Research classified by Journal of Economic Literature (JEL) codes

2017

• Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2017, "Differences of Opinion and International Equity Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 750-800.
• Eric K. Kelley & Paul C. Tetlock, 2017, "Retail Short Selling and Stock Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 801-834.
• Harrison Hong & David Sraer & Jialin Yu, 2017, "Inflation Bets on the Long Bond," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 900-947.
• Albert J. Menkveld & Marius A. Zoican, 2017, "Need for Speed? Exchange Latency and Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1188-1228.
• Dion Bongaerts & Frank de Jong & Joost Driessen, 2017, "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1229-1269.
• Robert F. Stambaugh & Yu Yuan, 2017, "Mispricing Factors," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1270-1315.
• Francisco Barillas & Jay Shanken, 2017, "Which Alpha?," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1316-1338.
• Nathaniel Light & Denys Maslov & Oleg Rytchkov, 2017, "Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1339-1381.
• Xuemin (Sterling) Yan & Lingling Zheng, 2017, "Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1382-1423.
• Sebastien Pouget & Julien Sauvagnat & Stephane Villeneuve, 2017, "A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 6, pages 2066-2109.
• Toni Ahnert & Ali Kakhbod, 2017, "Information Choice and Amplification of Financial Crises," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 6, pages 2130-2178.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2017, "Deflation Risk," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2719-2760.
• Dongho Song, 2017, "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2761-2817.
• Stefanos Delikouras, 2017, "Where’s the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2851-2889.
• Azi Ben-Rephael & Zhi Da & Ryan D. Israelsen, 2017, "It Depends on Where You Search: Institutional Investor Attention and Underreaction to News," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 9, pages 3009-3047.
• Burton Hollifield & Artem Neklyudov & Chester Spatt, 2017, "Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 9, pages 3048-3085.

2016

• Yunieta Nainggolan & Janice How & Peter Verhoeven, 2016, "Ethical Screening and Financial Performance: The Case of Islamic Equity Funds," Journal of Business Ethics, Springer, volume 137, issue 1, pages 83-99, August, DOI: 10.1007/s10551-014-2529-5.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, volume 50, issue 3, pages 363-386, December, DOI: 10.1007/s10693-015-0227-9.
• Brent Ambrose & Charles Cao & Walter D’Lima, 2016, "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, volume 52, issue 3, pages 197-225, April, DOI: 10.1007/s11146-015-9516-1.
• Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016, "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, volume 53, issue 4, pages 419-449, November, DOI: 10.1007/s11146-015-9531-2.
• M. Ariff & A. Zarei, 2016, "Exchange Rate Behavior of Canada, Japan, the United Kingdom and the United States," Open Economies Review, Springer, volume 27, issue 2, pages 341-357, April, DOI: 10.1007/s11079-015-9372-x.
• Fredj Jawadi, 2016, "What Have We Learned from the 2007-08 Financial Crisis? Papers Presented at the Second International Workshop on Financial Markets and Nonlinear Dynamics (Paris, June 4-5, 2015)," Open Economies Review, Springer, volume 27, issue 5, pages 819-823, November, DOI: 10.1007/s11079-016-9416-x.
• Yubin Li & Chen Zhao & Zhaodong Zhong, 2016, "Migrate or not? The effects of regulation SHO on options trading activities," Review of Derivatives Research, Springer, volume 19, issue 2, pages 113-146, July, DOI: 10.1007/s11147-015-9117-4.
• Chunpeng Yang & Bin Gao & Jianlei Yang, 2016, "Option pricing model with sentiment," Review of Derivatives Research, Springer, volume 19, issue 2, pages 147-164, July, DOI: 10.1007/s11147-015-9118-3.
• Benjamin Blau & Jared Egginton & Matthew Hill, 2016, "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 1, pages 1-24, January, DOI: 10.1007/s11156-014-0459-z.
• Jungshik Hur & Vivek Singh, 2016, "Reexamining momentum profits: Underreaction or overreaction to firm-specific information?," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 261-289, February, DOI: 10.1007/s11156-014-0469-x.
• Alan Douglas & Alan Huang & Kenneth Vetzal, 2016, "Cash flow volatility and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 417-458, February, DOI: 10.1007/s11156-014-0474-0.
• Oliver Entrop & Michael McKenzie & Marco Wilkens & Christoph Winkler, 2016, "The performance of individual investors in structured financial products," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 3, pages 569-604, April, DOI: 10.1007/s11156-014-0479-8.
• Mingzhi Liu & Michel Magnan, 2016, "Conditional conservatism and the yield spread of corporate bond issues," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 4, pages 847-879, May, DOI: 10.1007/s11156-014-0489-6.
• Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016, "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 4, pages 907-935, May, DOI: 10.1007/s11156-014-0491-z.
• Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen, 2016, "Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 213-247, August, DOI: 10.1007/s11156-014-0488-7.
• Qi Deng & Zhong-guo Zhou, 2016, "The pricing of first day opening price returns for ChiNext IPOs," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 249-271, August, DOI: 10.1007/s11156-015-0500-x.
• Xiaoli Wang & Michael S. Long & Ren Raw Chen & Jingfeng Zhang, 2016, "Economic growth potential creating a real put and the resulting valuation of the firm," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 453-474, October, DOI: 10.1007/s11156-015-0507-3.
• R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016, "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 645-671, October, DOI: 10.1007/s11156-015-0516-2.
• Eunju Lee, 2016, "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 797-833, October, DOI: 10.1007/s11156-015-0521-5.
• Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016, "Intraday jumps and trading volume: a nonlinear Tobit specification," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1167-1186, November, DOI: 10.1007/s11156-015-0534-0.
• Charlene P. Spiceland & Leo L. Yang & Joseph H. Zhang, 2016, "Accounting quality, debt covenant design, and the cost of debt," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1271-1302, November, DOI: 10.1007/s11156-015-0538-9.
• Charlie Charoenwong & David K. Ding & Tiong Yang Thong, 2016, "Decimalization, IPO aftermath, and liquidity," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1303-1344, November, DOI: 10.1007/s11156-015-0539-8.
• Takuji Arai, 2016, "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2016-017, Jul.
• Takahiro Hattori, 2016, "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2016-018, Jul.
• Jens Carsten Jackwerth & Anna Slavutskaya, 2016, "The total benefit of alternative assets to pension fund portfolios," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2016-06, Apr.
• Yuto Yoshinaga, 2016, "Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation: Evidence from Japan," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, volume 6, pages 95-122, December.
• Kazuki Hiraga & Masafumi Kozuka & Tomomi Miyazaki, 2016, "Public Capital and Asset Prices: Time-series Evidence from Japan," Discussion Papers, Graduate School of Economics, Kobe University, number 1625, Sep.
• Hideaki Tamura & Yoichi Matsuabayashi, 2016, "Alternative Resolution to the Mehra-Prescott Puzzle: Verification by the Original Data," Discussion Papers, Graduate School of Economics, Kobe University, number 1634, Oct.
• Lakatos, Máté, 2016, "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
  [An empirical test for investor over-reaction on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 762-786, DOI: 10.18414/KSZ.2016.7-8.762.
• Bachar FAKHRY, 2016, "A Literature Review of the Efficient Market Hypothesis," Turkish Economic Review, KSP Journals, volume 3, issue 3, pages 431-442, September.
• Yhlas SOVBETOV, 2016, "Impact of Brand Dynamics on Insurance Premiums in Turkey," Turkish Economic Review, KSP Journals, volume 3, issue 3, pages 453-465, September.
• Bachar FAKHRY, 2016, "A Literature Review of Behavioural Finance," Journal of Economics Library, KSP Journals, volume 3, issue 3, pages 458-465, September.
• Mateo Velásquez Giraldo & Diego Restrepo Tobón, 2016, "Affine Term Structure Models: Forecasting the Yield Curve for Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 53-90, Julio - D, DOI: 10.17533/udea.le.n85a02.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016, "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 16/18, Nov.
• Tanweer Akram & Huiqing Li, 2016, "The Empirics of Long-Term US Interest Rates," Economics Working Paper Archive, Levy Economics Institute, number wp_863, Mar.
• Giuliano Curatola & Michael Donadelli & Patrick Gruning & Christoph Meinerding, 2016, "Investment-Specific Shocks, Business Cycles, and Asset Prices," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 36, Nov.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics, University of Munich, Department of Economics, number 27572, Feb.
• Paul J. Bolster & Emery A. Trahan & Pinshuo Wang, 2016, "Assessing performance of Morningstar’s star rating system for equity investment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 11-22, February.
• Alex Ng & Raymond A. K. Cox, 2016, "Corporate takeovers in the US oil and gas sector," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 23-34, February.
• Nusrat Jahan & John J. Cheh & Il-woon Kim, 2016, "A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 43-54, February.
• Yutaka Kurihara, 2016, "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 2, pages 24-30, April.
• Anderson Darrell & Daniel K.N. Johnson, 2016, "When a mature technology company pivots: A case study of Logitech," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 4, pages 42-45, August.
• Viktors Ajevskis, 2016, "A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures," Working Papers, Latvijas Banka, number 2016/02, Aug.
• Markus Engler & Vahidin Jeleskovic, 2016, "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201648.
• Heibati, Reza & Shajari, Hoshang & Samadi, Saeid, 2016, "Measuring Uncertainty in Macroeconomics," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 9, issue 28, pages 223-250, July.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016, "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 11, pages 2595-2609, November, DOI: 10.1080/1540496X.2015.1087792.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016, "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 1, pages 52-65, January, DOI: 10.1080/1540496X.2015.1062302.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2016, "The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 3, pages 674-689, March, DOI: 10.1080/1540496X.2014.998564.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 8, pages 1935-1955, August, DOI: 10.1080/1540496X.2015.1058075.
• Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2016, "A Survey of Literature on Islamic Equity Style Investing and its Applications," Capital Markets Review, Malaysian Finance Association, volume 24, issue 1, pages 68-83.
• Andre Kuster Simic & Philipp Lauenstein & Stefan Prigge, 2016, "Valuation Efficiency of Secondary Markets for Formerly Illiquid Assets: The Case of German KG Ship Funds," Multinational Finance Journal, Multinational Finance Journal, volume 20, issue 2, pages 127-179, June.
• Andrea Marchiioni & Carlo Alberto Magni, 2016, "Sensitivity analysis and investment decisions: NPV-consistency of rates of return," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0089, May.
• Yi-Fang Liu & Jørgen Vitting Andersen & Maxime Frolov & Philippe de Peretti, 2016, "Synchronization in human decision making," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16035, Mar.
• Christophe Chorro & Fanirisoa Rahantamialisoa H., 2016, "Option Valuation with IG-GARCH Model and an U-Shaped Pricing Kernel," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16074, Nov.
• Hsini Mosbeh & Kouki Mondher, 2016, "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange," Business and Economic Research, Macrothink Institute, volume 6, issue 2, pages 13-29, December.
• Hsini Mosbeh & Mohamed Nidhal MOSBAHI, 2016, "Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket," Business and Economic Research, Macrothink Institute, volume 6, issue 2, pages 65-78, December.
• Jerry Cao & Bihong Huang & Rose Neng Lai, 2016, "Housing Bubble and Government Regulation: Evidence from China," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 10, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition".
• Jens Mehrhoff & Elena Triebskorn, 2016, "How should we measure residential property prices to inform policy makers?," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 17, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition".
• Joel M. David & Ina Simonovska, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Macrofinancial History and the New Business Cycle Facts," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2016, Volume 31".
• Karen K. Lewis & Edith X. Liu, 2016, "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2016".
• Robert J. Barro & Tao Jin, 2016, "Rare Events and Long-Run Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 21871, Jan.
• David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2016, "Credit-Market Sentiment and the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 21879, Jan.
• Farley Grubb, 2016, "Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 21881, Jan.
• Robert J. Barro & Gordon Y. Liao, 2016, "Options-Pricing Formula with Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 21888, Jan.
• Kaiji Chen & Jue Ren & Tao Zha, 2016, "What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 21890, Jan.
• Zhiguo He & Bryan Kelly & Asaf Manela, 2016, "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 21920, Jan.
• Shin-ichi Fukuda, 2016, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 21938, Jan.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2016, "Extrapolation and Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 21944, Jan.
• Kent Daniel & David Hirshleifer, 2016, "Overconfident Investors, Predictable Returns, and Excessive Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 21945, Jan.
• Urban J. Jermann, 2016, "Financial Markets’ Views about the Euro-Swiss Franc Floor," NBER Working Papers, National Bureau of Economic Research, Inc, number 21977, Feb.
• Jesús Fernández-Villaverde & Oren Levintal, 2016, "Solution Methods for Models with Rare Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 21997, Feb.
• Rajnish Mehra & Sunil Wahal & Daruo Xie, 2016, "Is Idiosyncratic Risk Conditionally Priced?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22016, Feb.
• Rajnish Mehra & Arunima Sinha, 2016, "The Term Structure of Interest Rates in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 22020, Feb.
• Hanno Lustig & Adrien Verdelhan, 2016, "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22023, Feb.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22089, Mar.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 22096, Mar.
• Campbell R. Harvey & Yan Liu, 2016, "Rethinking Performance Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 22134, Mar.
• Ivo Welch, 2016, "Levered Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22150, Apr.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016, "The Deposits Channel of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22152, Apr.
• Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016, "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers, National Bureau of Economic Research, Inc, number 22161, Apr.
• David Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term Structures of Asset Prices and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22162, Apr.
• Drew D. Creal & Jing Cynthia Wu, 2016, "Bond Risk Premia in Consumption-based Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 22183, Apr.
• Robert E. Hall, 2016, "The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 22196, Apr.
• Alan Moreira & Tyler Muir, 2016, "Volatility Managed Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 22208, Apr.
• Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016, "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers, National Bureau of Economic Research, Inc, number 22209, Apr.
• Roger E.A. Farmer, 2016, "Pricing Assets in an Economy with Two Types of People," NBER Working Papers, National Bureau of Economic Research, Inc, number 22228, May.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov, 2016, "The Granular Nature of Large Institutional Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 22247, May.
• Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016, "Social Networks and Housing Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 22258, May.
• Emmanuel Farhi & Matteo Maggiori, 2016, "A Model of the International Monetary System," NBER Working Papers, National Bureau of Economic Research, Inc, number 22295, May.
• Marco Di Maggio & Amir Kermani & Zhaogang Song, 2016, "The Value of Trading Relationships in Turbulent Times," NBER Working Papers, National Bureau of Economic Research, Inc, number 22332, Jun.
• Monika Piazzesi & Martin Schneider, 2016, "Housing and Macroeconomics," NBER Working Papers, National Bureau of Economic Research, Inc, number 22354, Jun.
• Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016, "Equity is Cheap for Large Financial Institutions: The International Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 22355, Jun.
• Jaroslav Borovička & Lars Peter Hansen, 2016, "Term Structure of Uncertainty in the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22364, Jun.
• Rhys Bidder & Ian Dew-Becker, 2016, "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers, National Bureau of Economic Research, Inc, number 22416, Jul.
• Wendy C.Y. Li & Bronwyn H. Hall, 2016, "Depreciation of Business R&D Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 22473, Jul.
• John H. Cochrane, 2016, "Macro-Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 22485, Aug.
• Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22492, Aug.
• Michael Weber, 2016, "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22520, Aug.
• Hengjie Ai & Ravi Bansal, 2016, "Risk Preferences and The Macro Announcement Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 22527, Aug.
• Ravi Bansal & Dana Kiku & Marcelo Ochoa, 2016, "Price of Long-Run Temperature Shifts in Capital Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 22529, Aug.
• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016, "Monetary Policy and Asset Valuation," NBER Working Papers, National Bureau of Economic Research, Inc, number 22572, Aug.
• Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2016, "The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 22576, Aug.
• Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2016, "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22592, Sep.
• Luigi Bocola & Alessandro Dovis, 2016, "Self-Fulfilling Debt Crises: A Quantitative Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 22694, Sep.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2016, "Impediments to Financial Trade: Theory and Applications," NBER Working Papers, National Bureau of Economic Research, Inc, number 22697, Sep.
• Sang Byung Seo & Jessica A. Wachter, 2016, "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22723, Oct.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Macrofinancial History and the New Business Cycle Facts," NBER Working Papers, National Bureau of Economic Research, Inc, number 22743, Oct.
• Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016, "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 22795, Nov.
• Takatoshi Ito & Masahiro Yamada, 2016, "Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 22820, Nov.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2016, "Exchange Traded Funds (ETFs)," NBER Working Papers, National Bureau of Economic Research, Inc, number 22829, Nov.
• Andreas Neuhierl & Michael Weber, 2016, "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 22831, Nov.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016, "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 22839, Nov.
• Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2016, "Prepayment Risk and Expected MBS Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22851, Nov.
• Harrison Hong & Frank Weikai Li & Jiangmin Xu, 2016, "Climate Risks and Market Efficiency," NBER Working Papers, National Bureau of Economic Research, Inc, number 22890, Dec.
• Juhani T. Linnainmaa & Michael R. Roberts, 2016, "The History of the Cross Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22894, Dec.
• Tano Santos & Pietro Veronesi, 2016, "Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 22905, Dec.
• Erik Gilje & Robert Ready & Nikolai Roussanov, 2016, "Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution," NBER Working Papers, National Bureau of Economic Research, Inc, number 22914, Dec.
• Igor Živko & Mile BoÅ¡njak, 2016, "A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments," Notitia - journal for economic, business and social issues, Notitia Ltd., volume 1, issue 2, pages 13-20, December.
• Kuchin I.I., 2016, "Exchange rate risk exposure in asset pricing theory," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, volume 16, issue 3, pages 31-41.
• Linh Xuan Diep Nguyen & Simona Mateut & Thanaset Chevapatrakul, 2016, "Business-Linkage Volatility Spillover between US Industries," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2016/05.
• Cássio Nóbrega Besarria & Nelson Leitão Paes & Marcelo Eduardo Alves da Silva, 2016, "Como o Banco Central tem reagido aos choques (bolhas) nos preços das habitações brasileiras? Uma análise por meio por meio do Modelo Dinâmico Estocástico de Equilíbrio Geral (DSGE) [How has the Central Bank reacted to shocks (bubbles) in the Brazilia," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 26, issue 2, pages 553-583, May-Augus.
• Ingersoll, Jonathan E., 2016, "Cumulative Prospect Theory, Aggregation, and Pricing," Critical Finance Review, now publishers, volume 5, issue 2, pages 305-350, December, DOI: 10.1561/104.00000018.
• Cremers, Martijn & Yan, Hongjun, 2016, "Uncertainty and Valuations," Critical Finance Review, now publishers, volume 5, issue 1, pages 85-128, May, DOI: 10.1561/104.00000020.
• Pastor, Lubos & Veronesi, Pietro, 2016, "Uncertainty and Valuations: A Comment," Critical Finance Review, now publishers, volume 5, issue 1, pages 129-134, May, DOI: 10.1561/104.00000022.
• Gerakos, Joseph & Linnainmaa, Juhani T., 2016, "Market Reactions to Tangible and Intangible Information Revisited," Critical Finance Review, now publishers, volume 5, issue 1, pages 135-163, May, DOI: 10.1561/104.00000030.
• Daniel, Kent & Titman, Sheridan, 2016, "Another Look at Market Responses to Tangible and Intangible Information," Critical Finance Review, now publishers, volume 5, issue 1, pages 165-175, May, DOI: 10.1561/104.00000031.
• Petar Peshev & Ivaylo Beev, 2016, "Negative Nominal Interest Rates on Loans: The Newly-Established Normal Practice?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 149-158, June.
• Jean Boissinot & Doryane Huber & Gildas Lame, 2016, "Finance and climate: The transition to a low-carbon and climate-resilient economy from a financial sector perspective," OECD Journal: Financial Market Trends, OECD Publishing, volume 2015, issue 1, pages 7-23, DOI: 10.1787/fmt-2015-5jrrz76d5td5.
• Helmut Elsinger & Philipp Schmidt-Dengler & Christine Zulehner, 2016, "Competition in Treasury Auctions," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 206, Mar.
• Péter Benczúr & Cosmin L. Ilut, 2016, "Evidence for Relational Contracts in Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, volume 14, issue 2, pages 375-404.
• Michaela Pagel, 2016, "Expectations-Based Reference-Dependent Preferences and Asset Pricing," Journal of the European Economic Association, European Economic Association, volume 14, issue 2, pages 468-514.
• Craig Burnside, 2016, "Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 2, pages 295-330.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016, "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 3, pages 617-642.
• Emmanuel Farhi & Xavier Gabaix, 2016, "Editor's Choice Rare Disasters and Exchange Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 131, issue 1, pages 1-52.
• Stefan Nagel, 2016, "The Liquidity Premium of Near-Money Assets," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 131, issue 4, pages 1927-1971.
• Samuel M. Hartzmark, 2016, "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 179-220.
• Kee H. Chung & Sahn-Wook Huh, 2016, "The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 261-302.
• Mark Rachwalski & Quan Wen, 2016, "Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 303-328.
• Roberto Marfè, 2016, "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, volume 20, issue 2, pages 855-905.
• Michael Ehrmann & David-Jan Jansen, 2016, "It Hurts (Stock Prices) When Your Team is about to Lose a Soccer Match," Review of Finance, European Finance Association, volume 20, issue 3, pages 1215-1233.
• Christopher N. Avery & Judith A. Chevalier & Richard J. Zeckhauser, 2016, "The "CAPS" Prediction System and Stock Market Returns," Review of Finance, European Finance Association, volume 20, issue 4, pages 1363-1381.
• Alex Edmans & Mirko S. Heinle & Chong Huang, 2016, "The Real Costs of Financial Efficiency When Some Information Is Soft," Review of Finance, European Finance Association, volume 20, issue 6, pages 2151-2182.
• Pauline Shum & Walid Hejazi & Edgar Haryanto & Arthur Rodier, 2016, "Intraday Share Price Volatility and Leveraged ETF Rebalancing," Review of Finance, European Finance Association, volume 20, issue 6, pages 2379-2409.
• Brad M. Barber & Xing Huang & Terrance Odean, 2016, "Which Factors Matter to Investors? Evidence from Mutual Fund Flows," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 10, pages 2600-2642.
• Hans B. Christensen & Luzi Hail & Christian Leuz, 2016, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 11, pages 2885-2924.
• Melissa Porras Prado & Pedro A. C. Saffi & Jason Sturgess, 2016, "Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 12, pages 3211-3244.
• Nicole Branger & Holger Kraft & Christoph Meinerding, 2016, "The Dynamics of Crises and the Equity Premium," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 1, pages 232-270.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016, "Mortgage Risk and the Yield Curve," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 5, pages 1220-1253.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016, "The Euro Interbank Repo Market," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 7, pages 1747-1779.
• Ian Dew-Becker & Stefano Giglio, 2016, "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 8, pages 2029-2068.
• Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016, "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 8, pages 2161-2193.
• Hervé Crès & Tobias Markeprand & Mich Tvede, 2016, "Incomplete financial markets and jumps in asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 1, pages 201-219, June, DOI: 10.1007/s00199-015-0884-9.
• Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2016, "Over-the-counter trade and the value of assets as collateral," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 443-475, August, DOI: 10.1007/s00199-015-0904-9.
• François Grand & Xavier Ragot, 2016, "Incomplete markets and derivative assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 517-545, August, DOI: 10.1007/s00199-015-0912-9.
• Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016, "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 587-633, August, DOI: 10.1007/s00199-015-0922-7.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016, "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, volume 26, issue 1, pages 49-76, March, DOI: 10.1007/s00191-015-0418-4.
• Michele Berardi, 2016, "Endogenous time-varying risk aversion and asset returns," Journal of Evolutionary Economics, Springer, volume 26, issue 3, pages 581-601, July, DOI: 10.1007/s00191-015-0435-3.
• Carlos Pinho & Mara Madaleno, 2016, "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 15, issue 2, pages 79-97, August, DOI: 10.1007/s10258-016-0117-6.
• Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016, "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, volume 21, issue 1, pages 1-36, March, DOI: 10.1007/s11142-015-9338-7.
• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016, "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, volume 21, issue 2, pages 596-632, June, DOI: 10.1007/s11142-016-9352-4.
• Wei Zhu, 2016, "Accruals and price crashes," Review of Accounting Studies, Springer, volume 21, issue 2, pages 349-399, June, DOI: 10.1007/s11142-016-9355-1.
• Paul A. Griffin & Hyun A. Hong & Jeong-Bon Kim, 2016, "Price discovery in the CDS market: the informational role of equity short interest," Review of Accounting Studies, Springer, volume 21, issue 4, pages 1116-1148, December, DOI: 10.1007/s11142-016-9364-0.
• Mu-Shun Wang, 2016, "Idiosyncratic volatility, executive compensation and corporate governance: examination of the direct and moderate effects," Review of Managerial Science, Springer, volume 10, issue 2, pages 213-244, March, DOI: 10.1007/s11846-014-0143-7.