Research classified by Journal of Economic Literature (JEL) codes

2017

• Leif Brubakk & Saskia ter Ellen & Hong Xu, 2017, "Forward guidance through interest rate projections: does it work?," Working Paper, Norges Bank, number 2017/6, Apr.
• Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017, "Comparing behavioural heterogeneity across asset classes," Working Paper, Norges Bank, number 2017/12, Jun.
• Vegard H. Larsen & Leif Anders Thorsrud, 2017, "Asset returns, news topics, and media effects," Working Paper, Norges Bank, number 2017/17, Sep.
• Vegard H ghaug Larsen & Leif Anders Thorsrud, 2017, "Asset returns, news topics, and media effects," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 5/2017, Sep.
• Marco Bardoscia & Paolo Barucca & Adam Brinley Codd & John Hill, 2017, "The decline of solvency contagion risk," Bank of England Staff Working Paper series, Bank of England, number 662, Jun.
• Graeme Douglas & Joseph Noss & Nicholas Vause, 2017, "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England Staff Working Paper series, Bank of England, number 664, Jul.
• Yuliya Baranova & Zijun Liu & Tamarah Shakir, 2017, "Staff Working Paper No. 665: Dealer intermediation, market liquidity and the impact of regulatory reform," Bank of England Staff Working Paper series, Bank of England, number 665, Jul.
• Robert Czech & Matt Roberts-Sklar, 2017, "Investor behaviour and reaching for yield: evidence from the sterling corporate bond market," Bank of England Staff Working Paper series, Bank of England, number 685, Oct.
• Paul Schmelzing, 2017, "Staff Working Paper No. 686: Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’," Bank of England Staff Working Paper series, Bank of England, number 686, Oct.
• Andreea Bicu & Louisa Chen & David Elliott, 2017, "The leverage ratio and liquidity in the gilt and repo markets," Bank of England Staff Working Paper series, Bank of England, number 690, Nov.
• Iryna Kaminska & Matt Roberts-Sklar, 2017, "Volatility in equity markets and monetary policy rate uncertainty," Bank of England Staff Working Paper series, Bank of England, number 700, Dec.
• Yuliya Baranova & Jamie Coen & Joseph Noss & Pippa Lowe & Laura Silvestri, 2017, "Simulating stress across the financial system: the resilience of corporate bond markets and the role of investment funds," Bank of England Financial Stability Papers, Bank of England, number 42, Jul.
• Vasilis Siakoulis, 2017, "Fiscal policy effects on non-performing loan formation," Working Papers, Bank of Greece, number 224, May.
• Leonidas S. Rompolis, 2017, "The effectiveness of unconventional monetary policy on risk aversion and uncertainty," Working Papers, Bank of Greece, number 231, Jul.
• G. Gopalakrishna, 2017, "Robust test of Long Run Risk and Valuation risk model," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1107, Sep.
• Slah Bahloul & Mourad Mroua & Nader Naifar, 2017, "The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 1, pages 62-74, March.
• Ramzi Boussaidi, 2017, "The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 3, pages 178-189, September.
• Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017, "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 4, pages 199-215, December.
• Yilmaz Yildiz & Mehmet Baha Karan & Burak Pirgaip, 2017, "Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 4, pages 216-227, December.
• Доц. Д-Р Димитър Ненков Ненков, 2017, "Предпоставки За Манипулиране На Резултатите При Оценката На Действащи Предприятия," ICPA Articles, Institute of Certified Public Accountants, volume 2017, issue 3, pages 1-19.
• Ormos Mihály & Timotity Dusán, 2017, "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, volume 17, issue 2, pages 1-14, June, DOI: 10.1515/bejte-2016-0100.
• Kaserer Christoph & Hanauer Matthias X., 2017, "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, volume 18, issue 2, pages 98-116, June, DOI: 10.1515/pwp-2017-0011.
• Renne Jean-Paul, 2017, "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 1, pages 99-116, February, DOI: 10.1515/snde-2016-0043.
• Gonzalo Jesús & Taamouti Abderrahim, 2017, "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 4, pages 1-20, September, DOI: 10.1515/snde-2015-0078.
• Kim Dukpa & Kim Yunjung & Bak Yuhyeon, 2017, "Multi-level factor analysis of bond risk premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 5, pages 1-19, December, DOI: 10.1515/snde-2015-0080.
• Marius Gust, 2017, "Population Wealth. Dynamics And Structures," Management Strategies Journal, Constantin Brancoveanu University, volume 35, issue 1, pages 180-186.
• Laura Panoiu & Dorina Luta, 2017, "Union Of Capital Markets - An Initiative Of The European Union," Management Strategies Journal, Constantin Brancoveanu University, volume 35, issue 1, pages 203-209.
• Dimitris Korobilis & Davide Pettenuzzo, 2017, "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers, Brandeis University, Department of Economics and International Business School, number 115, Sep.
• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017, "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers, Brandeis University, Department of Economics and International Business School, number 116, Oct.
• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017, "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers, Brandeis University, Department of Economics and International Business School, number 116R, Oct, revised Feb 2018.
• Gérard Charreaux, 2017, "Finance et politique : la bourse préfère-t-elle la gauche ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 263-278.
• Milo Bianchi & Augustin Landier & Michal Zajac, 2017, "Obligations catastrophes : comment les marchés financiers évaluent-ils les facteurs de risques naturels ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 213-230.
• Lloyd, S. P., 2017, "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1734, Sep.
• Lloyd, S. P., 2017, "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1735, Sep.
• João M. Pinto & Mafalda C. Correia, 2017, "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 01, Jun.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017, "Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 17/13, Nov.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017, "Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 17/14, Nov.
• Jędrzej Białkowski & Ehud I. Ronn, 2017, "The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 17/19, Dec.
• Afonso, Ant nio & Arghyrou, Michael G & Gadea, Mar a Dolores & Kontonikas, Alexandros, 2017, ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2017/12, Sep.
• Farmer, Leland E. & Toda, Alexis Akira, 2017, "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4jk1h0kk, May.
• Toda, Alexis Akira & Walsh, Kieran James, 2017, "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8df3x7gw, Jan.
• J. Daniel Aromí, 2017, "Conventional views and asset prices: What to expect after times of extreme opinions," Journal of Applied Economics, Universidad del CEMA, volume 20, pages 49-73, May.
• Andres Donangelo & François Gourio & Matthias Kehrig & Miguel Palacios, 2017, "The Cross-Section of Labor Leverage and Equity Returns," Working Papers, Center for Economic Studies, U.S. Census Bureau, number 17-70, Jan.
• Mykola Babiak, 2017, "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp606, Oct.
• Petter Osmundsen & Kjell Løvås & Magne Emhjellen, 2017, "Petroleum Tax Competition Subject ot Capital Rationing," CESifo Working Paper Series, CESifo, number 6390.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017, "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series, CESifo, number 6391.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017, "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series, CESifo, number 6396.
• M. Hashem Pesaran & Takashi Yamagata, 2017, "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," CESifo Working Paper Series, CESifo, number 6432.
• Ali Ozdagli & Michael Weber & Michael Weber, 2017, "Monetary Policy through Production Networks: Evidence from the Stock Market," CESifo Working Paper Series, CESifo, number 6486.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017, "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series, CESifo, number 6534.
• Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2017, "Why Does Idiosyncratic Risk Increase with Market Risk?," CESifo Working Paper Series, CESifo, number 6560.
• Andreas Neuhierl & Michael Weber & Michael Weber, 2017, "Monetary Momentum," CESifo Working Paper Series, CESifo, number 6648.
• 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," CESifo Working Paper Series, CESifo, number 6691.
• Guglielmo Maria Caporale & Alex Plastun, 2017, "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series, CESifo, number 6716.
• Zeno Enders & Hendrik Hakenes, 2017, "Market Depth, Leverage, and Speculative Bubbles," CESifo Working Paper Series, CESifo, number 6806.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017, "Persistence in the Cryptocurrency Market," CESifo Working Paper Series, CESifo, number 6811.
• Sven Steinkamp & Frank Westermann, 2017, "The Seniority Conundrum – Further Evidence," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 18, issue 02, pages 63-65, July.
• Wei Cui & Leo Kaas, 2017, "Default Cycles," Discussion Papers, Centre for Macroeconomics (CFM), number 1716, May.
• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017, "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 340.
• Ally Quan Zhang, 2017, "Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-02, Jan.
• Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017, "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-04, Feb.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017, "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-06, Feb.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2017, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-08, Feb.
• Philippe Bacchetta & Eric van Wincoop, 2017, "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-15, Apr.
• Damir Filipović & Martin Larsson & Francesco Statti, 2017, "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-16, May, revised Apr 2018.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017, "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-19, Jun.
• Anastasiia Sokko & Klaus Reiner Schenk-Hoppé, 2017, "Margin Requirements and Evolutionary Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-20, Jun.
• Didier Sornette & Peter Cauwels & Georgi Smilyanov, 2017, "Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-27, Apr.
• Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017, "Relationship Trading in OTC Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-30, Dec.
• Per Östberg & Thomas Richter, 2017, "The Sovereign Debt Crisis: Rebalancing or Freezes?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-32, Oct.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017, "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-36, Sep, revised Feb 2018.
• Tarun Chordia & Amit Goyal & Alessio Saretto, 2017, "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-37, Aug, revised Apr 2018.
• Damien Ackerer & Damir Filipović, 2017, "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-41, Nov.
• Wojciech Zurowski, 2017, "Monetary Policy and Bond Risk Premia in the US and the UK," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-42, Jan.
• Biljana Seistrajkova, 2017, "Short Selling and the Subsequent Performance of Initial Public Offerings," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-49, Aug.
• Damir Filipović & Sander Willems, 2017, "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-52, Aug.
• Damir Filipović & Martin Larsson, 2017, "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-60, Nov.
• Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017, "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-61, Jun, revised Jun 2018.
• Ally Zhang, 2017, "Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-62, Nov, revised Jan 2018.
• Alexey Ivashchenko, 2017, "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-67, Apr, revised Jan 2018.
• Alessio Ruzza & Wojciech Zurowski, 2017, "Corporate Bond Dealers' Inventory Risk and FOMC," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-68, May.
• Walter Farkas & Ciprian Necula, 2017, "The Dynamics of Heterogeneity and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-76, Apr.
• Ying Liu, 2018, "Why Do Large Investors Disclose Their Information?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-17, Mar.
• Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2018, "Model-Free International Stochastic Discount Factors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-18, Jun.
• Ying Liu & Sebastian Vogel & Yuan Zhang, 2018, "Electronic Trading in OTC Markets vs. Centralized Exchange," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-19, Mar.
• Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2018, "Levered Returns and Capital Structure Imbalances," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-36, May.
• Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017, "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers, CEMFI, number wp2017_1711, May.
• Julio A. Crego, 2017, "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers, CEMFI, number wp2017_1714, Nov.
• Julio A. Crego & Jin Huang, 2017, "Early Birds and Second Mice in the Stock Market," Working Papers, CEMFI, number wp2017_1717, Nov.
• Harold A. Vásquez Ruiz, 2017, "El efecto de los flujos de capitales en los precios de las viviendas: una estimación de datos de panel," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 2, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Alejandro Jara & Eduardo Olaberría, 2017, "¿Todos los flujos de capitales están asociados a auges de los precios de las viviendas? Evaluación empírica," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 3, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Márcia Saraiva Leon, 2017, "Entradas de capitales extranjeros y el rendimiento de los bonos de deuda pública," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 9, in: Gerardo Licandro & Jorge Ponce, "Precios de activos internos, fundamentos globales y estabilidad financiera".
• Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017, "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research and Statistics Department, chapter 0, "CNB Financial Stability Report 2016/2017".
• Adam Kucera & Michal Dvorak & Lubos Komarek & Zlatuse Komarkova, 2017, "Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/12, Dec.
• Peter Claeys & Borek Vasicek, 2017, "Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/13, Dec.
• Ricardo Crisóstomo & Lorena Couso, 2017, "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & Jos� Fernando Moreno-Guti�rrez, 2017, "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 78.
• Peter Claeys, 2017, "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 82, pages 64-77, DOI: 10.1016/j.espe.2017.01.003.
• Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodr�guez-Ni�o, 2017, "Financial transaction tax and banking margins: An empirical note for Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 83, pages 154-160, DOI: 10.1016/j.espe.2017.03.001.
• Sergio Solís Tepexpa & Luis Fernando Mu�oz Gonz�lez, 2017, "Análisis de la reciente modificación al índice bursátil inmobiliario en la bolsa mexicana de valores," Revista Lebret, Universidad Santo Tomás - Bucaramanga, volume 9, pages 25-44.
• Carlos Javier Pinto Suárez, 2017, "Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia," Revista Lebret, Universidad Santo Tomás - Bucaramanga, volume 9, pages 151-170.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017, "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-31.
• Juan Carlos Gutierrez Betancur, 2017, "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, volume 21, issue 44, pages 37-71.
• Javier Pantoja-Robayo & Kelly Maradey Angarita & Alfredo Trespalacios Carrasquilla, 2017, "Analysis of the financial margins required to hedge risks in electric power futures markets," Revista Ecos de Economía, Universidad EAFIT, volume 21, issue 45, pages 68-107, DOI: 10.17230/ecos.2017.45.4.
• Diana Milena Carmona Munoz & Marcos Vera Leyton, 2017, "Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 301-317.
• Urbi Garay & Manuel Hern�ndez & Carlos Rivillo, 2017, "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 373-396.
• Mercedes Alda & Isabel Marco & Adri�n Marzo, 2017, "La reforma del sistema público de pensiones espanol: el factor de sostenibilidad," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 10, issue 1, pages 25-43.
• Alda & Isabel Marco & Adri�n Marzo, 2017, "The reform of the Spanish public pension system: The sustainability factor," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 10, issue 1, pages 45-63.
• Diana Milena Carmona Munoz & Marcos Vera Leyton, 2017, "Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 301-317.
• Urbi Garay & Manuel Hern�ndez & Carlos Rivillo, 2017, "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 9, issue 2, pages 373-396.
• María Patricia Durango Gutiérrez & Luis David Delgado V�lez, 2017, "Diseno metodológico para la estructuración de portafolios de inversión según el perfil de riesgo del inversionista," Revista Clio América, Universidad del Magdalena, volume 11, issue 22, pages 177-187.
• Julio César Riascos Hermoza & Jesús Enrique Molina, 2017, "Brief considerations on business valuation methods," Revista Tendencias, Universidad de Narino, volume 18, issue 2, pages 168-182, DOI: 10.22267/rtend.171802.83.
• Jason N. Harris & Jason Nassios & James A. Giesecke, 2017, "Determining agent-specific rates of return in a Financial CGE model of Australia," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-270, Apr.
• Ed Westerhout & Ona Ciocyte, 2017, "The role of inflation-linked bonds," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 344, Mar.
• Lux, Thomas, 2017, "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2017-07.
• Korn, Olaf & Kuntz, Laura-Chloé, 2015, "Low-beta investment strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 15-17.
• Korn, Olaf & Kuntz, Laura-Chloé, 2017, "Low-beta strategies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 15-17 [rev.], revised 2017.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 17-01.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017, "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series, Center for Financial Studies (CFS), number 565.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017, "Single stock call options as lottery tickets," CFS Working Paper Series, Center for Financial Studies (CFS), number 566.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series, Center for Financial Studies (CFS), number 572.
• Bannier, Christina & Pauls, Thomas & Walter, Andreas, 2017, "CEO-speeches and stock returns," CFS Working Paper Series, Center for Financial Studies (CFS), number 583.
• Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2017, "The agency of CoCo: Why do banks issue contingent convertible bonds?," CFS Working Paper Series, Center for Financial Studies (CFS), number 586.
• Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2017, "Market fragility and the paradox of the recent stock-bond dissonance," CFS Working Paper Series, Center for Financial Studies (CFS), number 589.
• Dumitru, Ana-Maria & Holden, Tom, 2017, "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers, ZBW - Leibniz Information Centre for Economics, number 168431.
• Xiao, Tim, 2017, "The Valuation of Interest Rate Swap with Bilateral Counterparty Risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 203135.
• Breitling, Dustin, 2017, "Ontology of Finance Redux," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 306865.
• Tennert, Julius & Lambert, Marie & Burghof, Hans-Peter, 2017, "Moral hazard in VC finance: More expensive than you thought," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 02-2017.
• Jopp, Tobias A., 2017, "How does the public perceive alliances? The Central and Allied Powers in World War I," IBF Paper Series, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main, number 12-17.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017, "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-37.
• Schasfoort, Joeri & Stockermans, Christopher, 2017, "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-63.
• Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017, "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-93.
• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017, "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers, Kiel Institute for the World Economy, number 2086.
• Xiong, Qizhou, 2018, "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2017, revised 2018.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017, "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 20/2017.
• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017, "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 4/2017.
• Eichler, Stefan, 2017, "Politische Determinanten staatlicher Ausfallrisiken," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 23, issue 2, pages 29-32.
• Demary, Markus, 2017, "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 12/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 22/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 31/2017.
• Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2017, "News media and investor sentiment over the long run," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 2017-06.
• Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2017, "Technology trade with asymmetric tax regimes and heterogeneous labor markets: Implications for macro quantities and asset prices," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 163, revised 2017, DOI: 10.2139/ssrn.2896712.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017, "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 166, DOI: 10.2139/ssrn.2914218.
• Donadelli, Michael & Grüning, Patrick, 2017, "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 171, DOI: 10.2139/ssrn.2955089.
• Kamga, Merlin Kuate & Wilde, Christian, 2017, "Liquidity premia in CDS markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 173, DOI: 10.2139/ssrn.3005276.
• Curatola, Giuliano & Dergunov, Ilya, 2017, "International capital markets with time-varying preferences," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 176, DOI: 10.2139/ssrn.3013062.
• Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017, "Temperature shocks and welfare costs," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 177, DOI: 10.2139/ssrn.3013537.
• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017, "Coming early to the party," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 182, DOI: 10.2139/ssrn.3038699.
• Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017, "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 183, DOI: 10.2139/ssrn.3042506.
• Grüning, Patrick, 2017, "Heterogeneity in the Internationalization of R&D: Implications for anomalies in finance and macroeconomics," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 185, DOI: 10.2139/ssrn.3055684.
• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017, "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 186, DOI: 10.2139/ssrn.3064658.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017, "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 188, DOI: 10.2139/ssrn.3075229.
• Eichler, Stefan & Rövekamp, Ingmar, 2017, "Eurozone exit risk," CEPIE Working Papers, Technische Universität Dresden, Center of Public and International Economics (CEPIE), number 07/17.
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• Bannier, Christina E. & Pauls, Thomas & Walter, Andreas, 2017, "CEO-speeches and stock returns," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168192.
• Holzmann, Carolin & Scholz, Hendrik & Kreidl, Felix & Büttner, Thiess, 2017, "Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168242.
• Aldrich, Eric M. & Friedman, Daniel, 2017, "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics, WZB Berlin Social Science Center, number SP II 2017-502.
• Florian Madison, 2017, "Frictional asset reallocation under adverse selection," ECON - Working Papers, Department of Economics - University of Zurich, number 261, Sep, revised Jan 2018.
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• Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017, "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 348-366, DOI: 10.1016/j.jeconom.2017.08.013.
• Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 367-383, DOI: 10.1016/j.jeconom.2017.08.014.
• Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017, "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 417-432, DOI: 10.1016/j.jeconom.2017.08.017.
• Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017, "Press freedom and jumps in stock prices," Economic Systems, Elsevier, volume 41, issue 1, pages 151-162, DOI: 10.1016/j.ecosys.2016.05.009.
• Lakdawala, Aeimit & Wu, Shu, 2017, "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, volume 100, issue C, pages 364-389, DOI: 10.1016/j.euroecorev.2017.08.012.
• Bigio, Saki & Schneider, Andrés, 2017, "Liquidity shocks, business cycles and asset prices," European Economic Review, Elsevier, volume 97, issue C, pages 108-130, DOI: 10.1016/j.euroecorev.2017.05.004.
• Piljak, Vanja & Swinkels, Laurens, 2017, "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, volume 30, issue C, pages 232-255, DOI: 10.1016/j.ememar.2015.10.002.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017, "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, volume 30, issue C, pages 66-95, DOI: 10.1016/j.ememar.2016.09.002.
• Zaremba, Adam & Czapkiewicz, Anna, 2017, "Digesting anomalies in emerging European markets: A comparison of factor pricing models," Emerging Markets Review, Elsevier, volume 31, issue C, pages 1-15, DOI: 10.1016/j.ememar.2016.12.002.
• Lin, Qi, 2017, "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, volume 31, issue C, pages 141-163, DOI: 10.1016/j.ememar.2017.04.002.
• Gonçalves, Walter & Eid, William, 2017, "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, volume 33, issue C, pages 102-139, DOI: 10.1016/j.ememar.2017.09.006.
• Wagner, Moritz & Margaritis, Dimitris, 2017, "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, volume 33, issue C, pages 62-78, DOI: 10.1016/j.ememar.2017.08.004.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, volume 33, issue C, pages 90-101, DOI: 10.1016/j.ememar.2017.09.001.
• Kinnunen, Jyri, 2017, "Dynamic cross-autocorrelation in stock returns," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 162-173, DOI: 10.1016/j.jempfin.2016.08.005.
• Barinov, Alexander, 2017, "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 20-38, DOI: 10.1016/j.jempfin.2016.11.003.
• Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina, 2017, "Do short sellers exploit industry information?," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 118-139, DOI: 10.1016/j.jempfin.2016.10.001.
• Khimich, Natalya, 2017, "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 31-52, DOI: 10.1016/j.jempfin.2016.12.002.
• Blackburn, Douglas W. & Cakici, Nusret, 2017, "Overreaction and the cross-section of returns: International evidence," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 1-14, DOI: 10.1016/j.jempfin.2017.02.001.
• Kang, Byoung Uk & In, Francis & Kim, Tong Suk, 2017, "Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 15-39, DOI: 10.1016/j.jempfin.2017.01.004.
• Han, Xing & Li, Youwei, 2017, "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 212-239, DOI: 10.1016/j.jempfin.2017.04.001.
• Desai, Chintal Ajitbhai, 2017, "The cross-section of consumer lending risk," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 256-282, DOI: 10.1016/j.jempfin.2017.04.004.
• Lawrenz, Jochen & Zorn, Josef, 2017, "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 159-184, DOI: 10.1016/j.jempfin.2017.06.003.
• Blitz, David & Vidojevic, Milan, 2017, "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 33-42, DOI: 10.1016/j.jempfin.2017.05.001.
• Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017, "Systematic cojumps, market component portfolios and scheduled macroeconomic announcements," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 43-58, DOI: 10.1016/j.jempfin.2017.05.003.
• Rinne, Kalle & Suominen, Matti, 2017, "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 304-315, DOI: 10.1016/j.jempfin.2016.12.001.
• Xyngis, Georgios, 2017, "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 43-65, DOI: 10.1016/j.jempfin.2017.06.001.
• Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017, "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, volume 61, issue C, pages 162-173, DOI: 10.1016/j.eneco.2016.11.016.
• Joo, Young C. & Park, Sung Y., 2017, "Oil prices and stock markets: Does the effect of uncertainty change over time?," Energy Economics, Elsevier, volume 61, issue C, pages 42-51, DOI: 10.1016/j.eneco.2016.10.017.
• Zhang, Dayong, 2017, "Oil shocks and stock markets revisited: Measuring connectedness from a global perspective," Energy Economics, Elsevier, volume 62, issue C, pages 323-333, DOI: 10.1016/j.eneco.2017.01.009.
• Kakeu, Johnson & Nguimkeu, Pierre, 2017, "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, volume 64, issue C, pages 1-12, DOI: 10.1016/j.eneco.2017.03.013.
• Kakeu, Johnson & Bouaddi, Mohammed, 2017, "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, volume 64, issue C, pages 458-468, DOI: 10.1016/j.eneco.2015.10.018.
• Omar, Ayman M.A. & Wisniewski, Tomasz Piotr & Nolte, Sandra, 2017, "Diversifying away the risk of war and cross-border political crisis," Energy Economics, Elsevier, volume 64, issue C, pages 494-510, DOI: 10.1016/j.eneco.2016.02.015.
• Kiesel, Rüdiger & Paraschiv, Florentina, 2017, "Econometric analysis of 15-minute intraday electricity prices," Energy Economics, Elsevier, volume 64, issue C, pages 77-90, DOI: 10.1016/j.eneco.2017.03.002.