Research classified by Journal of Economic Literature (JEL) codes

2017

• Serhat YÜKSEL, İsmail CANÖZ, Zafer ADALI, 2017, "Türkiye’deki Mevduat Bankalarının Fiyat-Kazanç Oranını Etkileyen Değişkenlerin Mars Yöntemi İle Belirlenmesi," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Pawan Jain & Wen-Jun Xue, 2017, "Global Investigation of Return Autocorrelation and its Determinants," Working Papers, Florida International University, Department of Economics, number 1704, Apr.
• Igor V. Belyakov, 2017, "Monitoring and Analysis of Contingent Budget Liabilities to Financial System," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 71-84, August.
• Giulio Cifarelli & Paolo Paesani, 2017, "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2017_16.rdf.
• Abramov Alexander, 2017, "Financial Markets and Financial Institutions in Russia in 2016," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2017-273, revised 2017.
• Andras Fulop & Jun Yu, 2017, "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, volume 5, issue 4, pages 1-23, October.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017, "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, volume 9, issue 10, pages 1-18, October.
• Helder Sebastião & António Portugal Duarte & Gabriel Guerreiro, 2017, "Where is the Information on USD/Bitcoin Hourly Prices?," Notas Económicas, Faculty of Economics, University of Coimbra, issue 45, pages 7-25, December, DOI: 10.14195/2183-203X_45_1.
• Helder Sebastião & António Portugal Duarte & Gabriel Guerreiro, 2017, "Where is the information on USD/Bitcoins hourly price movements?," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2017-05, May.
• Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017, "High-frequency jump analysis of the bitcoin market," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:93900.
• Christiyaningsih Budiwati, 2017, "The Effects of the Days of the Week on the Indonesian Stock Exchange," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr136, Dec.
• Tomas Williams & Lorenzo Pandolfi, 2017, "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers, The George Washington University, Institute for International Economic Policy, number 2017-11, Nov.
• Han Han & Benoit Julien & Asgerdur Petursdottir & Liang Wang, 2017, "Asset Pricing Equilibria with Indivisible Goods," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201705, Oct.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
• João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017, "Do investors trade too much? A laboratory experiment," Post-Print, HAL, number hal-01244465, Aug, DOI: 10.1016/j.jebo.2017.05.013.
• Mariana Khapko & Marius Andrei Zoican, 2017, ""Smart" Settlement," Post-Print, HAL, number hal-01491563, May.
• Albert Menkveld & Marius Andrei Zoican, 2017, "Need for Speed? Exchange Latency and Liquidity," Post-Print, HAL, number hal-01501352, DOI: 10.1093/rfs/hhx006.
• Fredj Jawadi & Georges Prat, 2017, "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print, HAL, number hal-01549758, Oct, DOI: 10.1007/s11156-016-0604-y.
• Kostas Andriosopoulos & Emilios Galariotis & Spyros Spyrou, 2017, "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Post-Print, HAL, number hal-01578056, Aug, DOI: 10.1016/j.eneco.2017.06.023.
• Magnus Blomkvist & Timo Korkeamäki & John Pettersson, 2017, "The new issues puzzle revisited: The role of firm quality in explaining IPO returns," Post-Print, HAL, number hal-01578933, DOI: 10.1016/j.econlet.2017.07.022.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017, "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-01593402, DOI: 10.1016/j.jeconom.2017.08.014.
• Amélie Charles & Olivier Darné & Jae H Kim, 2017, "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print, HAL, number hal-01626101, Oct, DOI: 10.1016/j.irfa.2016.06.005.
• Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print, HAL, number hal-01633544, Oct, DOI: 10.1017/S0022109017000692.
• Louis Raffestin, 2017, "Do bond credit ratings lead to excess comovement?," Post-Print, HAL, number hal-01649992.
• Richard Portes & Julien Fouquau & Anne-Laure Delatte, 2017, "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Post-Print, HAL, number hal-01663123, DOI: 10.1093/rof/rfw050.
• Zhenya Liu & Shixuan Wang, 2017, "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Post-Print, HAL, number hal-01794384, Sep, DOI: 10.1016/j.pacfin.2017.06.007.
• Tim Xiao, 2017, "A New Model for Pricing Collateralized Financial Derivatives," Post-Print, HAL, number hal-01800559.
• Jamal Bouoiyour & Refk Selmi & Muhammad Shahbaz & Jawad Shahzad, 2017, "Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries," Post-Print, HAL, number hal-01879670, DOI: 10.11130/jei.2017.32.4.913.
• Osamah Al-Khazali & Elie Bouri & David Roubaud & Taisier Zoubi, 2017, "The impact of religious practice on stock returns and volatility," Post-Print, HAL, number hal-02008554, DOI: 10.1016/j.irfa.2017.04.009.
• Phu Nguyen-Van & Cyrielle Poiraud & Nguyen To-The, 2017, "Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis," Post-Print, HAL, number hal-02166836, DOI: 10.1111/agec.12334.
• Alexandra Popescu & Camélia Turcu, 2017, "Sovereign debt and systemic risk in the eurozone," Post-Print, HAL, number hal-02521449, Dec, DOI: 10.1016/j.econmod.2016.12.032.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," Post-Print, HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
• Thomas Renault, 2017, "Intraday online investor sentiment and return patterns in the U.S. stock market," Post-Print, HAL, number hal-03205113, Nov, DOI: 10.1016/j.jbankfin.2017.07.002.
• Matthieu Picault & Thomas Renault, 2017, "Words are not all created equal: A new measure of ECB communication," Post-Print, HAL, number hal-03205121, Dec, DOI: 10.1016/j.jimonfin.2017.09.005.
• Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2017, "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Post-Print, HAL, number hal-03679700, Dec, DOI: 10.1016/j.econmod.2016.12.017.
• Sébastien Pouget & Julien Sauvagnat & Stéphane Villeneuve, 2017, "A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets," Post-Print, HAL, number halshs-01698658, Jun, DOI: 10.1093/rfs/hhw100.
• Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2017, "How to determine exchange rates under risk neutrality: A note," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-02877955, Aug, DOI: 10.1016/j.econlet.2017.05.015.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017, "Does monetary policy generate asset price bubbles ?," Sciences Po Economics Publications (main), HAL, number hal-03471824, Feb.
• Khaled Guesmi & Sandrine Kablan & Aymen Belgacem, 2017, "The regional pricing of risk: An empirical investigation of the MENA equity determinants," Working Papers, HAL, number hal-01527654, May.
• Sandrine Kablan & Khaled Guesmi, 2017, "Financial integration and Japanese stock market," Working Papers, HAL, number hal-01527692, May.
• Ioanid Rosu & Elvira Sojli & Wing Wah Tham, 2017, "Quotes, Trades and the Cost of Capital," Working Papers, HAL, number hal-01941510, Jul.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017, "Does monetary policy generate asset price bubbles ?," Working Papers, HAL, number hal-03471824, Feb.
• Houdou Basse Mama & Rachidi Kotchoni, 2017, "Investor Relations' Quality and Mispricing," Working Papers, HAL, number hal-04141636.
• Xavier Raurich & Thomas Seegmuller, 2017, "Growth and Bubbles: The Interplay between Productive Investment and the Cost of Rearing Children," Working Papers, HAL, number halshs-01563555, Jul.
• Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017, "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-599, Jun.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017, "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-613, Nov.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "How to Estimate Beta?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-617, Nov.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-618, Nov.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "International Tail Risk and World Fear," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-620, Nov.
• Feng, Xunan & Johansson, Anders C., 2017, "Top Executives on Social Media and Information in the Capital Market: Evidence from China," Stockholm School of Economics Asia Working Paper Series, Stockholm School of Economics, Stockholm China Economic Research Institute, number 2017-47, Nov.
• Ferdinandusse, Marien & Freier, Maximilian & Ristiniemi, Annukka, 2017, "Quantitative easing and the price-liquidity trade-off," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 335, Feb.
• Berndt, Antje & Hollifield, Burton & Sandås, Patrik, 2017, "What Broker Charges Reveal about Mortgage Credit Risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 336, Feb.
• Laséen, Stefan & Pescatori, Andrea & Turunen, Jarkko, 2017, "Systemic Risk: A New Trade-Off for Monetary Policy?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 341, Aug.
• Osmundsen, Petter & Lovas, Kjell & Emhjellen, Magne, 2017, "Petroleum tax competition subject to capital rationing," UiS Working Papers in Economics and Finance, University of Stavanger, number 2017/5, Mar.
• Odegaard, Bernt Arne, 2017, "How long do equity owners hang on to their stocks?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2017/6, Mar.
• Victoria Dobrynskaya, 2017, "Dynamic Momentum and Contrarian Trading," HSE Working papers, National Research University Higher School of Economics, number WP BRP 61/FE/2017.
• TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017, "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-18, Dec.
• Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017, "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 58, issue 1, pages 53-67, June, DOI: 10.15057/28615.
• Tamai, Yoshihiro & Shimizu, Chihiro & Nishimura, Kiyohiko G., 2017, "Aging and Property Prices: A Theory of Very Long Run Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 65, Jan.
• Ihor Kravchuk, 2017, "Assets Securitization in European Financial Scope," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 91-98, June.
• Chih-Wen Yang & Chun-An Li & Sam Ting-Hsin Hsu, 2017, "An Explanation Of Financial Market Anomalies: Risk-Based Or Behavioral View? A New Perspective On Financial Constraints," Global Journal of Business Research, The Institute for Business and Finance Research, volume 11, issue 2, pages 27-42.
• Jia Wang, 2017, "Cross Sectional Variation In Risk Arbitrage," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 11, issue 1, pages 65-75.
• Chih-Wen Yang & Chun-An Li & Sam Ting-Hsin Hsu, 2017, "Investor Attention, Psychological Anchors, And The Stealth Index," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 11, issue 2, pages 79-92.
• Lilia Alejandra Flores Castillo & Conrado Aguilar Cruz, 2017, "Optimization Of Utility Function Of The Demand For Financial Assets Optimizacion De La Funcion De Utilidad De La Demanda De Activos Financieros," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 10, issue 3, pages 41-51.
• Mario Luis Perossa & Alejandra Marinaro & Walter Velardez, 2017, "Evolution Of Energy Company Share Prices And Their Relationship With Macroeconomic Variables: Evidence From Argentina Evolucion De Precios De Acciones De Empresa De Energia Y Su Relacion Con Las Variables Macroeconomicas: Evidencia De Argentina," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 10, issue 4, pages 1-14.
• Emanuel Bagna & Enrico Cotta Ramusino, 2017, "Market Multiples and the Valuation of Cyclical Companies," International Business Research, Canadian Center of Science and Education, volume 10, issue 12, pages 246-266, December.
• Boris T. Petkov, 2017, "Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment," International Business Research, Canadian Center of Science and Education, volume 10, issue 3, pages 91-119, March.
• Gollier, Christian, 2017, "Valuation of natural capital under uncertain substitutability," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 871, May.
• Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017, "Trading Fees and Intermarket Competition," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 595.
• Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2017, "Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 597.
• Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017, "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 16, issue 1, pages 1-19, June.
• Gabriel Rodriguez, 2017, "Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 32, issue 1, pages 69-94, April.
• Yoichi Ueno, 2017, "Term Structure Models with Negative Interest Rates," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 17-E-01, Mar.
• Antonio Diez de los Rios & Maral Shamloo, 2017, "Quantitative Easing and Long-Term Yields in Small Open Economies," IMF Working Papers, International Monetary Fund, number 2017/212, Sep.
• Leopoldo Sánchez Cantú & Carlos Arturo Soto Campos & Oswaldo Morales Matamoros & Alba Lucero García Pérez, 2017, "Ley de potencia en caídas de precios mayores a un nivel crítico en series de tiempo financieras," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 12, issue 1, pages 63-89, Enero-Mar.
• María Teresa Verónica Martínez-Palacios & Ambrosio Ortiz-Ramírez & José Francisco Martínez-Sánchez, 2017, "Valuación de opciones asiáticas con precio de ejercicio flotante igual a la media aritmética: un enfoque de control óptimo estocástico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 12, issue 4, pages 389-404, Octubre-D.
• Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017, "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, volume 63, issue 10, pages 3347-3360, October, DOI: 10.1287/mnsc.2016.2497.
• Rudolf Kerschbamer & Daniel Neururer & Alexander Gruber, 2017, "Do the altruists lie less?," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2017-18, Sep, revised 09 Nov 2017.
• Martin Geiger & Richard Hule, 2017, "The role of correlation in two-asset games: Some experimental evidence," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2017-19, Sep.
• Loukas Balafoutas & Matthias Sutter, 2017, "How uncertainty and ambiguity in tournaments affect gender differences in competitive behavior," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2017-20, Sep.
• Robert A. Becker, 2017, "An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2017-005, May.
• Berg Cui & Yoosoon Chang & Joon Park, 2017, "Evaluating Consumption CAPM under Heterogeneous Preferences," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2017-013, Nov.
• David Kohn, 2017, "Addicted to Debt: Foreign Purchases of U.S. Treasuries and the Term Premium," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 480.
• Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017, "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201707, Apr, revised Apr 2017.
• Imran Hussain Shah & Simón Sosvilla-Rivero, 2017, "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201710, May, revised May 2017.
• Margaria Abreu & Victor Mendes, 2017, "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2017/19, Nov.
• António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017, ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/02, Sep.
• Margarida Abreu, 2017, "How Biased is the Behavior of the Individual Investor in Warrants?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/07, Oct.
• Margarida Abreu & Victor Mendes, 2017, "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/14, Nov.
• António Afonso & Pedro Cardoso, 2017, "Exchange-traded Funds as an Alternative Investment Option: a Case Study," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/22, Dec.
• Dickinson, David L. & Chaudhuri, Ananish & Greenaway-McGrevy, Ryan, 2017, "Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market," IZA Discussion Papers, IZA Network @ LISER, number 10984, Sep.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2017, "Long-run expectations in a Learning-to-Forecast Experiment: A Simulation Approach," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2017/03.
• Huson Joher Ali Ahmed Author-Name: IKM Mokhtarul Wadud, 2017, "Oil Price Volatility And Sectoral Returns Uncertainties: Evidence From A Threshold Based Approach For The Australian Equity Market," Journal of Developing Areas, Tennessee State University, College of Business, volume 51, issue 1, pages 329-342, January-M.
• Ciaian, Pavel & Kancs, d'Artis & Rajcaniova, Miroslava, 2017, "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2017-05, Sep.
• Gregori, Wildmer & Sacchi, Agnese, 2017, "Has the Grexit news affected euro area financial markets?," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2017-13, Dec.
• Hideharu Funahashi & Masaaki Kijima, 2017, "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, volume 13, issue 1, pages 55-74, February, DOI: 10.1007/s10436-016-0289-1.
• Yerkin Kitapbayev & Tim Leung, 2017, "Optimal mean-reverting spread trading: nonlinear integral equation approach," Annals of Finance, Springer, volume 13, issue 2, pages 181-203, May, DOI: 10.1007/s10436-017-0295-y.
• Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini, 2017, "Predicting Bond Betas using Macro-Finance Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-01, Jan.
• Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017, "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-09, Feb.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-10, Mar.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017, "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-15, Apr.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-21, May.
• Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2017, "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-23, Jun.
• Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017, "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-25, Jul.
• Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017, "The TIPS Liquidity Premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-27, Aug.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017, "Term Structure Analysis with Big Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-31, Sep.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017, "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-34, Oct.
• Tsutomu Miyagawa & Miho Takizawa, 2017, "Investments and Stock Returns: Testing the Investment-based Capital Asset Pricing Model," Gakushuin Economic Papers, Gakushuin University, Faculty of Economics, volume 54, issue 2, pages 53-85.
• Jumadil Saputra & Suhal Kusairi & Nur Azura Sanusi, 2017, "Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الحياة)," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 30, issue 2, pages 135-157, July, DOI: 10.4197/Islec.30-2.12.
• Vanessa S. Tchamyou & Simplice A. Asongu, 2017, "Conditional Market Timing in the Mutual Fund Industry," Research Africa Network Working Papers, Research Africa Network (RAN), number 17/028, Jan.
• Danilo Cascaldi-Garcia, 2017, "News Shocks and the Slope of the Term Structure of Interest Rates: Comment," American Economic Review, American Economic Association, volume 107, issue 10, pages 3243-3249, October.
• André Kurmann & Christopher Otrok, 2017, "News Shocks and the Slope of the Term Structure of Interest Rates: Reply," American Economic Review, American Economic Association, volume 107, issue 10, pages 3250-3256, October.
• Semyon Malamud & Marzena Rostek, 2017, "Decentralized Exchange," American Economic Review, American Economic Association, volume 107, issue 11, pages 3320-3362, November.
• Kyle C. Meng, 2017, "Using a Free Permit Rule to Forecast the Marginal Abatement Cost of Proposed Climate Policy," American Economic Review, American Economic Association, volume 107, issue 3, pages 748-784, March.
• Yong Chao & Chen Yao & Mao Ye, 2017, "Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets," American Economic Review, American Economic Association, volume 107, issue 5, pages 196-199, May.
• Klaus Adam & Albert Marcet & Johannes Beutel, 2017, "Stock Price Booms and Expected Capital Gains," American Economic Review, American Economic Association, volume 107, issue 8, pages 2352-2408, August.
• Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017, "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, volume 9, issue 1, pages 1-39, January.
• Simón Sosvilla-Rivero & Victor Echevarria Icaza, 2017, "Systemic banks, capital composition and CoCo bonds issuance:The effects on bank risk," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 17-03, Mar.
• Vanessa Tchamyou & Simplice Asongu, 2017, "Conditional Market Timing in the Mutual Fund Industry," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 17/028, Jan.
• Dharmasena, Senarath & Yang, Tingyi & Capps, Oral Jr., 2017, "U.S. Demand for Dairy Alternative Beverages: Attribute Space Distance and Hedonic Matric Approaches," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama, Southern Agricultural Economics Association, number 252742, Jan, DOI: 10.22004/ag.econ.252742.
• Carson, Nathaniel & Langemeier, Michael, 2017, "An Examination of the Relationship Between Net Crop Returns and Cash Rent Values in Indiana," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama, Southern Agricultural Economics Association, number 252768, Jan, DOI: 10.22004/ag.econ.252768.
• Miao, Ruiqing & Hennessy, David & Feng, Hongli, , "Grassland Easement Evaluation and Acquisition: an Integrated Framework," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama, Southern Agricultural Economics Association, number 252775, DOI: 10.22004/ag.econ.252775.
• Tekiner KAYA, 2017, "Borsa İstanbul’Da İlk Halka Arzlarin Uzun Dönem Performans Anali̇zi̇: Normalüstü Geti̇ri̇ Mümkün Mü?," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 2, issue 1, pages 6-19, DOI: doi.org/10.30784/epfad.314755.
• Md. Abu HASAN & Anita ZAMAN, 2017, "Volatility Nexus Between Stock Market And Macroeconomic Variables In Bangladesh: An Extended Garch Approach," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 2, pages 233-243, June.
• Xavier Raurich & Thomas Seegmuller, 2017, "Growth and Bubbles: The Interplay between Productive Investment and the Cost of Rearing Children," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1726.
• Fernando José Mariné Osorio & Juan Carlos Bribiesca Aguirre, 2017, "Effects of implied volatility on companies with greater stock market value in the Mexican stock market," The Anahuac Journal, Business and Economics School. Anahuac University (Mexico)., volume 17, issue 1, pages 69-100, June, DOI: 10.36105/theanahuacjour.2017v17n1.0.
• Nur Dilbaz Alacahan & Seda Yavuzaslan Soylemez, 2017, "The Impact of Petrol Prices on Stock Prices of Energy Companies: A Panel Data Analysis for Turkey," EconWorld Working Papers, WERI-World Economic Research Institute, number 17006, Oct, revised Oct 2017, DOI: 10.22440/EconWorld.WP.2017.006.
• Francesco Franzoni & Itzhak Ben-David & Rabih Moussawi, 2017, "Exchange-Traded Funds," Annual Review of Financial Economics, Annual Reviews, volume 9, issue 1, pages 169-189, November, DOI: 10.1146/annurev-financial-110716-03.
• Jennifer N. Carpenter & Robert F. Whitelaw, 2017, "The Development of China's Stock Market and Stakes for the Global Economy," Annual Review of Financial Economics, Annual Reviews, volume 9, issue 1, pages 233-257, November, DOI: 10.1146/annurev-financial-110716-03.
• Jonathan H. Wright, 2017, "Forward-Looking Estimates of Interest-Rate Distributions," Annual Review of Financial Economics, Annual Reviews, volume 9, issue 1, pages 333-351, November, DOI: 10.1146/annurev-financial-110716-03.
• Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017, "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, volume 9, issue 1, pages 43-83, November, DOI: 10.1146/annurev-financial-110716-03.
• David L. Dickinson & Ananish Chaudhuri & Ryan Greenaway-McGrevy, 2017, "Trading while sleepy? Circadian mismatch and excess volatility in a global experimental asset market," Working Papers, Department of Economics, Appalachian State University, number 17-06.
• Mohd Aminul Islam, 2017, "An Empirical Evaluation of Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 3, issue 11, pages 303-314, 11-2017.
• Tim Leung & Yerkin Kitapbayev, 2017, "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers, arXiv.org, number 1701.00875, Jan, revised Jan 2017.
• Mihaly Ormos & Dusan Timotity, 2017, "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers, arXiv.org, number 1704.05332, Apr.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017, "High-Frequency Jump Analysis of the Bitcoin Market," Papers, arXiv.org, number 1704.08175, Apr, revised Jun 2017.
• Marcel Nutz & Jos'e A. Scheinkman, 2017, "Shorting in Speculative Markets," Papers, arXiv.org, number 1705.05882, May, revised Jul 2019.
• Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2017, "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," Papers, arXiv.org, number 1706.07216, Jun.
• Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "On the existence of sure profits via flash strategies," Papers, arXiv.org, number 1708.03099, Aug, revised Jul 2019.
• Yuan Liao & Xiye Yang, 2017, "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers, arXiv.org, number 1711.04392, Nov, revised Dec 2018.
• Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017, "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers, arXiv.org, number 1712.03566, Dec.
• Shujahat Haider Hashmi & Munawar Hussain & Raja Muhammad Ahsan Ilyas & Muhammad Asif Khan, 2017, "Sensitivity analysis for the determinants of investment appraisal," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 15, issue 148, pages 686-686.
• Florian Nagler & Giorgio Ottonello, 2017, "Structural Changes in Corporate Bond Underpricing," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1748.
• Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017, "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1751.
• Massimo Guidolin & Francesco Chincoli, 2017, "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1754.
• Elvira Caloiero & Massimo Guidolin, 2017, "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1763.
• Marco Caiffa & Vincenzo Farina & Lucrezia Fattobene, 2017, "Multiple directorships in the Board of Directors: an investors’ perspective," BANCARIA, Bancaria Editrice, volume 6, pages 20-38, June.
• Rodrigo Hernandez & Yingying Shao & Pu Liu, 2017, "Leverage Certificates - A Case of Innovative Financial Engineering," Review of Economics & Finance, Better Advances Press, Canada, volume 9, pages 71-82, August.
• Hong Li & Vincent Daly, 2017, "Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios," Review of Economics & Finance, Better Advances Press, Canada, volume 10, pages 33-48, November.
• Doncho Donev, 2017, "Price bubbles and financial markets efficiency," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 115-131.
• Ralitsa Dimitrova, 2017, "Assessment of recognition of the brand - approaches and challenges," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 92-114.
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• Antonio Diez de los Rios & Maral Shamloo, 2017, "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers, Bank of Canada, number 17-26, DOI: 10.34989/swp-2017-26.
• Antonio Diez de los Rios, 2017, "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers, Bank of Canada, number 17-33, DOI: 10.34989/swp-2017-33.
• Tom Roberts, 2017, "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers, Bank of Canada, number 17-38, DOI: 10.34989/swp-2017-38.
• Jean-Sébastien Fontaine & Guillaume Nolin, 2017, "Measuring Limits of Arbitrage in Fixed-Income Markets," Staff Working Papers, Bank of Canada, number 17-44, DOI: 10.34989/swp-2017-44.
• Reinhard Ellwanger, 2017, "On the Tail Risk Premium in the Oil Market," Staff Working Papers, Bank of Canada, number 17-46, DOI: 10.34989/swp-2017-46.
• Bruno Feunou & Cédric Okou, 2017, "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers, Bank of Canada, number 17-52, DOI: 10.34989/swp-2017-52.
• Bruno Feunou & Cédric Okou, 2017, "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers, Bank of Canada, number 17-55, DOI: 10.34989/swp-2017-55.
• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017, "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers, Bank of Canada, number 17-58, DOI: 10.34989/swp-2017-58.
• Sermin Gungor & Jun Yang, 2017, "Has Liquidity in Canadian Government Bond Markets Deteriorated?," Staff Analytical Notes, Bank of Canada, number 17-10, DOI: 10.34989/san-2017-10.
• Maxime Leboeuf & James Pinnington, 2017, "What Explains the Recent Increase in Canadian Corporate Bond Spreads," Staff Analytical Notes, Bank of Canada, number 17-2, DOI: 10.34989/san-2017-2.
• Bruno Feunou & Corey Garriott & James Kyeong & Raisa Leiderman, 2017, "The Impacts of Monetary Policy Statements," Staff Analytical Notes, Bank of Canada, number 17-22, DOI: 10.34989/san-2017-22.
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• José Renato Haas Ornelas, 2017, "Expected Currency Returns and Volatility Risk Premia," Working Papers Series, Central Bank of Brazil, Research Department, number 454, Jan.
• Pierre Guérin & Danilo Leiva-Leon, 2017, "Monetary policy, stock market and sectoral comovement," Working Papers, Banco de España, number 1731, Aug.
• Óscar Arce & Ricardo Gimeno & Sergio Mayordomo, 2017, "Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE," Working Papers, Banco de España, number 1743, Dec.
• Nicola Branzoli & Giovanni Guazzarotti, 2017, "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1113, Apr.
• Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2017, "The collateral channel of unconventional monetary policy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1119, Jun.
• Sara Cecchetti, 2017, "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1141, Oct.
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• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon, 2017, "Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study," Borradores de Economia, Banco de la Republica de Colombia, number 1009, Aug, DOI: 10.32468/be.1009.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2017, "Dynamic Connectedness and Causality between Oil prices and Exchange Rates," Borradores de Economia, Banco de la Republica de Colombia, number 1025, Oct, DOI: 10.32468/be.1025.
• Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017, "The Maple Bubble: A History of Migration among Canadian Provinces," Borradores de Economia, Banco de la Republica de Colombia, number 992, May, DOI: 10.32468/be.992.
• Peter Claeys, 2017, "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 35, issue 82, pages 64-77, April, DOI: 10.1016/j.espe.2017.01.003.
• Paul De Grauwe & Eddie Gerba, 2017, "Monetary transmission under competing corporate finance regimes," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 35, issue 82, pages 78-100, April, DOI: 10.1016/j.espe.2016.11.002.
• Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodríguez-Niño, 2017, "Financial transaction tax and banking margins: An empirical note for Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 35, issue 83, pages 154-160, June, DOI: 10.1016/j.espe.2017.03.001.
• Mohsin Sadaqat & Hilal Anwar Butt, 2017, "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, volume 9, issue 3, pages 1-35, September, DOI: dx.doi.org/10.22547/BER/9.3.1.
• Ahmad Fraz & Arshad Hassan, 2017, "Stock Price Synchronicity and Information Environment," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, volume 9, issue 4, pages 213-232, December, DOI: dx.doi.org/10.22547/BER/9.4.10.
• Dragana Draganac, 2017, "Do Dividend Shocks Affect Excess Returns: An Experimental Study," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 62, issue 214, pages 45-86, June - Se.
• Julien Idier & Thibaut Piquard, 2017, "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers, Banque de France, number 621.
• Wiliiam Arrata & Benoit Nguyen, 2017, "Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program," Working papers, Banque de France, number 623.
• Lalliard, A., 2017, "Détecter autrement les tensions sur le marché immobilier résidentiel," Bulletin de la Banque de France, Banque de France, issue 210, pages 15-23.
• Arrata, W. & Gautier, A. & Lopez, P. & Rahmouni-Rousseau, I. & Girotti, M. & Mojon, B. & Szczerbowicz, U. & Vari, M. & Foucault, T., 2017, "12e atelier annuel de banque centrale sur la microstructure des marchés financiers - 29-30 septembre 2016, Banque de France," Bulletin de la Banque de France, Banque de France, issue 210, pages 35-43.
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• Magali Marx & Benoît Mojon & François Velde, 2017, "Why Have Interest Rates Fallen far Below the Return on Capital
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