Research classified by Journal of Economic Literature (JEL) codes

2016

• Hattori, Takahiro & Miyake, Hiroki, 2016, "Yield Curve for Japanese Agency Bonds: From 2002 to the Present," MPRA Paper, University Library of Munich, Germany, number 71487, May.
• Jiranyakul, Komain, 2016, "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper, University Library of Munich, Germany, number 71602, May.
• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016, "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper, University Library of Munich, Germany, number 71631, May.
• Fajardo, José, 2016, "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper, University Library of Munich, Germany, number 71813, May.
• Hasbullah, Faruq & Masih, Mansur, 2016, "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper, University Library of Munich, Germany, number 72149, Jun.
• Cuthbert, James R. & Magni, Carlo Alberto, 2016, "Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR," MPRA Paper, University Library of Munich, Germany, number 72857.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016, "The Impacts of the 2008 and 2011 Crises on the Japan REIT Market," MPRA Paper, University Library of Munich, Germany, number 73463, May.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 73533, Aug.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 73707, Aug.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 74010, Aug.
• Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung, 2016, "Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets," MPRA Paper, University Library of Munich, Germany, number 74344, Apr.
• Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016, "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper, University Library of Munich, Germany, number 74386, Oct.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 74615, Aug.
• Pandey, Ashish, 2016, "High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India," MPRA Paper, University Library of Munich, Germany, number 75254, Nov.
• Rosas-Martinez, Victor H., 2016, "Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles," MPRA Paper, University Library of Munich, Germany, number 75350, Oct.
• Byrne, Joseph & Fu, Rong, 2016, "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper, University Library of Munich, Germany, number 75366, Nov.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2016, "Common Information in Carry Trade Risk Factors," MPRA Paper, University Library of Munich, Germany, number 75367, Oct.
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva & Gallegati, Mauro, 2016, "Long-run expectations in a Learning-to-Forecast Experiment," MPRA Paper, University Library of Munich, Germany, number 75621.
• Valerio Filoso, Valerio & Panico, Carlo & Papagni, Erasmo & Francesco, Purificato & Vázquez Suarez, Marta, 2016, "Causes and timing of the European debt crisis: An econometric evaluation," MPRA Paper, University Library of Munich, Germany, number 75847, Dec.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 75869, Oct.
• Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016, "The Stock-Bond Comovements and Cross-Market Trading," MPRA Paper, University Library of Munich, Germany, number 75871, Sep.
• Xing, Victor, 2016, "Ultra-accommodative Monetary Policy and Unintentional Drags on Consumer Spending," MPRA Paper, University Library of Munich, Germany, number 77749, Apr.
• Toda, Alexis Akira & Walsh, Kieran James, 2016, "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper, University Library of Munich, Germany, number 78980, Nov.
• Farmer, Leland & Toda, Alexis Akira, 2016, "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," MPRA Paper, University Library of Munich, Germany, number 78981, Nov.
• Parker, Edgar, 2016, "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper, University Library of Munich, Germany, number 80039, Sep.
• Coskun, Yener & Seven, Unal, 2016, "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter)
  [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper, University Library of Munich, Germany, number 80263, May.
• Širůček, Martin & Galečka, Ondřej, 2016, "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper, University Library of Munich, Germany, number 80526, Jun.
• He, Qing & Qian, Zongxin & Fei, Zhe & Chong, Terence Tai Leung, 2016, "Do Speculative Bubbles Migrate in the Chinese Stock Market?," MPRA Paper, University Library of Munich, Germany, number 80575, Dec.
• Tan, Zekuang, 2016, "Application of Discounted Cash Flow Model Valuation – Wal-Mart," MPRA Paper, University Library of Munich, Germany, number 83903, Dec.
• Nauta, Bert-Jan, 2016, "Multi-Curve Discounting," MPRA Paper, University Library of Munich, Germany, number 85657, Apr, revised 20 Feb 2018.
• Otero, Karina V., 2016, "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper, University Library of Munich, Germany, number 86782.
• Olkhov, Victor, 2016, "On Hidden Problems of Option Pricing," MPRA Paper, University Library of Munich, Germany, number 87173, Aug.
• Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim, 2016, "Firm Complexity and Post-Earnings-Announcement Drift," MPRA Paper, University Library of Munich, Germany, number 89919, Apr, revised 09 Nov 2018.
• Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim, 2016, "Firm Complexity and Post-Earnings-Announcement Drift," MPRA Paper, University Library of Munich, Germany, number 91421, Apr, revised 14 Dec 2018.
• Nauta, Bert-Jan, 2016, "A Model for the Valuation of Assets with Liquidity Risk," MPRA Paper, University Library of Munich, Germany, number 92493, Sep.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2016, "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Working Papers, University of Pretoria, Department of Economics, number 201609, Feb.
• Nikolaos Antonakakis & Christina Christou & Juncal Cunado & Rangan Gupta, 2016, "Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area," Working Papers, University of Pretoria, Department of Economics, number 201616, Mar.
• Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar, 2016, "Periodically Collapsing Bubbles in the South African Stock Market," Working Papers, University of Pretoria, Department of Economics, number 201624, Mar.
• Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2016, "Is Inflation Persistence Different in Reality?," Working Papers, University of Pretoria, Department of Economics, number 201663, Aug.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2016, "The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa," Working Papers, University of Pretoria, Department of Economics, number 201689, Dec.
• Andrea Klimešová & Tomáš Václavík, 2016, "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 1, pages 15-32, DOI: 10.18267/j.aop.496.
• Jana Marková & Božena Hrvoľová, 2016, "Share Valuation Using the Comparative Method
  [Ohodnocovanie akcií porovnávacou metódou]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 6, pages 16-37, DOI: 10.18267/j.aop.544.
• Edyta Marcinkiewicz, 2016, "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 5, pages 547-559, DOI: 10.18267/j.pep.579.
• Dejan Živkov & Jovan Njegić & Vera Mirović, 2016, "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 6, pages 686-705, DOI: 10.18267/j.pep.591.
• Božena Chovancová & Peter Árendáš, 2016, "Akciový trh verzus reálna ekonomika a jej indikátor HDP
  [The Stock Market versus the Real Economy and its Indicator GDP]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 8, pages 939-952, DOI: 10.18267/j.polek.1119.
• Pongsak Luangaram & Athakrit Thepmongkol, 2016, "Macroprudential Policy in a Bubble-Creation Economy," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 22, Mar.
• Jakree Koosakul, 2016, "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 30, Jun.
• Allen Head & Huw Lloyd-Ellis, 2016, "Has Canadian House Price Growth Been Excessive?," Working Paper, Economics Department, Queen's University, number 1331, Jan.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2016, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 780, Jan.
• Elise Gourier, 2016, "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 781, Jan.
• Gordon Y. Liao, 2016, "Credit Migration and Covered Interest Rate Parity," Working Paper, Harvard University OpenScholar, number 468601, Oct.
• Spyridon Vrontos, 2016, "Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach," Bankers, Markets & Investors, ESKA Publishing, issue 140, pages 20-32, January-F.
• Boris Fays & Georges Hübner & Marie Lambert, 2016, "New Insight on the Performance of Equity Long/short Investment Styles," Bankers, Markets & Investors, ESKA Publishing, issue 140, pages 34-45, January-F.
• Nick Baltas, 2016, "Multi-Asset Seasonality and Trend-Following Strategies," Bankers, Markets & Investors, ESKA Publishing, issue 140, pages 47-62, January-F.
• Thanh Huong Dinh & Jean-François Gajewski & Duc Khuong Nguyen, 2016, "Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach," Bankers, Markets & Investors, ESKA Publishing, issue 141, pages 20-34, March-Apr.
• Sylvain Marsat & Benjamin Williams, 2016, "Does the Market Value the Social Dimension? International Evidence," Bankers, Markets & Investors, ESKA Publishing, issue 142, pages 28-40, May-June.
• Peter De Goeij & Jiehui Hu, 2016, "Is Macroeconomic Announcement News Priced?," Bankers, Markets & Investors, ESKA Publishing, issue 143, pages 4-17, July-Augu.
• Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem, 2016, "Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 44-58, September.
• Christian A. L. Hilber, Olivier Schoeni, 2016, "The Housing Market Impacts of Constraining Second Home Investments," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft - CRED, number credresearchpaper11, Aug.
• Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016, "Code and data files for "Generational Asset Pricing, Equity Puzzles, and Cyclicality"," Computer Codes, Review of Economic Dynamics, number 13-198, revised .
• Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016, "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 22, pages 52-71, October, DOI: 10.1016/j.red.2016.06.003.
• Mark Huggett & Greg Kaplan, 2016, "How Large is the Stock Component of Human Capital?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 22, pages 21-51, October, DOI: 10.1016/j.red.2016.06.002.
• Pierre-Olivier Weill & Benjamin Lester & Julien Hugonnier, 2016, "Heterogeneity in decentralized asset markets," 2016 Meeting Papers, Society for Economic Dynamics, number 1014.
• Adrien Verdelhan & Hanno Lustig, 2016, "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers, Society for Economic Dynamics, number 1183.
• Alessandro Dovis & Luigi Bocola, 2016, "Self_fulfilling Debt Crises: A Quantitative Analysis," 2016 Meeting Papers, Society for Economic Dynamics, number 1218.
• Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2016, "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," 2016 Meeting Papers, Society for Economic Dynamics, number 1224.
• Ina Simonovska & Espen Henriksen & Joel David, 2016, "The Risky Capital of Emerging Markets," 2016 Meeting Papers, Society for Economic Dynamics, number 125.
• Semih Uslu, 2016, "Pricing and Liquidity in Decentralized Asset Markets," 2016 Meeting Papers, Society for Economic Dynamics, number 128.
• Ina Simonovska & Joel David, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers, Society for Economic Dynamics, number 130.
• Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016, "Volatility Risk Pass-Through," 2016 Meeting Papers, Society for Economic Dynamics, number 135.
• Michael Weber & Ali Ozdagli, 2016, "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers, Society for Economic Dynamics, number 148.
• Aaron Hedlund & Carlos Garriga, 2016, "Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession," 2016 Meeting Papers, Society for Economic Dynamics, number 1564.
• Shengxing Zhang & Ricardo Lagos, 2016, "Turnover Liquidity and the Transmission of Monetary Policy," 2016 Meeting Papers, Society for Economic Dynamics, number 1569.
• Cecilia Parlatore & Ana Babus, 2016, "Strategic Fragmented Markets," 2016 Meeting Papers, Society for Economic Dynamics, number 1582.
• Jan Werner, 2016, "Speculative Trade under Ambiguity," 2016 Meeting Papers, Society for Economic Dynamics, number 1607.
• Illenin Kondo & Fabrizio Perri & Sewon Hur, 2016, "Inflation, Debt, and Default," 2016 Meeting Papers, Society for Economic Dynamics, number 1610.
• Anastasia Zervou, 2016, "Monetary Policy Rules and the Equity Premium," 2016 Meeting Papers, Society for Economic Dynamics, number 1624.
• Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016, "Currency Risk Factors in a Recursive Multi-Country Economy," 2016 Meeting Papers, Society for Economic Dynamics, number 297.
• Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016, "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers, Society for Economic Dynamics, number 432.
• Lucas Herrenbrueck, 2016, "Quantitative Easing and the Liquidity Channel of Monetary Policy," 2016 Meeting Papers, Society for Economic Dynamics, number 767.
• David Sraer & Valentin Haddad, 2016, "The Banking View of Bond Risk Premia," 2016 Meeting Papers, Society for Economic Dynamics, number 814.
• Tao Zha & Jue Ren & Kaiji Chen, 2016, "What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending," 2016 Meeting Papers, Society for Economic Dynamics, number 82.
• Lasse Pedersen & David Lando & Christian Skov Jensen, 2016, "Generalized Recovery," 2016 Meeting Papers, Society for Economic Dynamics, number 935.
• Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016, "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 18, issue 59, pages 73-94, March.
• Osama M. Badr & Ahmed F. El-khadrawi, 2016, "Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt," Applied Economics and Finance, Redfame publishing, volume 3, issue 4, pages 29-36, November.
• David Su & Xin Li & Oana-Ramona Lobonþ & Yanping Zhao, 2016, "Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 34, issue 1, pages 43-61.
• Rubab Khan & Hijaab Zahra, 2016, "Impact of Domestic Interest Rate on Foreign Direct Investment (A case study of Pakistan)," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), volume 5, issue 4, pages 220-230, December.
• Michael Ellington & Chris Florackis & Costas Milas, 2016, "Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR," Working Paper series, Rimini Centre for Economic Analysis, number 16-28, Dec.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, volume 92, issue 1-2, pages 351-383.
• Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2016, "Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies," ADBI Working Papers, Asian Development Bank Institute, number 590, Sep.
• Riza Emekter & Benjamas Jirasakuldech, 2016, "A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 1-19.
• Feyyaz Zeren & Filiz Konuk, 2016, "The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 21-29.
• Yener Coşkun & A. Öznur Ümit, 2016, "Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 47-69.
• Ali Bayrakdaroğlu & Çağatay Mirgen, 2016, "The Impact of Brand Value on Stock Returns: A Empirical Research on the BİST," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 3, pages 111-123.
• Georges Dionne & Xiaozhou Zhou, 2016, "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 15-5, Jan.
• Cedric Okou & Olfa Maalaoui Chun & Georges Dionne & Jingyuan Li, 2016, "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 16-1, May.
• Gabriel Yergeau, 2016, "Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 16-3, Sep.
• André Kurmann & Stanislav Rabinovich, 2016, "Dynamic Inefficiency in Decentralized Capital Markets," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2016-1, Feb.
• Marco Airaudo, 2016, "Endogenous Stock Price Fluctuations with Dynamic Self-Control Preferences," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2016-2, Jan.
• Refk Selmi & Jamal Bouoiyour;, 2016, "Testing for Frequency Causality between Oil Price and BRICS Stock Markets: A Comparative Analysis," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 31, issue 3, pages 547-568.
• M. Kabir Hassan & Selim Kayhana & Tayfur Bayatb, 2016, "The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is there any Difference between Islamic and Conventional ETFs?," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 24, pages 45-76.
• Mateo Velásquez & Juan Gutiérrez & Paula Almonacid, 2016, "Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 21, issue 41, pages 73-80.
• Benjamin Jessel & Tommy Marshall, 2016, "Get Bold with Blockchain," Journal of Financial Transformation, Capco Institute, volume 43, pages 15-20.
• Andrew Freeman & D. Sykes Wilford, 2016, "Private Equity Capital Commitments: An Options- Private Equity Capital Commitments: An Options-Theoretic Risk Management Approach," Journal of Financial Transformation, Capco Institute, volume 43, pages 106-117.
• Ewa Karwowski & Engelbert Stockhammer, 2016, "Financialisation in Emerging Economies: A Systematic Overview and Comparison with Anglo-Saxon Economies," Economics Discussion Papers, School of Economics, Kingston University London, number 2016-11, Aug.
• Parviz Mohamadzadeh & Hossein Panahi & Seyed Ali Aleemran, 2016, "The Relationship between Land Prices and Housing Prices in Iran," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 3, issue 1, pages 89-114.
• Cheng Liu & Ningning Xia & Jun Yu, 2016, "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2016, Nov.
• Natalia Campos & Francisco Jareño & Marta Tolentino, 2016, "Interest Rate Risk Analysis with Multifactor Model: The US case," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 14-22, March.
• Adam Zaremba, 2016, "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 88-103, March.
• Murad A. BEIN & Mehmet AGA, 2016, "On the Linkage between the International Crude Oil Price and Stock Markets: Evidence from the Nordic and Other European Oil Importing and Oil Exporting Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 115-134, December.
• Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016, "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 146-169, December.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio D'Alò, 2016, "Fishing the Corporate Social Responsibility Risk Factors," CEIS Research Paper, Tor Vergata University, CEIS, number 368, Feb, revised 07 Feb 2017.
• Adam Zaremba & Przemys³aw Konieczka, 2016, "Paper profits from value, size and momentum: evidence from the Polish market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 11, issue 3, pages 58-69, February.
• Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016, "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 12, issue 2, pages 23-35, October.
• Daniel Chai & Binh Do, 2016, "Co-existence of short-term reversals and momentum in the Australian equity market," Australian Journal of Management, Australian School of Business, volume 41, issue 1, pages 55-76, February, DOI: 10.1177/0312896214535789.
• Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016, "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, volume 41, issue 2, pages 324-352, May, DOI: 10.1177/0312896214539816.
• Bin Liu & Amalia Di Iorio, 2016, "The pricing of idiosyncratic volatility: An Australian study," Australian Journal of Management, Australian School of Business, volume 41, issue 2, pages 353-375, May, DOI: 10.1177/0312896214541554.
• Кучин И. И., 2016, "Учет фактора валютного риска в теории ценообразования активов. Exchange rate risk exposure in asset pricing theory," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, volume 16, issue 3, pages 31-41.
• Tommaso Oliviero & Annalisa Scognamiglio, 2016, "Property Tax and Property Values: Evidence from the 2012 Italian Tax Reform," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 439, Apr, revised 12 Mar 2018.
• Elif Akben-Selcuk, 2016, "Granger Causality between Stock Prices and Trading Volume: Evidence from Turkey," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3505908, Apr.
• Spyros Spyrou & Emilios Galariotis & Panagiota Makrichoriti, 2016, "Sovereign CDS Spread Determinants and Spill-Over Effects," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3606062, May.
• Tariq Aziz & Valeed Ahmad Ansari, 2016, "Idiosyncratic risk and stock returns: a quantile regression approach," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205769, Mar.
• Michał Rubaszek, 2016, "Forecasting the Yield Curve With Macroeconomic Variables," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 1, issue 1, pages 1-21, June, DOI: 10.33119/ERFIN.2016.1.1.1.
• Bradley A. Jones, 2016, "Spotting Bubbles: A Two-Pillar Framework for Policy Makers," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 6, pages 90-112, June, DOI: 10.7172/2353-6845.jbfe.2016.2.5.
• Divya Jindal & Ravi Singla, 2016, "A Study Of The Impact Of The Indian Stock Market Crash Of 2008 On Ipos Listed On The National Stock Exchange," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 8, issue 3 (Decemb, pages 359-374.
• Teodor Sedlarski & Gergana Dimitrova, 2016, "The Global Financial Crisis from the perspective of Behavioral Finance," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, volume 13, issue 1, pages 247-268, September.
• Angelo Ranaldo & Enzo Rossi, 2016, "Uniform-price auctions for Swiss government bonds: Origin and evolution," Economic Studies, Swiss National Bank, number 2016-10.
• Severin Bernhard & Till Ebner, 2016, "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers, Swiss National Bank, number 2016-09.
• Nikola Mirkov & Igor Pozdeev & Paul Söderlind, 2016, "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers, Swiss National Bank, number 2016-10.
• Silvio Schumacher, 2016, "Networks and lending conditions: Empirical evidence from the Swiss franc money markets," Working Papers, Swiss National Bank, number 2016-12.
• Adrian Jäggi & Martin Schlegel & Attilio Zanetti, 2016, "Macroeconomic surprises, market environment and safe-haven currencies," Working Papers, Swiss National Bank, number 2016-15.
• Jonas Meuli & Thomas Nellen & Thomas Nitschka, 2016, "Securitisation, loan growth and bank funding: the Swiss experience since 1932," Working Papers, Swiss National Bank, number 2016-18.
• Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016, "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
• Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno, 2016, "Risk premia estimation in Brazil: wait until 2041," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2016_38, Dec.
• Stylianos X. Koufadakis, 2016, "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 66, issue 1-2, pages 108-135, January-J.
• D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016, "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 24, issue 4, pages 989-1007, December, DOI: 10.1007/s10100-015-0415-6.
• Karl Michael Ortmann, 2016, "The link between the Shapley value and the beta factor," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 39, issue 2, pages 311-325, November, DOI: 10.1007/s10203-016-0178-0.
• Klaus Grobys & Jesper Haga, 2016, "The market price of credit risk and economic states," Empirical Economics, Springer, volume 50, issue 3, pages 1111-1134, May, DOI: 10.1007/s00181-015-0952-9.
• Philip Hans Franses & Wouter Knecht, 2016, "The late 1970s bubble in Dutch collectible postage stamps," Empirical Economics, Springer, volume 50, issue 4, pages 1215-1228, June, DOI: 10.1007/s00181-015-0974-3.
• Vipin Arora & Shuping Shi, 2016, "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, volume 50, issue 4, pages 1421-1433, June, DOI: 10.1007/s00181-015-0976-1.
• Jacques Peeperkorn & Yudhvir Seetharam, 2016, "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 6, issue 1, pages 117-139, April, DOI: 10.1007/s40821-015-0038-9.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Peter Bank & Selim Gökay, 2016, "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, volume 20, issue 1, pages 153-182, January, DOI: 10.1007/s00780-015-0278-7.
• Eyal Neuman & Alexander Schied, 2016, "Optimal portfolio liquidation in target zone models and catalytic superprocesses," Finance and Stochastics, Springer, volume 20, issue 2, pages 495-509, April, DOI: 10.1007/s00780-015-0280-0.
• Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016, "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, volume 20, issue 2, pages 267-320, April, DOI: 10.1007/s00780-016-0291-5.
• Pierre Henry-Labordère & Nizar Touzi, 2016, "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, volume 20, issue 3, pages 635-668, July, DOI: 10.1007/s00780-016-0299-x.
• Damir Filipović & Martin Larsson, 2016, "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, volume 20, issue 4, pages 931-972, October, DOI: 10.1007/s00780-016-0304-4.
• Stéphane Crépey & Shiqi Song, 2016, "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, volume 20, issue 4, pages 901-930, October, DOI: 10.1007/s00780-016-0305-3.
• Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016, "The digital agenda of virtual currencies: Can BitCoin become a global currency?," Information Systems and e-Business Management, Springer, volume 14, issue 4, pages 883-919, November, DOI: 10.1007/s10257-016-0304-0.
• Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016, "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, volume 86, issue 1, pages 103-129, January, DOI: 10.1007/s11573-015-0791-3.
• Marko Volker Krause & Alexander Lahmann, 2016, "Reconsidering the appropriate discount rate for tax shield valuation," Journal of Business Economics, Springer, volume 86, issue 5, pages 477-512, July, DOI: 10.1007/s11573-015-0782-4.
• Nader Virk & Hilal Butt, 2016, "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 68-84, January, DOI: 10.1007/s12197-014-9297-z.
• Hervé Crès & Tobias Markeprand & Mich Tvede, 2016, "Incomplete financial markets and jumps in asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 1, pages 201-219, June, DOI: 10.1007/s00199-015-0884-9.
• Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2016, "Over-the-counter trade and the value of assets as collateral," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 443-475, August, DOI: 10.1007/s00199-015-0904-9.
• François Grand & Xavier Ragot, 2016, "Incomplete markets and derivative assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 517-545, August, DOI: 10.1007/s00199-015-0912-9.
• Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016, "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 587-633, August, DOI: 10.1007/s00199-015-0922-7.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016, "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, volume 26, issue 1, pages 49-76, March, DOI: 10.1007/s00191-015-0418-4.
• Michele Berardi, 2016, "Endogenous time-varying risk aversion and asset returns," Journal of Evolutionary Economics, Springer, volume 26, issue 3, pages 581-601, July, DOI: 10.1007/s00191-015-0435-3.
• Carlos Pinho & Mara Madaleno, 2016, "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 15, issue 2, pages 79-97, August, DOI: 10.1007/s10258-016-0117-6.
• Huang, Alex YiHou, 2016, "Impacts of implied volatility on stock price realized jumps," Economic Systems, Elsevier, volume 40, issue 4, pages 622-630, DOI: 10.1016/j.ecosys.2016.02.007.
• Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016, "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, volume 27, issue C, pages 118-139, DOI: 10.1016/j.ememar.2016.05.001.
• Kocsis, Zalan & Monostori, Zoltan, 2016, "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, volume 27, issue C, pages 140-168, DOI: 10.1016/j.ememar.2016.05.003.
• Mnasri, Ayman & Nechi, Salem, 2016, "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, volume 28, issue C, pages 184-202, DOI: 10.1016/j.ememar.2016.08.002.
• Westerlund, Joakim & Thuraisamy, Kannan, 2016, "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, volume 28, issue C, pages 44-60, DOI: 10.1016/j.ememar.2016.06.003.
• Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016, "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, volume 29, issue C, pages 246-273, DOI: 10.1016/j.ememar.2016.08.006.
• Deng, Qi & Zhou, Zhong-guo, 2016, "Overreaction in ChiNext IPOs' initial returns: How much and what caused it?," Emerging Markets Review, Elsevier, volume 29, issue C, pages 82-103, DOI: 10.1016/j.ememar.2016.08.012.
• Brown, William O. & Huang, Dayong & Wang, Fang, 2016, "Inflation illusion and stock returns," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 14-24, DOI: 10.1016/j.jempfin.2015.11.001.
• Lepori, Gabriele M., 2016, "Air pollution and stock returns: Evidence from a natural experiment," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 25-42, DOI: 10.1016/j.jempfin.2015.10.008.
• Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin, 2016, "A risk-return explanation of the momentum-reversal “anomaly”," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 68-77, DOI: 10.1016/j.jempfin.2015.10.007.
• Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2016, "Is there a bubble in the art market?," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 99-109, DOI: 10.1016/j.jempfin.2015.10.010.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2016, "On the properties of the constrained Hansen–Jagannathan distance," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 121-150, DOI: 10.1016/j.jempfin.2015.10.001.
• Byun, Sung Je, 2016, "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2016.01.013.
• Cejnek, Georg & Randl, Otto, 2016, "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 181-198, DOI: 10.1016/j.jempfin.2016.01.017.
• Ghonghadze, Jaba & Lux, Thomas, 2016, "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 1-19, DOI: 10.1016/j.jempfin.2016.02.002.
• Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip, 2016, "Public news arrival and the idiosyncratic volatility puzzle," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 159-172, DOI: 10.1016/j.jempfin.2016.03.001.
• Aboulamer, Anas & Kryzanowski, Lawrence, 2016, "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 20-36, DOI: 10.1016/j.jempfin.2016.02.005.