Research classified by Journal of Economic Literature (JEL) codes

2016

• Ricardo T. Fernholz & Christoffer Koch, 2016, "The rank effect for commodities," Working Papers, Federal Reserve Bank of Dallas, number 1607, Aug, DOI: 10.24149/wp1607.
• Antonio Doblas-Madrid & Kevin J. Lansing, 2016, "Credit-fuelled bubbles," Working Paper Series, Federal Reserve Bank of San Francisco, number 2016-2, Mar, DOI: 10.24148/wp2016-02.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Macrofinancial History and the New Business Cycle Facts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2016-23, Oct, DOI: 10.24148/wp2016-23.
• Fabian Winkler, 2016, "The Role of Learning for Asset Prices and Business Cycles," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-019, Jan, DOI: 10.17016/FEDS.2016.019r1.
• Missaka Warusawitharana, 2016, "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-022, Mar, DOI: 10.17016/FEDS.2016.022.
• Mathias S. Kruttli, 2016, "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-027, Mar, DOI: 10.17016/FEDS.2016.027r1.
• Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016, "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-032, Apr, DOI: 10.17016/FEDS.2016.032.
• Matt Darst & Ehraz Refayet, 2016, "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-042, Apr, DOI: 10.17016/FEDS.2016.042r1.
• Steven Heston & Nitish R. Sinha, 2016, "News versus Sentiment : Predicting Stock Returns from News Stories," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-048, Jun, DOI: 10.17016/FEDS.2016.048.
• Yuriy Kitsul & Marcelo Ochoa, 2016, "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-052, Jun, DOI: 10.17016/FEDS.2016.052.
• Song Han & Kleopatra Nikolaou, 2016, "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-064, Mar, DOI: 10.17016/FEDS.2016.064.
• Mark S. Carey & Michael B. Gordy, 2016, "The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-069, Jul, DOI: 10.17016/FEDS.2016.069.
• Taisuke Nakata & Hiroatsu Tanaka, 2016, "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-085, Oct, DOI: 10.17016/FEDS.2016.085.
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016, "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-087, Sep, DOI: 10.17016/FEDS.2016.087.
• Fang Cai & Song Han & Dan Li & Yi Li, 2016, "Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-091, Oct, DOI: 10.17016/FEDS.2016.091.
• Paul Borochin & Jie Yang, 2016, "Options, Equity Risks, and the Value of Capital Structure Adjustments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-097, Oct, DOI: 10.17016/FEDS.2016.097.
• Colin C. Caines, 2016, "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1181, Oct, DOI: 10.17016/IFDP.2016.1181.
• Anna L. Paulson & Richard J. Rosen, 2016, "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-4, Mar.
• Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016, "The Term Structure and Inflation Uncertainty," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-22, Dec.
• Taeyoung Doh & Shu Wu, 2016, "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 16-11, Nov, DOI: 10.18651/RWP2016-11.
• Saroj Bhattarai & Christopher J. Neely, 2016, "An Analysis of the Literature on International Unconventional Monetary Policy," Working Papers, Federal Reserve Bank of St. Louis, number 2016-021, Nov, revised 04 May 2020, DOI: 10.20955/wp.2016.021.
• Ricardo Lagos & Shengxing Zhang, 2016, "Turnover Liquidity and the Transmission of Monetary Policy," Working Papers, Federal Reserve Bank of Minneapolis, number 734, May.
• Viktoria Baklanova & Cecilia R. Caglio & Marco Cipriani & Adam Copeland, 2016, "The use of collateral in bilateral repurchase and securities lending agreements," Staff Reports, Federal Reserve Bank of New York, number 758, Jan.
• Peter Van Tassel, 2016, "Merger options and risk arbitrage," Staff Reports, Federal Reserve Bank of New York, number 761, Jan.
• Nina Boyarchenko & Valentin Haddad & Matthew Plosser, 2016, "The Federal Reserve and market confidence," Staff Reports, Federal Reserve Bank of New York, number 773, Apr.
• David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Staff Reports, Federal Reserve Bank of New York, number 774, Apr.
• Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016, "The term structure of expectations and bond yields," Staff Reports, Federal Reserve Bank of New York, number 775, May.
• Michael J. Fleming & Seema Saggar & Samita Sareen, 2016, "Trading activity in the Indian government bond market," Staff Reports, Federal Reserve Bank of New York, number 785, Aug.
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2016, "Global price of risk and stabilization policies," Staff Reports, Federal Reserve Bank of New York, number 786, Aug.
• Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2016, "Characteristic-Sorted Portfolios: Estimation and Inference," Staff Reports, Federal Reserve Bank of New York, number 788, Aug.
• Peter Van Tassel & Erik Vogt, 2016, "Global variance term premia and intermediary risk appetite," Staff Reports, Federal Reserve Bank of New York, number 789, Aug.
• Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016, "Market liquidity after the financial crisis," Staff Reports, Federal Reserve Bank of New York, number 796, Oct.
• Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016, "Intraday market making with overnight inventory costs," Staff Reports, Federal Reserve Bank of New York, number 799, Oct.
• Tobias Adrian & Nina Boyarchenko & Or Shachar, 2016, "Dealer balance sheets and bond liquidity provision," Staff Reports, Federal Reserve Bank of New York, number 803, Dec.
• Tobias Adrian & Fernando M. Duarte, 2016, "Financial vulnerability and monetary policy," Staff Reports, Federal Reserve Bank of New York, number 804, Dec.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_04, Apr.
• Wen-Jun Xue & Li-Wen Zhang, 2016, "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers, Florida International University, Department of Economics, number 1605, Oct.
• Abramov Alexander, 2016, "Financial Markets and Financial Institutions in Russia in 2015," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2016-265, revised 2016.
• Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016, "Monetary Policy and Corporate Bond Returns," Working Papers, Business School - Economics, University of Glasgow, number 2016_05, Jan.
• Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016, "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:84999.
• Nicolas Brisset, 2016, "On Performativity: Option Theory and the Resistance of Financial Phenomena," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2016-31, Oct.
• Nadarajah Sivathaasan & Searat Ali & Benjamin Liu & Allen Huang, 2016, "Stock liquidity, corporate governance, and leverage: New panel evidence," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201603, Mar.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• Emilios C. Galariotis & Styliani-Iris Krokida & Spyros I. Spyrou, 2016, "Bond market investor herding: Evidence from the European financial crisis," Post-Print, HAL, number hal-01333218, Dec, DOI: 10.1016/j.irfa.2015.01.001.
• François Legendre & Djibril Togola, 2016, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print, HAL, number hal-01342195, May, DOI: 10.1016/j.econmod.2016.03.029.
• Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016, "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print, HAL, number hal-01358715, Oct, DOI: 10.1016/j.jfs.2016.08.005.
• Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem, 2016, "Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market," Post-Print, HAL, number hal-01363700, Sep.
• Nicolas Boitout & Imane El Ouadghiri & Valérie Mignon, 2016, "On the impact of macroeconomic news surprises on Treasury-bond returns," Post-Print, HAL, number hal-01386014.
• Imane El Ouadghiri & Remzi Uctum, 2016, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01386027, DOI: 10.1016/j.econmod.2015.12.025.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2016, "Effects of financial turmoil on financial integration and risk premia in emerging markets," Post-Print, HAL, number hal-01386052.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," Post-Print, HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• Gilles Dufrénot & Karine Gente & Frédia Monsia, 2016, "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Post-Print, HAL, number hal-01440301, Oct, DOI: 10.1016/j.jimonfin.2016.04.002.
• Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016, "Do We Need High Frequency Data to Forecast Variances?," Post-Print, HAL, number hal-01448237, Dec, DOI: 10.15609/annaeconstat2009.123-124.0.
• Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016, "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print, HAL, number hal-01500712, DOI: 10.15609/annaeconstat2009.123-124.0.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print, HAL, number hal-01512779.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print, HAL, number hal-01512780.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016, "Rock around the Clock : An agent-based model of low- and high-frequency trading," Post-Print, HAL, number hal-01512863, DOI: 10.1007/s00191-015-0418-4.
• Thanh Huong Dinh & Jean-François Gajewski & Duc Khuong Nguyen, 2016, "Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach," Post-Print, HAL, number hal-01591435.
• Sébastien Galanti & Françoise Le Quere, 2016, "Quelles incidences d'un élargissement du rôle des fonds d'investissement collectifs ?," Post-Print, HAL, number hal-01724268.
• François Le Grand & Xavier Ragot, 2016, "Incomplete markets and derivative assets," Post-Print, HAL, number hal-02313331, Aug.
• Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016, "Intraday jumps and trading volume: a nonlinear Tobit specification," Post-Print, HAL, number hal-02358454, Nov, DOI: 10.1007/s11156-015-0534-0.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between conservatism and pragmatism," Post-Print, HAL, number hal-03318509.
• Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016, "Direct comparison of agent-based models of herding in financial markets," Post-Print, HAL, number hal-03604749, Dec, DOI: 10.1016/j.jedc.2016.10.005.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2016, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-04590596, Jun.
• Duc Khuong Nguyen & Thanh Huong Dinh & Jean-François Gajewski, 2016, "Analyst earnings forecasts, individual investors' expectations and trading volume: An experimental approach," Post-Print, HAL, number hal-04732872, Mar.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between Conservatism and Pragmatism," Post-Print, HAL, number hal-05234144.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016, "Ambiguity and the historical equity premium," Post-Print, HAL, number halshs-00594096, Apr.
• Souleymane Laminou Abdou & Franck Moraux, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print, HAL, number halshs-01242610, Jan, DOI: 10.1016/j.jbankfin.2015.10.003.
• Romain Boulland & François Degeorge & Edith Ginglinger, 2016, "News Dissemination and Investor Attention," Post-Print, HAL, number halshs-01316170, DOI: 10.1093/rof/rfw018.
• François Legrand & Xavier Ragot, 2015, "Incomplete markets and derivative assets," Post-Print, HAL, number halshs-01513312, DOI: 10.1007/s00199-015-0912-9.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• François Legrand & Xavier Ragot, 2015, "Incomplete markets and derivative assets," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-01513312, DOI: 10.1007/s00199-015-0912-9.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po Economics Publications (main), HAL, number hal-03459346, Apr.
• Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016, "Direct comparison of agent-based models of herding in financial markets," Sciences Po Economics Publications (main), HAL, number hal-03604749, Dec, DOI: 10.1016/j.jedc.2016.10.005.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between Conservatism and Pragmatism," Sciences Po Economics Publications (main), HAL, number hal-05234144.
• Albert Menkveld & Marius Andrei Zoican, 2016, "Need for Speed? Exchange Latency and Liquidity," Working Papers, HAL, number hal-01253615, Jan.
• Amélie Charles & Olivier Darné & Jae H. Kim, 2016, "Stock Return Predictability: Evaluation based on prediction intervals," Working Papers, HAL, number hal-01295037, Mar.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers, HAL, number hal-01512781.
• Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016, "On the (Ab)Use of Omega?," Working Papers, HAL, number hal-01697640, Jul.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers, HAL, number hal-03459346, Apr.
• Eichler, Stefan & Roevekamp, Ingmar, 2016, "A market-based indicator of currency risk: Evidence from American Depositary Receipts," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-572, Feb.
• Benes, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2016, "Interactions among High-Frequency Traders," Working Papers in Economics, University of Gothenburg, Department of Economics, number 680, Dec.
• Simatele, Munacinga & Sjö, Bo & Sweeny, Richard, 2016, "Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust," LiU Working Papers in Economics, Linköping University, Division of Economics, Department of Management and Engineering, number 2, Feb.
• Hjort, Ingrid, 2016, "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum, Oslo University, Department of Economics, number 01/2016, Feb.
• de Oliveira Souza, Thiago, 2016, "The size premium and intertemporal risk," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 3/2016, Jun.
• Elmhjellen, Magne & Osmundsen, Petter, 2016, "Oil project selection by metrics," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/5, May.
• Valseth, Siri, 2016, "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/13, Nov.
• Misund, Bard, 2016, "Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/17, Dec.
• Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2016, "Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation," Umeå Economic Studies, Umeå University, Department of Economics, number 923, Mar.
• Liu, Yuna, 2016, "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies, Umeå University, Department of Economics, number 926, May.
• Sergey Egiev, 2016, "On Persistence of Uncertainty Shocks," HSE Working papers, National Research University Higher School of Economics, number WP BRP 144/EC/2016.
• Miyakawa, Daisuke & Shimizu, Chihiro & Uesugi, Iichiro, 2016, "Geography and Realty Prices: Evidence from International Transaction-Level Data," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 52, Mar.
• 江上, 雅彦 & 細野, 薫, 2016, "証券化による発行者の資産リスクの変動と資本市場の評価―J-Reitのケース・スタディ―," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 54, Mar.
• Ahmed Salhin & Mo Sherif & Edward Jones, 2016, "Investor Sentiment and Sector Returns," CFI Discussion Papers, Centre for Finance and Investment, Heriot Watt University, number 1602.
• Olha Karasyk & Maksym Petriuk, 2016, "Methods of Venture Investment Projects Assessment for Enterprises of Agricultural Sector," Oblik i finansi, Institute of Accounting and Finance, issue 1, pages 110-116, March.
• Jeffry Haber, 2016, "Spliced Correlation: Theory Development," Global Journal of Business Research, The Institute for Business and Finance Research, volume 10, issue 1, pages 65-69.
• Mohamad Jais & Chandana Gunathilaka, 2016, "Illiquidity Exposure Of Size And Value In Malaysian Equity Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 2, pages 81-90.
• Bala Arshanapalli & William Nelson, 2016, "Testing For Stock Price Bubbles: A Review Of Econometric Tools," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 4, pages 29-42.
• Daniel Botero Guzmán & Carlos Enrique Vecino Arenas, 2016, "Estimating The Risk-Return Relationship In The International Stock Market, Estimaciã“N De La Relaciã“N Rentabilidadriesgo En El Mercado Accionario Internacional," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 9, issue 5, pages 1-13.
• Perraudin, William & Powell, Andrew & Yang, Peng, 2016, "Multilateral Development Bank Ratings and Preferred Creditor Status," IDB Publications (Working Papers), Inter-American Development Bank, number 7686, Jul, DOI: http://dx.doi.org/10.18235/0011741.
• Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016, "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers), Inter-American Development Bank, number 8588, Jun, DOI: http://dx.doi.org/10.18235/0000865.
• Climent Serrano, Salvador, 2016, "¿Quién Paga, Quién Gana? El Caso De La Venta Del Bdv / Who Pays, Who Wins? The Case Of The Sale Of Bdv," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 22, issue 1, pages 47-54.
• Peña-Cerezo, Miguel A. & Rodríguez-Castellanos, Arturo & Ibáñez-Hernández, Francisco J., 2016, "Primary Yield And Multitranche Structure In Securitization Issues:Explicative Factors. A Review / Rentabilidad Primaria Y Estructura Multitramo En Los Bonos De Titulización: Factores Determinantes. Un," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 22, issue 3, pages 111-116.
• Sven Steinkamp & Frank Westermann, 2016, "Multilateral loans and interest rates: further evidence on the seniority conundrum," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 105, Nov, revised 30 Nov 2016.
• Bojan Basrak & Petra Posedel & Marina Tkalec & Maruska Vizek, 2016, "Searching high and low: Extremal dependence of international sovereign bond markets," Working Papers, The Institute of Economics, Zagreb, number 1604, Jul.
• Alejandro Jara & Nestor Romero, 2016, "International Synchronicity of Housing Prices," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 31, issue 2, pages 115-134, October.
• Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba, 2016, "The Intraday Market Liquidity of Japanese Government Bond Futures," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-07, Jul.
• Toshiyuki Sakiyama & Tetsuya Yamada, 2016, "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-13, Oct.
• Mr. Tamon Asonuma, 2016, "Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics," IMF Working Papers, International Monetary Fund, number 2016/037, Feb.
• Deniz Anginer & Mr. Eugenio M Cerutti & Maria Soledad Martinez Peria, 2016, "Foreign Bank Subsidiaries’ Default Risk during the Global Crisis: What Factors Help Insulate Affiliates from their Parents?," IMF Working Papers, International Monetary Fund, number 2016/109, Jun.
• Mauricio Cervantes & Miguel Ángel Montoya & L. Arturo Bernal Ponce, 2016, "Effect of the Business Cycle on Investment Strategies: Evidence from Mexico," 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 11, issue 2, pages 39-49, Julio-Sep.
• Manuel Andrés Martínez Patiño & Miller Janny Ariza Garzón, 2016, "Pronóstico de un título de renta fija en Colombia," 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 11, issue 3, pages 47-65, Octubre-D.
• Martin Geiger & Richard Hule, 2016, "Correlation and coordination risk," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2016-19, Jun.
• Eduardo Walker, 2016, "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 53, issue 1, pages 111-147, December.
• Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013, "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers, Department of Research, Ipag Business School, number 2013-35, Jan.
• Tsangyao Chang & Wen Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013, "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers, Department of Research, Ipag Business School, number 2013-36, Jan.
• López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016, "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 22, pages 75-103, primer se.
• Matthias Weber & John Duffy & Arthur Schram, 2016, "An Experimental Study of Bond Market Pricing," Working Papers, University of California-Irvine, Department of Economics, number 161701, Aug.
• António Afonso, & Manuel Reis, 2016, "Revisiting Sovereign Bond Spreads’Determinants in the EMU," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/08, Apr.
• Mariya Gubareva & Maria Rosa Borges, 2016, "Interest Rate (In)sensitivity of Emerging Market Corporate Debt: Economic Analysis based on 2002-2015 Empirical Evidence," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/21, Oct.
• Mariya Gubareva & Maria Rosa Borges, 2016, "Governed by the Cycle: Direct and Inverted Interest-Rate Sensitivity of Emerging Market Corporate Debt," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/22, Oct.
• NAKABAYASHI, Masaki, 2016, "Self-fulfilling Distortion and Ownership Structure: Market Discipline and Owner fs Dominance at the Dawn of the Japanese Capitalism," ISS Discussion Paper Series (series F), Institute of Social Science, The University of Tokyo, number f181, Sep, revised 05 Feb 2018.
• Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto, 2016, "How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market," IZA Discussion Papers, Institute of Labor Economics (IZA), number 9862, Apr.
• Maria Cristina Recchioni & Gabriele Tedeschi, 2016, "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2016/06.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2016, "Long-run expectations in a Learning-to-Forecast Experiment," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2016/26.
• Mohammad Jizi & Rabih Nehme & Aly Salama, 2016, "Do social responsibility disclosures show improvements on stock price?," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 2, pages 77-95, April-Jun.
• Ikechukwu Kelikume, 2016, "New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 5, pages 185-197, Special I.
• Othman Yong, 2016, "Cheap IPO: Does it matter?," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 5, pages 453-460, Special I.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2016-03, Dec.
• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016, "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, volume 12, issue 1, pages 29-53, February, DOI: 10.1007/s10436-015-0271-3.
• Dilip B. Madan, 2016, "Risk premia in option markets," Annals of Finance, Springer, volume 12, issue 1, pages 71-94, February, DOI: 10.1007/s10436-016-0273-9.
• Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016, "Relative asset price bubbles," Annals of Finance, Springer, volume 12, issue 2, pages 135-160, May, DOI: 10.1007/s10436-016-0274-8.
• Ryoichi Ikeda & Yoske Igarashi, 2016, "Credit risk analysis with creditor’s option to extend maturities," Annals of Finance, Springer, volume 12, issue 3, pages 275-304, December, DOI: 10.1007/s10436-016-0281-9.
• Kenneth Bruhn & Ninna Reitzel Jensen & Mogens Steffensen, 2016, "Smooth investment," Annals of Finance, Springer, volume 12, issue 3, pages 335-361, December, DOI: 10.1007/s10436-016-0283-7.
• Asheesh Pandey & Sanjay Sehgal, 2016, "Explaining Size Effect for Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 23, issue 1, pages 45-68, March, DOI: 10.1007/s10690-015-9208-0.
• Hassan Shareef & Santhakumar Shijin, 2016, "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 23, issue 2, pages 137-152, June, DOI: 10.1007/s10690-016-9212-z.
• Po-Jung Chen, 2016, "The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 23, issue 2, pages 203-227, June, DOI: 10.1007/s10690-016-9216-8.
• Guglielmo Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2016, "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," Computational Economics, Springer;Society for Computational Economics, volume 47, issue 2, pages 275-295, February, DOI: 10.1007/s10614-015-9484-9.
• Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016, "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 43, issue 1, pages 197-213, February, DOI: 10.1007/s10663-015-9300-8.
• Kevin Aretz & Marc Aretz, 2016, "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 1, pages 19-61, February, DOI: 10.1007/s11408-016-0263-y.
• Kevin Aretz & Marc Aretz, 2016, "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 1, pages 19-61, February, DOI: 10.1007/s11408-016-0263-y.
• Gideon Magnus, 2016, "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 2, pages 205-228, May, DOI: 10.1007/s11408-016-0265-9.
• Friedrich-Carl Franz & Tobias Regele, 2016, "Beating the DAX, MDAX, and SDAX: investment strategies in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 2, pages 161-204, May, DOI: 10.1007/s11408-016-0268-6.
• Gueorgui Konstantinov, 2016, "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 3, pages 337-365, August, DOI: 10.1007/s11408-016-0271-y.
• Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016, "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 4, pages 453-482, November, DOI: 10.1007/s11408-016-0277-5.
• Yunieta Nainggolan & Janice How & Peter Verhoeven, 2016, "Ethical Screening and Financial Performance: The Case of Islamic Equity Funds," Journal of Business Ethics, Springer, volume 137, issue 1, pages 83-99, August, DOI: 10.1007/s10551-014-2529-5.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, volume 50, issue 3, pages 363-386, December, DOI: 10.1007/s10693-015-0227-9.
• Brent Ambrose & Charles Cao & Walter D’Lima, 2016, "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, volume 52, issue 3, pages 197-225, April, DOI: 10.1007/s11146-015-9516-1.
• Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016, "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, volume 53, issue 4, pages 419-449, November, DOI: 10.1007/s11146-015-9531-2.
• M. Ariff & A. Zarei, 2016, "Exchange Rate Behavior of Canada, Japan, the United Kingdom and the United States," Open Economies Review, Springer, volume 27, issue 2, pages 341-357, April, DOI: 10.1007/s11079-015-9372-x.
• Fredj Jawadi, 2016, "What Have We Learned from the 2007-08 Financial Crisis? Papers Presented at the Second International Workshop on Financial Markets and Nonlinear Dynamics (Paris, June 4-5, 2015)," Open Economies Review, Springer, volume 27, issue 5, pages 819-823, November, DOI: 10.1007/s11079-016-9416-x.
• Emanuel Bagna & Enrico Cotta Ramusino, 2016, "Accounting-Based Valuation Using Market Multiples: The Case Of Cyclical Companies," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 126, Oct.
• Gabriel Rodriguez & Willy Alanya, 2016, "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-413.
• Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén, 2016, "Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-414.
• Gabriel Rodríguez & José Carlos Gonzáles Tanaka, 2016, "An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-415.
• Gabriel Rodríguez, 2016, "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cam," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-416.
• Murat Akbalik & K. Batu Tunay, 2016, "An Analysis Of Ramadan Effect By Gjr-Garch Model: Case Of Borsa Istanbul," Oeconomia Copernicana, Institute of Economic Research, volume 7, issue 4, pages 593-612, December, DOI: 10.12775/OeC.2016.033.
• Lai, Ping-fu (Brian) & Cho, Kwai-yee (Kevin), 2016, "Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market," Public Finance Quarterly, Corvinus University of Budapest, volume 61, issue 1, pages 110-123.
• Ewa Karwowski & Engelbert Stockhammer, 2016, "Financialisation in emerging economies: a systematic overview and comparison with Anglo-Saxon economies," Working Papers, Post Keynesian Economics Society (PKES), number PKWP1616, Aug.
• Ana Isabel Ramos Domingues & António de Melo da Costa Cerqueira & Elísio Fernando Moreira Brandão, 2016, "Idiosyncratic Volatility and Earnings Quality: Evidence from United Kingdom," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 579, Oct.
• João Alberto Contim Martins & Francisco Vitorino da Silva Martins & Elísio Fernando Moreira Brandão, 2016, "Momentum: Strategies, Size and Risk Factor," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 582, Nov.
• Hirshleifer, David & Sheng, Jinfei, 2016, "Macro News and Micro News: Complements or Substitutes?," MPRA Paper, University Library of Munich, Germany, number 108224, Dec, revised 08 Jun 2021.
• S, Suresh Kumar & V, Joseph James, 2016, "Precision in Predicting the Stock Prices –An Empirical Approach to Accuracy in Forecasting," MPRA Paper, University Library of Munich, Germany, number 109026, Jun.
• S R, Shehnaz & S, Suresh Kumar, 2016, "Gold prices and Nifty – Unravelling of an intricately interwoven nexus," MPRA Paper, University Library of Munich, Germany, number 109184, Jun.
• Steve, Heinke & Niels, Warmuth, 2016, "A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency," MPRA Paper, University Library of Munich, Germany, number 68715.
• Shaikh, Slam Ahmed, 2016, "Analysis & Test of Market Efficiency: A Case Study of KSE," MPRA Paper, University Library of Munich, Germany, number 68743, Jan.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016, "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper, University Library of Munich, Germany, number 68783, Jan.
• Blanco, Iván & Wehrheim, David, 2016, "The Bright Side of Financial Derivatives: Options Trading and Firm Innovation," MPRA Paper, University Library of Munich, Germany, number 69239, Feb.
• Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016, "Inflation expectations derived from a portfolio model," MPRA Paper, University Library of Munich, Germany, number 69489, Feb.
• Hattori, Takahiro & Miyake, Hiroki, 2016, "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper, University Library of Munich, Germany, number 69725, Feb.
• Charles, Amelie & Darne, Olivier & Kim, Jae, 2016, "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper, University Library of Munich, Germany, number 70143, Mar.
• Yoshida, Yushi & Susai, Masayuki, 2016, "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper, University Library of Munich, Germany, number 70291, Mar.
• Kim, Minseong, 2016, "Futures market approach to understanding equity premium puzzle," MPRA Paper, University Library of Munich, Germany, number 70310, Mar.
• Kim, Jae, 2016, "Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?," MPRA Paper, University Library of Munich, Germany, number 70692, Apr.
• García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando, 2016, "The recursive nature of KVA: KVA mitigation from KVA," MPRA Paper, University Library of Munich, Germany, number 70927, Apr.
• Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016, "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper, University Library of Munich, Germany, number 71454, May.
• Athanasios, Geromichalos & Kuk Mo, Jung, 2016, "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," MPRA Paper, University Library of Munich, Germany, number 71455, May.