Research classified by Journal of Economic Literature (JEL) codes

2016

• Velimir Lukić, 2016, "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 71-97.
• Jędrzej Białkowski & Laura T. Starks, 2016, "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/11, Mar.
• Jędrzej Białkowski & Ehud I. Ronn, 2016, "Financial Markets in the Face of the Apocalypse," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/14, Apr.
• Elisa Luciano & Riccardo Giacomelli, 2016, "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 445.
• Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016, "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 449.
• Michael Hasler & Roberto Marfè, 2016, "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 458.
• Roberto Marfè, 2016, "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 459.
• Roberto Marfè, 2016, "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 460.
• Roberto Marfè, 2016, "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 461.
• Roberto Marfè & Julien Penasse, 2016, "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 463.
• Elisa Luciano & Antonella Tolomeo, 2016, "Equilibrium bid-ask spreads and the effect of competitive trading delays," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 467.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2016, "The Strategic Determination of the Supply of Liquid Assets," Working Papers, University of California, Davis, Department of Economics, number 183, May.
• Toda, Alexis Akira, 2016, "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4gm143d8, Sep.
• Christian A. L. Hilber & Olivier Schöni, 2016, "The Housing Market Impacts of Constraining Second Home Investments," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0204, Aug.
• Suren Vardanyan, 2016, "Contagion in Experimental Financial Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp580, Dec.
• Walter Kraemer, 2016, "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series, CESifo, number 5806.
• Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series, CESifo, number 5812.
• Burkhard Heer & Alfred Maussner & Halvor Ruf, 2016, "Q-Targeting in New Keynesian Models," CESifo Working Paper Series, CESifo, number 5854.
• Guglielmo Maria Caporale & Alex Plastun, 2016, "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series, CESifo, number 5877.
• Magne Emhjellen & Petter Osmundsen, 2016, "Oil Project Selection by Metrics," CESifo Working Paper Series, CESifo, number 5898.
• Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel & Sam Ruiqing Cao, 2016, "Social Networks and Housing Markets," CESifo Working Paper Series, CESifo, number 5905.
• Michael Weber & Michael Weber, 2016, "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series, CESifo, number 6043.
• Andreas Neuhierl & Michael Weber & Michael Weber, 2016, "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series, CESifo, number 6199.
• Sven Steinkamp & Frank Westermann, 2016, "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," CESifo Working Paper Series, CESifo, number 6225.
• M. Hashem Pesaran & Ida Johnsson, 2016, "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series, CESifo, number 6272.
• Giovanni Cespa & Xavier Vives, 2016, "Market Transparency and Fragility," CESifo Working Paper Series, CESifo, number 6279.
• Nadjeschda Katharina Arnold, 2016, "The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 66, April.
• Shin-ichi Fukuda & Mariko Tanaka, 2016, "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-401, Nov.
• Gabor Pinter, 2016, "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers, Centre for Macroeconomics (CFM), number 1623, Aug, revised Apr 2017.
• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Beliefs Aggregation and Return Predictability," Working Papers, Center for Economic and Financial Research (CEFIR), number w0231, Aug.
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016, "Invariance of buy-sell switching points," Working Papers, Center for Economic and Financial Research (CEFIR), number w0232, Oct.
• Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 2, in: Elías Albagli & Diego Saravia & Michael Woodford, "Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World".
• Paul Schneider, 2015, "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-61, Dec.
• Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016, "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-01, Jan.
• Martin HERDEGEN & Martin SCHWEIZER, 2016, "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-02, Jan.
• Markus Leippold & Steven Schaerer, 2016, "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-15, Mar.
• Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016, "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-22, Mar, revised Jun 2016.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016, "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-23, Mar.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-24, Mar.
• Damien Ackerer & Damir Filipović, 2016, "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-34, May, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-35, May, revised Jun 2016.
• Jean-Christophe Delfim & Martin Hoesli, 2016, "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-37, May.
• Damir Filipović & Sander Willems, 2016, "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-38, Jun.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.
• Damir Filipovic & Yerkin Kitapbayev, 2016, "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-44, Jul.
• Semyon Malamud & Aytek Malkhozov, 2016, "Market Integration and Global Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-49, Jul.
• Umit Yilmaz, 2016, "Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-50, Jul, revised Dec 2016.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016, "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-51, Aug, revised Dec 2016.
• Ines Chaieb & Vihang R. Errunza & Rajna Gibson, 2016, "How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-52, Jul.
• Alberto Plazzi & Walter N. Torous, 2016, "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-54, Sep.
• Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-59, Oct.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2016, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-63, Oct.
• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016, "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-64, Oct.
• Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-66, Nov.
• Semyon Malamud & Andreas Schrimpf, 2016, "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-75, Dec.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018, "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-40, Jun.
• Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016, "Markets are Smart! Structural Reforms and Country Risk," Working Papers, CEPII research center, number 2016-23, Sep.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Ales Bulir & Jan Vlcek, 2016, "Monetary Transmission: Are Emerging Market and Low-Income Countries Different?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/02, Mar.
• Lubos Komarek & Kristyna Ters & Jorg Urban, 2016, "Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/04, Jun.
• Simona Malovana & Jan Frait, 2016, "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/06, Sep.
• Jimmy Melo, 2016, "Precios de los activos bajo ambiguedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 34, issue 80, pages 91-102, DOI: 10.1016/j.espe.2016.02.003.
• Thomas Goda & Chris Stewart & Alejandro Torres Garc�a, 2016, "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15247, Dec.
• Jimmy Saravia & Carlos Garcia & Paula Almonacid, 2016, "The Determinants of Systematic Risk: A Firm Lifecycle Perspective," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15299, Dec.
• Aneta Wlodarczyk & Iwona Otola, 2016, "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 87-116.
• Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 10947, Mar.
• Pagano, Marco & Beber, Alessandro & Fabbri, Daniela & Simonelli, Saverio, 2016, "Short-Selling Bans and Bank Stability," CEPR Discussion Papers, Centre for Economic Policy Research, number 11090, Feb.
• Fernández-Villaverde, Jesús & Levintal, Oren, 2016, "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers, Centre for Economic Policy Research, number 11115, Feb.
• Broer, Tobias, 2016, "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers, Centre for Economic Policy Research, number 11145, Mar.
• Petrella, Ivan & Sola, Martin & Hevia, Constantino, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, Centre for Economic Policy Research, number 11169, Mar.
• Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016, "Term structures of asset prices and returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 11227, Apr.
• Farmer, Roger, 2016, "Pricing Assets in an Economy with Two Types of People," CEPR Discussion Papers, Centre for Economic Policy Research, number 11253, Apr.
• Ströbel, Johannes & Kuchler, Theresa & Bailey, Michael & Cao, Ruiqing, 2016, "Social Networks and Housing Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11272, May.
• Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016, "Currency Value," CEPR Discussion Papers, Centre for Economic Policy Research, number 11324, Jun.
• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016, "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 11401, Jul.
• Weber, Martin & Regele, Tobias & Jacobs, Heiko, 2016, "Expected skewness and momentum," CEPR Discussion Papers, Centre for Economic Policy Research, number 11455, Aug.
• Adrian, Tobias & , & Shin, Hyun Song, 2016, "Dynamic Leverage Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 11466, Aug.
• Malamud, Semyon & Malkhozov, Aytek, 2016, "Market Integration and Global Crashes," CEPR Discussion Papers, Centre for Economic Policy Research, number 11468, Aug.
• Malamud, Semyon, 2016, "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers, Centre for Economic Policy Research, number 11469, Aug.
• Massa, Massimo & Schumacher, David & wang, yan, 2016, "Who is afraid of BlackRock?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11471, Aug.
• Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016, "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 11531, Sep.
• Miller, Marcus & Zhang, Lei & Rastapana, Songklod, 2016, "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers, Centre for Economic Policy Research, number 11533, Sep.
• Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016, "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers, Centre for Economic Policy Research, number 11576, Oct.
• Weber, Martin & Ungeheuer, Michael, 2016, "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 11585, Oct.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz, 2016, "Macrofinancial History and the New Business Cycle Facts," CEPR Discussion Papers, Centre for Economic Policy Research, number 11587, Oct.
• Babus, Ana & Parlatore Siritto, Cecilia, 2016, "Strategic Fragmented Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11591, Oct.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11608, Nov.
• Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016, "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 11645, Nov.
• Oosterlinck, Kim & Collet, Stéphanie, 2016, "Pricing the Odious in Odious Debts," CEPR Discussion Papers, Centre for Economic Policy Research, number 11653, Nov.
• Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg & Woschitz, Jiri, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 11663, Nov.
• Flandreau, Marc & Chavaz, Matthieu, 2016, "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers, Centre for Economic Policy Research, number 11679, Dec.
• Cespa, Giovanni & Colla, Paolo, 2016, "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 11690, Dec.
• Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016, "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 11730, Dec.
• Vives, Xavier & Cespa, Giovanni, 2016, "Market Transparency and Fragility," CEPR Discussion Papers, Centre for Economic Policy Research, number 11732, Dec.
• Martin T. Bohl & Christian Gross & Waldemar Souza, 2016, "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 5116, Jul.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016, "Coherent Pricing," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 22932, May.
• Chen, S. & Härdle, W.K. & Wang, W., 2016, "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," Working Papers, Department of Economics, City St George's, University of London, number 16/06.
• David E. Rapach & Matthew C. Ringgenberg & Guofu Zhou, 2016, "Short interest and aggregate stock returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 716.
• Butkiewicz, James L. & Solcan, Mihaela, 2016, "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920," Financial History Review, Cambridge University Press, volume 23, issue 1, pages 21-46, April.
• van Oordt, Maarten R. C. & Zhou, Chen, 2016, "Systematic Tail Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 2, pages 685-705, April.
• Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016, "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 5, pages 1467-1490, October.
• Juessen, Falko & Linnemann, Ludger & Schabert, Andreas, 2016, "Default Risk Premia On Government Bonds In A Quantitative Macroeconomic Model," Macroeconomic Dynamics, Cambridge University Press, volume 20, issue 1, pages 380-403, January.
• Bachar FAKHRY, 2016, "A Literature Review of the Efficient Market Hypothesis," Turkish Economic Review, EconSciences Journals, volume 3, issue 3, pages 431-442, September.
• Yhlas SOVBETOV, 2016, "Impact of Brand Dynamics on Insurance Premiums in Turkey," Turkish Economic Review, EconSciences Journals, volume 3, issue 3, pages 453-465, September.
• Bachar FAKHRY, 2016, "A Literature Review of Behavioural Finance," Journal of Economics Library, EconSciences Journals, volume 3, issue 3, pages 458-465, September.
• Стефан Симеонов, 2016, "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Pierre Chollet & Blaise W. Sandwidi, 2016, "L’impact sur les marchés financiers européens de la diffusion d’alertes sociétales et de leurs évènements déclencheurs," Revue Finance Contrôle Stratégie, revues.org, volume 19, issue 2, pages 59-82, June.
• Fabian Baetje & Lukas Menkhoff, 2016, "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1552.
• Guglielmo Maria Caporale & Alex Plastun, 2016, "Calendar Anomalies in the Ukrainian Stock Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1573.
• Benjamin Beckers & Kerstin Bernoth, 2016, "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1605.
• Farley Grubb, 2016, "Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance," Working Papers, University of Delaware, Department of Economics, number 16-01.
• Augustin, Patrick & Boustanifar, Hamid & Breckenfelder, Johannes & Schnitzler, Jan, 2016, "Sovereign to corporate risk spillovers," Working Paper Series, European Central Bank, number 1878, Jan.
• Krylova, Elizaveta, 2016, "Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area," Working Paper Series, European Central Bank, number 1911, Jun.
• Krylova, Elizaveta, 2016, "Determinants of euro-denominated corporate bond spreads," Working Paper Series, European Central Bank, number 1912, Jun.
• Camba-Méndez, Gonzalo & Serwa, Dobromil & Kostrzewa, Konrad & Marszal, Anna, 2016, "Pricing sovereign credit risk of an emerging market," Working Paper Series, European Central Bank, number 1924, Jun.
• Corradin, Stefano & Rodriguez-Moreno, Maria, 2016, "Violating the law of one price: the role of non-conventional monetary policy," Working Paper Series, European Central Bank, number 1927, Jul.
• De Santis, Roberto A., 2016, "Credit spreads, economic activity and fragmentation," Working Paper Series, European Central Bank, number 1930, Jul.
• Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016, "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series, European Central Bank, number 1938, Jul.
• Breckenfelder, Johannes & De Fiore, Fiorella & Andrade, Philippe & Karadi, Peter & Tristani, Oreste, 2016, "The ECB's asset purchase programme: an early assessment," Working Paper Series, European Central Bank, number 1956, Sep.
• De Santis, Roberto A. & Stein, Michael, 2016, "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series, European Central Bank, number 1979, Nov.
• Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016, "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series, European Central Bank, number 1987, Dec.
• Huang, Jing-Zhi & Shi, Zhan, 2016, "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-04, Feb.
• Fahlenbrach, Rudiger & Prilmeier, Robert & Stulz, Rene M., 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-07, Mar.
• Birru, Justin, 2016, "Day of the Week and the Cross-Section of Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-1, Jan.
• Massimiliano Croce, Mariano & Nguyen, Thien Tung & McGregor Raymond, Steve & Schmid, Lukas, 2016, "Government Debt and the Returns to Innovation," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-10, May.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-13, Jul.
• Schwert, Michael, 2016, "Municipal Bond Liquidity and Default Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-16, Sep.
• Hou, Kewei & Kim, Sehoon & Werner, Ingrid M., 2016, "(Priced) Frictions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-19, Nov.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016, "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-2, Jan.
• Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016, "Investment, Tobin's q, and Interest Rates," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-20, Oct.
• Zhang, Shaojun, 2016, "Limited Risk Sharing and International Equity Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-25, Nov.
• Lee, Charles M. C. & So, Eric C., 2016, "Uncovering Expected Returns: Information in Analyst Coverage Proxies," Research Papers, Stanford University, Graduate School of Business, number 3367, Jan.
• Lustig, Hanno & Verdelhan, Adrien, 2016, "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers, Stanford University, Graduate School of Business, number 3412, Mar.
• Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016, "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers, Stanford University, Graduate School of Business, number 3454, Jun.
• Chen, Zhiyao & Strebulaev, Ilya A., 2016, "Bargaining Power, Business Cycle and Levered Equity Risk," Research Papers, Stanford University, Graduate School of Business, number 3466, Jun.
• Arfaoui Mongi & Haj Ali Dhouha, 2016, "Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 252-270.
• Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016, "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 365-379.
• Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016, "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 551-561.
• Ilham Boularhmane & Rajae Aboulaich, 2016, "Valuation of Quarterly Stock Prices: Applying Ethical Principles to Discounted Cash Flow Method," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 3, pages 1254-1261.
• Amado Peir, 2016, "Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1338-1343.
• Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016, "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1474-1490.
• Charles O. Manasseh & Ambrose N. Omeje, 2016, "Application of Generalized Autoregressive Conditional Heteroschedasticity Model on Inflation and Share Price Movement in Nigeria," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1491-1501.
• Hanan Naser, 2016, "The Role of the Gulf Cooperation Council's Sovereign Wealth Funds in the New Era of Oil," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1657-1664.
• Prashant Sharma & Prashant Gupta & Anurag Singh, 2016, "Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1815-1826.
• Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016, "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1884-1894.
• Wajih Abbasi & Petr H jek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016, "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1918-1929.
• Murat UÐURLU & Yusuf DEMÝR, 2016, "Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 4, issue 3, pages 106-116.
• Elshandidy, Tamer & Shrives, Philip J., 2016, "Environmental Incentives for and Usefulness of Textual Risk Reporting: Evidence from Germany," The International Journal of Accounting, Elsevier, volume 51, issue 4, pages 464-486, DOI: 10.1016/j.intacc.2016.10.001.
• Kitagawa, Norio & Okuda, Shin’ya, 2016, "Management Forecasts, Idiosyncratic Risk, and the Information Environment," The International Journal of Accounting, Elsevier, volume 51, issue 4, pages 487-503, DOI: 10.1016/j.intacc.2016.10.002.
• Dichtl, Hubert & Drobetz, Wolfgang & Kryzanowski, Lawrence, 2016, "Timing the stock market: Does it really make no sense?," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 88-104, DOI: 10.1016/j.jbef.2016.03.005.
• Lawal, Tolulola, 2016, "Clustering of annual general meetings and stock returns: UK evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 9-12, DOI: 10.1016/j.jbef.2016.05.001.
• Warsame, Mohammed Hersi & Ireri, Edward Mugambi, 2016, "Does the theory of planned behaviour (TPB) matter in Sukuk investment decisions?," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 93-100, DOI: 10.1016/j.jbef.2016.10.002.
• Grégoire, Philippe, 2016, "Unskilled traders, overconfidence and information acquisition," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 1-5, DOI: 10.1016/j.jbef.2015.08.002.
• Yang, Xiaolan & Zhu, Li, 2016, "Ambiguity vs risk: An experimental study of overconfidence, gender and trading activity," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 125-131, DOI: 10.1016/j.jbef.2016.01.003.
• Fasano, Antonio & Galloppo, Giuseppe, 2016, "Emerging market active managers: Skilled or stubborn?," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 132-135, DOI: 10.1016/j.jbef.2015.11.001.
• Zaremba, Adam, 2016, "Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 136-163, DOI: 10.1016/j.jbef.2015.11.007.
• Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016, "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, volume 48, issue 2, pages 134-150, DOI: 10.1016/j.bar.2016.03.001.
• Yekini, Liafisu Sina & Wisniewski, Tomasz Piotr & Millo, Yuval, 2016, "Market reaction to the positiveness of annual report narratives," The British Accounting Review, Elsevier, volume 48, issue 4, pages 415-430, DOI: 10.1016/j.bar.2015.12.001.
• Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016, "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, volume 48, issue 4, pages 431-447, DOI: 10.1016/j.bar.2015.11.001.
• Huang, Kershen & Petkevich, Alex, 2016, "Corporate bond pricing and ownership heterogeneity," Journal of Corporate Finance, Elsevier, volume 36, issue C, pages 54-74, DOI: 10.1016/j.jcorpfin.2015.11.001.
• Yuan, Rongli & Sun, Jian & Cao, Feng, 2016, "Directors' and officers' liability insurance and stock price crash risk," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 173-192, DOI: 10.1016/j.jcorpfin.2015.12.015.
• Abudy, Menachem & Benninga, Simon & Shust, Efrat, 2016, "The cost of equity for private firms," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 431-443, DOI: 10.1016/j.jcorpfin.2016.01.014.
• Unsal, Omer & Hassan, M. Kabir & Zirek, Duygu, 2016, "Corporate lobbying, CEO political ideology and firm performance," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 126-149, DOI: 10.1016/j.jcorpfin.2016.04.001.
• Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016, "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 218-248, DOI: 10.1016/j.jcorpfin.2016.01.013.
• Nielsson, Ulf & Wójcik, Dariusz, 2016, "Proximity and IPO underpricing," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 92-105, DOI: 10.1016/j.jcorpfin.2016.03.012.
• Derrien, François & Kecskés, Ambrus & Mansi, Sattar A., 2016, "Information asymmetry, the cost of debt, and credit events: Evidence from quasi-random analyst disappearances," Journal of Corporate Finance, Elsevier, volume 39, issue C, pages 295-311, DOI: 10.1016/j.jcorpfin.2016.05.002.
• Ayash, Brian & Schütt, Harm, 2016, "Does going private add value through operating improvements?," Journal of Corporate Finance, Elsevier, volume 40, issue C, pages 192-215, DOI: 10.1016/j.jcorpfin.2016.07.015.
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• Carosi, Andrea, 2016, "Do local causations matter? The effect of firm location on the relations of ROE, R&D, and firm SIZE with MARKET-TO-BOOK," Journal of Corporate Finance, Elsevier, volume 41, issue C, pages 388-409, DOI: 10.1016/j.jcorpfin.2016.10.008.
• Frazier, David T. & Liu, Xiaochun, 2016, "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, volume 62, issue C, pages 43-55, DOI: 10.1016/j.jedc.2015.11.002.
• Niu, Shilei & Insley, Margaret, 2016, "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, volume 63, issue C, pages 25-52, DOI: 10.1016/j.jedc.2015.11.003.
• Dai, Min & Tang, Ling & Yue, Xingye, 2016, "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, volume 64, issue C, pages 66-81, DOI: 10.1016/j.jedc.2016.01.002.
• Shi, Lei, 2016, "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 30-46, DOI: 10.1016/j.jedc.2016.02.002.
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• Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016, "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 152-178, DOI: 10.1016/j.jedc.2016.05.010.
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• Khalaf, Lynda & Schaller, Huntley, 2016, "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 165-177, DOI: 10.1016/j.jedc.2016.07.002.
• Ewald, Christian-Oliver & Zhang, Hai, 2016, "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 45-59, DOI: 10.1016/j.jedc.2016.07.007.
• Barde, Sylvain, 2016, "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 329-353, DOI: 10.1016/j.jedc.2016.10.005.
• Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016, "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 417-438, DOI: 10.1016/j.jedc.2016.10.007.
• Paccagnini, Alessia, 2016, "The macroeconomic determinants of the US term structure during the Great Moderation," Economic Modelling, Elsevier, volume 52, issue PA, pages 216-225, DOI: 10.1016/j.econmod.2014.11.013.
• Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016, "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, volume 52, issue PA, pages 266-277, DOI: 10.1016/j.econmod.2014.10.039.
• Hollander, Hylton & Liu, Guangling, 2016, "The equity price channel in a New-Keynesian DSGE model with financial frictions and banking," Economic Modelling, Elsevier, volume 52, issue PB, pages 375-389, DOI: 10.1016/j.econmod.2015.09.015.
• Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016, "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, volume 53, issue C, pages 231-244, DOI: 10.1016/j.econmod.2015.12.008.
• El Ouadghiri, Imane & Uctum, Remzi, 2016, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, volume 54, issue C, pages 218-234, DOI: 10.1016/j.econmod.2015.12.025.
• Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016, "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, volume 56, issue C, pages 168-176, DOI: 10.1016/j.econmod.2016.03.005.
• Switzer, Lorne N. & Picard, Alan, 2016, "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, volume 57, issue C, pages 106-119, DOI: 10.1016/j.econmod.2016.04.006.
• Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016, "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, volume 57, issue C, pages 263-280, DOI: 10.1016/j.econmod.2016.05.001.
• Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016, "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, volume 57, issue C, pages 36-46, DOI: 10.1016/j.econmod.2016.04.014.
• Nyberg, Henri & Pönkä, Harri, 2016, "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, volume 58, issue C, pages 323-338, DOI: 10.1016/j.econmod.2016.06.013.
• Legendre, François & Togola, Djibril, 2016, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, volume 58, issue C, pages 627-641, DOI: 10.1016/j.econmod.2016.03.029.
• Wang, Qin & Ren, Yu & Zou, Yiheng, 2016, "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, volume 58, issue C, pages 64-74, DOI: 10.1016/j.econmod.2016.05.009.