields at the Effective Lower Bound: International Evidence," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-32, Apr.
• Leo Krippner, 2017, "A Comment on Wu and Xia (2016) from a Macroeconomic Perspective," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-41, Jun.
• Stijn Claessens & M. Ayhan Kose, 2017, "Macroeconomic Implications of Financial Imperfections: A Survey," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-75, Nov.
• Stijn Claessens & M. Ayhan Kose, 2017, "Asset Prices and Macroeconomic Outcomes: A Survey," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-76, Nov.
• Kremens, Lukas & Martin, Ian, 2017, "The quanto theory of exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118945, Nov.
• Gromb, Denis & Vayanos, Dimitri, 2017, "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118954, Aug.
• Chabakauri, Georgy & Han, Brandon, 2017, "Collateral constraints and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118955, Jan.
• Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2017, "Financial markets where traders neglect the informational content of prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118956, Aug.
• Kremens, Lukas & Martin, Ian, 2017, "The quanto theory of exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118961, Aug.
• Kardaras, Constantinos & Robertson, Scott, 2017, "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67495, Jan.
• Anthropelos, Michail & Kardaras, Constantinos, 2017, "Equilibrium in risk-sharing games," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69767, Jul.
• Moffitt, Steven D. & Ziemba, William T., 2017, "Does it pay to buy the pot in the Canadian 6/49 Lotto: implications for lottery design," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 70755, Feb.
• Cascino, Stefano, 2017, "Stock-bond return co-movement and accounting information," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 72244, Jul.
• Correia, Maria & Kang, Johnny & Richardson, Scott, 2018, "Asset volatility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 84405, Mar.
• Lleo, Sebastien & Ziemba, William, 2017, "A tale of two indexes: predicting equity market downturns in China," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85131, Aug.
• Cui, Wei & Kaas, Leo, 2017, "Default cycles," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86159, May.
• Alda Fernández, Mercedes, 2017, "The abilities of managers in UK pension funds. Are socially responsible managers superior?," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Searat Ali, 2017, "Women in the boardroom and their impact on default risk: a pitch," Accounting Research Journal, Emerald Group Publishing Limited, volume 30, issue 2, pages 137-146, July, DOI: 10.1108/ARJ-07-2016-0092.
• Worawuth Kongsilp & Cesario Mateus, 2017, "Volatility risk and stock return predictability on global financial crises," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 1, pages 33-66, February, DOI: 10.1108/CFRI-04-2016-0021.
• Muhammad Zubair Tauni & Zia-ur-Rehman Rao & Hongxing Fang & Sultan Sikandar Mirza & Zulfiqar Ali Memon & Khalil Jebran, 2017, "Do investor’s Big Five personality traits influence the association between information acquisition and stock trading behavior?," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 4, pages 450-477, September, DOI: 10.1108/CFRI-06-2016-0059.
• Raymond Kan & Guofu Zhou, 2017, "Modeling non-normality using multivariatet: implications for asset pricing," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 1, pages 2-32, February, DOI: 10.1108/CFRI-10-2016-0114.
• Rui Li & Jiahui Li & Jinjian Yuan, 2017, "Short-sale prohibitions, firm characteristics and stock returns: evidence from Chinese market," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 4, pages 407-428, September, DOI: 10.1108/CFRI-11-2016-0122.
• KiHoon Hong, 2017, "Bitcoin as an alternative investment vehicle," Information Technology and Management, Springer, volume 18, issue 4, pages 265-275, December, DOI: 10.1007/s10799-016-0264-6.
• Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2017, "Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), volume 3, issue 3, pages 343-366, November, DOI: 10.1007/s40797-017-0052-4.
• Houdou Basse Mama & Alexander Bassen, 2017, "Neglected disciplinary effects of investor relations: evidence from corporate cash holdings," Journal of Business Economics, Springer, volume 87, issue 2, pages 221-261, February, DOI: 10.1007/s11573-016-0818-4.
• Wolfgang Breuer & Karsten Kohn & Klaus Mark, 2017, "A note on corporate valuation using imprecise cost of capital," Journal of Business Economics, Springer, volume 87, issue 6, pages 709-747, August, DOI: 10.1007/s11573-016-0832-6.
• Burkhard Heer & Alfred Maußner & Halvor Ruf, 2017, "Q-Targeting in New Keynesian Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 13, issue 2, pages 189-224, November, DOI: 10.1007/s41549-017-0019-4.
• Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017, "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 2, pages 343-353, April, DOI: 10.1007/s12197-016-9355-9.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017, "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 463-473, July, DOI: 10.1007/s12197-016-9363-9.
• Jukka Ilomäki, 2017, "Animal spirits, beauty contests and expected returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 474-486, July, DOI: 10.1007/s12197-016-9364-8.
• Gaurango Banerjee & Abhiman Das & Kalidas Jana & Shekar Shetty, 2017, "Effects of derivatives usage and financial statement items on capital market risk measures of Bank stocks: evidence from India," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 487-504, July, DOI: 10.1007/s12197-016-9366-6.
• Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017, "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 529-552, July, DOI: 10.1007/s12197-016-9369-3.
• Richard Borghesi, 2017, "Liquidity, overpricing, and the tactics of informed traders," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 4, pages 701-713, October, DOI: 10.1007/s12197-016-9375-5.
• Aloui Mouna & Jarboui Anis, 2017, "Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), volume 8, issue 3, pages 898-915, September, DOI: 10.1007/s13132-015-0301-4.
• Gregory Phelan, 2017, "Collateralized borrowing and increasing risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 63, issue 2, pages 471-502, February, DOI: 10.1007/s00199-015-0943-2.
• Marco Airaudo, 2017, "Complex stock price dynamics under Max Weber’s spirit of capitalism hypothesis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 1, pages 47-73, June, DOI: 10.1007/s00199-016-0969-0.
• Marta Faias & Jaime Luque, 2017, "Endogenous formation of security exchanges," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 2, pages 331-355, August, DOI: 10.1007/s00199-016-0989-9.
• Gianluca Cassese, 2017, "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 3, pages 539-570, October, DOI: 10.1007/s00199-016-0999-7.
• Xue-Zhong He & Youwei Li, 2017, "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, volume 27, issue 5, pages 1071-1094, November, DOI: 10.1007/s00191-017-0505-9.
• Parthajit Kayal & S. Maheswaran, 2017, "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 15, issue 2, pages 329-342, June, DOI: 10.1007/s40953-016-0054-3.
• Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017, "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 15, issue 3, pages 565-581, September, DOI: 10.1007/s40953-016-0062-3.
• Suresh Nallareddy & Maria Ogneva, 2017, "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, volume 22, issue 2, pages 503-542, June, DOI: 10.1007/s11142-017-9389-z.
• Michael S. Drake & Jacob R. Thornock & Brady J. Twedt, 2017, "The internet as an information intermediary," Review of Accounting Studies, Springer, volume 22, issue 2, pages 543-576, June, DOI: 10.1007/s11142-017-9395-1.
• Mirko S. Heinle & Kevin C. Smith, 2017, "A theory of risk disclosure," Review of Accounting Studies, Springer, volume 22, issue 4, pages 1459-1491, December, DOI: 10.1007/s11142-017-9414-2.
• Wali Ullah, 2017, "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 26, issue 3, pages 453-483, August, DOI: 10.1007/s10260-017-0378-y.
• Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017, "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 153, issue 1, pages 71-103, February, DOI: 10.1007/s10290-016-0271-z.
• Jun-Biao Lina & Ping-Yeh Su, 2017, "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 1, pages 1-2.
• D'Errico, Marco & Roukny, Tarik, 2017, "Compressing over-the-counter markets," ESRB Working Paper Series, European Systemic Risk Board, number 44, May.
• Guagliano, Claudia & Mazzacurati, Julien, 2017, "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series, European Systemic Risk Board, number 55, Oct.
• Pan, Kevin & Zeng, Yao, 2017, "ETF arbitrage under liquidity mismatch," ESRB Working Paper Series, European Systemic Risk Board, number 59, Dec.
• Shafiu ABDULLAHI, 2017, "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, volume 8, issue 2, pages 146-159.
• Pietro Dindo & Jacopo Staccioli, 2017, "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2017/33, Dec.
• Andreas Haupenthal & Matthias Neuenkirch, 2017, "Grexit news and stock returns," Applied Economics, Taylor & Francis Journals, volume 49, issue 39, pages 3891-3898, August, DOI: 10.1080/00036846.2016.1270418.
• David E Allen & Michael McAleer & Abhay K Singh, 2017, "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Applied Economics, Taylor & Francis Journals, volume 49, issue 7, pages 677-692, February, DOI: 10.1080/00036846.2016.1203067.
• Ilze Kalnina & Dacheng Xiu, 2017, "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 517, pages 384-396, January, DOI: 10.1080/01621459.2016.1141687.
• A.M.M. Shahiduzzaman Quoreshi, 2017, "A bivariate integer-valued long-memory model for high-frequency financial count data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 46, issue 3, pages 1080-1089, February, DOI: 10.1080/03610926.2014.997361.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017, "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 11, pages 1745-1757, November, DOI: 10.1080/14697688.2017.1312506.
• Matthias Raddant & Friedrich Wagner, 2017, "Transitions in the stock markets of the US, UK and Germany," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 2, pages 289-297, February, DOI: 10.1080/14697688.2016.1183812.
• J. Daniel AromÍ, 2017, "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, volume 20, issue 1, pages 49-73, May, DOI: 10.1016/S1514-0326(17)30003-X.
• Ewa Karwowski & Engelbert Stockhammer, 2017, "Financialisation in emerging economies: a systematic overview and comparison with Anglo-Saxon economies," Economic and Political Studies, Taylor & Francis Journals, volume 5, issue 1, pages 60-86, January, DOI: 10.1080/20954816.2016.1274520.
• Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017, "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-02, Feb.
• Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017, "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-09.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017, "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-10.
• Deng, Xiaohu & Gao, Lei & Kemme, David, 2017, "The information content of short selling and put option trading: When are they substitutes?," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-13.
• Ronan C Lyons, 2017, "Credit conditions and the housing price ratio: evidence from Ireland's bubble and crash," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0717, Mar.
• Hyun-U Sohn & Didier Sornette, 2017, "Bubbles as violations of efficient time-scales," Working Papers Series, Institute for New Economic Thinking, number 65, Sep, DOI: 10.2139/ssrn.3081563.
• Philip Stork & Luiz Felix & Roman Kraussl, 2017, "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-002/IV, Jan, revised 26 Jan 2018.
• Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017, "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-080/IV, Sep.
• Westerhout, Ed & Ciocyte, Ona, 2017, "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-027.
• Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017, "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-012.
• Lekniute, Z. & Beetsma, R.M.W.J. & Ponds, Eduard, 2017, "U.S. Municipal Yields and Unfunded State Pension Liabilities," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d75122f-0eb8-4517-af54-8.
• Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017, "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Other publications TiSEM, Tilburg University, School of Economics and Management, number e3b3753d-87d4-46d6-be12-3.
• Biais, Bruno & Mariotti, Thomas & Moinas, Sophie & Pouget, Sébastien, 2017, "Asset Pricing and Risk Sharing in Complete Markets: An Experimental Investigation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-798, Apr, revised Mar 2026.
• Hörner, Johannes & Lovo, Stefano, 2017, "Belief-free Price Formation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-790, Mar.
• Le Bris, David & Pouget, Sébastien & Goetzmann, William, 2017, "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers, Toulouse School of Economics (TSE), number 17-794, Apr.
• Gollier, Christian, 2017, "Valuation of natural capital under uncertain substitutability," TSE Working Papers, Toulouse School of Economics (TSE), number 17-813, May, revised Dec 2018.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017, "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-08, Jan.
• Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017, "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1706.
• Imran Hussain Shaha & Simón Sosvilla-Rivero, 2017, "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1707.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017, "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, volume 125, issue 1, pages 140-223, DOI: 10.1086/689606.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017, "Macrofinancial History and the New Business Cycle Facts," NBER Macroeconomics Annual, University of Chicago Press, volume 31, issue 1, pages 213-263, DOI: 10.1086/690241.
• YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017, "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers, University of Connecticut, Department of Economics, number 2017-20, Sep.
• Vladimir Asriyan & William Fuchs & Brett Green, 2017, "Liquidity sentiments," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1583, Oct, revised Jun 2018.
• Dare, Wale, 2017, "Testing efficiency in small and large financial markets," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1714, Sep.
• Ruf, Daniel, 2017, "Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets," Working Papers on Finance, University of St. Gallen, School of Finance, number 1702, Feb.
• Borisenko, Dmitry & Pozdeev, Igor, 2017, "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance, University of St. Gallen, School of Finance, number 1708, May, revised 1710.
• Bucher, Melk C., 2017, "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1712, Jul.
• Ruenzi, Stefan & Weigert, Florian, 2017, "Momentum and Crash Sensitivity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1801, Dec.
• Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 385, Aug.
• Vladimir B. MICHALETZ & Andrey I. ARTEMENKOV - GYY University & Israel, 2017, "The Transactional Assets Pricing Approach: Its Application in Professional Business Valuation and Fair Value Theories," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 12, issue 2, pages 52-99.
• Pietro Dindo & Jacopo Staccioli, 2017, "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2017:31.
• Byrka-Kita Katarzyna & Grudziński Michał, 2017, "Control Premium and Minority Discounts in Polish Business Valuation Practices – Evidence from Research," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 13, issue 1, pages 1-14, November, DOI: 10.1515/fiqf-2016-0014.
• Gniadkowska-Szymańska Agata, 2017, "Impact of a Company’s Dividend Policy on the Liquidity of Shares Listed on the Warsaw Stock Exchange," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 13, issue 3, pages 24-32, September, DOI: 10.1515/fiqf-2016-0027.
• Gniadkowska-Szymańska Agata, 2017, "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 13, issue 4, pages 136-148, December, DOI: 10.1515/fiqf-2016-0042.
• Majewski Sebastian & Majewska Agnieszka, 2017, "Using Monte Carlo Methods for the Valuation of Intangible Assets in Sports Economics," Folia Oeconomica Stetinensia, Sciendo, volume 17, issue 2, pages 71-82, December, DOI: 10.1515/foli-2017-0019.
• Zaremba Adam & Konieczka Przemysław, 2017, "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, volume 53, issue 3, pages 26-47, September, DOI: 10.1515/ijme-2017-0017.
• Strašek Sebastjan, 2017, "From Subprime and Eurozone Crisis with Full Speed into the Next Financial Crisis," Naše gospodarstvo/Our economy, Sciendo, volume 63, issue 3, pages 3-11, September, DOI: 10.1515/ngoe-2017-0013.
• Yang Hu & Les Oxley, 2017, "Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s," Working Papers in Economics, University of Waikato, number 17/20, Sep.
• Leon Li & Nen-Chen Richard Hwang, 2017, "Prospect Theory and Earnings Manipulation: Examination of the Non-Uniform Relationship between Earnings Manipulation and Stock Returns Using Quantile Regression," Working Papers in Economics, University of Waikato, number 17/25, Oct.
• Anginer,Deniz & Han,Snow Xue & Yildizhan,Celim, 2017, "Do individual investors ignore transaction costs ?," Policy Research Working Paper Series, The World Bank, number 8098, Jun.
• Richard S.Grossman, 2017, "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2017-004, Jun.
• Sébastien Lleo & William T. Ziemba, 2017, "Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 26, issue 2, pages 61-123, May, DOI: 10.1111/fmii.12080.
• Khandokar Istiak & Apostolos Serletis, 2017, "Monetary policy and leverage shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 22, issue 2, pages 115-128, April.
• Sven Steinkamp & Frank Westermann, 2017, "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 22, issue 2, pages 169-178, April.
• Francisco Ruge‐Murcia, 2017, "Skewness Risk and Bond Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 2, pages 379-400, March, DOI: 10.1002/jae.2528.
• Alexis Akira Toda & Kieran James Walsh, 2017, "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 6, pages 1156-1177, September.
• Mengmeng Guo & Wolfgang Karl Härdle, 2017, "Adaptive Interest Rate Modelling," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 3, pages 241-256, April.
• Urban J. Jermann, 2017, "Financial Markets' Views about the Euro–Swiss Franc Floor," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 2-3, pages 553-565, March, DOI: 10.1111/jmcb.12389.
• Leland E. Farmer & Alexis Akira Toda, 2017, "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, volume 8, issue 2, pages 651-683, July.
• Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017, "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, volume 34, issue 1, pages 61-73, September, DOI: 10.1016/j.rfe.2017.06.003.
• Kiseok Nam & Shahriar Khaksari & Moonsoo Kang, 2017, "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, volume 35, issue 1, pages 11-28, November, DOI: 10.1016/j.rfe.2016.11.001.
• Pawel Maryniak & Rafal Weron, 2017, "Habitat momentum," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/05, Dec.
• M. Hashem Pesaran & Takashi Yamagata, 2017, "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers, Department of Economics, University of York, number 17/04, Apr.
• Laura Coroneo & Sergio Pastorello, 2017, "European spreads at the interest rate lower bound," Discussion Papers, Department of Economics, University of York, number 17/10, Sep.
• Denis Dolinar Davor Zorièiæ Antonija Kožul, 2017, "Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 20, issue SCI, pages 13-23, April.
• Schmitt, Noemi & Westerhoff, Frank, 2017, "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 119.
• Faria, Gonçalo & Verona, Fabio, 2017, "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2017.
• Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017, "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers, Deutsche Bundesbank, number 06/2017.
• Lux, Thomas, 2017, "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2017-07.
• Korn, Olaf & Kuntz, Laura-Chloé, 2015, "Low-beta investment strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 15-17.
• Korn, Olaf & Kuntz, Laura-Chloé, 2017, "Low-beta strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 15-17 [rev.], revised 2017.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 17-01.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017, "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series, Center for Financial Studies (CFS), number 565.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017, "Single stock call options as lottery tickets," CFS Working Paper Series, Center for Financial Studies (CFS), number 566.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series, Center for Financial Studies (CFS), number 572.
• Bannier, Christina & Pauls, Thomas & Walter, Andreas, 2017, "CEO-speeches and stock returns," CFS Working Paper Series, Center for Financial Studies (CFS), number 583.
• Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2017, "The agency of CoCo: Why do banks issue contingent convertible bonds?," CFS Working Paper Series, Center for Financial Studies (CFS), number 586.
• Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2017, "Market fragility and the paradox of the recent stock-bond dissonance," CFS Working Paper Series, Center for Financial Studies (CFS), number 589.
• Dumitru, Ana-Maria & Holden, Tom, 2017, "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers, ZBW - Leibniz Information Centre for Economics, number 168431.
• Xiao, Tim, 2017, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 203135.
• Breitling, Dustin, 2017, "Ontology of Finance Redux," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 306865.
• Tennert, Julius & Lambert, Marie & Burghof, Hans-Peter, 2017, "Moral hazard in VC finance: More expensive than you thought," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 02-2017.
• Jopp, Tobias A., 2017, "How does the public perceive alliances? The Central and Allied Powers in World War I," IBF Paper Series, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main, number 12-17.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017, "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-37.
• Schasfoort, Joeri & Stockermans, Christopher, 2017, "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-63.
• Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017, "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-93.
• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017, "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers, Kiel Institute for the World Economy, number 2086.
• Xiong, Qizhou, 2018, "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2017, revised 2018.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017, "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 20/2017.
• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017, "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 4/2017.
• Eichler, Stefan, 2017, "Politische Determinanten staatlicher Ausfallrisiken," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 23, issue 2, pages 29-32.
• Demary, Markus, 2017, "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 12/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 22/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 31/2017.
• Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2017, "News media and investor sentiment over the long run," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 2017-06.
• Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2017, "Technology trade with asymmetric tax regimes and heterogeneous labor markets: Implications for macro quantities and asset prices," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 163, revised 2017, DOI: 10.2139/ssrn.2896712.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017, "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 166, DOI: 10.2139/ssrn.2914218.
• Donadelli, Michael & Grüning, Patrick, 2017, "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 171, DOI: 10.2139/ssrn.2955089.
• Kamga, Merlin Kuate & Wilde, Christian, 2017, "Liquidity premia in CDS markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 173, DOI: 10.2139/ssrn.3005276.
• Curatola, Giuliano & Dergunov, Ilya, 2017, "International capital markets with time-varying preferences," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 176, DOI: 10.2139/ssrn.3013062.
• Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017, "Temperature shocks and welfare costs," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 177, DOI: 10.2139/ssrn.3013537.
• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017, "Coming early to the party," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 182, DOI: 10.2139/ssrn.3038699.
• Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017, "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 183, DOI: 10.2139/ssrn.3042506.
• Grüning, Patrick, 2017, "Heterogeneity in the Internationalization of R&D: Implications for anomalies in finance and macroeconomics," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 185, DOI: 10.2139/ssrn.3055684.
• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017, "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 186, DOI: 10.2139/ssrn.3064658.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017, "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 188, DOI: 10.2139/ssrn.3075229.
• Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017, "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
• Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017, "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 348-366, DOI: 10.1016/j.jeconom.2017.08.013.
• Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 367-383, DOI: 10.1016/j.jeconom.2017.08.014.
• Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017, "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 417-432, DOI: 10.1016/j.jeconom.2017.08.017.
• Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017, "Press freedom and jumps in stock prices," Economic Systems, Elsevier, volume 41, issue 1, pages 151-162, DOI: 10.1016/j.ecosys.2016.05.009.
• Lakdawala, Aeimit & Wu, Shu, 2017, "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, volume 100, issue C, pages 364-389, DOI: 10.1016/j.euroecorev.2017.08.012.
• Bigio, Saki & Schneider, Andrés, 2017, "Liquidity shocks, business cycles and asset prices," European Economic Review, Elsevier, volume 97, issue C, pages 108-130, DOI: 10.1016/j.euroecorev.2017.05.004.
• Piljak, Vanja & Swinkels, Laurens, 2017, "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, volume 30, issue C, pages 232-255, DOI: 10.1016/j.ememar.2015.10.002.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017, "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, volume 30, issue C, pages 66-95, DOI: 10.1016/j.ememar.2016.09.002.
• Zaremba, Adam & Czapkiewicz, Anna, 2017, "Digesting anomalies in emerging European markets: A comparison of factor pricing models," Emerging Markets Review, Elsevier, volume 31, issue C, pages 1-15, DOI: 10.1016/j.ememar.2016.12.002.
• Lin, Qi, 2017, "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, volume 31, issue C, pages 141-163, DOI: 10.1016/j.ememar.2017.04.002.
• Gonçalves, Walter & Eid, William, 2017, "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, volume 33, issue C, pages 102-139, DOI: 10.1016/j.ememar.2017.09.006.
• Wagner, Moritz & Margaritis, Dimitris, 2017, "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, volume 33, issue C, pages 62-78, DOI: 10.1016/j.ememar.2017.08.004.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, volume 33, issue C, pages 90-101, DOI: 10.1016/j.ememar.2017.09.001.