Research classified by Journal of Economic Literature (JEL) codes

2016

• Agić-Šabeta Elma, 2016, "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, volume 7, issue 1, pages 59-80, March, DOI: 10.1515/bsrj-2016-0005.
• Škrinjarić Tihana & Šego Boško, 2016, "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, volume 7, issue 2, pages 78-90, September, DOI: 10.1515/bsrj-2016-0014.
• Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016, "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, volume 54, issue 2, pages 907-924, April.
• Charles N. Noussair & Steven Tucker, 2016, "Cash Inflows And Bubbles In Asset Markets With Constant Fundamental Values," Economic Inquiry, Western Economic Association International, volume 54, issue 3, pages 1596-1606, July.
• Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016, "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, volume 22, issue 2, pages 193-234, March, DOI: 10.1111/eufm.12081.
• Tom Engsted, 2016, "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 2, pages 370-376, April.
• 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, April.
• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016, "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, volume 71, issue 1, pages 33-82, February.
• Arthur Korteweg & Stefan Nagel, 2016, "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, volume 71, issue 3, pages 1437-1470, June, DOI: 10.1111/jofi.12390.
• Suleyman Basak & Anna Pavlova, 2016, "A Model of Financialization of Commodities," Journal of Finance, American Finance Association, volume 71, issue 4, pages 1511-1556, August.
• Harrison Hong & David A. Sraer, 2016, "Speculative Betas," Journal of Finance, American Finance Association, volume 71, issue 5, pages 2095-2144, October.
• Bryan Kelly & Ľuboš Pástor & Pietro Veronesi, 2016, "The Price of Political Uncertainty: Theory and Evidence from the Option Market," Journal of Finance, American Finance Association, volume 71, issue 5, pages 2417-2480, October.
• Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016, "Misspecified Recovery," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2493-2544, December, DOI: 10.1111/jofi.12404.
• Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2016, "“Lucas” in the Laboratory," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2727-2780, December, DOI: 10.1111/jofi.12392.
• Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016, "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2861-2904, December, DOI: 10.1111/jofi.12437.
• BUNESCU Liliana, 2016, "Current Market Of Government Bonds In Romania: Key Issues," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 68, issue 3, pages 8-23, December.
• Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016, "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper, Norges Bank, number 2016/4, Feb.
• Dongho Song, 2016, "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics, Boston College Department of Economics, number 915, May, revised 19 Jul 2016.
• Evangelos Benos & Richard Payne & Michalis Vasios, 2016, "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers, Bank of England, number 580, Jan.
• Karen Braun-Munzinger & Zijun Liu & Arthur Turrell, 2016, "An agent-based model of dynamics in corporate bond trading," Bank of England working papers, Bank of England, number 592, Apr.
• Evangelos Benos & Filip Zikes, 2016, "Liquidity determinants in the UK gilt market," Bank of England working papers, Bank of England, number 600, May.
• Gabor Pinter, 2016, "The macroeconomic shock with the highest price of risk," Bank of England working papers, Bank of England, number 616, Sep.
• Andrew Meldrum & Marek Raczko & Peter Spencer, 2016, "Overseas unspanned factors and domestic bond returns," Bank of England working papers, Bank of England, number 618, Sep.
• Richard Harris & Evarist Stoja & Linh Nguyen, 2016, "Systematic tail risk," Bank of England working papers, Bank of England, number 637, Dec.
• James Benford & Mark Joy & Mark Kruger, 2016, "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers, Bank of England, number 39, Sep.
• Dimitris Malliaropulos & Petros M. Migiakis, 2016, "The re-pricing of sovereign risks following the global financial crisis," Working Papers, Bank of Greece, number 210, Jul.
• 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," Working Papers, Bank of Greece, number 214, Nov.
• Itamar Caspi & Meital Graham, 2016, "Testing for Bubbles in Stock Markets With Irregular Dividend Distribution," Bank of Israel Working Papers, Bank of Israel, number 2016.06, Mar.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2016, "Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market," Bank of Japan Working Paper Series, Bank of Japan, number 16-E-17, Nov.
• Zia-ur-Rehman Rao & Amjad Iqbal & Muhammad Zubair Tauni, 2016, "Performance persistence in institutional investment management: The case of Chinese equity funds," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 3, pages 146-156, September.
• Oguz Ersan & Cumhur Ekinci, 2016, "Algorithmic and high-frequency trading in Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 4, pages 233-248, December.
• Jianjun Miao & Jieran Wu & Eric Young, 2016, "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-10, Sep, revised May 2019.
• Jianjun Miao & Jieran Wu & Eric Young, 2016, "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-12, Sep, revised May 2019.
• Baglioni Angelo & Cherubini Umberto, 2016, "Eurobonds: A Quantitative Approach," Review of Law & Economics, De Gruyter, volume 12, issue 3, pages 507-521, November, DOI: 10.1515/rle-2016-0041.
• Weber Christoph S. & Nickol Philipp, 2016, "More on Calendar Effects on Islamic Stock Markets," Review of Middle East Economics and Finance, De Gruyter, volume 12, issue 1, pages 65-113, April, DOI: 10.1515/rmeef-2015-0039.
• Härdle Wolfgang Karl & Silyakova Elena, 2016, "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, volume 33, issue 1-2, pages 1-20, September, DOI: 10.1515/strm-2014-1176.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99, Jan.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99R, Jan, revised Aug 2016.
• Gyorgy Varga & Ricardo Dias de Oliveira Brito, 2016, "The Cross-Section of Expected Stock Returns in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 2, pages 151-187.
• Walter Gonçalves Junior & William Eid Junior, 2016, "Determinants of Foreign Investment in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 2, pages 189-224.
• Hudson Chaves Costa & João Henrique Gonçalves Mazzeu & Newton Carneiro Affonso da Costa Jr., 2016, "The Behaviour of Volatility Components of Brazilian Stocks," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 2, pages 225-268.
• Sébastien Galanti & Françoise Le Quéré, 2016, "Quelles incidences d’un élargissement du rôle des fonds d’investissement collectifs ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 235-254.
• Ito, R., 2016, "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1606, Jan.
• Pesaran, Hashem. & Johnsson. Ida., 2016, "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1679, Dec.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 05, Oct.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 06, Dec.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, Between Conservatism and Pragmatism," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 25-52.
• Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu, 2016, "Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 53-69.
• Velimir Lukić, 2016, "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 71-97.
• Jędrzej Białkowski & Laura T. Starks, 2016, "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/11, Mar.
• Jędrzej Białkowski & Ehud I. Ronn, 2016, "Financial Markets in the Face of the Apocalypse," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/14, Apr.
• Elisa Luciano & Riccardo Giacomelli, 2016, "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 445.
• Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016, "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 449.
• Michael Hasler & Roberto Marfè, 2016, "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 458.
• Roberto Marfè, 2016, "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 459.
• Roberto Marfè, 2016, "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 460.
• Roberto Marfè, 2016, "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 461.
• Roberto Marfè & Julien Penasse, 2016, "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 463.
• Elisa Luciano & Antonella Tolomeo, 2016, "Equilibrium bid-ask spreads and the effect of competitive trading delays," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 467.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2016, "The Strategic Determination of the Supply of Liquid Assets," Working Papers, University of California, Davis, Department of Economics, number 183, May.
• Toda, Alexis Akira, 2016, "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4gm143d8, Sep.
• Christian A. L. Hilber & Olivier Schöni, 2016, "The Housing Market Impacts of Constraining Second Home Investments," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0204, Aug.
• Suren Vardanyan, 2016, "Contagion in Experimental Financial Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp580, Dec.
• Walter Kraemer, 2016, "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series, CESifo, number 5806.
• Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series, CESifo, number 5812.
• Burkhard Heer & Alfred Maussner & Halvor Ruf, 2016, "Q-Targeting in New Keynesian Models," CESifo Working Paper Series, CESifo, number 5854.
• Guglielmo Maria Caporale & Alex Plastun, 2016, "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series, CESifo, number 5877.
• Magne Emhjellen & Petter Osmundsen, 2016, "Oil Project Selection by Metrics," CESifo Working Paper Series, CESifo, number 5898.
• Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel & Sam Ruiqing Cao, 2016, "Social Networks and Housing Markets," CESifo Working Paper Series, CESifo, number 5905.
• Michael Weber & Michael Weber, 2016, "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series, CESifo, number 6043.
• Andreas Neuhierl & Michael Weber & Michael Weber, 2016, "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series, CESifo, number 6199.
• Sven Steinkamp & Frank Westermann, 2016, "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," CESifo Working Paper Series, CESifo, number 6225.
• M. Hashem Pesaran & Ida Johnsson, 2016, "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series, CESifo, number 6272.
• Giovanni Cespa & Xavier Vives, 2016, "Market Transparency and Fragility," CESifo Working Paper Series, CESifo, number 6279.
• Nadjeschda Katharina Arnold, 2016, "The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 66, July.
• Shin-ichi Fukuda & Mariko Tanaka, 2016, "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-401, Nov.
• Gabor Pinter, 2016, "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers, Centre for Macroeconomics (CFM), number 1623, Aug, revised Apr 2017.
• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Beliefs Aggregation and Return Predictability," Working Papers, Center for Economic and Financial Research (CEFIR), number w0231, Aug.
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016, "Invariance of buy-sell switching points," Working Papers, Center for Economic and Financial Research (CEFIR), number w0232, Oct.
• Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 2, in: Elías Albagli & Diego Saravia & Michael Woodford, "Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World".
• Paul Schneider, 2015, "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-61, Dec.
• Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016, "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-01, Jan.
• Martin HERDEGEN & Martin SCHWEIZER, 2016, "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-02, Jan.
• Markus Leippold & Steven Schaerer, 2016, "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-15, Mar.
• Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016, "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-22, Mar, revised Jun 2016.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016, "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-23, Mar.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-24, Mar.
• Damien Ackerer & Damir Filipović, 2016, "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-34, May, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-35, May, revised Jun 2016.
• Jean-Christophe Delfim & Martin Hoesli, 2016, "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-37, May.
• Damir Filipović & Sander Willems, 2016, "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-38, Jun.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.
• Damir Filipovic & Yerkin Kitapbayev, 2016, "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-44, Jul.
• Semyon Malamud & Aytek Malkhozov, 2016, "Market Integration and Global Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-49, Jul.
• Umit Yilmaz, 2016, "Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-50, Jul, revised Dec 2016.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016, "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-51, Aug, revised Dec 2016.
• Ines Chaieb & Vihang R. Errunza & Rajna Gibson, 2016, "How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-52, Jul.
• Alberto Plazzi & Walter N. Torous, 2016, "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-54, Sep.
• Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-59, Oct.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2016, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-63, Oct.
• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016, "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-64, Oct.
• Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-66, Nov.
• Semyon Malamud & Andreas Schrimpf, 2016, "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-75, Dec.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018, "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-40, Jun.
• Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016, "Markets are Smart! Structural Reforms and Country Risk," Working Papers, CEPII research center, number 2016-23, Sep.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Ales Bulir & Jan Vlcek, 2016, "Monetary Transmission: Are Emerging Market and Low-Income Countries Different?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/02, Mar.
• Lubos Komarek & Kristyna Ters & Jorg Urban, 2016, "Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/04, Jun.
• Simona Malovana & Jan Frait, 2016, "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/06, Sep.
• Jimmy Melo, 2016, "Precios de los activos bajo ambiguedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 34, issue 80, pages 91-102, DOI: 10.1016/j.espe.2016.02.003.
• Thomas Goda & Chris Stewart & Alejandro Torres Garc�a, 2016, "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15247, Dec.
• Jimmy Saravia & Carlos Garcia & Paula Almonacid, 2016, "The Determinants of Systematic Risk: A Firm Lifecycle Perspective," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15299, Dec.
• Aneta Wlodarczyk & Iwona Otola, 2016, "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 87-116.
• Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10947, Mar.
• Pagano, Marco & Beber, Alessandro & Fabbri, Daniela & Simonelli, Saverio, 2016, "Short-Selling Bans and Bank Stability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11090, Feb.
• Fernández-Villaverde, Jesús & Levintal, Oren, 2016, "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11115, Feb.
• Broer, Tobias, 2016, "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11145, Mar.
• Petrella, Ivan & Sola, Martin & Hevia, Constantino, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11169, Mar.
• Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016, "Term structures of asset prices and returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11227, Apr.
• Farmer, Roger, 2016, "Pricing Assets in an Economy with Two Types of People," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11253, Apr.
• Ströbel, Johannes & Kuchler, Theresa & Bailey, Michael & Cao, Ruiqing, 2016, "Social Networks and Housing Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11272, May.
• Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016, "Currency Value," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11324, Jun.
• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016, "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11401, Jul.
• Weber, Martin & Regele, Tobias & Jacobs, Heiko, 2016, "Expected skewness and momentum," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11455, Aug.
• Adrian, Tobias & , & Shin, Hyun Song, 2016, "Dynamic Leverage Asset Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11466, Aug.
• Malamud, Semyon & Malkhozov, Aytek, 2016, "Market Integration and Global Crashes," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11468, Aug.
• Malamud, Semyon, 2016, "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11469, Aug.
• Massa, Massimo & Schumacher, David & wang, yan, 2016, "Who is afraid of BlackRock?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11471, Aug.
• Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016, "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11531, Sep.
• Miller, Marcus & Zhang, Lei & Rastapana, Songklod, 2016, "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11533, Sep.
• Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016, "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11576, Oct.
• Weber, Martin & Ungeheuer, Michael, 2016, "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11585, Oct.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz, 2016, "Macrofinancial History and the New Business Cycle Facts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11587, Oct.
• Babus, Ana & Parlatore Siritto, Cecilia, 2016, "Strategic Fragmented Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11591, Oct.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11608, Nov.
• Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016, "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11645, Nov.
• Oosterlinck, Kim & Collet, Stéphanie, 2016, "Pricing the Odious in Odious Debts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11653, Nov.
• Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg & Woschitz, Jiri, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11663, Nov.
• Flandreau, Marc & Chavaz, Matthieu, 2016, "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11679, Dec.
• Cespa, Giovanni & Colla, Paolo, 2016, "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11690, Dec.
• Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016, "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11730, Dec.
• Vives, Xavier & Cespa, Giovanni, 2016, "Market Transparency and Fragility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11732, Dec.
• Carlo Massironi & Giusy Chesini, 2016, "Kenneth Fisher’s heuristics," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 130-148, May, DOI: 10.1108/QRFM-07-2015-0026.
• Albert Rapp, 2016, "Private investor extrapolation bias – evidence through qualitative content analysis (QCA)," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 149-167, May, DOI: 10.1108/QRFM-08-2015-0033.
• Muhammad Zubair Tauni & Hong Xing Fang & Amjad Iqbal, 2016, "Information sources and trading behavior: does investor personality matter?," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 94-117, May, DOI: 10.1108/QRFM-08-2015-0031.
• Georges Hübner, 2016, "Option replication and the performance of a market timer," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 1, pages 2-25, March, DOI: 10.1108/SEF-01-2015-0012.
• Bin Liu & Amalia Di Iorio, 2016, "Does idiosyncratic volatility predict future growth of the Australian economy?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 1, pages 69-90, March, DOI: 10.1108/SEF-08-2014-0160.
• Stoyu I. Ivanov, 2016, "Analysis of the factors impacting ETFs net fund flow changes," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 2, pages 244-261, June, DOI: 10.1108/SEF-06-2014-0114.
• Adam Zaremba, 2016, "Quality investing and the cross-section of country returns," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 2, pages 281-301, June, DOI: 10.1108/SEF-06-2014-0119.
• Bin Liu & Amalia Di Iorio & Ashton De Silva, 2016, "Equity fund performance," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 359-376, August, DOI: 10.1108/SEF-04-2016-0081.
• Paulo Pereira da Silva, 2016, "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 377-402, August, DOI: 10.1108/SEF-11-2014-0217.
• Caporin, M. & Chang, C-L. & McAleer, M.J., 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-02, Feb.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016, "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-07, Feb.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016, "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-21, May.
• Semen Son-Turan, 2016, "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, volume 8, issue 1, pages 4-18, April.
• Srikanta Kundu & Nityananda Sarkar, 2016, "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, volume 8, issue 2, pages 53-71, September.
• Dimiter Nenkov Nenkov, 2016, "An Analytical Approach to Comparing Actual Vs. 'Fundamental Price-to-Sales' and “Enterprise Value-to-Sales†Ratios on the European Stock Market," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 4, pages 32-49.
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• Byrne, JP & Cao, S & Korobilis, D, 2016, "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 18194, May.
• Xavier Raurich & Thomas Seegmuller, 2016, "On the interplay between speculative bubbles and productive investment," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2016/352.
• Bing XIAO, 2016, "Conditional Relationship Between Beta and Return in the US Stock Market," Expert Journal of Business and Management, Sprint Investify, volume 4, issue 1, pages 46-55.
• Adam Gersl & Zlatuse Komarkova & Lubos Komarek, 2016, "Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 1, pages 32-49, February.
• Borja Amor-Tapia & Maria T. Tascon, 2016, "Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 1, pages 70-94, February.
• Mercedes Alda, 2016, "Manager Characteristics and Manager-Replacement: How Is Pension Fund Performance Affected?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 2, pages 161-180, April.
• Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016, "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 5, pages 405-425, October.
• Petra Buzkova & Milos Kopa, 2016, "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 6, pages 510-538, December.
• Roman Horvath & Lorant Kaszab, 2016, "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2016/04, Feb, revised Feb 2016.
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• Jian Chen & Chenghu Ma, 2016, "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 11, issue 3, pages 439-467, September.
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• 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," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-1, Jan.
• Nikolay Gospodinov & Bin Wei, 2016, "Forecasts of inflation and interest rates in no-arbitrage affine models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-3, Feb.
• Nikolay Gospodinov, 2016, "The role of commodity prices in forecasting U.S. core inflation," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-5, Feb.
• Ali Ozdagli & Mihail Velikov, 2016, "Show me the money: the monetary policy risk premium," Working Papers, Federal Reserve Bank of Boston, number 16-27, Dec.
• O. Emre Ergungor, 2016, "Where the Wild Things Are: Measuring Systemic Risk through Investor Sentiment," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1608, Feb.
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